如何在 Pandas DataFrame 上计算滚动累积乘积

问题描述

我在 pandas DataFrame 中有一个时间序列的回报、滚动 beta 和滚动 alpha.如何计算 DataFrame 的 alpha 列的滚动年化 alpha?(我想做相当于=PRODUCT(1+[trailing 12 months])-1 in excel)

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 pandas 中没有为此内置滚动"功能，但我希望有人可以提供一个功能，然后我可以使用 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.

提前感谢您提供的任何帮助.

Thanks in advance for any help you have to offer.

推荐答案

这样可以吗?

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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