gavindiaz/drift
1
0
Fork 0
mirror of https://github.com/webclinic017/drift.git synced 2026-08-17 21:08:08 +00:00
Code Issues Packages Projects Releases Wiki Activity

fix(Labelling): didn't forward shift forward returns previously, introduced major lookahead bias (#249)

Browse Source 
* fix(Labelling): didn't forward shift forward returns previously, introduced major lookahead bias

* fix(Baseline): use the same config
This commit is contained in:
Mark Aron Szulyovszky
2022-03-15 19:12:40 +01:00
committed by GitHub
parent 7deeb2de01
commit 2606639cc2
3 changed files with 7 additions and 12 deletions
Download Patch File Download Diff File Expand all files Collapse all files
labeling/labellers/utils.py
+1 -3
View File
@@ -8,9 +8,7 @@ import numpy as np
def create_forward_returns(series: pd.Series, period: int) -> ForwardReturnSeries:
assert period > 0
indexer = pd.api.indexers.FixedForwardWindowIndexer(window_size=period)
forward_returns = series.rolling(window=indexer).sum()
return forward_returns
return series.rolling(window=indexer).sum().shift(-1)
def purge_overlapping_events(events: EventsDataFrame) -> EventsDataFrame: