Pandas Trade Signal Columns

I am trying to add columns showing a value of 1 where a trade signal is seen. I have put together the following test data to show what I am trying to do. Create test dataframe: im

Solution 1:

Hope this helps. I changed a bit in the data generation code.

import pandas as pd
import random
periods = 48*7
index = pd.date_range('2013-1-1',periods=periods,freq='30Min')
data = pd.DataFrame({'value':[random.randint(0,100)+i/10for i inrange(periods)], 'enter_long':[False]*periods, 'enter_short':[False]*periods}, index=index)
daystart = '9:30'
dayend = '16:14:59'
day_session = data.between_time(daystart,dayend, include_start=True, include_end=True)

day_high = day_session['value'].rolling(window=1,freq='D').max()
day_low = day_session['value'].rolling(window=1,freq='D').min()
print(day_high)

day high for seven week period

2013-01-01     97.12013-01-02    104.92013-01-03    109.72013-01-04    113.52013-01-05    104.32013-01-06    121.72013-01-07    113.6

day low for the same 7 day period

2013-01-01     9.02013-01-02     7.32013-01-03    13.52013-01-04    18.92013-01-05    24.52013-01-06    46.62013-01-07    42.

Finds signals

for i, date inenumerate(day_high.index):
    df_sub=data[data.index.day==date.day]
    d = df_sub[(df_sub.value>day_high[i]) | (df_sub.value<day_low[i])].iloc[0:1]
    try:
        if d.value[0]>day_high[i]:
            data.loc[d.index,'enter_long']=Trueelse:
            data.loc[d.index,'enter_short']=Trueexcept IndexError:
        print("No signals")

print(data[(data['enter_long']==True) | (data['enter_short']==True)])

Returns

enter_longenter_shortvalue2013-01-01 01:30:00      FalseTrue3.32013-01-02 07:30:00       TrueFalse105.32013-01-03 07:30:00      FalseTrue13.12013-01-04 01:00:00      FalseTrue17.62013-01-05 00:00:00      FalseTrue24.22013-01-06 02:00:00       TrueFalse123.42013-01-07 02:00:00       TrueFalse129.2