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Describe the bug trend_scanning_labels with lookforward false, returns incorrect t1.
As below funciton implied, t1 should be 2017-07-16 to retrieve "-1.0014031858892483" of tValue.
If you can provide email address, I can attach ipynb file.
The text was updated successfully, but these errors were encountered:
import yfinance as yf import matplotlib.pyplot as plt
from mlfinlab.labeling.trend_scanning import trend_scanning_labels
eem_close = yf.download( tickers="EEM", start="2008-07-01", end="2009-07-01", interval="1d" )["Adj Close"]
t_events = eem_close.index tr_scan_labels = trend_scanning_labels( eem_close, t_events, observation_window=20, look_forward=False, min_sample_length=5 ) tr_scan_labels.dropna(subset=["bin"])
'''''''''''''' t1 t_value ret bin Date 2008-07-29 2008-07-15 -1.001403 -0.043901 -1.0 2008-07-30 2008-07-08 1.784318 -0.007165 1.0 2008-07-31 2008-07-10 1.106360 0.013099 1.0 2008-08-01 2008-07-22 -1.362230 0.032972 -1.0 2008-08-04 2008-07-11 -8.658784 0.045189 -1.0 ... ... ... ... ... 2009-06-24 2009-06-19 -6.849154 0.008768 -1.0 2009-06-25 2009-06-23 -5.874661 -0.049767 -1.0 2009-06-26 2009-06-04 7.476431 0.029371 1.0 2009-06-29 2009-06-08 8.294161 0.008074 1.0 2009-06-30 2009-06-10 5.052513 0.033169 1.0 ''''''''''''' def tValLinR(close): """tValue from a linear trend via SNIPPET 5.1 T-VALUE OF A LINEAR TREND
Args: close (Series): close prices to search through Returns: float: t-value Example: >>> lookforward = 5 >>> start = 0 >>> stop = stop + lookforward >>> df1 = close.iloc[start:stop] >>> tValLinR(df1.values) """ x = np.ones((close.shape[0], 2)) x[:, 1] = np.arange(close.shape[0]) ols = sm1.OLS(close, x).fit() return ols.tvalues[1]
tValLinR(eem_close.loc['2008-07-16':'2008-07-29']) ''''''''''''' -1.0014031858892483 '''''''''''''
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Describe the bug
trend_scanning_labels with lookforward false, returns incorrect t1.
As below funciton implied, t1 should be 2017-07-16 to retrieve "-1.0014031858892483" of tValue.
If you can provide email address, I can attach ipynb file.
The text was updated successfully, but these errors were encountered: