ngriffiths13/polars-trading - CodSpeed

polars-trading

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Feat/frac diff (#10) Added frac diff functionality and tests ensuring it matches the pandas implementation in AFML --------- Co-authored-by: Nelson Griffiths <nelsongriffiths@doubleriver.com>

main

7 months ago

finished frac diff

feat/frac-diff

7 months ago

feat(labels): implement vertical barrier label (#9) This PR implements a function that calculates a vertical barrier label using a timedelta strategy. Co-authored-by: Nelson Griffiths <nelsongriffiths@doubleriver.com>

main

9 months ago

feat(labels): implement vertical barrier label This PR implements a function that calculates a vertical barrier label using a timedelta strategy.

feat/vertical-barrier

9 months ago

fix(daily_vol): update daily vol to use the last price at least 24 hours previous (#7) This makes it so every monday we don't get a 0 return because there were no prices on sunday. It will use end of day friday price instead. Co-authored-by: Nelson Griffiths <nelsongriffiths@doubleriver.com>

main

9 months ago

fix(daily_vol): update daily vol to use the last price at least 24 hours previous This makes it so every monday we don't get a 0 return because there were no prices on sunday. It will use end of day friday price instead.

fix/weekend-returns-daily-vol

9 months ago

Feat/codecov (#6) Co-authored-by: Nelson Griffiths <nelsongriffiths@doubleriver.com>

main

9 months ago

Feat/updated benchmarks (#5) Co-authored-by: Nelson Griffiths <nelsongriffiths@doubleriver.com>

main

9 months ago

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