mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-27 18:57:55 +00:00
Mark Aron Szulyovszky
9 lines
397 B
Python
9 lines
397 B
Python
from fracdiff.sklearn import FracdiffStat
|
|
import pandas as pd
|
|
import numpy as np
|
|
|
|
def feature_fractional_differentiation(df: pd.DataFrame, period: int, is_log_return: bool) -> pd.Series:
|
|
frac_diff = FracdiffStat(window = period)
|
|
input_series = df["close"].to_numpy().reshape(-1, 1)
|
|
result = frac_diff.fit_transform(input_series)
|
|
return pd.Series(result.squeeze(), index = df.index) |