frozen mlfinlab.util.volatility

[urrx101]

I encountered a couple of frozen module warning.
Earlier today, it was from from mlfinlab.ensemble.sb_bagging import SequentiallyBootstrappedBaggingClassifier
Most recently, from get_daily_vol function. It worked perfectly a couple of weeks ago.

Below is the error.
I also attached a screenshot.

TypeError Traceback (most recent call last)
Cell In[4], line 2
1 # Filter events using the CUSUM filter
----> 2 daily_vol = get_daily_vol(close = data["Close"], lookback = 50)
3 cusum_events = cusum_filter(data["Close"], threshold = daily_vol.mean() * 0.5)
5 # Do triple-barrier labelling

File :41, in get_daily_vol(close, lookback)

File c:\Users\Charles\miniconda3\envs\mlfinlab\Lib\site-packages\pandas\core\ops\common.py:81, in _unpack_zerodim_and_defer..new_method(self, other)
77 return NotImplemented
79 other = item_from_zerodim(other)
---> 81 return method(self, other)

File c:\Users\Charles\miniconda3\envs\mlfinlab\Lib\site-packages\pandas\core\arraylike.py:194, in OpsMixin.sub(self, other)
192 @unpack_zerodim_and_defer("sub")
193 def sub(self, other):
--> 194 return self._arith_method(other, operator.sub)

File c:\Users\Charles\miniconda3\envs\mlfinlab\Lib\site-packages\pandas\core\indexes\range.py:979, in RangeIndex._arith_method(self, other, op)
975 return NotImplemented
976 elif isinstance(other, (timedelta, np.timedelta64)):
977 # GH#19333 is_integer evaluated True on timedelta64,
978 # so we need to catch these explicitly
--> 979 return super()._arith_method(other, op)
980 elif is_timedelta64_dtype(other):
981 # Must be an np.ndarray; GH#22390
982 return super()._arith_method(other, op)

File c:\Users\Charles\miniconda3\envs\mlfinlab\Lib\site-packages\pandas\core\indexes\base.py:6814, in Index._arith_method(self, other, op)
6804 if (
6805 isinstance(other, Index)
6806 and is_object_dtype(other.dtype)
(...)
6810 # a chance to implement ops before we unwrap them.
6811 # See pandas-dev/pandas#31109
6812 return NotImplemented
-> 6814 return super()._arith_method(other, op)

File c:\Users\Charles\miniconda3\envs\mlfinlab\Lib\site-packages\pandas\core\base.py:1348, in IndexOpsMixin._arith_method(self, other, op)
1345 rvalues = ensure_wrapped_if_datetimelike(rvalues)
1347 with np.errstate(all="ignore"):
-> 1348 result = ops.arithmetic_op(lvalues, rvalues, op)
1350 return self._construct_result(result, name=res_name)

File c:\Users\Charles\miniconda3\envs\mlfinlab\Lib\site-packages\pandas\core\ops\array_ops.py:217, in arithmetic_op(left, right, op)
204 # NB: We assume that extract_array and ensure_wrapped_if_datetimelike
205 # have already been called on left and right,
206 # and maybe_prepare_scalar_for_op has already been called on right
207 # We need to special-case datetime64/timedelta64 dtypes (e.g. because numpy
208 # casts integer dtypes to timedelta64 when operating with timedelta64 - GH#22390)
210 if (
211 should_extension_dispatch(left, right)
212 or isinstance(right, (Timedelta, BaseOffset, Timestamp))
(...)
215 # Timedelta/Timestamp and other custom scalars are included in the check
216 # because numexpr will fail on it, see GH#31457
--> 217 res_values = op(left, right)
218 else:
219 # TODO we should handle EAs consistently and move this check before the if/else
220 # (pandas-dev/pandas#41165)
221 _bool_arith_check(op, left, right)

TypeError: unsupported operand type(s) for -: 'numpy.ndarray' and 'Timedelta'