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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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run_portfolio_reporting.py
+3 -3
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@@ -1,8 +1,7 @@
#%%
import pandas as pd
import numpy as np
from data_loader.load_data import load_only_returns
from data_loader.collections import data_collections
from data_loader import load_only_returns, data_collections
from utils.helpers import get_first_valid_return_index
import alphalens
@@ -109,9 +108,10 @@ first_index = get_first_valid_return_index(predictions[predictions.columns[0]])
predictions = predictions.iloc[first_index:]
close = load_only_returns(data_collections['daily_crypto'], 'price')
close = close.iloc[first_index:-1]
close = close.iloc[first_index:]
close.columns = [col.replace("_returns", "") for col in close.columns]
close = close[predictions.columns]
close = close.filter(items = predictions.index, axis = 0)
availability = close.applymap(lambda x: 0 if x == 0.0 or x == 0 or np.isnan(x) else 1)