def rolling_apply_test(): s = pd.Series(range(10)) s2 = util.rolling_apply(s, 3, lambda x: min(x)) assert_true(np.isnan(s2[0])) assert_true(np.isnan(s2[1])) for i in range(2, 10): assert_equals(s2[i], s[i - 2])
def rolling_hedge_ratio(x, y, lookback): df = pd.DataFrame({'x': x, 'y': y}) return util.rolling_apply(df, lookback, lambda win: hedge_ratio(win['x'], win['y']))