Sliding Slope
Calculates the linear slope on a given row, looking backwards for a user-defined window of periods.
Pass in a partition_col, an order_col, and a lookback window size.
NOTE: Your data should be a properly formatted timeseries dataset before applying this transformation. In other words, each period should only appear once, and periods considered zero should be imputed with 0 already. NOTE: Slope calculations are notoriously sensitive to large outliers, especially with smaller windows.
Example use case: On daily stock data, calculate SLOPE by TICKER, with a 14-period lookback window.
Parameters
Name | Type | Description | Is Optional |
---|---|---|---|
partition_col | column | Grouping column to calculate the slope within. | |
order_col | column | Column to order rows by when calculating the agg window. Slope automatically sorts ascending. | |
value_col | column | Column to calulate slope for. | |
window | int | Number of periods to use as a lookback period, to calculate slope. |
Example
Source Code
Last updated