from ..types import EventLabeller, EventsDataFrame, ReturnSeries, ForwardReturnSeries import pandas as pd from .utils import create_forward_returns class FixedTimeHorionTwoClassEventLabeller(EventLabeller): time_horizon: int def __init__(self, time_horizon: int): self.time_horizon = time_horizon def label_events(self, event_start_times: pd.DatetimeIndex, returns: ReturnSeries) -> tuple[EventsDataFrame, ForwardReturnSeries]: forward_returns = create_forward_returns(returns, self.time_horizon) cutoff_point = returns.index[-self.time_horizon] event_start_times[event_start_times < cutoff_point] event_candidates = forward_returns[event_start_times] def get_class_binary(x: float) -> int: return -1 if x <= 0.0 else 1 labels = event_candidates.map(get_class_binary) return (pd.DataFrame({ 'start': event_start_times, 'end': event_start_times + pd.Timedelta(days=self.time_horizon), 'label': labels, 'returns': forward_returns[event_start_times] }), forward_returns[event_start_times])