How to remove duplicated buy signal

Question

I’m testing my stock trading logic and I made a position column to check the buying / selling signal

df = pd.DataFrame({'position': [1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, -1.0, 1.0, 0.0, -1.0, -1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0]})

I want to replace 1.0 value occurs between 1.0 and -1.0 with 0.0, and replace -1.0 value occurs between -1.0 and 1.0 with 0.0

here is the desired output:

df = pd.DataFrame({'position': [1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, -1.0, 1.0, 0.0, -1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0]})

NOTE: the output only keeps the initial signal of 1.0 or -1.0

Asked By: Chung Joshua

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Source

Answer 1

can you show us what you tried to do and didn’t work, so we can help?
anyway, maybe start with a simple solution:

loop over the array
keep track of what you saw most recently: -1 or 1
change every entry that matches the most recent
deal with edge cases (eg. loop only from first non 0 to last non 0)

Answered By: Nadavo

Answer 2

Here is a basic implementation based on the approach described by the previous answer:

lastseen = 0

for n,el in enumerate(df["position"]):
    if lastseen == 0 and el == -1:
        raise Exception("Inconsistent data")
    
    if (el in [1, -1] and el != lastseen) or lastseen == 0:
        lastseen = el
    else:
        df["position"][n] = 0

I added the first check by considering the domain you described. If it’s not correct for your problem feel free to remove it

Answered By: Daniele Affinita

Answer 3

Vectorized solution that uses the capabilities of Pandas in full:

s = pd.Series([1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, -1.0, 1.0, 0.0, -1.0, -1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0])

s_ = s.mask(s == 0).ffill()
result = s.where(s_ != s_.shift(), 0)

print(pd.DataFrame({'input': s, 'result': result}))

Output:

    input  result
0     1.0     1.0
1     0.0     0.0
2     0.0     0.0
3     1.0     0.0
4     0.0     0.0
5     0.0     0.0
6     0.0     0.0
7     0.0     0.0
8     0.0     0.0
9     0.0     0.0
10   -1.0    -1.0
11    1.0     1.0
12    0.0     0.0
13   -1.0    -1.0
14   -1.0     0.0
15    0.0     0.0
16    0.0     0.0
17    0.0     0.0
18    0.0     0.0
19    0.0     0.0
20    1.0     1.0

Answered By: Mykola Zotko

How to remove duplicated buy signal

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