python 滚动体积加权标准差

Posted 2021-05-09

def vw_std(ohlcv, window):
    data = ohlcv.copy()
    data['returns'] = data['close_price'].pct_change(1)
    data.drop(data.index[0], inplace=True)
    
    results = {}
    
    for i in range(len(data) - window + 1):
        date_idx = data.index[i:i+window]
        group = data.loc[date_idx, ['returns', 'volume']]
        
        dev_sq = ( group['returns'] - group['returns'].mean() )**2
        wtd_dev_sq = group['volume'] * dev_sq
        var = wtd_dev_sq.sum() / group['volume'].sum()
        std = np.sqrt(var)
        results[date_idx[-1]] = std

    return pd.Series(results)