Pass a list of window sizes of rolling correlation to a dataframe in order to output a dataframe for each window size

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Pass a list of window sizes of rolling correlation to a dataframe in order to output a dataframe for each window size

posted Sep 30, 2018

Seeking Help Statistics numpy/pandas

Hello,

new_df = pd.DataFrame([old_df.iloc[:,0].rolling(window = 10).corr(old_df.iloc[:,i]) for i in range(1,7)]).T

Old_df is my original dataframe with 8 columns. I want to create a new dataframe that correlates the first column with each of the other 7 columns. Each correlation is a rolling window of length 10. The code above works fine to produce a dataframe called new_df as long as I explicitly use the name old_df.

what I want to do is generalize this list comprehension in two ways.
1) I'd like to past a list of window lengths (i.e. [10, 15]) so that two dataframes are output of the same dimensions, except that one creates the 7 correlation columns with window size 10 and the other creates the correlations with window size 15.
I know this will probably require the apply method and maybe a user defined function, but I have try many iterations and all I get is errors.
2) ideally I'd like to use the apply/map method within the code so that I don't have to name my dataframe explicitly to get an error free answer.
Thank you for any advice

1 response

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In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.