def generate_dollar_volume_weights(close, volume):
"""
Generate dollar volume weights.
Parameters
----------
close : DataFrame
Close price for each ticker and date
volume : str
Volume for each ticker and date
Returns
-------
dollar_volume_weights : DataFrame
The dollar volume weights for each ticker and date
"""
assert close.index.equals(volume.index)
assert close.columns.equals(volume.columns)
#TODO: Implement function
dollar_volume_weights=np.cumsum(close * volume) / np.cumsum(volume)
return dollar_volume_weights
project_tests.test_generate_dollar_volume_weights(generate_dollar_volume_weights)#testing the function
所以我的结果如下
INPUT close:
XHNP FCUB ZYRP
2005-09-09 35.44110000 34.17990000 34.02230000
2005-09-10 92.11310000 91.05430000 90.95720000
2005-09-11 57.97080000 57.78140000 58.19820000
2005-09-12 34.17050000 92.45300000 58.51070000
INPUT volume:
XHNP FCUB ZYRP
2005-09-09 9836830.00000000 17807200.00000000 8829820.00000000
2005-09-10 82242700.00000000 68531500.00000000 48160100.00000000
2005-09-11 16234800.00000000 13052700.00000000 9512010.00000000
2005-09-12 10674200.00000000 56831300.00000000 9316010.00000000
OUTPUT dollar_volume_weights:
XHNP FCUB ZYRP
2005-09-09 35.44110000 34.17990000 34.02230000
2005-09-10 86.05884636 79.32405834 82.13590461
2005-09-11 81.84884187 76.49494177 78.71200871
2005-09-12 77.57172242 82.30022612 76.22980471
EXPECTED OUTPUT FOR dollar_volume_weights:
XHNP FCUB ZYRP
2005-09-09 0.27719777 0.48394253 0.23885970
2005-09-10 0.41632975 0.34293308 0.24073717
2005-09-11 0.41848548 0.33536102 0.24615350
2005-09-12 0.05917255 0.85239760 0.08842984我是这里的初学者，我真的不明白我在这里缺少什么，我认为生成美元体积权重的表达式应该类似于 dollar_volume_weights=np.cumsum(close *volume)/np.cumsum(体积)
有人可以告诉我为什么我的结果不同吗？
最佳答案
我认为你应该这样做close * volume并除以 np.sum(x, axis=1) 的总和 ( volume * close )并指定axis=1 。此外，您可以使用div()此除法的函数并指定 axis=0 .
关于python-3.x - 智能测试版投资组合 : How to generate the weights based on dollar volume traded for each date，我们在Stack Overflow上找到一个类似的问题： https://stackoverflow.com/questions/51869809/