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(feat) adapt labeling to seconds

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cardosofede
2024-05-30 13:28:08 -05:00
parent 38a21142ff
commit 925acc0d71
1 changed files with 1 additions and 1 deletions
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2
quants_lab/utils/labeling.py
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@@ -5,7 +5,7 @@ import pandas as pd
def triple_barrier_method(df, tp=1.0, sl=1.0, tl=5, std_span: Optional[int] = 100, trade_cost=0.0006, max_executors: int = 1):
df.index = pd.to_datetime(df.timestamp, unit="ms")
df.index = pd.to_datetime(df.timestamp, unit="s")
if std_span:
df["target"] = df["close"].rolling(std_span).std() / df["close"]
else: