[英]Pandas Date Offset - Groupby, and display value for next week and month
我试图将两两列添加到Pandas DataFrame中-一列代表接下来的几周值,另一列代表接下来的4周的总和。
现有DataFrame的示例如下所示。 下面的DataFrame只是整个DataFrame的简短摘要,跨越了很多年。 下面的DataFrame是使用以下函数得出的: df = df.groupby([pd.Grouper(key='date', freq='W'), pd.Grouper('company_name').agg({'returns': 'sum'})
date company_name returns 2014-12-07 Amazon -0.5 2014-12-14 Amazon -0.1 2014-12-21 Amazon 0.5 2014-12-28 Amazon 0.3 2015-01-04 Amazon 0.1 2014-12-07 Facebook 0.5 2014-12-14 Facebook 0.5 2014-12-21 Facebook 0.5 2014-12-28 Facebook -0.5 2015-01-04 Facebook -0.5 2014-12-07 Google 0.1 2014-12-14 Google 0.1 2014-12-21 Google 0.1 2014-12-28 Google 0.1 2015-01-04 Google 0.1 2014-12-07 Intel 0.2 2014-12-14 Intel 0.2 2014-12-21 Intel 0.2 2014-12-28 Intel 0.2 2015-01-04 Intel 0.2
所需的输出将返回下一周的值,以及从“日期”列开始的下4周的总和。 所需输出的示例如下所示。
date company_name returns next_week_return next_month_return 2014-12-07 Amazon -0.5 -0.5 0.8 2014-12-14 Amazon -0.1 0.5 0.8 2014-12-21 Amazon 0.5 0.3 0.8 2014-12-28 Amazon 0.3 0.1 0.8 2015-01-04 Amazon 0.1 0.1 ... 2014-12-07 Facebook 0.5 0.5 0.0 2014-12-14 Facebook 0.5 0.5 0.0 2014-12-21 Facebook 0.5 -0.5 0.0 2014-12-28 Facebook -0.5 -0.5 0.0 2015-01-04 Facebook -0.5 0.1 ... 2014-12-07 Google 0.1 0.1 0.4 2014-12-14 Google 0.1 0.1 0.4 2014-12-21 Google 0.1 0.1 0.4 2014-12-28 Google 0.1 0.1 0.4 2015-01-04 Google 0.1 0.1 ... 2014-12-07 Intel 0.2 0.2 0.8 2014-12-14 Intel 0.2 0.2 0.8 2014-12-21 Intel 0.2 0.2 0.8 2014-12-28 Intel 0.2 0.2 0.8 2015-01-04 Intel 0.2 0.2
原始CSV的代码段如下所示。
date CompanyName return 07/12/2014 8x8 Inc -0.0038835 14/12/2014 8x8 Inc 0.036923354 21/12/2014 8x8 Inc 0.108854405 28/12/2014 8x8 Inc 0.042793145 04/01/2015 8x8 Inc -0.027219971 11/01/2015 8x8 Inc -0.038249882 18/01/2015 8x8 Inc 0.045946457 25/01/2015 8x8 Inc -0.107796707 01/02/2015 8x8 Inc -0.056725981 08/02/2015 8x8 Inc 0.024344572 15/02/2015 8x8 Inc 0.00756624 22/02/2015 8x8 Inc -0.04365263 01/03/2015 8x8 Inc -0.02794593 08/03/2015 8x8 Inc -0.039922714 15/03/2015 8x8 Inc 0.020848566 22/03/2015 8x8 Inc 0.116712617 29/03/2015 8x8 Inc 0.028952565 05/04/2015 8x8 Inc 0.053253322 12/04/2015 8x8 Inc -0.006787356 19/04/2015 8x8 Inc -0.00912207 26/04/2015 8x8 Inc 0.013652089 03/05/2015 8x8 Inc -0.021702736 10/05/2015 8x8 Inc -0.021004273 17/05/2015 8x8 Inc 0.012888286 24/05/2015 8x8 Inc -0.021177262 31/05/2015 8x8 Inc -0.027630051 07/12/2014 AB SA -1.015859196 14/12/2014 AB SA -0.01810143 21/12/2014 AB SA -0.073869849 28/12/2014 AB SA 0.000666445 04/01/2015 AB SA 0.051293294 11/01/2015 AB SA 0.004735605 18/01/2015 AB SA 0.014073727 25/01/2015 AB SA 0.097002705 01/02/2015 AB SA 0.00337648 08/02/2015 AB SA 0.018093743 15/02/2015 AB SA 0.019667392 22/02/2015 AB SA 0.024844339 01/03/2015 AB SA 0.015707129 08/03/2015 AB SA 0.109611209 15/03/2015 AB SA -0.039164849 22/03/2015 AB SA -0.002909093 29/03/2015 AB SA 0.007256926 