Denny Joseph quant-views
quant-views
/ Imbalance-bars-FINAL.py
Created
March 30, 2022 07:32
Imbalance bars implementation based on the book Advances in Financial Machine Learning by Marcos Lopez de Prado
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| def delta(df): | |
| a = np.diff(df['Price']) | |
| a = np.insert(a, 0, 0) | |
| df['Delta'] = a | |
| return df | |
| def labelling(df): | |
| b = np.ones(len(df['Price'])) | |
| for i, delta in enumerate(df['Delta']): | |
| if i > 0: |