import warnings import numpy as np import pytest from pandas import ( DataFrame, Index, MultiIndex, Series, Timestamp, concat, date_range, isna, notna, ) import pandas._testing as tm import pandas.tseries.offsets as offsets def f(x): # suppress warnings about empty slices, as we are deliberately testing # with a 0-length Series with warnings.catch_warnings(): warnings.filterwarnings( "ignore", message=".*(empty slice|0 for slice).*", category=RuntimeWarning, ) return x[np.isfinite(x)].mean() @pytest.mark.parametrize("bad_raw", [None, 1, 0]) def test_rolling_apply_invalid_raw(bad_raw): with pytest.raises(ValueError, match="raw parameter must be `True` or `False`"): Series(range(3)).rolling(1).apply(len, raw=bad_raw) def test_rolling_apply_out_of_bounds(engine_and_raw): # gh-1850 engine, raw = engine_and_raw vals = Series([1, 2, 3, 4]) result = vals.rolling(10).apply(np.sum, engine=engine, raw=raw) assert result.isna().all() result = vals.rolling(10, min_periods=1).apply(np.sum, engine=engine, raw=raw) expected = Series([1, 3, 6, 10], dtype=float) tm.assert_almost_equal(result, expected) @pytest.mark.parametrize("window", [2, "2s"]) def test_rolling_apply_with_pandas_objects(window): # 5071 df = DataFrame( {"A": np.random.randn(5), "B": np.random.randint(0, 10, size=5)}, index=date_range("20130101", periods=5, freq="s"), ) # we have an equal spaced timeseries index # so simulate removing the first period def f(x): if x.index[0] == df.index[0]: return np.nan return x.iloc[-1] result = df.rolling(window).apply(f, raw=False) expected = df.iloc[2:].reindex_like(df) tm.assert_frame_equal(result, expected) with tm.external_error_raised(AttributeError): df.rolling(window).apply(f, raw=True) def test_rolling_apply(engine_and_raw, step): engine, raw = engine_and_raw expected = Series([], dtype="float64") result = expected.rolling(10, step=step).apply( lambda x: x.mean(), engine=engine, raw=raw ) tm.assert_series_equal(result, expected) # gh-8080 s = Series([None, None, None]) result = s.rolling(2, min_periods=0, step=step).apply( lambda x: len(x), engine=engine, raw=raw ) expected = Series([1.0, 2.0, 2.0])[::step] tm.assert_series_equal(result, expected) result = s.rolling(2, min_periods=0, step=step).apply(len, engine=engine, raw=raw) tm.assert_series_equal(result, expected) def test_all_apply(engine_and_raw): engine, raw = engine_and_raw df = ( DataFrame( {"A": date_range("20130101", periods=5, freq="s"), "B": range(5)} ).set_index("A") * 2 ) er = df.rolling(window=1) r = df.rolling(window="1s") result = r.apply(lambda x: 1, engine=engine, raw=raw) expected = er.apply(lambda x: 1, engine=engine, raw=raw) tm.assert_frame_equal(result, expected) def test_ragged_apply(engine_and_raw): engine, raw = engine_and_raw df = DataFrame({"B": range(5)}) df.index = [ Timestamp("20130101 09:00:00"), Timestamp("20130101 09:00:02"), Timestamp("20130101 09:00:03"), Timestamp("20130101 09:00:05"), Timestamp("20130101 09:00:06"), ] f = lambda x: 1 result = df.rolling(window="1s", min_periods=1).apply(f, engine=engine, raw=raw) expected = df.copy() expected["B"] = 1.0 tm.assert_frame_equal(result, expected) result = df.rolling(window="2s", min_periods=1).apply(f, engine=engine, raw=raw) expected = df.copy() expected["B"] = 1.0 tm.assert_frame_equal(result, expected) result = df.rolling(window="5s", min_periods=1).apply(f, engine=engine, raw=raw) expected = df.copy() expected["B"] = 1.0 tm.assert_frame_equal(result, expected) def test_invalid_engine(): with pytest.raises(ValueError, match="engine must be either 'numba' or 'cython'"): Series(range(1)).rolling(1).apply(lambda x: x, engine="foo") def test_invalid_engine_kwargs_cython(): with pytest.raises(ValueError, match="cython engine does not accept engine_kwargs"): Series(range(1)).rolling(1).apply( lambda x: x, engine="cython", engine_kwargs={"nopython": False} ) def test_invalid_raw_numba(): with pytest.raises( ValueError, match="raw must be `True` when using the numba engine" ): Series(range(1)).rolling(1).apply(lambda x: x, raw=False, engine="numba") @pytest.mark.parametrize("args_kwargs", [[None, {"par": 10}], [(10,), None]]) def test_rolling_apply_args_kwargs(args_kwargs): # GH 33433 def foo(x, par): return