From 478a15a7cb49fb9672d7019c56869d9cfd3e8d4d Mon Sep 17 00:00:00 2001 From: Mark Aron Szulyovszky Date: Sun, 14 Nov 2021 17:24:56 +0100 Subject: [PATCH] feat(Data): added day/month/dayofweek features --- load_data.py | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/load_data.py b/load_data.py index 420d73c..111ce87 100644 --- a/load_data.py +++ b/load_data.py @@ -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 \ No newline at end of file