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Description
Ignore length check
when groupby, the data length changes.
If bottleneck could be the same as talib and not throw any errors, it would be great
import numpy as np
import pandas as pd
import talib as ta
import bottleneck as bn
pd._testing._N = 10
pd._testing._K = 4
df = pd._testing.makeTimeDataFrame()
df.iloc[:5, 2:] = np.nan
print(df)
"""
A B C D
2000-01-03 -0.871075 0.698964 NaN NaN
2000-01-04 -0.096067 0.305798 NaN NaN
2000-01-05 -1.691204 -1.157270 NaN NaN
2000-01-06 -1.538781 0.688315 NaN NaN
2000-01-07 -0.435411 0.337505 NaN NaN
2000-01-10 -0.874476 -0.291829 0.144669 0.594654
2000-01-11 0.613167 -0.082849 1.034253 -0.036335
2000-01-12 0.452147 0.610120 1.045389 1.367216
2000-01-13 0.401962 -0.193553 0.182087 -1.482994
2000-01-14 -1.078286 0.129149 0.491651 -0.000052
"""
df = pd.DataFrame(df.stack(), columns=['CLOSE'])
df.index.names = ['date', 'asset']
print(df.tail())
"""
CLOSE
date asset
2000-01-13 D -1.482994
2000-01-14 A -1.078286
B 0.129149
C 0.491651
D -0.000052
"""
df['SMA'] = df['CLOSE'].groupby('asset', group_keys=False).apply(lambda x: ta.SMA(x, 5))
df['move_mean'] = df['CLOSE'].groupby('asset', group_keys=False).apply(lambda x: pd.Series(bn.move_mean(x, 5), index=x.index))
print(df.tail())
"""
CLOSE SMA move_mean
date asset
2000-01-13 D -1.482994 NaN NaN
2000-01-14 A -1.078286 -0.097097 -0.097097
B 0.129149 0.034208 0.034208
C 0.491651 0.579610 0.579610
D -0.000052 0.088498 0.088498
"""
df['SMA'] = df['CLOSE'].groupby('asset', group_keys=False).apply(lambda x: ta.SMA(x, 8))
df['move_mean'] = df['CLOSE'].groupby('asset', group_keys=False).apply(lambda x: pd.Series(bn.move_mean(x, 8), index=x.index))
print(df.tail())
"""
df['move_mean'] = df['CLOSE'].groupby('asset', group_keys=False).apply(lambda x: pd.Series(bn.move_mean(x, 8), index=x.index))
^^^^^^^^^^^^^^^^^^
ValueError: Moving window (=8) must between 1 and 5, inclusive
"""
There may be two areas that need to be modified
https://github.com/pydata/bottleneck/blob/master/bottleneck/src/move_template.c#L993
https://github.com/pydata/bottleneck/blob/master/bottleneck/src/nonreduce_axis_template.c#L62
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