05/04/2015 AB SA -0.025385791 12/04/2015 AB SA 0.019584469 19/04/2015 AB SA -0.01342302 26/04/2015 AB SA 0.073405725 03/05/2015 AB SA -0.018666287 10/05/2015 AB SA 0.019350984 17/05/2015 AB SA -0.030814439 24/05/2015 AB SA 0.027386256 31/05/2015 AB SA -0.033285978 07/12/2014 ACCO Brands Corp 0.432332004 14/12/2014 ACCO Brands Corp -0.064822249 21/12/2014 ACCO Brands Corp 0.010163837 28/12/2014 ACCO Brands Corp 0.022223137 04/01/2015 ACCO Brands Corp -0.034659702 11/01/2015 ACCO Brands Corp -0.026514522 18/01/2015 ACCO Brands Corp -0.018868484 25/01/2015 ACCO Brands Corp 0.013010237 01/02/2015 ACCO Brands Corp -0.071850737 08/02/2015 ACCO Brands Corp 0.00126183 15/02/2015 ACCO Brands Corp -0.016000601 22/02/2015 ACCO Brands Corp -0.01420295 01/03/2015 ACCO Brands Corp -0.010457612 08/03/2015 ACCO Brands Corp -0.006591982 15/03/2015 ACCO Brands Corp -0.008257798 22/03/2015 ACCO Brands Corp 0.039272062 29/03/2015 ACCO Brands Corp 0.035312622 05/04/2015 ACCO Brands Corp 0.012315427 12/04/2015 ACCO Brands Corp 0.037241541 19/04/2015 ACCO Brands Corp -0.025075941 26/04/2015 ACCO Brands Corp -0.010535083 03/05/2015 ACCO Brands Corp -0.044016885 10/05/2015 ACCO Brands Corp -0.013845407 17/05/2015 ACCO Brands Corp 0.005056901 24/05/2015 ACCO Brands Corp -0.024251348 31/05/2015 ACCO Brands Corp -0.051701374 07/12/2014 Acer Inc 3.829777429 07/12/2014 Acer Inc -3.46435286 14/12/2014 Acer Inc 0.042160811 14/12/2014 Acer Inc 0.021342273 21/12/2014 Acer Inc -0.056618894 21/12/2014 Acer Inc -0.046304568 28/12/2014 Acer Inc 0.033415997 28/12/2014 Acer Inc 0.062759689 04/01/2015 Acer Inc 0.002344667 04/01/2015 Acer Inc -0.004460974 11/01/2015 Acer Inc 0.082988363 11/01/2015 Acer Inc 0.093933758 18/01/2015 Acer Inc -0.033983853 18/01/2015 Acer Inc -0.042689409 25/01/2015 Acer Inc 0.017136282 25/01/2015 Acer Inc -0.012539349 01/02/2015 Acer Inc 0.002424244 01/02/2015 Acer Inc 0.010980502 08/02/2015 Acer Inc -0.014634408 08/02/2015 Acer Inc -0.015723594 15/02/2015 Acer Inc -0.014851758 15/02/2015 Acer Inc 0.025040432 22/02/2015 Acer Inc 0 22/02/2015 Acer Inc 0.022919261 01/03/2015 Acer Inc 0.024631787 01/03/2015 Acer Inc -0.007581537 08/03/2015 Acer Inc 0.05445132 08/03/2015 Acer Inc 0.027028672 15/03/2015 Acer Inc -0.023311079 15/03/2015 Acer Inc -0.022472856 22/03/2015 Acer Inc -0.002361276 22/03/2015 Acer Inc 0 29/03/2015 Acer Inc -0.021506205 29/03/2015 Acer Inc 0.012048339 05/04/2015 Acer Inc -0.021978907 05/04/2015 Acer Inc -0.028109292 12/04/2015 Acer Inc -0.004950505 12/04/2015 Acer Inc 0.02756683 19/04/2015 Acer Inc -0.007472015 19/04/2015 Acer Inc 0.003016594 26/04/2015 Acer Inc 0.009950331 26/04/2015 Acer Inc 0.006006024 03/05/2015 Acer Inc -0.004962789 03/05/2015 Acer Inc 0.002989539 10/05/2015 Acer Inc -0.040614719 10/05/2015 Acer Inc -0.087282784 17/05/2015 Acer Inc -0.064193158 17/05/2015 Acer Inc -0.072605718 24/05/2015 Acer Inc 0.008253142 24/05/2015 Acer Inc -0.032031208 31/05/2015 Acer Inc 0.005464494 31/05/2015 Acer Inc 0.057961788
