跨期滚动时(以滚动20期为例),计算滚动期的累计投入(total_invest)与clsprc相乘后的求和。累计投入即为100、200、300……2000,类似于加权相乘,再求和。不清楚是用循环还是矩阵,数据如下:
date week invest clsprc
2005-01-13 2005w2 100 1.013945
2005-01-20 2005w3 100 .9592328
2005-01-27 2005w4 100 1.019232
2005-02-03 2005w5 100 1.019074
2005-02-17 2005w7 100 1.027577
2005-02-24 2005w8 100 1.024348
2005-03-03 2005w9 100 .9830219
2005-03-10 2005w10 100 .9948429
2005-03-17 2005w11 100 .9710977
2005-03-24 2005w12 100 .9717382
2005-03-31 2005w13 100 .9765754
2005-04-07 2005w14 100 1.045139
2005-04-14 2005w15 100 1.002275
2005-04-21 2005w16 100 .9564424
2005-04-28 2005w17 100 .9979767
2005-05-12 2005w19 100 .940291
2005-05-19 2005w20 100 .9981373
2005-05-26 2005w21 100 .9696438
2005-06-02 2005w22 100 .9545683
2005-06-09 2005w23 100 1.11513
2005-06-16 2005w24 100 .9634451
2005-06-23 2005w25 100 1.016298
2005-06-30 2005w26 100 .9833477
2005-07-07 2005w27 100 .9613516
2005-07-14 2005w28 100 1.005753
2005-07-21 2005w29 100 .9934086
2005-07-28 2005w30 100 1.055569
2005-08-04 2005w31 100 1.014884
2005-08-11 2005w32 100 1.055124
2005-08-18 2005w33 100 .965073
2005-08-25 2005w34 100 1.010264
2005-09-01 2005w35 100 1.015525
2005-09-08 2005w36 100 1.011349
2005-09-15 2005w37 100 1.01499
2005-09-22 2005w38 100 .9522174
2005-09-29 2005w39 100 .9920933
2005-10-13 2005w41 100 1.000579
2005-10-20 2005w42 100 .9818985
2005-10-27 2005w43 100 .973264
2005-11-03 2005w44 100 .99855
2005-11-10 2005w45 100 .986725
2005-11-17 2005w46 100 .9996408
2005-11-24 2005w47 100 1.021828
2005-12-01 2005w48 100 .990448
2005-12-08 2005w49 100 1.001134
2005-12-15 2005w50 100 1.025593
2005-12-22 2005w51 100 1.013743
2005-12-29 2005w52 100 1.025618
2006-01-05 2006w1 100 1.029076
2006-01-12 2006w2 100 1.025638