labels_3.py

def addVerticalBarrier(tEvents, close, numDays=1):
    """
    :param t_events: (series) series of events (symmetric CUSUM filter)
    :param close: (series) close prices
    :param numDays: (int) maximum number of days a trade can be active
     :return: (series) timestamps of vertical barriers
    """
    t1=close.index.searchsorted(tEvents+pd.Timedelta(days=numDays))
    t1=t1[t1<close.shape[0]]
    t1=(pd.Series(close.index[t1],index=tEvents[:t1.shape[0]]))
    return t1