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Adding ewmMean, ewmStd, ewmVar #129

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merged 7 commits into from
Oct 15, 2023
Merged

Adding ewmMean, ewmStd, ewmVar #129

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35bc29c
Adding ewmMean, ewmStd, ewmVar
Bidek56 Oct 4, 2023
091c660
Merge remote-tracking branch 'origin/main' into issue-126
Bidek56 Oct 12, 2023
77d4515
Converting to JS/TS doc syntax
Bidek56 Oct 13, 2023
79ae26e
Linting fixes
Bidek56 Oct 13, 2023
ce1a668
Adding EwmOps to shared traits
Bidek56 Oct 13, 2023
4264b64
Removing duplicate code, adjusting params
Bidek56 Oct 13, 2023
8f0cb8e
Moving tests from series to expr
Bidek56 Oct 14, 2023
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146 changes: 146 additions & 0 deletions __tests__/expr.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -1988,3 +1988,149 @@ describe("Round<T>", () => {
expect(exprFn).toThrow();
});
});

describe("EWM", () => {
test("ewmMean", () => {
let s = pl.Series("s", [2, 5, 3]);
let df = pl.DataFrame([s]);
let expected = pl.DataFrame({ s, ewmMean: [2.0, 4.0, 3.4285714285714284] });

let seriesActual = df.getColumn("s").ewmMean().rename("ewmMean");
let actual = df.withColumn(col("s").ewmMean().as("ewmMean"));

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmMean"));

seriesActual = df
.getColumn("s")
.ewmMean({ alpha: 0.5, adjust: true, ignoreNulls: true })
.rename("ewmMean");
actual = df.withColumn(
col("s")
.ewmMean({ alpha: 0.5, adjust: true, ignoreNulls: true })
.as("ewmMean"),
);

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmMean"));

seriesActual = df
.getColumn("s")
.ewmMean({ alpha: 0.5, adjust: false, ignoreNulls: true })
.rename("ewmMean");
actual = df.withColumn(
col("s")
.ewmMean({ alpha: 0.5, adjust: false, ignoreNulls: true })
.as("ewmMean"),
);

expected = pl.DataFrame({ s, ewmMean: [2.0, 3.5, 3.25] });
expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmMean"));

seriesActual = df
.getColumn("s")
.ewmMean(0.5, false, 1, true)
.rename("ewmMean");
actual = df.withColumn(col("s").ewmMean(0.5, false, 1, true).as("ewmMean"));

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmMean"));

s = pl.Series("a", [2, 3, 5, 7, 4]);
df = pl.DataFrame([s]);

seriesActual = df
.getColumn("a")
.ewmMean({ adjust: true, minPeriods: 2, ignoreNulls: true })
.round(5)
.rename("ewmMean");
actual = df.withColumn(
col("a")
.ewmMean({ adjust: true, minPeriods: 2, ignoreNulls: true })
.round(5)
.as("ewmMean"),
);

expected = pl.DataFrame({ ewmMean: [null, 2.66667, 4, 5.6, 4.77419], s });
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmMean"));
});

test("ewmStd", () => {
const s = pl.Series("s", [2, 5, 3]);
const df = pl.DataFrame([s]);
const expected = pl.DataFrame({ s, ewmStd: [0, 2.12132, 1.38873] });

let seriesActual = df.getColumn("s").ewmStd().round(5).rename("ewmStd");
let actual = df.withColumn(col("s").ewmStd().round(5).as("ewmStd"));

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmStd"));

seriesActual = df
.getColumn("s")
.ewmStd({ alpha: 0.5, adjust: true, ignoreNulls: true })
.round(5)
.rename("ewmStd");
actual = df.withColumn(
col("s")
.ewmStd({ alpha: 0.5, adjust: true, ignoreNulls: true })
.round(5)
.as("ewmStd"),
);

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmStd"));

seriesActual = df
.getColumn("s")
.ewmStd(0.5, true, 1, false)
.round(5)
.rename("ewmStd");
actual = df.withColumn(
col("s").ewmStd(0.5, true, 1, false).round(5).as("ewmStd"),
);

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmStd"));
});

test("ewmVar", () => {
const s = pl.Series("s", [2, 5, 3]);
const df = pl.DataFrame([s]);
const expected = pl.DataFrame({ s, ewmVar: [0, 4.5, 1.92857] });

let seriesActual = df.getColumn("s").ewmVar().round(5).rename("ewmVar");
let actual = df.withColumn(col("s").ewmVar().round(5).as("ewmVar"));

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmVar"));

seriesActual = df
.getColumn("s")
.ewmVar({ alpha: 0.5, adjust: true, ignoreNulls: true })
.round(5)
.rename("ewmVar");
actual = df.withColumn(
col("s")
.ewmVar({ alpha: 0.5, adjust: true, ignoreNulls: true })
.round(5)
.as("ewmVar"),
);

