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feat(Data): added feature extractors, and feature extractor presets, removed a bunch of custom arguments from load_data (#42)

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Mark Aron Szulyovszky
2021-12-19 12:14:59 +01:00
committed by GitHub
parent b8b7375c30
commit b456ec3cb7
5 changed files with 127 additions and 70 deletions
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utils/typing.py
+8 -2
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@@ -1,7 +1,13 @@
from typing import Protocol
from typing import Protocol, Callable, Union
import pandas as pd
class SKLearnModel(Protocol):
def fit(self, X, y, sample_weight=None): ...
def predict(self, X): ...
def score(self, X, y, sample_weight=None): ...
def set_params(self, **params): ...
def set_params(self, **params): ...
Period = int
IsLogReturn = bool
FeatureExtractor = Callable[[pd.DataFrame, Period, IsLogReturn], Union[pd.DataFrame, pd.Series]]