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fix/weekend-returns-daily-vol
(3743610
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(e098b35
)+1%
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Benchmarks
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test__fixed_time_return_classification__benchmark[trade_data0]
tests/labels/test_labels.py::test__fixed_time_return_classification__benchmark[trade_data0]+4%
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test__volume_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__volume_bars__polars_benchmark[trade_data0]+2%
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test__dollar_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__dollar_bars__polars_benchmark[trade_data0]+1%
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test__time_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__time_bars__polars_benchmark[trade_data0]+1%
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test__tick_bars__polars_benchmark[trade_data0]
tests/test_bars.py::test__tick_bars__polars_benchmark[trade_data0]-1%
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test__daily_vol__polars_benchmark[trade_data0]
tests/labels/test_dynamic_labels.py::test__daily_vol__polars_benchmark[trade_data0]-1%
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Commits
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main
e098b35
+1%
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.
3743610
2 months ago