np.sum(x + par) df = DataFrame({"gr": [1, 1], "a": [1, 2]}) idx = Index(["gr", "a"]) expected = DataFrame([[11.0, 11.0], [11.0, 12.0]], columns=idx) result = df.rolling(1).apply(foo, args=args_kwargs[0], kwargs=args_kwargs[1]) tm.assert_frame_equal(result, expected) midx = MultiIndex.from_tuples([(1, 0), (1, 1)], names=["gr", None]) expected = Series([11.0, 12.0], index=midx, name="a") gb_rolling = df.groupby("gr")["a"].rolling(1) result = gb_rolling.apply(foo, args=args_kwargs[0], kwargs=args_kwargs[1]) tm.assert_series_equal(result, expected) def test_nans(raw): obj = Series(np.random.randn(50)) obj[:10] = np.NaN obj[-10:] = np.NaN result = obj.rolling(50, min_periods=30).apply(f, raw=raw) tm.assert_almost_equal(result.iloc[-1], np.mean(obj[10:-10])) # min_periods is working correctly result = obj.rolling(20, min_periods=15).apply(f, raw=raw) assert isna(result.iloc[23]) assert not isna(result.iloc[24]) assert not isna(result.iloc[-6]) assert isna(result.iloc[-5]) obj2 = Series(np.random.randn(20)) result = obj2.rolling(10, min_periods=5).apply(f, raw=raw) assert isna(result.iloc[3]) assert notna(result.iloc[4]) result0 = obj.rolling(20, min_periods=0).apply(f, raw=raw) result1 = obj.rolling(20, min_periods=1).apply(f, raw=raw) tm.assert_almost_equal(result0, result1) def test_center(raw): obj = Series(np.random.randn(50)) obj[:10] = np.NaN obj[-10:] = np.NaN result = obj.rolling(20, min_periods=15, center=True).apply(f, raw=raw) expected = ( concat([obj, Series([np.NaN] * 9)]) .rolling(20, min_periods=15) .apply(f, raw=raw) .iloc[9:] .reset_index(drop=True) ) tm.assert_series_equal(result, expected) def test_series(raw, series): result = series.rolling(50).apply(f, raw=raw) assert isinstance(result, Series) tm.assert_almost_equal(result.iloc[-1], np.mean(series[-50:])) def test_frame(raw, frame): result = frame.rolling(50).apply(f, raw=raw) assert isinstance(result, DataFrame) tm.assert_series_equal( result.iloc[-1, :], frame.iloc[-50:, :].apply(np.mean, axis=0, raw=raw), check_names=False, ) def test_time_rule_series(raw, series): win = 25 minp = 10 ser = series[::2].resample("B").mean() series_result = ser.rolling(window=win, min_periods=minp).apply(f, raw=raw) last_date = series_result.index[-1] prev_date = last_date - 24 * offsets.BDay() trunc_series = series[::2].truncate(prev_date, last_date) tm.assert_almost_equal(series_result[-1], np.mean(trunc_series)) def test_time_rule_frame(raw, frame): win = 25 minp = 10 frm = frame[::2].resample("B").mean() frame_result = frm.rolling(window=win, min_periods=minp).apply(f, raw=raw) last_date = frame_result.index[-1] prev_date = last_date - 24 * offsets.BDay() trunc_frame = frame[::2].truncate(prev_date, last_date) tm.assert_series_equal( frame_result.xs(last_date), trunc_frame.apply(np.mean, raw=raw), check_names=False, ) @pytest.mark.parametrize("minp", [0, 99, 100]) def test_min_periods(raw, series, minp, step): result = series.rolling(len(series) + 1, min_periods=minp, step=step).apply( f, raw=raw ) expected = series.rolling(len(series), min_periods=minp, step=step).apply( f, raw=raw ) nan_mask = isna(result) tm.assert_series_equal(nan_mask, isna(expected)) nan_mask = ~nan_mask tm.assert_almost_equal(result[nan_mask], expected[nan_mask]) def test_center_reindex_series(raw, series): # shifter index s = [f"x{x:d}" for x in range(12)] minp = 10 series_xp = ( series.reindex(list(series.index) + s) .rolling(window=25, min_periods=minp) .apply(f, raw=raw) .shift(-12) .reindex(series.index) ) series_rs = series.rolling(window=25, min_periods=minp, center=True).apply( f, raw=raw ) tm.assert_series_equal(series_xp, series_rs) def test_center_reindex_frame(raw, frame): # shifter index s = [f"x{x:d}" for x in range(12)] minp = 10 frame_xp = ( frame.reindex(list(frame.index) + s) .rolling(window=25, min_periods=minp) .apply(f, raw=raw) .shift(-12) .reindex(frame.index) ) frame_rs = frame.rolling(window=25, min_periods=minp, center=True).apply(f, raw=raw) tm.assert_frame_equal(frame_xp, frame_rs) def test_axis1(raw): # GH 45912 df = DataFrame([1, 2]) result = df.rolling(window=1, axis=1).apply(np.sum, raw=raw) expected = DataFrame([1.0, 2.0]) tm.assert_frame_equal(result, expected)