Created
October 18, 2018 19:17
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FlintCase5
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| from ts.flint import udf | |
| @udf('double', arg_type='numpy') | |
| def decayed(columns): | |
| v = columns[0] | |
| decay = np.power(0.5, np.arange(len(v)))[::-1] | |
| return (v * decay).sum() | |
| sp500_decayed_return = sp500_joined_return.summarizeWindows( | |
| window = windows.past_absolute_time('7day'), | |
| summarizer = {'previous_day_decayed_return': | |
| decayed(sp500_joined_return[['previous_day_return']])}) |
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