labels_3.py

close = data['close']

# determining daily volatility using the last 50 days
daily_vol = get_daily_vol(close=close, lookback=50)

# creating our event triggers using the CUSUM filter 
cusum_events = get_t_events(close, threshold=daily_vol.mean()*0.1)

# adding vertical barriers with a half day expiration window
vertical_barriers = add_vertical_barrier(t_events=cusum_events,
                                         close=close, num_days=0.5)

# determining timestamps of first touch   

pt_sl = [1, 2] # setting profit-take and stop-loss at 1% and 2%
min_ret = 0.0005 # setting a minimum return of 0.05%

triple_barrier_events = get_events(close=close,
                                  t_events=cusum_events,
                                  pt_sl=pt_sl,
                                  target=daily_vol,
                                  min_ret=min_ret,
                                  num_threads=2,
                                  vertical_barrier_times=vertical_barriers,
                                  side=data['side'])