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The World’s <br>Greatest<br>Rolling Tutorial
</div>
<div class="cell" data-execution_count="80">
<div class="sourceCode cell-code" id="cb1"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb1-1"><a href="#cb1-1" aria-hidden="true" tabindex="-1"></a><span class="im">import</span> pandas <span class="im">as</span> pd</span>
<span id="cb1-2"><a href="#cb1-2" aria-hidden="true" tabindex="-1"></a><span class="im">import</span> plotly.express <span class="im">as</span> px</span>
<span id="cb1-3"><a href="#cb1-3" aria-hidden="true" tabindex="-1"></a><span class="im">import</span> plotly.io <span class="im">as</span> pio</span>
<span id="cb1-4"><a href="#cb1-4" aria-hidden="true" tabindex="-1"></a></span>
<span id="cb1-5"><a href="#cb1-5" aria-hidden="true" tabindex="-1"></a>pio.templates.default <span class="op">=</span> <span class="st">"plotly_white"</span></span>
<span id="cb1-6"><a href="#cb1-6" aria-hidden="true" tabindex="-1"></a>pio.renderers.default <span class="op">=</span> <span class="st">"svg"</span></span>
<span id="cb1-7"><a href="#cb1-7" aria-hidden="true" tabindex="-1"></a>samples_per_day <span class="op">=</span> <span class="dv">6</span></span>
<span id="cb1-8"><a href="#cb1-8" aria-hidden="true" tabindex="-1"></a>base_date_index <span class="op">=</span> pd.date_range(<span class="st">"2021-01-01"</span>, <span class="st">"2021-01-31"</span>, freq<span class="op">=</span><span class="st">"D"</span>)</span>
<span id="cb1-9"><a href="#cb1-9" aria-hidden="true" tabindex="-1"></a>base_date_index</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-display" data-execution_count="80">
<pre><code>DatetimeIndex(['2021-01-01', '2021-01-02', '2021-01-03', '2021-01-04',
'2021-01-05', '2021-01-06', '2021-01-07', '2021-01-08',
'2021-01-09', '2021-01-10', '2021-01-11', '2021-01-12',
'2021-01-13', '2021-01-14', '2021-01-15', '2021-01-16',
'2021-01-17', '2021-01-18', '2021-01-19', '2021-01-20',
'2021-01-21', '2021-01-22', '2021-01-23', '2021-01-24',
'2021-01-25', '2021-01-26', '2021-01-27', '2021-01-28',
'2021-01-29', '2021-01-30', '2021-01-31'],
dtype='datetime64[ns]', freq='D')</code></pre>
</div>
</div>
<div class="cell" data-execution_count="81">
<div class="sourceCode cell-code" id="cb3"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb3-1"><a href="#cb3-1" aria-hidden="true" tabindex="-1"></a>date_index <span class="op">=</span> base_date_index.tolist() <span class="op">*</span> samples_per_day</span>
<span id="cb3-2"><a href="#cb3-2" aria-hidden="true" tabindex="-1"></a>date_index.sort()</span>
<span id="cb3-3"><a href="#cb3-3" aria-hidden="true" tabindex="-1"></a>date_index[:<span class="dv">11</span>]</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-display" data-execution_count="81">
<pre><code>[Timestamp('2021-01-01 00:00:00', freq='D'),
Timestamp('2021-01-01 00:00:00', freq='D'),
Timestamp('2021-01-01 00:00:00', freq='D'),
Timestamp('2021-01-01 00:00:00', freq='D'),
Timestamp('2021-01-01 00:00:00', freq='D'),
Timestamp('2021-01-01 00:00:00', freq='D'),
Timestamp('2021-01-02 00:00:00', freq='D'),
Timestamp('2021-01-02 00:00:00', freq='D'),
Timestamp('2021-01-02 00:00:00', freq='D'),
Timestamp('2021-01-02 00:00:00', freq='D'),
Timestamp('2021-01-02 00:00:00', freq='D')]</code></pre>
</div>
</div>
<div class="cell" data-execution_count="82">
<div class="sourceCode cell-code" id="cb5"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb5-1"><a href="#cb5-1" aria-hidden="true" tabindex="-1"></a>categories <span class="op">=</span> [<span class="st">"A"</span>, <span class="st">"A"</span>, <span class="st">"A"</span>, <span class="st">"B"</span>, <span class="st">"B"</span>, <span class="st">"C"</span>] <span class="op">*</span> <span class="dv">31</span></span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
</div>
<div class="cell" data-execution_count="83">
