labels_3.py

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