mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-01 21:27:46 +00:00
Mark Aron Szulyovszky
30 lines
854 B
Python
30 lines
854 B
Python
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from ..types import EventLabeller, EventsDataFrame, ForwardReturnSeries
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import pandas as pd
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class FixedTimeHorionTwoClassEventLabeller(EventLabeller):
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time_horizon: int
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def __init__(self, time_horizon: int = 1):
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self.time_horizon = time_horizon
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def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
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event_candidates = forward_returns[event_start_times]
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def get_class_binary(x: float) -> int:
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return -1 if x <= 0.0 else 1
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labels = event_candidates.map(get_class_binary)
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return pd.DataFrame({
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'start': event_start_times,
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'end': event_start_times + pd.Timedelta(days=self.time_horizon),
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'label': labels,
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'returns': forward_returns[event_start_times]
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})
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