regime_features

Defined in fynance.features.regime

regime_features(X, w=21, period=252)

Build the causal regime feature matrix: trailing vol and mean return.

Both columns use trailing windows (past only), so the matrix is causal — the value at t depends on X[:t+1] only.

Parameters:

Xnp.ndarray

One-dimensional price/level series.

wint

Rolling window.

periodint

Annualization factor for the volatility column.

Returns:

np.ndarray

Shape (len(X), 2) — [realized_volatility, rolling_mean_log_return].