investmodel.py 文件源码

def get_X_y(self):
        """Builds an X, y feature/target pair from the data.

        :returns: a tuple of (feature matrix, labels)
        """

        # X
        X = np.array(self.data[self.features])
        X = scale(X)

        # y
        stock_change = np.array(self.data["stock_p_change"])
        sp500_change = np.array(self.data["sp500_p_change"])

        is_above_threshold = stock_change-sp500_change > self.threshold
        y = is_above_threshold.astype('i')

        return (X, y)