60 Feature Engineering Operations: Using Custom Aggregate Functions【Favorites】

参考资料：https://mp.weixin.qq.com/s/ezLKKvw4G1pQv3SiBy6X-A

简介

agg是一个聚合函数,使用指定轴上的一个或多个操作进行聚合.通过agg函数,可以同时对多列进行提取特征,非常适合用于特征工程.

内置的聚合函数

在Pandas内部支持了13中聚合函数,可以在分组之后进行使用：

• mean()：分组均值
• sum()：分组求和
• size()：分组个数
• count()：分组大小
• std()：分组标准差
• var()：分组方差
• sem()：均值误差
• describe()：分组描述
• first()：分组第一个元素
• last()：分组最后一个元素
• nth()：分组第N个元素
• min()：分组最小值
• max()：分组最大值

案例如下,有多种使用方式可供选择：

# 定义模型
df = pd.DataFrame({
    'group':[1,1,2,2],
  'values':[4,1,1,2],
  'values2':[0,1,1,2]
})

# 分组对两列求均值
df.groupby('group').mean()

# 分组对两列求均值、标准差
df.groupby('group').agg([np.mean,np.std])

# 分组对两列分别聚合
df.groupby('group').agg(
  {
    'values':['mean','median'],
  'values2':['mean','std']}
)

自定义聚合函数

如果在Pandas内部的聚合函数不满足要求,也可以自定义聚合函数搭配使用

median

def median(x):
    return np.median(x)

variation_coefficient

def variation_coefficient(x):
    mean = np.mean(x)
    if mean != 0:
        return np.std(x) / mean
    else:
        return np.nan

variance

def variance(x):
    return np.var(x)

skewness

def skewness(x):
    if not isinstance(x, pd.Series):
        x = pd.Series(x)
    return pd.Series.skew(x)

kurtosis

def kurtosis(x):
    if not isinstance(x, pd.Series):
        x = pd.Series(x)
    return pd.Series.kurtosis(x)

standard_deviation

def standard_deviation(x):
    return np.std(x)

large_standard_deviation

def large_standard_deviation(x):
    if (np.max(x)-np.min(x)) == 0:
        return np.nan
    else:
        return np.std(x)/(np.max(x)-np.min(x))

variation_coefficient

def variation_coefficient(x):
    mean = np.mean(x)
    if mean != 0:
        return np.std(x) / mean
    else:
        return np.nan

variance_std_ratio

def variance_std_ratio(x):
    y = np.var(x)
    if y != 0:
        return y/np.sqrt(y)
    else:
        return np.nan

ratio_beyond_r_sigma

def ratio_beyond_r_sigma(x, r):
    if x.size == 0:
        return np.nan
    else:
        return np.sum(np.abs(x - np.mean(x)) > r * np.asarray(np.std(x))) / x.size

range_ratio

def range_ratio(x):
    mean_median_difference = np.abs(np.mean(x) - np.median(x))
    max_min_difference = np.max(x) - np.min(x)
    if max_min_difference == 0:
        return np.nan
    else:
        return mean_median_difference / max_min_difference

has_duplicate_max

def has_duplicate_max(x):
    return np.sum(x == np.max(x)) >= 2

has_duplicate_min

def has_duplicate_min(x):
    return np.sum(x == np.min(x)) >= 2

has_duplicate

def has_duplicate(x):
    return x.size != np.unique(x).size

count_duplicate_max

def count_duplicate_max(x):
    return np.sum(x == np.max(x))

count_duplicate_min

def count_duplicate_min(x):
    return np.sum(x == np.min(x))

count_duplicate

def count_duplicate(x):
    return x.size - np.unique(x).size

sum_values

def sum_values(x):
    if len(x) == 0:
        return 0
    return np.sum(x)

log_return

def log_return(list_stock_prices):
    return np.log(list_stock_prices).diff() 

realized_volatility

def realized_volatility(series):
    return np.sqrt(np.sum(series**2))

realized_abs_skew

def realized_abs_skew(series):
    return np.power(np.abs(np.sum(series**3)),1/3)

realized_skew

def realized_skew(series):
    return np.sign(np.sum(series**3))*np.power(np.abs(np.sum(series**3)),1/3)

realized_vol_skew

def realized_vol_skew(series):
    return np.power(np.abs(np.sum(series**6)),1/6)

realized_quarticity

def realized_quarticity(series):
    return np.power(np.sum(series**4),1/4)

count_unique

def count_unique(series):
    return len(np.unique(series))

count

def count(series):
    return series.size

maximum_drawdown

def maximum_drawdown(series):
    series = np.asarray(series)
    if len(series)<2:
        return 0
    k = series[np.argmax(np.maximum.accumulate(series) - series)]
    i = np.argmax(np.maximum.accumulate(series) - series)
    if len(series[:i])<1:
        return np.NaN
    else:
        j = np.max(series[:i])
    return j-k

maximum_drawup

def maximum_drawup(series):
    series = np.asarray(series)
    if len(series)<2:
        return 0

    series = - series
    k = series[np.argmax(np.maximum.accumulate(series) - series)]
    i = np.argmax(np.maximum.accumulate(series) - series)
    if len(series[:i])<1:
        return np.NaN
    else:
        j = np.max(series[:i])
    return j-k

drawdown_duration

def drawdown_duration(series):
    series = np.asarray(series)
    if len(series)<2:
        return 0

    k = np.argmax(np.maximum.accumulate(series) - series)
    i = np.argmax(np.maximum.accumulate(series) - series)
    if len(series[:i]) == 0:
        j=k
    else:
        j = np.argmax(series[:i])
    return k-j

drawup_duration

def drawup_duration(series):
    series = np.asarray(series)
    if len(series)<2:
        return 0

