labels_1.py

def get_daily_vol(close, lookback=100):
    """
    :param close: (data frame) Closing prices
    :param lookback: (int) lookback period to compute volatility
    :return: (series) of daily volatility value
    """
    print('Calculating daily volatility for dynamic thresholds')
    
    df0 = close.index.searchsorted(close.index - pd.Timedelta(days=1))
    df0 = df0[df0 > 0]
    df0 = (pd.Series(close.index[df0 - 1], index=close.index[close.shape[0] - df0.shape[0]:]))
        
    df0 = close.loc[df0.index] / close.loc[df0.values].values - 1  # daily returns
    df0 = df0.ewm(span=lookback).std()
    return df0