mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-04 14:47:49 +00:00
Mark Aron Szulyovszky
c9f8ed1304
* feat(Data): added script to download data from binance * feat(Data): saving unified parquet file/loading * fix(Config): tweak the cusum filter's threshold * fix(Dependencies): added binance_historical_data
11 lines
374 B
Python
11 lines
374 B
Python
from fracdiff.sklearn import FracdiffStat
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import pandas as pd
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import numpy as np
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def feature_fractional_differentiation(df: pd.DataFrame, period: int) -> pd.Series:
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frac_diff = FracdiffStat(window=period)
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input_series = df["close"].to_numpy().reshape(-1, 1)
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result = frac_diff.fit_transform(input_series)
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return pd.Series(result.squeeze(), index=df.index)
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