Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Introduce an optional lag parameter in SetStat #403

Merged
merged 1 commit into from
Jun 28, 2024
Merged

Introduce an optional lag parameter in SetStat #403

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
12 changes: 10 additions & 2 deletions bt/algos.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -889,11 +889,14 @@ class SetStat(Algo):
* stat (str|DataFrame): A dataframe of the same dimension as target.universe
If a string is passed, frame is accessed using target.get_data
This is the preferred way of using the algo.
* lag (DateOffset): Lag interval. The stat used today is the one calculated
at today - lag
Sets:
* stat
"""

def __init__(self, stat):
def __init__(self, stat, lag=pd.DateOffset(days=0)):
self.lag = lag
if isinstance(stat, pd.DataFrame):
self.stat_name = None
self.stat = stat
Expand All @@ -906,7 +909,12 @@ def __call__(self, target):
stat = self.stat
else:
stat = target.get_data(self.stat_name)
target.temp["stat"] = stat.loc[target.now]

t0 = target.now - self.lag
if t0 not in stat.index:
return False

target.temp["stat"] = stat.loc[t0]
return True


Expand Down