I am trying to calculate a percent change between 2 numbers in one column when a signal from another column is triggered.
The trigger can be found with np.where() but what I am having trouble with is the percent change. .pct_change does not work because if you .pct_change(-5) you get 16.03/20.35 and I want the number the opposite way 20.35/16.03. See table below. I have tried returning the array from the index in the np.where and adding it to an .iloc from the 'Close' column but it says I can't use that array to get an .iloc position. Can anyone help me solve this problem. Thank you.
IdxNum | Close | Signal (1s)
==============================
0 21.45 0
1 21.41 0
2 21.52 0
3 21.71 0
4 20.8 0
5 20.35 0
6 20.44 0
7 16.99 0
8 17.02 0
9 16.69 0
10 16.03 1<< 26.9% <<< 20.35/16.03-1 (df.Close[5]/df.Close[10]-1)
11 15.67 0
12 15.6 0
You can try this code block:
#Create DataFrame
df = pd.DataFrame({'IdxNum':range(13),
'Close':[21.45,21.41,21.52,21.71,20.8,20.35,20.44,16.99,17.02,16.69,16.03,15.67,15.6],
'Signal':[0] * 13})
df.ix[10,'Signal']=1
#Create a function that calculates the reqd diff
def cal_diff(row):
if(row['Signal']==1):
signal_index = int(row['IdxNum'])
row['diff'] = df.Close[signal_index-5]/df.Close[signal_index]-1
return row
#Create a column and apply that difference
df['diff'] = 0
df = df.apply(lambda x:cal_diff(x),axis=1)
In case you don't have IdxNum column, you can use the index to calculate difference
#Create DataFrame
df = pd.DataFrame({
'Close':[21.45,21.41,21.52,21.71,20.8,20.35,20.44,16.99,17.02,16.69,16.03,15.67,15.6],
'Signal':[0] * 13})
df.ix[10,'Signal']=1
#Calculate the reqd difference
df['diff'] = 0
signal_index = df[df['Signal']==1].index[0]
df.ix[signal_index,'diff'] = df.Close[signal_index-5]/df.Close[signal_index]-1