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feat(Events): added EventFilter, EventLabeller (#186)

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Mark Aron Szulyovszky
2022-01-26 23:22:43 +01:00
committed by GitHub
parent 1042c82333
commit 42a1bc59cb
65 changed files with 759 additions and 276571 deletions
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feature_extractors/fractional_differentiation.py
+2 -2
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@@ -3,13 +3,13 @@ import pandas as pd
import numpy as np
from feature_extractors.utils import apply_log_if_necessary_series
def feature_fractional_differentiation(df: pd.DataFrame, period: int, is_log_return: bool) -> pd.Series:
def feature_fractional_differentiation(df: pd.DataFrame, period: int) -> pd.Series:
frac_diff = FracdiffStat(window = period)
input_series = df["close"].to_numpy().reshape(-1, 1)
result = frac_diff.fit_transform(input_series)
return pd.Series(result.squeeze(), index = df.index)
def feature_fractional_differentiation_log(df: pd.DataFrame, period: int, is_log_return: bool) -> pd.Series:
def feature_fractional_differentiation_log(df: pd.DataFrame, period: int) -> pd.Series:
series = feature_fractional_differentiation(df, period, is_log_return)
return apply_log_if_necessary_series(series, "fracdiff")