Pandas-15.window函数
以如下代码作为测试基础：
代码语言：javascript复制df = pd.DataFrame(np.random.randn(10, 4), index = pd.date_range('1/1/2020', periods=10),columns=["A", "B", "C","D"])
'''
A B C D
2020-01-01 1.423760 -0.901543 0.302208 -0.066452
2020-01-02 1.358759 -0.286062 -0.667683 0.957295
2020-01-03 1.680685 -1.200288 -1.027512 1.107693
2020-01-04 0.530800 0.744215 -0.371192 -0.424567
2020-01-05 0.774829 1.247949 -1.720958 1.374363
2020-01-06 -1.205282 0.170897 1.127205 -1.709388
2020-01-07 -0.418933 -2.237936 -0.102924 -0.251697
2020-01-08 -1.228783 1.438976 0.797958 2.991456
2020-01-09 0.894173 -2.297820 -0.808664 0.789931
2020-01-10 -0.077157 -0.905713 0.064675 0.782972
'''.rolling()函数
- 滚动统计，指定周期
- 指定window=n参数（必选）
- 之后加上统计函数
指定周期求平均值：
代码语言：javascript复制print(df.rolling(window=5).mean())
'''
A B C D
2020-01-01 NaN NaN NaN NaN
2020-01-02 NaN NaN NaN NaN
2020-01-03 NaN NaN NaN NaN
2020-01-04 NaN NaN NaN NaN
2020-01-05 1.153767 -0.079146 -0.697027 0.589666
2020-01-06 0.627958 0.135342 -0.532028 0.261079
2020-01-07 0.272420 -0.255033 -0.419076 0.019281
2020-01-08 -0.309474 0.272820 -0.053982 0.396033
2020-01-09 -0.236799 -0.335587 -0.141477 0.638933
2020-01-10 -0.407197 -0.766319 0.215650 0.520655
'''.expanding()函数
- 扩展统计，累计计算
- 指定参数min_periods=n（可选）
从第五项开始累加求和
代码语言：javascript复制print(df.expanding(min_periods=5).sum())
'''
A B C D
2020-01-01 NaN NaN NaN NaN
2020-01-02 NaN NaN NaN NaN
2020-01-03 NaN NaN NaN NaN
2020-01-04 NaN NaN NaN NaN
2020-01-05 5.768834 -0.395729 -3.485137 2.948331
2020-01-06 4.563552 -0.224832 -2.357932 1.238943
2020-01-07 4.144619 -2.462768 -2.460856 0.987247
2020-01-08 2.915836 -1.023792 -1.662898 3.978702
2020-01-09 3.810008 -3.321612 -2.471562 4.768633
2020-01-10 3.732851 -4.227325 -2.406888 5.551605
'''.ewm()
- 指数加权滑动
- 一般用于移动平均
- 指定参数：
- com： Center of mass ，c = (s - 1) / 2
- span：所谓的“N天移动平均”
- Half-life：指数权重减少一般的时间周期
- Alpha：直接指定平滑因子
以下代码计算移动平均
代码语言：javascript复制print (df.ewm(com=0.5).mean())
'''
A B C D
2020-01-01 1.423760 -0.901543 0.302208 -0.066452
2020-01-02 1.375009 -0.439932 -0.425210 0.701358
2020-01-03 1.586631 -0.966333 -0.842188 0.982667
2020-01-04 0.873945 0.188287 -0.524266 0.032784
2020-01-05 0.807595 0.897647 -1.325358 0.930866
2020-01-06 -0.536166 0.412481 0.311930 -0.831721
2020-01-07 -0.457975 -1.355272 0.035234 -0.444861
2020-01-08 -0.971926 0.507844 0.543794 1.846366
2020-01-09 0.272203 -1.362694 -0.357890 1.142040
2020-01-10 0.039292 -1.058035 -0.076176 0.902657
'''
