本文展示了如何利用Python的pandas库中的rolling方法来计算股票或指数的历史价格和交易量的平均值、标准差以及回报率，并创建新的特征。通过计算不同窗口大小的滚动平均价、标准差和回报率，以及它们之间的比率，为金融数据分析提供了一个基本框架。
# 需要导入模块: import pandas [as 别名]
# 或者: from pandas import rolling_std [as 别名]
def generate_features(df):
""" Generate features for a stock/index based on historical price and performance
Args:
df (dataframe with columns "Open", "Close", "High", "Low", "Volume", "Adjusted Close")
Returns:
dataframe, data set with new features
"""
df_new = pd.DataFrame()
# 6 original features
df_new['open'] = df['Open']
df_new['open_1'] = df['Open'].shift(1)
df_new['close_1'] = df['Close'].shift(1)
df_new['high_1'] = df['High'].shift(1)
df_new['low_1'] = df['Low'].shift(1)
df_new['volume_1'] = df['Volume'].shift(1)
# 31 original
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