_performance.py 文件源码

def ar_window_compound(self):
        ts = self.pnl_compound_ratio("MS")
        result = pd.DataFrame([], index=ts.index.rename("time"))
        for key, value in self._column_names["M"].items():
            result[value[0]] = pd.rolling_sum(ts, key).apply(self.calculator_arithmetic_mean, axis=1)
        return result