-
Notifications
You must be signed in to change notification settings - Fork 14
Open
Description
Write tests for the barrier conditions
barrier = 0.01
n_barriers = 4
barrier_method = BarrierMethod(returns=rets, n=n, barrier=barrier, n_barriers=n_barriers, center=True)
barriers_pre = barrier_method._check_barrier_crossing()
barriers = barrier_method._remove_double_barrier_crossings(barriers_pre)
labels = barrier_method._identify_barrier_hit(barriers)
vals = np.linspace(-n_barriers*barrier, n_barriers*barrier, 2*n_barriers+1)
pd.DataFrame({val: {k*barrier: v.evaluate(val) for k,v in barrier_method.conditions.items()} for val in vals}).astype(int).replace(0, "")
Reactions are currently unavailable
Metadata
Metadata
Assignees
Labels
No labels