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https://github.com/webclinic017/drift.git
synced 2026-08-02 21:57:46 +00:00
Mark Aron Szulyovszky
cc7061b456
* fix(Core): correct forward returns calculation, classifiers are now working again, only train from when asset returns are available * feat(Utils): added get_first_valid_return_index() * feat(Ensemble): return models from `run_whole_pipeline` * feat(Ensemble): added ensemble step, fixed walk_forward_train_test predictions index confusion, * chore(Pipeline): remove unnecessary extra ensemble results dataframe * refactor(Core): removed unnecessary ensemble_train_predict, moved run_single_asset_trainig_pipeline to a separate file * feat(Training): added scaling on expanding window (the past) to walk_forward_train_test(), now printing out mean sharpe ratio * feat(CI): added environment.yml file * chore(Environment): update env.yml * feat(CI): added testing workflow * fix(CI): renamed enviroment.yml * fix(Tests): added missing new parameter to walk_forward_train_test()
6 lines
236 B
Python
6 lines
236 B
Python
import pandas as pd
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import numpy as np
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def get_first_valid_return_index(series: pd.Series) -> int:
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first_nonzero_return = np.where(np.logical_and(series != 0, np.logical_not(np.isnan(series))))[0][0]
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return first_nonzero_return |