polars-qt 0.1.25
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Description:
polarsqt 0.1.25
polars_qt
Useful Quant expressions for polars implemented by polars plugin.
Currently :
Rolling_rank expression
If-Then expression.
Calculate return of future using strategy signal
rolling_rank
import polars as pl
import polars_qt as pq
df = pl.DataFrame({
'a': [5.2, 4.1, 6.3, None, 10, 4, 5],
})
df.with_columns(
pq.rolling_rank(pl.col('a'), 4, min_periods=1, pct=True).alias('a_rank'),
pl.col('a').qt.rolling_rank(4, pct=False, rev=True).alias('a_rank2')
)
shape: (7, 3)
┌──────┬──────────┬─────────┐
│ a ┆ a_rank ┆ a_rank2 │
│ --- ┆ --- ┆ --- │
│ f64 ┆ f64 ┆ f64 │
╞══════╪══════════╪═════════╡
│ 5.2 ┆ 1.0 ┆ null │
│ 4.1 ┆ 0.5 ┆ 2.0 │
│ 6.3 ┆ 1.0 ┆ 1.0 │
│ null ┆ null ┆ null │
│ 10.0 ┆ 1.0 ┆ 1.0 │
│ 4.0 ┆ 0.333333 ┆ 3.0 │
│ 5.0 ┆ 0.666667 ┆ 2.0 │
└──────┴──────────┴─────────┘
If-then
df = pl.DataFrame({
'g': ['a', 'a', 'b', 'a', 'b'],
'v': [1, 3, 5, 2, 4],
})
df.select(pl.col('v').qt.if_then((pl.len()>2), pl.col('v')*2).over('g'))
shape: (5, 1)
┌─────┐
│ v │
│ --- │
│ i64 │
╞═════╡
│ 2 │
│ 6 │
│ 5 │
│ 4 │
│ 4 │
└─────┘
适用于金融量化领域的polars表达式扩展，使用polars plugin实现。
目前支持：
滚动排序
if_then表达式
利用策略信号回测收益
License:
For personal and professional use. You cannot resell or redistribute these repositories in their original state.
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