From 10a0803c9123cb0816f26ee58285e7ad79a8527f Mon Sep 17 00:00:00 2001 From: Mark Aron Szulyovszky Date: Sun, 20 Feb 2022 18:01:01 +0100 Subject: [PATCH] fix(Data): make sure we have data in chronological order --- data_loader/load.py | 1 + labeling/eventfilters_map.py | 2 +- 2 files changed, 2 insertions(+), 1 deletion(-) diff --git a/data_loader/load.py b/data_loader/load.py index 402cd73..7a107bf 100644 --- a/data_loader/load.py +++ b/data_loader/load.py @@ -98,6 +98,7 @@ def __load_data( X = pd.concat([df.sort_index().reindex(X[0].index) for df in X], axis=1).fillna(0.0) X.index = pd.DatetimeIndex(X.index) + X.sort_index(inplace=True) ## Create target returns = df_target_asset_only_returns[target_asset[1] + "_returns"] diff --git a/labeling/eventfilters_map.py b/labeling/eventfilters_map.py index 027aca5..8fa67ff 100644 --- a/labeling/eventfilters_map.py +++ b/labeling/eventfilters_map.py @@ -4,5 +4,5 @@ from .event_filters.cusum import CUSUMVolatilityEventFilter, CUSUMFixedEventFilt eventfilters_map = dict( none=NoEventFilter(), cusum_vol=CUSUMVolatilityEventFilter(vol_period=20), - cusum_fixed=CUSUMFixedEventFilter(threshold=120), + cusum_fixed=CUSUMFixedEventFilter(threshold=70), )