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Dynamically Adjust Lookback Period
Sebastien Winsor, MFin
edited May 24, 2018

I am trying to dynamically adjust the lookback period of a pandas dataframe to run logic on different lengths of prices. As an easy example take an MA cross.

date        Prices  Diff    signal

20150101    8.5     -1.5    FALSE  
20150101    11.5    0.3     TRUE  
20150102    14.5    4.5     FALSE  
20150103    16.67   3.66    FALSE  
20150104    18      2       FALSE  
20150105    18.5    0.5     FALSE  
20150106    18.17   -2.17   TRUE  
20150107    17      -3      FALSE

Diff is the difference between 2 moving averages and signal identifies a cross with true/false. Numbers are arbitrary, just examples. There could be 10, 50, 100, etc rows between each signal.

Now I would like to run a regression on the prices for whatever length exists between signals, so at row 6 I would want prices[-4:], and row 8 I would want prices[-1:].

Edit: I have actually solved this problem, but my solution is not very elegant, so if anyone has suggestions let me know. Thank you

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