When I pull stock data into a dataframe from Yahoo, I want to be able to calculate the 5 day average of volume, excluding the current date.
Is there a way to use rolling mean with an offset? For example, a 5 day mean that excludes current day and is based on the prior 5 days.
When I run the following code
r = DataReader("BBRY", "yahoo", '2015-01-01','2015-01-31')
r['ADV']=pd.rolling_mean(r['Volume'], window=5)
It returns the 5 day volume, inclusive of the current date, so when you look at the below, 1/8 has average volume from 1/2,1/5,1/6,1/7, and 1/8. I would want 1/9 to be the first date that returns average volume and it to contain data from 1/2,1/5,1/6,1/7, and 1/8.
Date Open High Low Close Volume Adj Close Symbol ADV
1/2/2015 11.01 11.11 10.79 10.82 9733200 10.82 BBRY NaN
1/5/2015 10.60 10.77 10.37 10.76 12318100 10.76 BBRY NaN
1/6/2015 10.80 10.85 10.44 10.62 10176400 10.62 BBRY NaN
1/7/2015 10.65 10.80 10.48 10.67 10277400 10.67 BBRY NaN
1/8/2015 10.75 10.78 10.57 10.63 6868300 10.63 BBRY 9,874,680.00
1/9/2015 10.59 10.65 10.28 10.38 7745600 10.38 BBRY 9,477,160.00
You can shift
the rows to achieve what you want:
In [44]:
r['ADV'] = pd.rolling_mean(r['Volume'].shift(), window=5)
r
Out[44]:
Open High Low Close Volume Adj Close ADV
Date
2015-01-02 11.01 11.11 10.79 10.82 9733200 10.82 NaN
2015-01-05 10.60 10.77 10.37 10.76 12318100 10.76 NaN
2015-01-06 10.80 10.85 10.44 10.62 10176400 10.62 NaN
2015-01-07 10.65 10.80 10.48 10.67 10277400 10.67 NaN
2015-01-08 10.75 10.78 10.57 10.63 6868300 10.63 NaN
2015-01-09 10.59 10.65 10.28 10.38 7745600 10.38 9874680
2015-01-12 10.36 10.37 10.02 10.12 7739600 10.12 9477160
2015-01-13 10.05 10.23 9.68 9.71 15292900 9.71 8561460
2015-01-14 9.61 12.63 9.32 12.60 83543900 12.60 9584760
2015-01-15 10.36 10.71 10.01 10.11 52574600 10.11 24238060
2015-01-16 10.12 10.39 10.11 10.24 16068900 10.24 33379320
2015-01-20 10.28 10.37 9.82 10.03 15185900 10.03 35043980
2015-01-21 10.03 10.38 9.81 9.93 19614500 9.93 36533240
2015-01-22 10.44 11.11 10.24 10.51 44594300 10.51 37397560
2015-01-23 10.78 11.03 10.61 10.71 21079800 10.71 29607640
2015-01-26 10.67 10.71 10.40 10.52 6982000 10.52 23308680
2015-01-27 10.38 10.63 10.32 10.56 7057200 10.56 21491300
2015-01-28 10.65 10.67 10.10 10.12 9705000 10.12 19865560
2015-01-29 10.05 10.27 9.85 10.25 12304700 10.25 17883660
2015-01-30 10.15 10.26 10.00 10.15 9203400 10.15 11425740
在最新版本的pandas(> 0.18.0)中,语法将更改为:
df['Volume'].rolling(window=5).mean().shift(1)
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