擅长:python、mysql、java
<p>只需取累计最高值的99%,并与当前价格进行比较:</p>
<pre><code>df = pd.DataFrame({"price":[95,100,103,105,104.5,101]}) #create price array
df['highest'] = df.cummax() #take the cumulative max
df['trailingstop'] = df['highest']*0.99 #subtract 1% of the max
df['exit_signal'] = df['price'] < df['trailingstop'] #generate exit signal
Out[1]:
price highest trailingstop exit_signal
0 95.0 95.0 94.05 False
1 100.0 100.0 99.00 False
2 103.0 103.0 101.97 False
3 105.0 105.0 103.95 False
4 104.5 105.0 103.95 False
5 101.0 105.0 103.95 True
</code></pre>