FeatureTransform

Defined in fynance.core

class FeatureTransform(*args, **kwargs)

Bases: Protocol

A stateful or stateless feature transformation.

fit records only past-derivable parameters (e.g. train-slice mean and std); transform must be causal (output at t uses inputs up to t only).

fit(X)

Fit any parameters and return self.

transform(X)

Return the transformed array.