Hello,

This should work:

def myfunc(df):  
    trailing_high = []  
    max_val = 0.  
    for i in range(len(df)):  
        if np.isnan(df['signal'].loc[i]):  
            trailing_high.append(np.nan)  
            max_val = 0.  
            print('reset')  
        else:  
            if df['price'].loc[i] > max_val:  
                max_val = df['price'].loc[i]  
            trailing_high.append(max_val)  
    return pd.Series(trailing_high, index=df.index)


df2['trailing high'] = myfunc(df2)  

You are on the right track by looking at the cummax method. However, if applied to the entire dataframe it won't reset for each 'holding period' but rather keep registering the max for the entire dataframe. Not what is wanted (as was noted).

So, maybe don't apply this method to the entire dataframe but only to each 'holding period' group instead? The cummax method not only works over entire dataframes, but also over any user defined groups. By defining a group to be each range where the stock is held, one can effectively get just the cummax for that group.

Here's one way to get the trailing highs as expected. Start with df2 as defined above.

# Start with our original df2 dataframe  
# First add a group column which is simply the increment of the open signal  
df2['group'] = df2.signal.replace(-1, 0).cumsum()

# Next apply the cummax method to each group to get our trailing high  
df2['trailing_high'] = df2.groupby('group').price.cummax()

# Maybe clean up df2 by dropping the group column  
df2 = df2.drop(['group'], axis=1)

That should do it. Two or three lines. The dataframe 'df2' will look like the desired 'finaldf' .

The attached notebook goes into more detail why this works and shows the interim results. Hope that helps.

Thank you for the help! Both work! What if you have your entry signals (1), but your exit signal (-1) is based off the price relative to your trailing high? For example, if price ever falls below the trailing high (e.g. when 208 < 210), that would generate your exit signal (-1), and thus you'd be "out." Which then in turn would mean you would not be generating trailing highs until you get another entry signal (1) and you're back in the trade. I'm stuck because the exit signal is based off the trailing high, which is based off the exit signal.