<p>一些假设,仅此而已:D。。。你知道吗</p>
<pre><code>import datetime,numpy as np,pandas as pd;
nan = np.nan;
a = pd.DataFrame( {'price': {datetime.time(9, 0): 1, datetime.time(10, 0): 0, datetime.time(11, 0): 3, datetime.time(12, 0): 4, datetime.time(13, 0): 7, datetime.time(14, 0): 6, datetime.time(15, 0): 5, datetime.time(16, 0): 4, datetime.time(17, 0): 2, datetime.time(18, 0): 2, datetime.time(19, 0): 4, datetime.time(20, 0): 8}, 'reversal': {datetime.time(9, 0): nan, datetime.time(10, 0): nan, datetime.time(11, 0): nan, datetime.time(12, 0): nan, datetime.time(13, 0): nan,
datetime.time(14, 0): 6.0, datetime.time(15, 0): nan, datetime.time(16, 0): nan, datetime.time(17, 0): nan, datetime.time(18, 0): nan, datetime.time(19, 0): nan, datetime.time(20, 0): nan}});
a['target_hit_time']=a['target_miss_time']=nan;
a['target1']=a['reversal']+1;
a['target2']=a['reversal']-a['reversal'];
a.sort_index(1,inplace=True);
hits = a.ix[:,:-2].dropna();
for row,hit in hits.iterrows():
forwardRows = a[a.index.values > row];
targetHit = hit['target1']<=forwardRows['price'].values;
targetMiss = hit['target2']==forwardRows['price'].values;
targetHit = forwardRows[targetHit].head(1).index.values;
targetMiss = forwardRows[targetMiss].head(1).index.values;
targetHit, targetMiss = \
targetHit[0] if targetHit else [], \
targetMiss[0] if targetMiss else [];
goMiss,goHit = False,False
if targetHit and targetMiss:
if targetHit>targetMiss: goMiss=True;
else: goHit=True;
elif targetHit and not targetMiss:goHit = True;
elif not targetHit and targetMiss:goMiss = True;
if goMiss:a.loc[row,"target_miss_time"] = targetMiss;
elif goHit:a.loc[row,"target_hit_time"] = targetHit;
print '#'*50
print a
'''
##################################################
price reversal target1 target2 target_hit_time target_miss_time
09:00:00 1 NaN NaN NaN NaN NaN
10:00:00 0 NaN NaN NaN NaN NaN
11:00:00 3 NaN NaN NaN NaN NaN
12:00:00 4 NaN NaN NaN NaN NaN
13:00:00 7 NaN NaN NaN NaN NaN
14:00:00 6 6.0 7.0 0.0 20:00:00 NaN
15:00:00 5 NaN NaN NaN NaN NaN
16:00:00 4 NaN NaN NaN NaN NaN
17:00:00 2 NaN NaN NaN NaN NaN
18:00:00 2 NaN NaN NaN NaN NaN
19:00:00 4 NaN NaN NaN NaN NaN
20:00:00 8 NaN NaN NaN NaN NaN
'''
</code></pre>