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fix(Labeling): use X.loc instead of X.filter, remove Nan from event_start_times

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Mark Aron Szulyovszky
2022-03-12 13:27:44 +01:00
parent b656f790f5
commit c1d79ac8c2
4 changed files with 4 additions and 4 deletions
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labeling/labellers/fixed_time_three_class_balanced.py
+1 -1
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@@ -18,7 +18,7 @@ class FixedTimeHorionThreeClassBalancedEventLabeller(EventLabeller):
forward_returns = create_forward_returns(returns, self.time_horizon) forward_returns = create_forward_returns(returns, self.time_horizon)
cutoff_point = returns.index[-self.time_horizon] cutoff_point = returns.index[-self.time_horizon]
event_start_times[event_start_times < cutoff_point] event_start_times = event_start_times[event_start_times < cutoff_point]
event_candidates = forward_returns[event_start_times] event_candidates = forward_returns[event_start_times]
def get_bins_threeway(x): def get_bins_threeway(x):
labeling/labellers/fixed_time_three_class_imbalanced.py
+1 -1
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@@ -17,7 +17,7 @@ class FixedTimeHorionThreeClassImbalancedEventLabeller(EventLabeller):
forward_returns = create_forward_returns(returns, self.time_horizon) forward_returns = create_forward_returns(returns, self.time_horizon)
cutoff_point = returns.index[-self.time_horizon] cutoff_point = returns.index[-self.time_horizon]
event_start_times[event_start_times < cutoff_point] event_start_times = event_start_times[event_start_times < cutoff_point]
event_candidates = forward_returns[event_start_times] event_candidates = forward_returns[event_start_times]
def get_bins_threeway(x): def get_bins_threeway(x):
labeling/labellers/fixed_time_two_class.py
+1 -1
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@@ -18,7 +18,7 @@ class FixedTimeHorionTwoClassEventLabeller(EventLabeller):
forward_returns = create_forward_returns(returns, self.time_horizon) forward_returns = create_forward_returns(returns, self.time_horizon)
cutoff_point = returns.index[-self.time_horizon] cutoff_point = returns.index[-self.time_horizon]
event_start_times[event_start_times < cutoff_point] event_start_times = event_start_times[event_start_times < cutoff_point]
event_candidates = forward_returns[event_start_times] event_candidates = forward_returns[event_start_times]
def get_class_binary(x: float) -> int: def get_class_binary(x: float) -> int:
labeling/process.py
+1 -1
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@@ -27,7 +27,7 @@ def label_data(
"% of overlapping events", "% of overlapping events",
) )
X = X.filter(items=events.index, axis=0) X = X.loc[events.index]
y = events["label"] y = events["label"]
forward_returns = events["returns"] forward_returns = events["returns"]