Get holiday features from a time-series index
Get holiday features from a time-series index
tk_get_holiday_signature(
idx,
holiday_pattern = ".",
locale_set = c("all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH",
"DE"),
exchange_set = c("all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH")
)
tk_get_holidays_by_year(years = year(today()))idx |
A time-series index that is a vector of dates or datetimes. |
holiday_pattern |
A regular expression pattern to search the "Holiday Set". |
locale_set |
Return binary holidays based on locale. One of: "all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH", "DE". |
exchange_set |
Return binary holidays based on Stock Exchange Calendars. One of: "all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH". |
years |
One or more years to collect holidays for. |
Feature engineering holidays can help identify critical patterns for
machine learning algorithms. tk_get_holiday_signature() helps by providing
feature sets for 3 types of features:
1. Individual Holidays
These are single holiday features that can be filtered using a pattern. This helps in identifying which holidays are important to a machine learning model. This can be useful for example in e-commerce initiatives (e.g. sales during Christmas and Thanskgiving).
2. Locale-Based Summary Sets
Locale-based holdiay sets are useful for e-commerce initiatives (e.g. sales during Christmas and Thanskgiving). Filter on a locale to identify all holidays in that locale.
3. Stock Exchange Calendar Summary Sets
Exchange-based holdiay sets are useful for identifying non-working days. Filter on an index to identify all holidays that are commonly non-working.
Returns a tibble object describing the timeseries holidays.
tk_augment_holiday_signature() - A quick way to add holiday features to a data.frame
step_holiday_signature() - Preprocessing and feature engineering steps for use with recipes
library(tidyverse)
library(tidyquant)
library(timetk)
# Works with time-based tibbles
idx <- tk_make_timeseries("2017-01-01", "2017-12-31", by = "day")
# --- BASIC USAGE ----
tk_get_holiday_signature(idx)
# ---- FILTERING WITH PATTERNS & SETS ----
# List available holidays - see patterns
tk_get_holidays_by_year(2020) %>%
filter(holiday_name %>% str_detect("US_"))
# Filter using holiday patterns
# - Get New Years, Christmas and Thanksgiving Features in US
tk_get_holiday_signature(
idx,
holiday_pattern = "(US_NewYears)|(US_Christmas)|(US_Thanks)",
locale_set = "none",
exchange_set = "none")
# ---- APPLYING FILTERS ----
# Filter with locale sets - Signals all holidays in a locale
tk_get_holiday_signature(
idx,
holiday_pattern = "$^", # Matches nothing on purpose
locale_set = "US",
exchange_set = "none")
# Filter with exchange sets - Signals Common Non-Business Days
tk_get_holiday_signature(
idx,
holiday_pattern = "$^", # Matches nothing on purpose
locale_set = "none",
exchange_set = "NYSE")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.