Question

我正在尝试在Pandas中建立一个交易回溯测试，并且在使用np.where（）的'if'语句中有一些问题有条件地更新其他列。

我的初始df，其中信号表示是买入还是卖出（2 / -1 / 0），根据这些信号，我想更新现金，保留，价值和总列数。

                        open         high        low        close   change  signal  Cash  Hold Value Total 
time                                        
2017-09-09 03:01:00 4255.000000 4256.799805 4233.600098 4252.799805 -0.000065   0   10000.0 0.0 0.0 10000.0
2017-09-09 03:02:00 4251.399902 4258.500000 4247.500000 4258.399902 0.002046    1   10000.0 0.0 0.0 10000.0
2017-09-09 03:03:00 4256.500000 4289.299805 4256.500000 4273.700195 0.001262    1   10000.0 0.0 0.0 10000.0
2017-09-09 03:04:00 4273.100098 4299.899902 4262.580566 4284.100098 0.001905    1   10000.0 0.0 0.0 10000.0
2017-09-09 03:05:00 4291.200195 4299.799805 4284.200195 4289.899902 -0.000854   -1  10000.0 0.0 0.0 10000.0
2017-09-09 03:06:00 4295.000000 4298.799805 4279.500000 4279.500000 -0.000047   0   10000.0 0.0 0.0 10000.0
2017-09-09 03:07:00 4278.000000 4278.299805 4277.000000 4277.799805 -0.000244   0   10000.0 0.0 0.0 10000.0

我可以通过根据信号手动调用以下每个函数来完成此操作：

def buy_update(i=i):
    pf['Cash'].iloc[i] = pf['Cash'].iloc[i-1] - trade_size
    pf['Holdings'].iloc[i] = pf['Holdings'].iloc[i-1] + (trade_size / pf['close'].iloc[i])
    pf['Holdings Value'].iloc[i] = pf['close'].iloc[i] * pf['Holdings'].iloc[i] # Update Values
    pf['Total Holding'].iloc[i] = pf['Cash'].iloc[i] + pf['Holdings Value'].iloc[i] # Update Values

def sell_update(i=i):
    pf['Cash'].iloc[i] = (pf['Cash'].iloc[i-1] + (pf['Holdings'].iloc[i-1] * pf['close'].iloc[i])) # get cash for sale
    pf['Holdings'].iloc[i] = 0 # Sell down all assets
    pf['Holdings Value'].iloc[i] = pf['close'].iloc[i] * pf['Holdings'].iloc[i] # Update Values
    pf['Total Holding'].iloc[i] = pf['Cash'].iloc[i] + pf['Holdings Value'].iloc[i] # Update Value

def no_action(i=i):
    pf['Cash'].iloc[i] = pf['Cash'].iloc[i-1]
    pf['Holdings'].iloc[i] = pf['Holdings'].iloc[i-1]
    pf['Holdings Value'].iloc[i] = pf['close'].iloc[i] * pf['Holdings'].iloc[i] # Update Values
    pf['Total Holding'].iloc[i] = pf['Cash'].iloc[i] + pf['Holdings Value'].iloc[i] # Update Values

然后产生这个：

                        open         high        low        close   change  signal  Cash        Hold       Value      Total 
time                                                        
2017-09-09 03:01:00 4255.000000 4256.799805 4233.600098 4252.799805 -0.000065   0   10000.00000 0.000000    0.000000    10000.000000
2017-09-09 03:02:00 4251.399902 4258.500000 4247.500000 4258.399902 0.002046    1   9900.00000  0.023483    100.000000  10000.000000
2017-09-09 03:03:00 4256.500000 4289.299805 4256.500000 4273.700195 0.001262    1   9800.00000  0.046882    200.359297  10000.359297
2017-09-09 03:04:00 4273.100098 4299.899902 4262.580566 4284.100098 0.001905    1   9700.00000  0.070224    300.846864  10000.846864
2017-09-09 03:05:00 4291.200195 4299.799805 4284.200195 4289.899902 -0.000854   -1  10001.25415 0.000000    0.000000    10001.254150
2017-09-09 03:06:00 4295.000000 4298.799805 4279.500000 4279.500000 -0.000047   0   10001.25415 0.000000    0.000000    10001.254150
2017-09-09 03:07:00 4278.000000 4278.299805 4277.000000 4277.799805 -0.000244   0   10001.25415 0.000000    0.000000    10001.254150

我认为嵌套的np.where（）可以根据信号列调用正确的函数，但我没有运气。以下循环遍历每一行。

for i in range(len(pf)):
    np.where(pf['signal'].iloc[i] == -1, sell_update(i), np.where(pf['signal'].iloc[i] == 1, buy_update(i), no_action(i)))
    print(i)

我认为它目前称为每个功能 - 卖出，然后买入，然后没有（每次都覆盖最后一个）以及产生SettingWithCopyWarning警告。

此外，每行的for循环显然非常慢，有没有办法对此进行矢量化？

Answer 1

当计算代码变得复杂时，很难对其进行矢量化。由于pandas中逐个元素的进程很慢，您可以将数据帧转换为dict列表，并进行计算，这是一个使用cytoolz的示例：

import io
import pandas as pd

text="""time                        open         high        low        close   change  signal  Cash  Hold Value Total 
2017-09-09 03:01:00 4255.000000 4256.799805 4233.600098 4252.799805 -0.000065   0   10000.0 0.0 0.0 10000.0
2017-09-09 03:02:00 4251.399902 4258.500000 4247.500000 4258.399902 0.002046    1   10000.0 0.0 0.0 10000.0
2017-09-09 03:03:00 4256.500000 4289.299805 4256.500000 4273.700195 0.001262    1   10000.0 0.0 0.0 10000.0
2017-09-09 03:04:00 4273.100098 4299.899902 4262.580566 4284.100098 0.001905    1   10000.0 0.0 0.0 10000.0
2017-09-09 03:05:00 4291.200195 4299.799805 4284.200195 4289.899902 -0.000854   -1  10000.0 0.0 0.0 10000.0
2017-09-09 03:06:00 4295.000000 4298.799805 4279.500000 4279.500000 -0.000047   0   10000.0 0.0 0.0 10000.0
2017-09-09 03:07:00 4278.000000 4278.299805 4277.000000 4277.799805 -0.000244   0   10000.0 0.0 0.0 10000.0"""
df = pd.read_csv(io.StringIO(text), delim_whitespace=True)
trade_size = 100

import cytoolz

def f(p, c):
    change = c["signal"]   
    if change == 0:
        cash = c["Cash"]
        hold = c["Hold"]        
    elif change == 1:
        cash = p["Cash"] - trade_size
        hold = p["Hold"] + trade_size / c["close"]
    elif change == -1:
        cash = p["Cash"] + p["Hold"] * c["close"]
        hold = 0
    return cytoolz.merge(c, {"Cash":cash, "Hold":hold})

pd.DataFrame(list(cytoolz.accumulate(f, df.to_dict("records"))))

Pandas - 使用np.where（）更新列

1 个答案: