for an existing financial time-series object, is there a simple way to add columns?

2 次查看（过去 30 天）
Andy
Andy 2017-3-16
回答： Andy 2017-3-18
I'm referring to pandas DataFrame as an example of adding a new ('return') column:
spy['return'] = spy['close'].pct_change()
What's the equivalent in matlab for the line above?
thx

请先登录，再回答此问题。

采纳的回答

Andy
Andy 2017-3-18
digging a bit more, it seems fts behave a lot like structures ... so:
>> class(dt)
ans =
fints
>> dt.MA10 = fts2mat(tsmovavg(dt.Close, 's', 10))
dt =
desc: (none)
freq: Daily (1)
'dates: (2711)' 'Open: (2711)' 'High: (2711)' 'Low: (2711)' 'Close: (2711)' 'Vol: (2711)' 'OI: (2711)' 'MA10: (2711)'
'20-Mar-2006' [ 138.63] [ 139.44] [ 138.4] [ 139.31] [ 11992] [ 219881] [ NaN]
'21-Mar-2006' [ 140.59] [ 140.73] [ 139.85] [ 140.24] [ 15357] [ 214085] [ NaN]
will just add a new column ... or:
col_name = 'ma_20'
dt.(col_name) = fts2mat(tsmovavg(dt.Close, 's', 20))
dt =
desc: (none)
freq: Daily (1)
'dates: (2711)' 'Open: (2711)' 'High: (2711)' 'Low: (2711)' 'Close: (2711)' 'Vol: (2711)' 'OI: (2711)' 'MA10: (2711)' 'ma_20: (2711)'
'20-Mar-2006' [ 138.63] [ 139.44] [ 138.4] [ 139.31] [ 11992] [ 219881] [ NaN] [ NaN]
'21-Mar-2006' [ 140.59] [ 140.73] [ 139.85] [ 140.24] [ 15357] [ 214085] [ NaN] [ NaN]
'22-Mar-2006' [ 140.99] [ 141.33] [ 140.71] [ 140.87] [ 8884] [ 204050] [ NaN] [ NaN]
Simple after all...

更多回答（1 个）

Andy
Andy 2017-3-17
I'll just give a partial answer I've found. For an object such as:
dt =
desc: (none)
freq: Daily (1)
'dates: (2715)' 'times: (2715)' 'Open: (2715)' 'High: (2715)' 'Low: (2715)' 'Close: (2715)' 'Vol: (2715)' 'OI: (2715)'
'19-Mar-2006' '22:00' [ 1164.25] [ 1186.5] [ 1160.5] [ 1183.75] [ 1149131] [ 1064369]
do:
ma_10 = chfield(tsmovavg(dt.Close,'s',10), 'Close', 'ma_10') dt = merge(dt, ma_10)
As you can see this is overkill. Questions:
1) When one does { ma_10 = tsmovavg(dt.Close,'s',10) } it seems the new fts ma_10 object inherits the column name from the object use (="Close"). Can I actually assign a new name to my new object?
2) I cannot ignore the comparison between the above (which it's hard to say it's elegant) with the below:
[pandas] ma_portfolio['ma1'] = ma_portfolio['close'].rolling(window=50).mean()
Is there anything I'm missing in terms of adding more elegantly a simple mov.avg. to an fts object?

类别

在 Help Center 和 File Exchange 中查找有关 MATLAB 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by