import pandas as pd from training.types import TransformationsOverTime from utils.helpers import get_first_valid_return_index from tqdm import tqdm from transformations.base import Transformation from typing import Optional from data_loader.types import ForwardReturnSeries, XDataFrame, ySeries def walk_forward_process_transformations( X: XDataFrame, y: ySeries, forward_returns: ForwardReturnSeries, window_size: int, retrain_every: int, from_index: Optional[pd.Timestamp], transformations: list[Transformation], ) -> TransformationsOverTime: transformations_over_time = [ pd.Series(index=y.index, dtype="object").rename(t.get_name()) for t in transformations ] first_nonzero_return = max( get_first_valid_return_index(forward_returns), get_first_valid_return_index(X.iloc[:, 0]), get_first_valid_return_index(y), ) train_from = ( first_nonzero_return + window_size + 1 if from_index is None else X.index.to_list().index(from_index) ) train_till = len(y) iterations_before_retrain = 0 for index in tqdm(range(train_from, train_till)): train_window_start = X.index[first_nonzero_return] if iterations_before_retrain <= 0 or pd.isna( transformations_over_time[0][index - 1] ): train_window_end = X.index[index - 1] X_expanding_window = X[train_window_start:train_window_end] y_expanding_window = y[train_window_start:train_window_end] current_transformations = [t.clone() for t in transformations] for transformation_index, transformation in enumerate( current_transformations ): X_expanding_window = transformation.fit_transform( X_expanding_window, y_expanding_window ) iterations_before_retrain = retrain_every for transformation_index, transformation in enumerate(current_transformations): transformations_over_time[transformation_index][ X.index[index] ] = transformation iterations_before_retrain -= 1 return transformations_over_time