Chronological lagged rolling features

Question

Given a pandas DataFrame with unique asset/date pairs and a return column, compute each asset's previous three-observation mean, excluding the current row.

Short answer

Sort by asset and date, reject duplicate keys, then shift within each asset before rolling. Requiring three observations leaves the first three rows per asset unavailable. The mean is over observations, not necessarily three consecutive calendar days.

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Lessons behind this question

The Supervised Learning Problem and the ML Pipeline
Sample Spaces, Events, and the Probability Axioms
Conditional Probability, Total Probability, and Bayes' Rule

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