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feat(Labeling): purge overlapping events, sort dataframe at loading time (#226)

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* feat(Labeling): purge overlapping events, sort dataframe at loading time

* fix(Linter): ran

* refactor(Labeling): moved purge_overlapping_events one abstraction level higher

* fix(Data): renamed class

* fix(Data): corrected parameter name

* fix(Config): parameters

* fix(Data): fixed path

* fix(Data): uncommented required code

* feat(EventFilters): use vol based CUSUM

* fix(Config): only retrain every 2000 samples

* fix(Config): filter out even more events

* fix(Inference): added remove_overlapping_events

* refactor(Types): simplified type hierarchy
This commit is contained in:
Mark Aron Szulyovszky
2022-03-02 00:26:33 +01:00
committed by GitHub
parent 10a0803c91
commit 75157c6285
17 changed files with 120 additions and 77 deletions
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labeling/types.py
+1 -1
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@@ -25,5 +25,5 @@ class EventLabeller(ABC):
@abstractmethod
def label_events(
self, event_start_times: pd.DatetimeIndex, returns: ReturnSeries
) -> tuple[EventsDataFrame, ForwardReturnSeries]:
) -> EventsDataFrame:
raise NotImplementedError