从上面我希望在每一行中添加两列-一个next_week_return
,其中显示了特定公司接下来几周的收益; 另一个: next_month_return
,它是接下来的四个星期的收益之和。
任何人都可以提供的任何帮助将不胜感激。
从输入CSV的示例代码片段开始,一种解决方案是编写一个自定义函数以与df.apply()
一起使用,该函数接受每个公司的子DataFrame,并为子DataFrame中的每个日期计算在指定的前瞻天数内return
。
以下代码假定df
保留了原始CSV中的示例数据。
# Convert string dates to pandas.Timestamp
df['date'] = pd.to_datetime(df['date'])
# Within each CompanyName, sort by date, because we'll
# set the date column as a DatetimeIndex and will
# index-slice it with pandas date offsets, and this
# requires a sorted index.
df.sort_values(['CompanyName', 'date'], inplace=True)
# Set a MultiIndex to ensure that the calculated
# columns returned by the custom function align correctly
df.set_index(['CompanyName', 'date'], inplace=True)
# Define a custom function to sum the values of `return` for
# each CompanyName sub-DataFrame. The defaults of 1 and 1+28
# capture the month (defined to be 28 days) immediately following
# each date, excluding the date itself. To get just the
# next week's values, use start=1, end=7.
def sum_return_over_next_i_to_j_days(df, first=1, last=1+28):
day = pd.offsets.Day(1)
df.reset_index(level=0, drop=True, inplace=True)
rets = [df.loc[today + first*day : today + last*day, 'return'].sum(min_count=1)
for today in df.index]
return pd.DataFrame(rets,
index=df.index,
columns=[f'sum_return_next_{first}-{last}_days'])
# Apply the above function to input CSV
df['next_week_return'] = df.groupby('CompanyName').apply(sum_return_over_next_i_to_j_days, 1, 7)
df['next_month_return'] = df.groupby('CompanyName').apply(sum_return_over_next_i_to_j_days, 1, 1+28)
df = df.reset_index()
# Print result
df.head(10)
CompanyName date return next_week_return next_month_return
0 8x8 Inc 2014-07-12 -0.003883 NaN NaN
1 8x8 Inc 2014-12-14 0.036923 0.108854 0.066976
2 8x8 Inc 2014-12-21 0.108854 0.042793 0.004068
3 8x8 Inc 2014-12-28 0.042793 -0.084672 -0.146522
4 8x8 Inc 2015-01-02 -0.056726 -0.027946 -0.089796
5 8x8 Inc 2015-01-03 -0.027946 NaN -0.061850
6 8x8 Inc 2015-01-18 0.045946 -0.107797 -0.100230
7 8x8 Inc 2015-01-25 -0.107797 NaN -0.036086
8 8x8 Inc 2015-02-15 0.007566 -0.043653 -0.044507
9 8x8 Inc 2015-02-22 -0.043653 NaN 0.115858
df.tail(10)
CompanyName date return next_week_return next_month_return
120 Acer Inc 2015-08-02 -0.014634 0.08148 0.081480
121 Acer Inc 2015-08-02 -0.015724 0.08148 0.081480
122 Acer Inc 2015-08-03 0.054451 NaN NaN
123 Acer Inc 2015-08-03 0.027029 NaN NaN
124 Acer Inc 2015-10-05 -0.040615 NaN 0.176922
125 Acer Inc 2015-10-05 -0.087283 NaN 0.176922
126 Acer Inc 2015-11-01 0.082988 NaN NaN
127 Acer Inc 2015-11-01 0.093934 NaN NaN
128 Acer Inc 2015-12-04 -0.004951 NaN NaN
129 Acer Inc 2015-12-04 0.027567 NaN NaN
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