如何在每天的Pandas DataFrame列中获得滚动盈亏？
[英]How do I get a rolling profit and loss in a Pandas DataFrame column per day?
问题描述
概观
我回来测试交易策略，我希望能够根据策略表现逐日看到盈亏。
途径
我存储的股票数据的交易信号是“NoTrade”，“Win”和“Loss”。 NoTrade意味着没有采取交易，Win意味着交易，它是有利可图的，损失意味着交易，但是无利可图。 我写了一个循环来检查是否有信号。 如果有赢或输，那么我的账户余额会更新以反映收益或损失。
数据帧
WinLoss ProfitAndLossPofChg AccountBalance
D
2010-12-08 NoTrade 0.000000 2000.0
2010-12-09 NoTrade 0.000000 2000.0
2010-12-10 NoTrade 0.000000 2000.0
2010-12-13 NoTrade 0.000000 2000.0
2010-12-14 NoTrade 0.000000 2000.0
2010-12-15 Loss -0.030842 2000.0
2010-12-16 Win 0.000539 2000.0
2010-12-17 NoTrade 0.000000 2000.0
2010-12-20 NoTrade 0.000000 2000.0
2010-12-21 NoTrade 0.000000 2000.0
2010-12-22 Win 0.014686 2000.0
2010-12-23 NoTrade 0.000000 2000.0
2010-12-27 NoTrade 0.000000 2000.0
2010-12-28 Loss -0.006190 2000.0
2010-12-29 NoTrade 0.000000 2000.0
2010-12-30 NoTrade 0.000000 2000.0
2010-12-31 NoTrade 0.000000 2000.0
2011-01-03 Loss -0.055686 2000.0
2011-01-04 Loss -0.025471 2000.0
2011-01-05 Loss -0.051420 2000.0
2011-01-06 Loss -0.000299 2000.0
2011-01-07 NoTrade 0.000000 2000.0
2011-01-10 NoTrade 0.000000 2000.0
2011-01-11 Win 0.003719 2000.0
2011-01-12 NoTrade 0.000000 2000.0
2011-01-13 Loss -0.041218 2000.0
2011-01-14 Win 0.033365 2000.0
2011-01-18 Win 0.018628 2000.0
2011-01-19 NoTrade 0.000000 2000.0
2011-01-20 Loss -0.020820 2000.0
码
def ProfitAndLoss(DataFrame):
df = DataFrame
for i in df.WinLoss:
if i == "NoTrade":
df.AccountBalance = df.AccountBalance.shift(-1)
elif i == "Win":
df.AccountBalance = df.AccountBalance.shift(-1) * df.ProfitAndLossPofChg
elif i == "Loss":
df.AccountBalance = df.AccountBalance.shift(-1) * df.ProfitAndLossPofChg
产量
WinLoss ProfitAndLossPofChg AccountBalance
D
2010-12-08 NoTrade 0.000000 0.0
2010-12-09 NoTrade 0.000000 0.0
2010-12-10 NoTrade 0.000000 0.0
2010-12-13 NoTrade 0.000000 0.0
2010-12-14 NoTrade 0.000000 0.0
2010-12-15 Loss -0.030842 -0.0
2010-12-16 Win 0.000539 0.0
2010-12-17 NoTrade 0.000000 0.0
2010-12-20 NoTrade 0.000000 0.0
2010-12-21 NoTrade 0.000000 0.0
2010-12-22 Win 0.014686 0.0
2010-12-23 NoTrade 0.000000 0.0
2010-12-27 NoTrade 0.000000 0.0
2010-12-28 Loss -0.006190 -0.0
2010-12-29 NoTrade 0.000000 0.0
2010-12-30 NoTrade 0.000000 0.0
2010-12-31 NoTrade 0.000000 0.0
2011-01-03 Loss -0.055686 -0.0
2011-01-04 Loss -0.025471 -0.0
2011-01-05 Loss -0.051420 -0.0
2011-01-06 Loss -0.000299 -0.0
2011-01-07 NoTrade 0.000000 0.0
2011-01-10 NoTrade 0.000000 0.0
2011-01-11 Win 0.003719 0.0
2011-01-12 NoTrade 0.000000 0.0
2011-01-13 Loss -0.041218 -0.0
2011-01-14 Win 0.033365 0.0
2011-01-18 Win 0.018628 0.0
2011-01-19 NoTrade 0.000000 0.0
2011-01-20 Loss -0.020820 -0.0
问题
正如您所看到的，我的帐户余额全是零; 未显示滚动损益，起始账户余额为$ 2000.00。 在我的职能中，我认为如果没有交易，那么只需取得前一天的余额并使其达到今天的余额，或者如果是赢或输交易，则按照前一天的余额计算当前的收益或损失。 我认为这会显示出盈利和亏损，但我想我错了。 这是一个很长的说法，我不知道。
2 个解决方案
解决方案1
2 已采纳 2017-02-21 00:55:09
def ProfitAndLoss(df):
df = df.copy()
df = df.reset_index()
for index,row in df.iterrows():
if index == 0:
continue
if row['WinLoss'] == "NoTrade":
df['AccountBalance'][index] = df['AccountBalance'][index-1]
elif row['WinLoss'] in ["Win", "Loss"]:
df['AccountBalance'][index] = df['AccountBalance'][index-1] * (1 + df['ProfitAndLossPofChg'][index])
return df
print(ProfitAndLoss(df).set_index('D'))
输出：
WinLoss ProfitAndLossPofChg AccountBalance
D
2010-12-08 NoTrade 0.000000 2000.000000
2010-12-09 NoTrade 0.000000 2000.000000
2010-12-10 NoTrade 0.000000 2000.000000
2010-12-13 NoTrade 0.000000 2000.000000
2010-12-14 NoTrade 0.000000 2000.000000
2010-12-15 Loss -0.030842 1938.316000
2010-12-16 Win 0.000539 1939.360752
2010-12-17 NoTrade 0.000000 1939.360752
2010-12-20 NoTrade 0.000000 1939.360752
2010-12-21 NoTrade 0.000000 1939.360752
2010-12-22 Win 0.014686 1967.842204
2010-12-23 NoTrade 0.000000 1967.842204
2010-12-27 NoTrade 0.000000 1967.842204
2010-12-28 Loss -0.006190 1955.661261
2010-12-29 NoTrade 0.000000 1955.661261
2010-12-30 NoTrade 0.000000 1955.661261
2010-12-31 NoTrade 0.000000 1955.661261
2011-01-03 Loss -0.055686 1846.758308
2011-01-04 Loss -0.025471 1799.719527
2011-01-05 Loss -0.051420 1707.177949
2011-01-06 Loss -0.000299 1706.667503
2011-01-07 NoTrade 0.000000 1706.667503
2011-01-10 NoTrade 0.000000 1706.667503
2011-01-11 Win 0.003719 1713.014599
2011-01-12 NoTrade 0.000000 1713.014599
2011-01-13 Loss -0.041218 1642.407564
2011-01-14 Win 0.033365 1697.206492
2011-01-18 Win 0.018628 1728.822055
2011-01-19 NoTrade 0.000000 1728.822055
2011-01-20 Loss -0.020820 1692.827979
解决方案2
1 2017-02-21 00:51:55
无需遍历数据帧。 将shift应用于pd系列'df.AccountBalance'会创建另一个系列。 尝试这个：
df['AccountBalance'] += df['AccountBalance'].shift(-1) * df['ProfitAndLossPofChg']
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