<div class="sourceCode cell-code" id="cb6"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb6-1"><a href="#cb6-1" aria-hidden="true" tabindex="-1"></a>data <span class="op">=</span> pd.DataFrame([<span class="dv">1</span>] <span class="op">*</span> samples_per_day <span class="op">*</span> <span class="dv">31</span>, columns<span class="op">=</span>[<span class="st">"metric"</span>]).assign(</span>
<span id="cb6-2"><a href="#cb6-2" aria-hidden="true" tabindex="-1"></a> categories<span class="op">=</span>categories,</span>
<span id="cb6-3"><a href="#cb6-3" aria-hidden="true" tabindex="-1"></a> date<span class="op">=</span>date_index,</span>
<span id="cb6-4"><a href="#cb6-4" aria-hidden="true" tabindex="-1"></a>)</span>
<span id="cb6-5"><a href="#cb6-5" aria-hidden="true" tabindex="-1"></a><span class="bu">print</span>(data.shape)</span>
<span id="cb6-6"><a href="#cb6-6" aria-hidden="true" tabindex="-1"></a>data.head(<span class="dv">11</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-stdout">
<pre><code>(186, 3)</code></pre>
</div>
<div class="cell-output cell-output-display" data-execution_count="83">
<div>
<table class="dataframe table table-sm table-striped">
<thead>
<tr>
<th></th>
<th>metric</th>
<th>categories</th>
<th>date</th>
</tr>
</thead>
<tbody>
<tr>
<th>0</th>
<td>1</td>
<td>A</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>1</th>
<td>1</td>
<td>A</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>2</th>
<td>1</td>
<td>A</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>3</th>
<td>1</td>
<td>B</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>4</th>
<td>1</td>
<td>B</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>5</th>
<td>1</td>
<td>C</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>6</th>
<td>1</td>
<td>A</td>
<td>2021-01-02</td>
</tr>
<tr>
<th>7</th>
<td>1</td>
<td>A</td>
<td>2021-01-02</td>
</tr>
<tr>
<th>8</th>
<td>1</td>
<td>A</td>
<td>2021-01-02</td>
</tr>
<tr>
<th>9</th>
<td>1</td>
<td>B</td>
<td>2021-01-02</td>
</tr>
<tr>
<th>10</th>
<td>1</td>
<td>B</td>
<td>2021-01-02</td>
</tr>
</tbody>
</table>
</div>
</div>
</div>
<div class="cell" data-execution_count="86">
<div class="sourceCode cell-code" id="cb8"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb8-1"><a href="#cb8-1" aria-hidden="true" tabindex="-1"></a>_ <span class="op">=</span> data.groupby(<span class="st">"categories"</span>, as_index<span class="op">=</span><span class="va">False</span>).rolling(<span class="st">"7D"</span>, on<span class="op">=</span><span class="st">"date"</span>).<span class="bu">sum</span>()</span>
<span id="cb8-2"><a href="#cb8-2" aria-hidden="true" tabindex="-1"></a>_.head()</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-display" data-execution_count="86">
<div>
<table class="dataframe table table-sm table-striped">
<thead>
<tr>
<th></th>
<th>categories</th>
<th>metric</th>
<th>date</th>
</tr>
</thead>
<tbody>
<tr>
<th>0</th>
<td>A</td>
<td>1.0</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>1</th>
<td>A</td>
<td>2.0</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>2</th>
<td>A</td>
<td>3.0</td>
<td>2021-01-01</td>
</tr>
<tr>
<th>6</th>
<td>A</td>
<td>4.0</td>
<td>2021-01-02</td>
</tr>
<tr>
<th>7</th>
<td>A</td>
<td>5.0</td>
<td>2021-01-02</td>
</tr>
</tbody>
</table>
</div>
</div>
</div>
<p>For each group in the groupby, and for each window defined by rolling, pandas will roll sum all values inside of it.</p>
<p>2021-01-01 : 2021-01-07 is one window,</p>
<p>2021-01-02 : 2021-01-08 is another window…</p>
<p>However, it will <strong>not</strong> use the date as index, it will use the original index instead. If we have duplicated dates, we will have a problem.</p>
<div class="cell" data-execution_count="87">
<div class="sourceCode cell-code" id="cb9"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb9-1"><a href="#cb9-1" aria-hidden="true" tabindex="-1"></a>px.line(_, x<span class="op">=</span><span class="st">"date"</span>, y<span class="op">=</span><span class="st">"metric"</span>, color<span class="op">=</span><span class="st">"categories"</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-display">
