如何在Pandas DataFrame上计算滚动累积产品

本文介绍了如何在Pandas DataFrame上计算滚动累积产品的处理方法，对大家解决问题具有一定的参考价值，需要的朋友们下面随着小编来一起学习吧！ 问题描述

我在熊猫DataFrame中有一个时间序列的收益，滚动beta和滚动alpha.如何计算DataFrame的Alpha列的滚动年度化Alpha? (我想在Excel中做= PRODUCT(1+ [trailing 12 months]]-1)

I have a time series of returns, rolling beta, and rolling alpha in a pandas DataFrame. How can I calculate a rolling annualized alpha for the alpha column of the DataFrame? (I want to do the equivalent to =PRODUCT(1+[trailing 12 months])-1 in excel)

SPX Index BBOEGEUS Index Beta Alpha 2006-07-31 0.005086 0.001910 1.177977 -0.004081 2006-08-31 0.021274 0.028854 1.167670 0.004012 2006-09-30 0.024566 0.009769 1.101618 -0.017293 2006-10-31 0.031508 0.030692 1.060355 -0.002717 2006-11-30 0.016467 0.031720 1.127585 0.013153

我很惊讶地发现熊猫没有为此内置滚动"功能，但是我希望有人可以提供一个功能，然后可以使用pd.rolling_apply将其应用于df ['Alpha']列

I was surprised to see that there was no "rolling" function built into pandas for this, but I was hoping somebody could help with a function that I can then apply to the df['Alpha'] column using pd.rolling_apply.

在此先感谢您提供的任何帮助.

Thanks in advance for any help you have to offer.

推荐答案

会这样做吗?

import pandas as pd import numpy as np # your DataFrame; df = ... pd.rolling_apply(df, 12, lambda x: np.prod(1 + x) - 1)