How to not search feature correlation with all y target? about tuneta HOT 2 OPEN

I am assume what you are looking for is a way to include a mask on "0"s after the indicators have been calculated and only use dcor on the -1, 1 values?

Yes, exactly. If doing so, I think this tool would give more practicality to algo trading, which is really good.

I am thinking that you may want to include a fit parameter such as "mask" that is the same size as y that could be used to filter the observations prior to dcor.

That sounds like a feasible work. And you can make the mask input default to all 0 so it wouldn't affect the original usage.

Happy to see you thought that this is not a bad idea. I'll look foward to this feature coming online :)

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Hi @wanga10000 ,

I am not sure I completely follow your example. It looks like the "activated" points are third and seventh day which are win and lose (1, -1). But you said,

tool found only correlated to "activated" points instead of win or lose.

I think I would have tried the same thing as you with your target y being as you described. However, as I think you pointed out, there are indicators that are highly correlated by virtue of being close to 0 which is most of your data points. So, I am assume what you are looking for is a way to include a mask on "0"s after the indicators have been calculated and only use dcor on the -1, 1 values?

That does sound like a good feature if I understand correctly. However, at the moment I am not sure I can get to it soon as I am very busy on another project. Perhaps if you could describe how you would architect the solution. I am thinking that you may want to include a fit parameter such as "mask" that is the same size as y that could be used to filter the observations prior to dcor.

Also happy to merge a PR if you would like to implement yourself.

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