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

labeling/event_filters/cusum.py

@@ -0,0 +1,60 @@
+
+
+from ..types import EventFilter
+from data_loader.types import ReturnSeries
+import pandas as pd
+
+class CUSUMVolatilityEventFilter(EventFilter):
+
+    def __init__(self, vol_period: int):
+        self.vol_period = vol_period
+
+    def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
+
+        rolling_vol = returns.rolling(self.vol_period).std() * 0.15
+
+        filtered_indices = []
+        pos_threshold = 0
+        neg_threshold = 0
+        diff = returns.diff()
+        for index in diff.index[1:]:
+            pos_threshold, neg_threshold = (
+                max(0, pos_threshold + diff.loc[index]),
+                min(0, neg_threshold + diff.loc[index]),
+            )
+
+            if neg_threshold < -rolling_vol[index]:
+                neg_threshold = 0
+                filtered_indices.append(index)
+
+            elif pos_threshold > rolling_vol[index]:
+                pos_threshold = 0
+                filtered_indices.append(index)
+
+        return pd.DatetimeIndex(filtered_indices)
+
+class CUSUMFixedEventFilter(EventFilter):
+
+    def __init__(self, threshold: float):
+        self.threshold = threshold
+
+    def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
+        filtered_indices = []
+        pos_threshold = 0
+        neg_threshold = 0
+        diff = returns.diff()
+        for index in diff.index[1:]:
+            pos_threshold, neg_threshold = (
+                max(0, pos_threshold + diff.loc[index]),
+                min(0, neg_threshold + diff.loc[index]),
+            )
+
+            if neg_threshold < -self.threshold:
+                neg_threshold = 0
+                filtered_indices.append(index)
+
+            elif pos_threshold > self.threshold:
+                pos_threshold = 0
+                filtered_indices.append(index)
+
+        return pd.DatetimeIndex(filtered_indices)

labeling/event_filters/nofilter.py

@@ -0,0 +1,9 @@
+from ..types import EventFilter
+from data_loader.types import ReturnSeries
+import pandas as pd
+
+class NoEventFilter(EventFilter):
+
+    def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
+        return returns.index
+