<p><img src="rolling_files/figure-html/cell-7-output-1.svg" class="img-fluid"></p>
</div>
</div>
<p>Thats not what we wanted…</p>
<p><img src="https://media.tenor.com/PqgTNvSN8wIAAAAC/kermit-worried.gif" class="img-fluid"></p>
<p><code>%xmode</code> controls the verbosity level for exceptions.</p>
<div class="cell" data-execution_count="89">
<div class="sourceCode cell-code" id="cb10"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb10-1"><a href="#cb10-1" aria-hidden="true" tabindex="-1"></a><span class="op">%</span>xmode minimal</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
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<pre><code>Exception reporting mode: Minimal</code></pre>
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<div class="cell" data-execution_count="90">
<div class="sourceCode cell-code" id="cb12"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb12-1"><a href="#cb12-1" aria-hidden="true" tabindex="-1"></a>data.groupby([<span class="st">"categories"</span>, <span class="st">"date"</span>], as_index<span class="op">=</span><span class="va">False</span>).<span class="bu">sum</span>().groupby(</span>
<span id="cb12-2"><a href="#cb12-2" aria-hidden="true" tabindex="-1"></a> <span class="st">"categories"</span>, as_index<span class="op">=</span><span class="va">False</span></span>
<span id="cb12-3"><a href="#cb12-3" aria-hidden="true" tabindex="-1"></a>).rolling(<span class="st">"7D"</span>, on<span class="op">=</span><span class="st">"date"</span>).<span class="bu">sum</span>().head()</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-error">
<pre><code>ValueError: date must be monotonic</code></pre>
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<div class="cell" data-execution_count="91">
<div class="sourceCode cell-code" id="cb14"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb14-1"><a href="#cb14-1" aria-hidden="true" tabindex="-1"></a>_ <span class="op">=</span> data.groupby([<span class="st">"categories"</span>, <span class="st">"date"</span>], as_index<span class="op">=</span><span class="va">False</span>).<span class="bu">sum</span>().sort_values(<span class="st">"date"</span>).groupby(</span>
<span id="cb14-2"><a href="#cb14-2" aria-hidden="true" tabindex="-1"></a> <span class="st">"categories"</span>, as_index<span class="op">=</span><span class="va">False</span></span>
<span id="cb14-3"><a href="#cb14-3" aria-hidden="true" tabindex="-1"></a>).rolling(<span class="st">"7D"</span>, on<span class="op">=</span><span class="st">"date"</span>).<span class="bu">sum</span>()</span>
<span id="cb14-4"><a href="#cb14-4" aria-hidden="true" tabindex="-1"></a>_.head()</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-display" data-execution_count="91">
<div>
<table class="dataframe table table-sm table-striped">
<thead>
<tr>
<th></th>
<th>categories</th>
<th>date</th>
<th>metric</th>
</tr>
</thead>
<tbody>
<tr>
<th>0</th>
<td>A</td>
<td>2021-01-01</td>
<td>3.0</td>
</tr>
<tr>
<th>1</th>
<td>A</td>
<td>2021-01-02</td>
<td>6.0</td>
</tr>
<tr>
<th>2</th>
<td>A</td>
<td>2021-01-03</td>
<td>9.0</td>
</tr>
<tr>
<th>3</th>
<td>A</td>
<td>2021-01-04</td>
<td>12.0</td>
</tr>
<tr>
<th>4</th>
<td>A</td>
<td>2021-01-05</td>
<td>15.0</td>
</tr>
</tbody>
</table>
</div>
</div>
</div>
<div class="cell" data-execution_count="92">
<div class="sourceCode cell-code" id="cb15"><pre class="sourceCode python code-with-copy"><code class="sourceCode python"><span id="cb15-1"><a href="#cb15-1" aria-hidden="true" tabindex="-1"></a>px.line(_, x<span class="op">=</span><span class="st">"date"</span>, y<span class="op">=</span><span class="st">"metric"</span>, color<span class="op">=</span><span class="st">"categories"</span>)</span></code><button title="Copy to Clipboard" class="code-copy-button"><i class="bi"></i></button></pre></div>
<div class="cell-output cell-output-display">
<p><img src="rolling_files/figure-html/cell-11-output-1.svg" class="img-fluid"></p>
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