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, expanding_window: bool, 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 expanding_window else X.index[index - window_size - 1] 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