mlfinlab
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MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.
**Describe the bug** MultiAssetPurgedKFold and MultiAssetCombinatorialPurgedKFold are throwing TypeError: '>=' not supported between instances of 'tuple' and 'str' when using a stacked multi-asset dataframe, the error doesn't occur if you...
Bumps [numpy](https://github.com/numpy/numpy) from 1.18.5 to 1.22.0. Release notes Sourced from numpy's releases. v1.22.0 NumPy 1.22.0 Release Notes NumPy 1.22.0 is a big release featuring the work of 153 contributors spread...
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Bumps [tensorflow](https://github.com/tensorflow/tensorflow) from 2.2.1 to 2.7.2. Release notes Sourced from tensorflow's releases. TensorFlow 2.7.2 Release 2.7.2 This releases introduces several vulnerability fixes: Fixes a code injection in saved_model_cli (CVE-2022-29216) Fixes...
Hi, thanks for the great work on this library. I am using the `util.get_daily_vol` function with a pandas series of close prices indexed by a pandas TimeStamp. The index contains...
**Describe the bug** PurgedKFold class creates folds such that events in the training set can overlap with events in the test set. In particular, such training events *end* during same...
Upon running `ml.data_structures.get_time_bars` on following tick data, returns unix timestamp with incorrect values ``` # mlfinlab version 1.5.0 df_tmp = pd.read_excel('temp_tick.xlsx') ml.data_structures.get_time_bars(df_tmp[['date_time', 'price', 'volume']], resolution='D', num_units=1, batch_size=1000000, verbose=False) ``` Tick...
**Describe the bug** 
**Describe the bug** The `mlfinlab.data_structures.get_time_bars(**kwargs)` is generating unix timestamp flavor for returned date_time column. **To Reproduce** ``` t0 = time.perf_counter() # 15 minutes chosen for legacy reasons df_time_bars = ml.data_structures.get_time_bars(df[['date_time',...
Hi, in your implementation of get_signal function (book snippet 10.1), you say : Note 1: In the book, this function contains a conditional statement checking for a column named 'side',...
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MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.