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https://github.com/pandas-dev/pandas/issues/53235
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,254 @@ | ||
| { | ||
| "cells": [ | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 101, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "import pandas as pd\n", | ||
| "import numpy as np\n", | ||
| "\n", | ||
| "\n", | ||
| "df_time = pd.DataFrame({'B': [0, 1, 2, 2, 4]},\n", | ||
| " index=[pd.Timestamp('20130101 09:00:00'),\n", | ||
| " pd.Timestamp('20130101 09:00:02'),\n", | ||
| " pd.Timestamp('20130101 09:00:03'),\n", | ||
| " pd.Timestamp('20130101 09:00:05'),\n", | ||
| " pd.Timestamp('20130101 09:00:06')])" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 102, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "df_time = df_time.reset_index()" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 103, | ||
| "metadata": {}, | ||
| "outputs": [ | ||
| { | ||
| "data": { | ||
| "text/html": [ | ||
| "<div>\n", | ||
| "<style scoped>\n", | ||
| " .dataframe tbody tr th:only-of-type {\n", | ||
| " vertical-align: middle;\n", | ||
| " }\n", | ||
| "\n", | ||
| " .dataframe tbody tr th {\n", | ||
| " vertical-align: top;\n", | ||
| " }\n", | ||
| "\n", | ||
| " .dataframe thead th {\n", | ||
| " text-align: right;\n", | ||
| " }\n", | ||
| "</style>\n", | ||
| "<table border=\"1\" class=\"dataframe\">\n", | ||
| " <thead>\n", | ||
| " <tr style=\"text-align: right;\">\n", | ||
| " <th></th>\n", | ||
| " <th>index</th>\n", | ||
| " <th>B</th>\n", | ||
| " <th>C</th>\n", | ||
| " </tr>\n", | ||
| " </thead>\n", | ||
| " <tbody>\n", | ||
| " <tr>\n", | ||
| " <th>0</th>\n", | ||
| " <td>2013-01-01 09:00:00</td>\n", | ||
| " <td>0</td>\n", | ||
| " <td>0</td>\n", | ||
| " </tr>\n", | ||
| " <tr>\n", | ||
| " <th>1</th>\n", | ||
| " <td>2013-01-01 09:00:02</td>\n", | ||
| " <td>1</td>\n", | ||
| " <td>1</td>\n", | ||
| " </tr>\n", | ||
| " <tr>\n", | ||
| " <th>2</th>\n", | ||
| " <td>2013-01-01 09:00:03</td>\n", | ||
| " <td>2</td>\n", | ||
| " <td>4</td>\n", | ||
| " </tr>\n", | ||
| " <tr>\n", | ||
| " <th>3</th>\n", | ||
| " <td>2013-01-01 09:00:05</td>\n", | ||
| " <td>2</td>\n", | ||
| " <td>4</td>\n", | ||
| " </tr>\n", | ||
| " <tr>\n", | ||
| " <th>4</th>\n", | ||
| " <td>2013-01-01 09:00:06</td>\n", | ||
| " <td>4</td>\n", | ||
| " <td>16</td>\n", | ||
| " </tr>\n", | ||
| " </tbody>\n", | ||
| "</table>\n", | ||
| "</div>" | ||
| ], | ||
| "text/plain": [ | ||
| " index B C\n", | ||
| "0 2013-01-01 09:00:00 0 0\n", | ||
| "1 2013-01-01 09:00:02 1 1\n", | ||
| "2 2013-01-01 09:00:03 2 4\n", | ||
| "3 2013-01-01 09:00:05 2 4\n", | ||
| "4 2013-01-01 09:00:06 4 16" | ||
| ] | ||
| }, | ||
| "execution_count": 103, | ||
| "metadata": {}, | ||
| "output_type": "execute_result" | ||
| } | ||
| ], | ||
| "source": [ | ||
| "df_time['C'] = df_time['B'] ** 2\n", | ||
| "df_time" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 104, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "def rolling(window_df, df):\n", | ||
| " data = df.loc[window_df.index]\n", | ||
| " if data['C'].iloc[1] == data['C'].iloc[0]:\n", | ||
| " return 1000\n", | ||
| " return data['C'].sum()" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 105, | ||
| "metadata": {}, | ||
| "outputs": [ | ||
| { | ||
| "data": { | ||
| "text/plain": [ | ||
| "0 NaN\n", | ||
| "1 1.0\n", | ||
| "2 5.0\n", | ||
| "3 1000.0\n", | ||
| "4 20.0\n", | ||
| "Name: B, dtype: float64" | ||
| ] | ||
| }, | ||
| "execution_count": 105, | ||
| "metadata": {}, | ||
| "output_type": "execute_result" | ||
| } | ||
| ], | ||
| "source": [ | ||
| "df_time['B'].rolling(window=2).apply(rolling, args=(df_time,))" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 106, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "rolled = df_time.rolling(window=2)" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 116, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "index = []\n", | ||
| "values = []\n", | ||
| "for r in rolled:\n", | ||
| " index.append(r.index[-1])\n", | ||
| " if len(r) < 2:\n", | ||
| " values.append(np.nan)\n", | ||
| " else:\n", | ||
| " if r['B'].is_unique:\n", | ||
| " # 各不相同\n", | ||
| " # 计算收益率\n", | ||
| " values.append(1000)\n", | ||
| " else:\n", | ||
| " values.append(0)" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 117, | ||
| "metadata": {}, | ||
| "outputs": [ | ||
| { | ||
| "data": { | ||
| "text/plain": [ | ||
| "([0, 1, 2, 3, 4], [nan, 1000, 1000, 0, 1000])" | ||
| ] | ||
| }, | ||
| "execution_count": 117, | ||
| "metadata": {}, | ||
| "output_type": "execute_result" | ||
| } | ||
| ], | ||
| "source": [ | ||
| "index, values" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": 119, | ||
| "metadata": {}, | ||
| "outputs": [ | ||
| { | ||
| "data": { | ||
| "text/plain": [ | ||
| "3 2\n", | ||
| "4 4\n", | ||
| "Name: B, dtype: int64" | ||
| ] | ||
| }, | ||
| "execution_count": 119, | ||
| "metadata": {}, | ||
| "output_type": "execute_result" | ||
| } | ||
| ], | ||
| "source": [ | ||
| "r['B']" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": null, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [] | ||
| } | ||
| ], | ||
| "metadata": { | ||
| "kernelspec": { | ||
| "display_name": "Python 3", | ||
| "language": "python", | ||
| "name": "python3" | ||
| }, | ||
| "language_info": { | ||
| "codemirror_mode": { | ||
| "name": "ipython", | ||
| "version": 3 | ||
| }, | ||
| "file_extension": ".py", | ||
| "mimetype": "text/x-python", | ||
| "name": "python", | ||
| "nbconvert_exporter": "python", | ||
| "pygments_lexer": "ipython3", | ||
| "version": "3.11.1" | ||
| } | ||
| }, | ||
| "nbformat": 4, | ||
| "nbformat_minor": 2 | ||
| } |