diff --git a/data_processor/data_processing.py b/data_processor/data_processing.py index ff4de4a..7f77d1d 100644 --- a/data_processor/data_processing.py +++ b/data_processor/data_processing.py @@ -15,11 +15,11 @@ def make_features(self, file_path, window, csv_path, make_y=True, verbose=True, #print(df[cols[2]].head()) for i in cols[1:]: print(i) - df[f'{i}_ret1'] = np.log(df[i]/df[i].shift(1)) + df[f'{i}_ret1'] = np.log(df[i][1]/df[i].shift(1)[1]) #df[f'{i}_autocorr1'] = df[f'{i}_ret1'].corr(df[f'{i}_ret1'].shift(1)) for j in range(2, window, 2): #print((df[i]/df[i].shift(1)).head()) - df[f'{i}_ret{j}'] = np.log(df[i]/df[i].shift(j)) + df[f'{i}_ret{j}'] = np.log(df[i][1]/df[i].shift(j)[1]) df[f'{i}_mavg{j}'] = df[f'{i}_ret1'].rolling(j).mean() df[f'{i}_ewm{j}'] = df[f'{i}_ret1'].ewm(span=j).mean() #df[f'{i}_autocorr{j}'] = df[f'{i}_ret1'].corr(df[f'{i}_ret1'].shift(j)) @@ -28,7 +28,7 @@ def make_features(self, file_path, window, csv_path, make_y=True, verbose=True, df[f'{i}_vol{j}'] = df[f'{i}_ret1'].rolling(j).std() df[f'{i}_ewmvol{j}'] = df[f'{i}_ret1'].ewm(span=j).std() break - df['liq'] = df['close']*df['volume'] + df['liq'] = df['close'][1]*df['volume'][1] df['liq_ret1'] = df['liq']/df['liq'].shift(1) #df['liq_autocorr1'] = df['liq'].corr(df['liq'].shift(1)) for j in range(2, window, 2):