mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-27 18:57:55 +00:00
Mark Aron Szulyovszky
29 lines
743 B
Python
29 lines
743 B
Python
from data_loader.types import ReturnSeries, ForwardReturnSeries
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from abc import ABC, abstractmethod
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import pandas as pd
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import pandera as pa
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from pandera.typing import DataFrame, Series
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class EventFilter(ABC):
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@abstractmethod
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def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
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raise NotImplementedError
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class EventSchema(pa.SchemaModel):
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start: Series[pd.Timestamp]
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end: Series[pd.Timestamp]
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label: Series[int]
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returns: Series[float]
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EventsDataFrame = DataFrame[EventSchema]
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class EventLabeller(ABC):
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@abstractmethod
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def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
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raise NotImplementedError
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