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feat(Data): added day/month/dayofweek features

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Mark Aron Szulyovszky
2021-11-14 17:24:56 +01:00
parent 9d342d6039
commit 478a15a7cb
1 changed files with 4 additions and 0 deletions
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load_data.py
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@@ -31,6 +31,7 @@ def __load_df(path: str, prefix: str, add_features: bool, log_returns: bool) ->
df['vol_10'] = df['returns'].rolling(10).std()*(252**0.5)
df['vol_20'] = df['returns'].rolling(20).std()*(252**0.5)
df['vol_30'] = df['returns'].rolling(30).std()*(252**0.5)
df['vol_60'] = df['returns'].rolling(30).std()*(252**0.5)
# momentum (10, 20, 30, 60, 90 days)
if log_returns:
@@ -51,3 +52,6 @@ def __load_df(path: str, prefix: str, add_features: bool, log_returns: bool) ->
return df
# %%
def create_target_cum_forward_returns(df: pd.DataFrame, source_column: str, period: int) -> pd.DataFrame:
df['target'] = df[source_column].diff(period).shift(-period)
return df