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

labeling/labellers/fixed_time_two_class.py

@@ -0,0 +1,29 @@
+
+
+from ..types import EventLabeller, EventsDataFrame, ForwardReturnSeries
+import pandas as pd
+
+class FixedTimeHorionTwoClassEventLabeller(EventLabeller):
+
+    time_horizon: int
+
+    def __init__(self, time_horizon: int = 1):
+        self.time_horizon = time_horizon
+
+    def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
+
+        event_candidates = forward_returns[event_start_times]
+
+        def get_class_binary(x: float) -> int:
+            return -1 if x <= 0.0 else 1
+        labels = event_candidates.map(get_class_binary)
+        
+        return pd.DataFrame({
+            'start': event_start_times,
+            'end': event_start_times + pd.Timedelta(days=self.time_horizon),
+            'label': labels,
+            'returns': forward_returns[event_start_times]
+        })
+
+
+