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refactor(Training): use date indexes instead of integers, need this to prepare for Events (#185)

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This commit is contained in:
Mark Aron Szulyovszky
2022-01-24 12:22:30 +01:00
committed by GitHub
parent e80fffdb65
commit e6e2317fe0
15 changed files with 50 additions and 52 deletions
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utils/evaluate.py
+1 -2
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@@ -36,8 +36,7 @@ def evaluate_predictions(
discretize: bool = False,
) -> pd.Series:
# ignore the predictions until we see a non-zero returns (and definitely skip the first sliding_window_size)
first_nonzero_return = max(get_first_valid_return_index(target_returns), get_first_valid_return_index(y_pred))
evaluate_from = first_nonzero_return + 1
evaluate_from = max(get_first_valid_return_index(target_returns), get_first_valid_return_index(y_pred))
target_returns = pd.Series(target_returns[evaluate_from:])
y_pred = pd.Series(y_pred[evaluate_from:])