jim basquiat jim basquiat - 7 days ago 6
Python Question

python pandas - retrieve index timestamp value at cummax()

I am retrieving the cummax() value of the following dataframe,

exit_price trend netgain high low MFE_pr
exit_time
2000-02-01 01:00:00 1400.25 -1 1.00 1401.50 1400.25 1400.25
2000-02-01 01:30:00 1400.75 -1 0.50 1401.00 1399.50 1399.50
2000-02-01 02:00:00 1400.00 -1 1.25 1401.00 1399.75 1399.50
2000-02-01 02:30:00 1399.25 -1 2.00 1399.75 1399.25 1399.25
2000-02-01 03:00:00 1399.50 -1 1.75 1400.00 1399.50 1399.25
2000-02-01 03:30:00 1398.25 -1 3.00 1399.25 1398.25 1398.25
2000-02-01 04:00:00 1398.75 -1 2.50 1399.00 1398.25 1398.25
2000-02-01 04:30:00 1400.00 -1 1.25 1400.25 1399.00 1398.25
2000-02-01 05:00:00 1400.25 -1 1.00 1400.50 1399.25 1398.25
2000-02-01 05:30:00 1400.50 -1 0.75 1400.75 1399.50 1398.25


with the following formula

trade ['MFE_pr'] = np.nan
trade ['MFE_pr'] = trade ['MFE_pr'].where(trade ['trend']<0, trade.high.cummax())
trade ['MFE_pr'] = trade ['MFE_pr'].where(trade ['trend']>0, trade.low.cummin())


is there a way to retrieve the timestamp of the row at which cummax() is taken from for each row? something similar to .idxmax() but for cummax() ?

Answer

This is probably what you are looking for.

import pandas as pd
import datetime
df = pd.DataFrame({'a': [1, 2, 1, 3, 2, 5, 4, 3, 5]}, 
                  index=pd.DatetimeIndex(start=
                                         datetime.datetime.fromtimestamp(0),
                                        periods=9, freq='D'))
df['cummax'] = df.a.cummax()
df['timestamp'] = df.index
df = df.merge(df.groupby('cummax')[['timestamp']].first().reset_index(), on='cummax')
df.rename(columns={'timestamp_y': 'max_timestamp'}, inplace=True)
df.index=df.timestamp_x.values
del df['timestamp_x']
print(df)


                     a  cummax       max_timestamp
1970-01-01 03:00:00  1       1 1970-01-01 03:00:00
1970-01-02 03:00:00  2       2 1970-01-02 03:00:00
1970-01-03 03:00:00  1       2 1970-01-02 03:00:00
1970-01-04 03:00:00  3       3 1970-01-04 03:00:00
1970-01-05 03:00:00  2       3 1970-01-04 03:00:00
1970-01-06 03:00:00  5       5 1970-01-06 03:00:00
1970-01-07 03:00:00  4       5 1970-01-06 03:00:00
1970-01-08 03:00:00  3       5 1970-01-06 03:00:00
1970-01-09 03:00:00  5       5 1970-01-06 03:00:00
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