mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-28 03:08:01 +00:00
Mark Aron Szulyovszky
75157c6285
* feat(Labeling): purge overlapping events, sort dataframe at loading time * fix(Linter): ran * refactor(Labeling): moved purge_overlapping_events one abstraction level higher * fix(Data): renamed class * fix(Data): corrected parameter name * fix(Config): parameters * fix(Data): fixed path * fix(Data): uncommented required code * feat(EventFilters): use vol based CUSUM * fix(Config): only retrain every 2000 samples * fix(Config): filter out even more events * fix(Inference): added remove_overlapping_events * refactor(Types): simplified type hierarchy
35 lines
1.1 KiB
Python
35 lines
1.1 KiB
Python
from .types import EventFilter, EventLabeller, EventsDataFrame
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from data_loader.types import ForwardReturnSeries, XDataFrame, ReturnSeries, ySeries
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from .labellers.utils import purge_overlapping_events
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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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remove_overlapping_events: bool,
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) -> tuple[EventsDataFrame, XDataFrame, ySeries, ForwardReturnSeries]:
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event_start_times = event_filter.get_event_start_times(returns)
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print(
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"| Filtered out ",
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(1 - (len(event_start_times) / len(returns))) * 100,
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"% of timestamps",
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)
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events = event_labeller.label_events(event_start_times, returns)
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if remove_overlapping_events:
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events = purge_overlapping_events(events)
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print(
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"| Purged ",
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(1 - (len(events) / len(event_start_times))) * 100,
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"% of overlapping events",
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)
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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
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