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803 def cum_sum(self, data_frame): 804 """Calculates the cumulative sum 805 806 Parameters 807 ---------- 808 data_frame : DataFrame 809 contains time series 810 811 Returns 812 ------- 813 DataFrame 814 """ 815 return data_frame.cumsum()
13 def cumsum_filter(values: pd.Series, thresholds: pd.Series, parallel=True): 14 """ 15 cumsum filter based on Advances in Financial Machine Learning book by Marcos Lopez de Prado 16 :param values: series of values to apply the cumsum filter over 17 :param thresholds: series of thresholds for the values of the cumsum filter 18 :param parallel: run in multiprocessing mode for multiindex dataframes 19 :return events 20 """ 21 if values.index.equals(thresholds.index) is False: 22 raise ValueError('values and thresholds have different index') 23 24 df = pd.concat([values.rename('value'), thresholds.rename('threshold')], axis=1) 25 26 if isinstance(df.index, pd.MultiIndex): 27 grpby = df.groupby(level='symbol', group_keys=False, sort=False) 28 if parallel: 29 with Pool(cpu_count()) as p: 30 ret_list = p.map(_cumsum_filter, [group for name, group in grpby]) 31 32 return pd.concat(ret_list).index 33 else: 34 return grpby.apply(_cumsum_filter).index 35 else: 36 return _cumsum_filter(df).index
373 def cumsum(a, endpoint=False): 374 """As numpy.cumsum for a 1d array a, but starts from 0. If endpoint is True, the result 375 will have one more element than the input, and the last element will be the sum of the 376 array. Otherwise (the default), it will have the same length as the array, and the last 377 element will be the sum of the first n-1 elements.""" 378 res = np.concatenate([[0],np.cumsum(a)]) 379 return res if endpoint else res[:-1]
234 def cumsum_n(x, n): 235 for _ in range(n): 236 x = np.cumsum(x) 237 238 return x