INNER CODE UNIT · Python
train_set
dmarienko/QuantTradingResearch · models/helpers.py:78
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)
yn_h = pd.Series(yn_h, index=xn.index) if isinstance(yn_h, np.ndarray) else yn_h
xt, yt = self.test_set(mode=on)
yt_h = m.predict(xt, y=yt, **kwargs) if isinstance(m, Model) else m.predict(xt, **kwargs)
yt_h = pd.Series(yt_h, index=xt.index) if isinstance(yt_h, np.ndarray) else yt_h
return mstruct(
model=m,