u_roll now works properly after fixes of indexing and resetting.

Suchismit4 · Jan 8, 2025 · d6e39c0 · d6e39c0
1 parent 3a78db5
commit d6e39c0
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Showing 5 changed files with 8 additions and 8 deletions.
diff --git a/apple_tsla_ema.png b/apple_tsla_ema.png
diff --git a/example_rolling.py b/example_rolling.py
@@ -22,7 +22,7 @@ def main():
         "config": {
             "provider": "yfinance",
             "symbols": ["AAPL", "TSLA"],
-            "start_date": "2024-01-01",
+            "start_date": "2015-01-01",
             "end_date": "2024-12-31",
         }
     }])
@@ -73,7 +73,7 @@ def ema(i: int, carry, block: jnp.ndarray, window_size: int):
     dataset = datasets["openbb/equity/price/historical"]
 
     # Rolling-EMA of "close" over a 200-day window
-    ema_dataset = dataset.dt.rolling(dim='time', window=60).reduce(ema)
+    ema_dataset = dataset.dt.rolling(dim='time', window=252).reduce(ema)
 
     # Convert to time-indexed form for plotting
     # -- Original closing prices --
@@ -101,9 +101,9 @@ def ema(i: int, carry, block: jnp.ndarray, window_size: int):
         x="time", ax=ax1, label="AAPL Close", color="blue", linestyle="-"
     )
     apple_close_ema.plot.line(
-        x="time", ax=ax1, label="AAPL EMA(10)", color="blue", linestyle="--"
+        x="time", ax=ax1, label="AAPL EMA", color="blue", linestyle="--"
     )
-    ax1.set_title("Apple (AAPL) Closing Prices vs. EMA(10)")
+    ax1.set_title("Apple (AAPL) Closing Prices vs. EMA")
     ax1.set_xlabel("Time")
     ax1.set_ylabel("Price (USD)")
     ax1.legend()
@@ -113,9 +113,9 @@ def ema(i: int, carry, block: jnp.ndarray, window_size: int):
         x="time", ax=ax2, label="TSLA Close", color="red", linestyle="-"
     )
     tsla_close_ema.plot.line(
-        x="time", ax=ax2, label="TSLA EMA(10)", color="red", linestyle="--"
+        x="time", ax=ax2, label="TSLA EMA", color="red", linestyle="--"
     )
-    ax2.set_title("Tesla (TSLA) Closing Prices vs. EMA(10)")
+    ax2.set_title("Tesla (TSLA) Closing Prices vs. EMA")
     ax2.set_xlabel("Time")
     ax2.set_ylabel("Price (USD)")
     ax2.legend()

diff --git a/src/data/__pycache__/processors_registry.cpython-312.pyc b/src/data/__pycache__/processors_registry.cpython-312.pyc
diff --git a/src/data/core/__pycache__/util.cpython-312.pyc b/src/data/core/__pycache__/util.cpython-312.pyc
diff --git a/src/data/core/util.py b/src/data/core/util.py
@@ -362,7 +362,7 @@ def __init__(self,
         self.window = window
 
         self.mask = mask
-        self.indices = indices.astype(jnp.int32)
+        self.indices = jnp.where(indices == -1, 0, indices).astype(jnp.int32)
 
     @eqx.filter_jit
     def reduce(
@@ -461,7 +461,7 @@ def reduce(
 
                 # Remove the extra dimension added earlier
                 rolled_full = rolled_full[..., 0]  # Shape: (T_full, assets, 1)
-                jax.debug.breakpoint()
+                # jax.debug.breakpoint()
 
                 # Reconstruct the DataArray with rolled data
                 rolled_da = stacked_obj.copy(data=rolled_full)