margot.data.features.finance¶
-
class
margot.data.features.finance.
SimpleReturns
(column: str, *args, **kwargs)¶ Simple returns are the percent change from yesterdays close to today’s close.
Internal implementation:
return series.pct_change().fillna(0)
- Parameters
column (str) – The name of a price time series.
-
class
margot.data.features.finance.
LogReturns
(column: str, *args, **kwargs)¶ Log returns can be summed over time.
Internal implementation:
return np.log(1 + series.pct_change().fillna(0))
- Parameters
column (str) – The name of the price time series.
-
class
margot.data.features.finance.
RealisedVolatility
(column: str, *args, **kwargs)¶ Realised volatility measures the variability of returns over a lookback window.
Internal implementation:
return series.rolling(window).std() * np.sqrt(252)
- Parameters
column (str) – The name of a returns time series.
window (int) – Lookback window in trading days.
- Raises
AttributeError – A lookback window is required.
-
class
margot.data.features.finance.
SimpleMovingAverage
(column: str, *args, **kwargs)¶ Simple moving average of lookback window.
Internal implementation:
return series.rolling(window).mean()
- Parameters
column (str) – The name of a returns time series.
window (int) – Lookback window in trading days.
-
class
margot.data.features.finance.
UpperBollingerBand
(column: str, *args, **kwargs)¶ Upper bollinger band with window and standard deviation.
Internal implementation:
return series.rolling(window).mean() + series.rolling(self.window).mean().std() * self.width
- Parameters
column (str) – The name of a returns time series.
window (int) – lookback in trading days. Defaults to 20
width (float) – width in standard deviations. Defaults to 2.0
-
class
margot.data.features.finance.
LowerBollingerBand
(column: str, *args, **kwargs)¶ Lower bollinger band of window and standard deviation.
Internal implementation:
return series.rolling(window).mean() - series.rolling(self.window).mean().std() * self.width
- Parameters
column (str) – The name of a returns time series.
window (int) – lookback in trading days. Defaults to 20
width (float) – width in standard deviations. Defaults to 2.0