如何在Pandas DataFrame上计算滚动累积产品 [英] How to calculate rolling cumulative product on Pandas DataFrame

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)

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