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fix(Data): make sure we have data in chronological order

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Mark Aron Szulyovszky
2022-02-20 18:01:01 +01:00
parent c9f8ed1304
commit 10a0803c91
2 changed files with 2 additions and 1 deletions
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data_loader/load.py
+1
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@@ -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 = 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.index = pd.DatetimeIndex(X.index)
X.sort_index(inplace=True)
## Create target ## Create target
returns = df_target_asset_only_returns[target_asset[1] + "_returns"] returns = df_target_asset_only_returns[target_asset[1] + "_returns"]
labeling/eventfilters_map.py
+1 -1
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@@ -4,5 +4,5 @@ from .event_filters.cusum import CUSUMVolatilityEventFilter, CUSUMFixedEventFilt
eventfilters_map = dict( eventfilters_map = dict(
none=NoEventFilter(), none=NoEventFilter(),
cusum_vol=CUSUMVolatilityEventFilter(vol_period=20), cusum_vol=CUSUMVolatilityEventFilter(vol_period=20),
cusum_fixed=CUSUMFixedEventFilter(threshold=120), cusum_fixed=CUSUMFixedEventFilter(threshold=70),
) )