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feat(labels): implement vertical barrier label
#9
Merged
Comparing
feat/vertical-barrier
(
d0f8afb
) with
main
(
89199a9
)
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Benchmarks
New
test__get_vertical_barrier_by_timedelta__benchmark[trade_data0]
tests/labels/test_dynamic_labels.py::test__get_vertical_barrier_by_timedelta__benchmark[trade_data0]
N/A
N/A
37.3 ms
Passed
test__tick_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__tick_bars__polars_benchmark[trade_data0]
+1%
12.7 ms
12.5 ms
test__time_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__time_bars__polars_benchmark[trade_data0]
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7.3 ms
7.2 ms
test__validate_columns__default_args
tests/test__utils.py::test__validate_columns__default_args
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test__validate_columns__invalid
tests/test__utils.py::test__validate_columns__invalid
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991.8 µs
991.2 µs
test__volume_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__volume_bars__polars_benchmark[trade_data0]
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61 ms
61 ms
test__validate_columns__df_not_passed
tests/test__utils.py::test__validate_columns__df_not_passed
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286.8 µs
286.8 µs
test__validate_columns__valid
tests/test__utils.py::test__validate_columns__valid
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923.1 µs
923.8 µs
test__daily_vol__polars_benchmark[trade_data0]
tests/labels/test_dynamic_labels.py::test__daily_vol__polars_benchmark[trade_data0]
0%
135 ms
135.1 ms
test__dollar_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__dollar_bars__polars_benchmark[trade_data0]
-1%
61.7 ms
62 ms
test__fixed_time_return_classification__benchmark[trade_data0]
tests/labels/test_labels.py::test__fixed_time_return_classification__benchmark[trade_data0]
-1%
55.1 ms
55.7 ms
Commits
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89199a9
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feat(labels): implement vertical barrier label This PR implements a function that calculates a vertical barrier label using a timedelta strategy.
d0f8afb
2 months ago
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