get_bins: get_bins

In MislavSag/mlfinance: Machine learning in finance

Description

Advances in Financial Machine Learning, Snippet 3.7, page 51. Labeling for Side & Size with Meta Labels

Usage

get_bins(triple_barrier_events, price)

Arguments

triple_barrier_events	data.table or data.frame from get_events function
price	xts or data.table with index and price columns

Value

Events -events Datetime is event's start time -events ret is event's target -events trgt is event's target -events bin label; bin in (-1,1) or bin in (0,1)if metalabel

Examples

data("spy")
close <- subset(spy, select = c("index", "close"))
daily_vol <- daily_volatility(close)
cusum_events <- cusum_filter(close, 0.001)
vertical_barriers <- add_vertical_barrier(cusum_events, spy$index, num_days = 1)
events <- get_events(price = close,
                     t_events = cusum_events,
                     pt_sl = c(1, 2),
                     target = daily_vol,
                     min_ret = 0.005,
                     vertical_barrier_times=vertical_barriers,
                     side_prediction=NA)
labels <- get_bins(events, close)

MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.