RollingWindowsEstimator

class qf_lib.common.utils.factorization.data_models.rolling_window_estimation.RollingWindowsEstimator

Bases: object

Class for estimating parameters of rolling windows.

Methods

estimate_rolling_window_size(container, …)	Estimates the size of the rolling window based on the number of samples.
estimate_rolling_window_step(container, …)	Estimates the step of the rolling window based on the number of samples.

classmethod estimate_rolling_window_size(container: Union[qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, qf_lib.containers.series.qf_series.QFSeries]) → int

Estimates the size of the rolling window based on the number of samples.

Parameters

container – container with data analysed using rolling window

Returns

the calculated size of the rolling window

Return type

window_size

classmethod estimate_rolling_window_step(container: Union[qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, qf_lib.containers.series.qf_series.QFSeries]) → int

Estimates the step of the rolling window based on the number of samples.

Parameters

container – container with data analysed using rolling window

Returns

the calculated step (shift) of the rolling window

Return type

window_step