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feat(Models): added MAE & RMSE metrics, fixed NaN & Inf values in data,
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@@ -47,6 +47,7 @@ def __load_df(path: str, prefix: str, add_features: bool, log_returns: bool) ->
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df['mom_60'] = df['close'].pct_change(60)
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df['mom_90'] = df['close'].pct_change(90)
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df = df.replace([np.inf, -np.inf], 0.)
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df = df.drop(columns=['open', 'high', 'low', 'close'])
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df.columns = [prefix + "_" + c for c in df.columns]
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return df
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@@ -54,4 +55,5 @@ def __load_df(path: str, prefix: str, add_features: bool, log_returns: bool) ->
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# %%
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def create_target_cum_forward_returns(df: pd.DataFrame, source_column: str, period: int) -> pd.DataFrame:
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df['target'] = df[source_column].diff(period).shift(-period)
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df = df.iloc[:-period]
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return df
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