    series=-series
    k = np.argmax(np.maximum.accumulate(series) - series)
    i = np.argmax(np.maximum.accumulate(series) - series)
    if len(series[:i]) == 0:
        j=k
    else:
        j = np.argmax(series[:i])
    return k-j

max_over_min

def max_over_min(series):
    if len(series)<2:
        return 0
    if np.min(series) == 0:
        return np.nan
    return np.max(series)/np.min(series)

mean_n_absolute_max

def mean_n_absolute_max(x, number_of_maxima = 1):
    """ Calculates the arithmetic mean of the n absolute maximum values of the time series."""
    assert (
        number_of_maxima > 0
    ), f" number_of_maxima={
      number_of_maxima} which is not greater than 1"

    n_absolute_maximum_values = np.sort(np.absolute(x))[-number_of_maxima:]

    return np.mean(n_absolute_maximum_values) if len(x) > number_of_maxima else np.NaN

count_above

def count_above(x, t):
    if len(x)==0:
        return np.nan
    else:
        return np.sum(x >= t) / len(x)

count_below

def count_below(x, t):
    if len(x)==0:
        return np.nan
    else:
        return np.sum(x <= t) / len(x)

number_peaks

def number_peaks(x, n):
    x_reduced = x[n:-n]

    res = None
    for i in range(1, n + 1):
        result_first = x_reduced > _roll(x, i)[n:-n]

        if res is None:
            res = result_first
        else:
            res &= result_first

        res &= x_reduced > _roll(x, -i)[n:-n]
    return np.sum(res)

mean_abs_change

def mean_abs_change(x):
    return np.mean(np.abs(np.diff(x)))

mean_change

def mean_change(x):
    x = np.asarray(x)
    return (x[-1] - x[0]) / (len(x) - 1) if len(x) > 1 else np.NaN

mean_second_derivative_central

def mean_second_derivative_central(x):
    x = np.asarray(x)
    return (x[-1] - x[-2] - x[1] + x[0]) / (2 * (len(x) - 2)) if len(x) > 2 else np.NaN

root_mean_square

def root_mean_square(x):
    return np.sqrt(np.mean(np.square(x))) if len(x) > 0 else np.NaN

absolute_sum_of_changes

def absolute_sum_of_changes(x):
    return np.sum(np.abs(np.diff(x)))

longest_strike_below_mean

def longest_strike_below_mean(x):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.max(_get_length_sequences_where(x < np.mean(x))) if x.size > 0 else 0

longest_strike_above_mean

def longest_strike_above_mean(x):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.max(_get_length_sequences_where(x > np.mean(x))) if x.size > 0 else 0

count_above_mean

def count_above_mean(x):
    m = np.mean(x)
    return np.where(x > m)[0].size

count_below_mean

def count_below_mean(x):
    m = np.mean(x)
    return np.where(x < m)[0].size

last_location_of_maximum

def last_location_of_maximum(x):
    x = np.asarray(x)
    return 1.0 - np.argmax(x[::-1]) / len(x) if len(x) > 0 else np.NaN

first_location_of_maximum

def first_location_of_maximum(x):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.argmax(x) / len(x) if len(x) > 0 else np.NaN

last_location_of_minimum

def last_location_of_minimum(x):
    x = np.asarray(x)
    return 1.0 - np.argmin(x[::-1]) / len(x) if len(x) > 0 else np.NaN

first_location_of_minimum

def first_location_of_minimum(x):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.argmin(x) / len(x) if len(x) > 0 else np.NaN

percentage_of_reoccurring_values_to_all_values

def percentage_of_reoccurring_values_to_all_values(x):
    if len(x) == 0:
        return np.nan
    unique, counts = np.unique(x, return_counts=True)
    if counts.shape[0] == 0:
        return 0
    return np.sum(counts > 1) / float(counts.shape[0])

percentage_of_reoccurring_datapoints_to_all_datapoints

def percentage_of_reoccurring_datapoints_to_all_datapoints(x):
    if len(x) == 0:
        return np.nan
    if not isinstance(x, pd.Series):
        x = pd.Series(x)
    value_counts = x.value_counts()
    reoccuring_values = value_counts[value_counts > 1].sum()
    if np.isnan(reoccuring_values):
        return 0

    return reoccuring_values / x.size

sum_of_reoccurring_values

def sum_of_reoccurring_values(x):
    unique, counts = np.unique(x, return_counts=True)
    counts[counts < 2] = 0
    counts[counts > 1] = 1
    return np.sum(counts * unique)

sum_of_reoccurring_data_points

def sum_of_reoccurring_data_points(x):
    unique, counts = np.unique(x, return_counts=True)
    counts[counts < 2] = 0
    return np.sum(counts * unique)

ratio_value_number_to_time_series_length

def ratio_value_number_to_time_series_length(x):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    if x.size == 0:
        return np.nan

    return np.unique(x).size / x.size

abs_energy

def abs_energy(x):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.dot(x, x)

quantile

def quantile(x, q):
    if len(x) == 0:
        return np.NaN
    return np.quantile(x, q)

number_crossing_m

def number_crossing_m(x, m):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    # From https://stackoverflow.com/questions/3843017/efficiently-detect-sign-changes-in-python
    positive = x > m
    return np.where(np.diff(positive))[0].size

absolute_maximum

def absolute_maximum(x):
    return np.max(np.absolute(x)) if len(x) > 0 else np.NaN

value_count

def value_count(x, value):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    if np.isnan(value):
        return np.isnan(x).sum()
    else:
        return x[x == value].size

range_count

def range_count(x, min, max):
    return np.sum((x >= min) & (x < max))

mean_diff

def mean_diff(x):
    return np.nanmean(np.diff(x.values))