sklearn_knn.py 文件源码

def addDailyReturn(dataset):
    """
    Adding in daily return to create binary classifiers (Up or Down in relation to the previous day)
    """

    #will normalize labels
    le = preprocessing.LabelEncoder()

    dataset['UpDown'] = -(dataset['Adj_Close']-dataset['Adj_Close'].shift(-1))/dataset['Adj_Close'].shift(-1)
    print dataset['UpDown'][:5]
    # will be denoted by 2 when transformed
    dataset.UpDown[dataset.UpDown >= 0] = "up"
    # will be denoted by 1 when transformed 
    dataset.UpDown[dataset.UpDown < 0] = "down"
    print dataset['UpDown'] 
    dataset.UpDown = le.fit(dataset.UpDown).transform(dataset.UpDown)
#   print dataset['UpDown'][:5]