def variance(self, window=0, rebalanced=True, from_date=None, to_date=None):
ret = None
returns = self.returns(rebalanced, from_date, to_date)
if window == 0:
ret = np.asscalar(np.var(returns))
if window > 0:
ret = pd.rolling_var(returns, window)
if window == -1:
ret = pd.expanding_var(returns)
return ret
def expanding_smoother(self, data, stype='rolling_mean', min_periods=None, freq=None):
"""
Perform a expanding smooting on the data for a complete help refer to http://pandas.pydata.org/pandas-docs/dev/computation.html
:param data: pandas dataframe input data
:param stype: soothing type
:param min_periods: periods
:param freq: frequence
smoothing types:
expanding_count Number of non-null observations
expanding_sum Sum of values
expanding_mean Mean of values
expanding_median Arithmetic median of values
expanding_min Minimum
expanding_max Maximum
expandingg_std Unbiased standard deviation
expanding_var Unbiased variance
expanding_skew Unbiased skewness (3rd moment)
expanding_kurt Unbiased kurtosis (4th moment)
"""
if stype == 'count':
newy = pd.expanding_count(data, min_periods=min_periods, freq=freq)
if stype == 'sum':
newy = pd.expanding_sum(data, min_periods=min_periods, freq=freq)
if stype == 'mean':
newy = pd.expanding_mean(data, min_periods=min_periods, freq=freq)
if stype == 'median':
newy = pd.expanding_median(data, min_periods=min_periods, freq=freq)
if stype == 'min':
newy = pd.expanding_min(data, min_periods=min_periods, freq=freq)
if stype == 'max':
newy = pd.expanding_max(data, min_periods=min_periods, freq=freq)
if stype == 'std':
newy = pd.expanding_std(data, min_periods=min_periods, freq=freq)
if stype == 'var':
newy = pd.expanding_var(data, min_periods=min_periods, freq=freq)
if stype == 'skew':
newy = pd.expanding_skew(data, min_periods=min_periods, freq=freq)
if stype == 'kurt':
newy = pd.expanding_kurt(data, min_periods=min_periods, freq=freq)
return newy
