INNER CODE UNIT · Python
get_data
dmarienko/QuantTradingResearch · models/helpers.py:70
def get_data(self, mode='prices', where='all data'):
x, y = (self.X_price, self.Y_price) if mode.startswith('price') else (self.X_ret, self.Y_ret)
if where.startswith('train'):
x, y = x[:self.train_date], y[:self.train_date]
elif where.startswith('test'):
x, y = x[self.train_date:], y[self.train_date:]
return (x[self.selection], y) if self.selection is not None else (x, y)
def train_set(self, mode='prices'):
return self.get_data(mode, 'train')
def test_set(self, mode='prices'):
return self.get_data(mode, 'test')
def estimate(self, tracker: Model, on='prices', **kwargs):
xn, yn = self.train_set(mode=on)
m = tracker.fit(xn, yn)
yn_h = m.predict(xn, y=yn, **kwargs) if isinstance(m, Model) else m.predict(xn, **kwargs)