python - 成交量加权移动平均线

Question

我有一个如下所示的 DataFrame:

              LAST PRICE        VOLUME     volume_ratio
date                                                             
2005-01-03      1202.08     1.332210e+09       1.23       
2005-01-04      1188.05     1.552646e+09       1.55       
2005-01-05      1183.74     1.428365e+09       1.65         
2005-01-06      1187.89     1.331004e+09       1.23         
2005-01-07      1186.19     1.273960e+09       0.83        
2005-01-10      1190.25     1.213694e+09       1.06 

用period = 5 ，我想计算移动平均线 VAMA = CumSum/CumDiv其中 CumSum = (df['volume_ratio']*df['LAST PRICE']).cumsum()和 CumDiv = df['volume_ratio'].cumsum() , 条件为 CumDiv <= Period .

最初我想使用 expanding.sum()和 df.apply会工作，但我正在努力；像这样的东西:

cum_div = df['volume_ratio'].expanding(min_periods = 1).sum()
cum_summ = (df['LAST PRICE']*df['volume_ratio']).expanding(min_periods                =1).sum()

df['cum_sum'] = df.apply(lambda x: cum_summ if cum_div <= 13, axis = 1)

这显然行不通，所以我对解决这个问题的最佳方法很感兴趣。

提前致谢

Answer 1

只使用滚动 http://pandas.pydata.org/pandas-docs/stable/generated/pandas.DataFrame.rolling.html

df['myrollingmean'] = df.VAMA.rolling(window = 5).mean()