How to calculate rolling cumulative product on Pandas DataFrame
I have a time series of returns, rolling beta, and rolling alpha in a pandas DataFrame. How can I calculate a rolling annualized alpha for the alpha column of the DataFrame? (I want to do the equivalent to =PRODUCT(1+[trailing 12 months])-1 in excel)
SPX Index BBOEGEUS Index Beta Alpha
2006-07-31 0.005086 0.001910 1.177977 -0.004081
2006-08-31 0.021274 0.028854 1.167670 0.004012
2006-09-30 0.024566 0.009769 1.101618 -0.017293
2006-10-31 0.031508 0.030692 1.060355 -0.002717
2006-11-30 0.016467 0.031720 1.127585 0.013153
I was surprised to see that there was no "rolling" function built into pandas for this, but I was hoping somebody could help with a function that I can then apply to the df['Alpha'] column using pd.rolling_apply.
Thanks in advance for any help you have to offer.
Answer
will this do?
import pandas as pd
import numpy as np
# your DataFrame; df = ...
pd.rolling_apply(df, 12, lambda x: np.prod(1 + x) - 1)