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmVar"));

seriesActual = df
.getColumn("s")
.ewmVar(0.5, true, 1, false)
.round(5)
.rename("ewmVar");
actual = df.withColumn(
col("s").ewmVar(0.5, true, 1, false).round(5).as("ewmVar"),
);

expect(actual).toFrameEqual(expected);
expect(seriesActual).toSeriesEqual(expected.getColumn("ewmVar"));
});
});
114 changes: 114 additions & 0 deletions polars/lazy/expr/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -20,6 +20,7 @@ import {
Round,
Sample,
Serialize,
EwmOps,
} from "../../shared_traits";
import { InterpolationMethod, FillNullStrategy, RankMethod } from "../../types";
/**
Expand All @@ -32,6 +33,7 @@ export interface Expr
Cumulative<Expr>,
Sample<Expr>,
Round<Expr>,
EwmOps<Expr>,
Serialize {
/** @ignore */
_expr: any;
Expand Down Expand Up @@ -140,6 +142,7 @@ export interface Expr
* @param other Expression to compute dot product with
*/
dot(other: any): Expr;

/**
* Exclude certain columns from a wildcard/regex selection.
*
Expand Down Expand Up @@ -727,6 +730,117 @@ export const _Expr = (_expr: any): Expr => {

return _Expr(_expr.dot(expr));
},
ewmMean(
opts: {
alpha?: number;
adjust?: boolean;
minPeriods?: number;
bias?: boolean;
ignoreNulls?: boolean;
},
adjust?: boolean,
minPeriods?: number,
bias?: boolean,
ignoreNulls?: boolean,
) {
if (opts) {
if (typeof opts === "number") {
return wrap(
"ewmMean",
opts,
adjust ?? true,
minPeriods ?? 1,
bias ?? false,
ignoreNulls ?? true,
);
} else {
return wrap(
"ewmMean",
opts.alpha ?? 0.5,
opts.adjust ?? true,
opts.minPeriods ?? 1,
opts.bias ?? false,
opts.ignoreNulls ?? true,
);
}
} else {
return wrap("ewmMean", 0.5, true, 1, false, true);
}
},
ewmStd(
opts: {
alpha?: number;
adjust?: boolean;
minPeriods?: number;
bias?: boolean;
ignoreNulls?: boolean;
},
adjust?: boolean,
minPeriods?: number,
bias?: boolean,
ignoreNulls?: boolean,
) {
if (opts) {
if (typeof opts === "number") {
return wrap(
"ewmStd",
opts,
adjust ?? true,
minPeriods ?? 1,
bias ?? false,
ignoreNulls ?? true,
);
} else {
return wrap(
"ewmStd",
opts.alpha ?? 0.5,
opts.adjust ?? true,
opts.minPeriods ?? 1,
opts.bias ?? false,
opts.ignoreNulls ?? true,
);
}
} else {
return wrap("ewmStd", 0.5, true, 1, false, true);
}
},
ewmVar(
opts: {
alpha?: number;
adjust?: boolean;
minPeriods?: number;
bias?: boolean;
ignoreNulls?: boolean;
},
adjust?: boolean,
minPeriods?: number,
bias?: boolean,
ignoreNulls?: boolean,
) {
if (opts) {
if (typeof opts === "number") {
return wrap(
"ewmVar",
opts,
adjust ?? true,
minPeriods ?? 1,
bias ?? false,
ignoreNulls ?? true,
);
} else {
return wrap(
"ewmVar",
opts.alpha ?? 0.5,
opts.adjust ?? true,
opts.minPeriods ?? 1,
opts.bias ?? false,
opts.ignoreNulls ?? true,
);
}
} else {
return wrap("ewmVar", 0.5, true, 1, false, true);
}
},
exclude(...columns) {
return _Expr(_expr.exclude(columns.flat(2)));
},
Expand Down
11 changes: 11 additions & 0 deletions polars/series/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@ import {
Round,
Sample,
Serialize,
EwmOps,
} from "../shared_traits";
import { col } from "../lazy/functions";
import { InterpolationMethod, RankMethod } from "../types";
Expand All @@ -32,6 +33,7 @@ export interface Series
Cumulative<Series>,
Round<Series>,
Sample<Series>,
EwmOps<Series>,
Serialize {
inner(): any;
name: string;
Expand Down Expand Up @@ -1265,6 +1267,15 @@ export function _Series(_s: any): Series {
equals(field: Series) {
return this.eq(field);
},
ewmMean(...args) {
return expr_op("ewmMean", ...args);
},
ewmStd(...args) {
return expr_op("ewmStd", ...args);
},
ewmVar(...args) {
return expr_op("ewmVar", ...args);
},
explode() {
return wrap("explode");
},
Expand Down
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