mirror of
https://github.com/webclinic017/drift.git
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Mark Aron Szulyovszky
17 lines
732 B
Python
17 lines
732 B
Python
from .types import EventFilter, EventLabeller, EventsDataFrame
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from data_loader.types import ForwardReturnSeries, XDataFrame, ReturnSeries, ySeries
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def label_data(
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event_filter: EventFilter,
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event_labeller: EventLabeller,
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X: XDataFrame,
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returns: ReturnSeries,
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forward_returns: ForwardReturnSeries) -> tuple[EventsDataFrame, XDataFrame, ySeries, ForwardReturnSeries]:
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event_start_times = event_filter.get_event_start_times(returns)
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events = event_labeller.label_events(event_start_times, forward_returns)
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X = X.filter(items = events.index, axis = 0)
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y = events['label']
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forward_returns = events['returns']
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return events, X, y, forward_returns |