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FrederikBussler/gist:4bbe63dff2598eaa247f3fe73b2beea8

Created December 22, 2019 09:09
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Momentum
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gistfile1.txt
df['returns'] = np.log(df['closeAsk'] / df['closeAsk'].shift(1)) # 12
cols = [] # 13
for momentum in [15, 30, 60, 120]: # 14
col = 'position_%s' % momentum # 15
df[col] = np.sign(df['returns'].rolling(momentum).mean()) # 16
cols.append(col) # 17
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