Directional-Change Events in python.py

def dc(ohlcv, thresh=0.005):
    upturn_event = True
    p_h = p_l = ohlcv['close'][0]
    dc_ranges = defaultdict(list)
    tuples = tuple(ohlcv.itertuples())
    
    # here we find the timedelta between the timeseries index, 1 and 0, so 1 day for daily data
    step = tuples[1].Index - tuples[0].Index
    
    # loop over tuples of ohlcv and time as Index,
    # I name variables in the style of the paper http://www.economics-ejournal.org/economics/journalarticles/2012-36
    # Algorithm 1 on page 9 of 19
    for i, t in enumerate(tuples):
        p_t = t.close
        if upturn_event:
            if p_t <= p_h * (1 - thresh):
                upturn_event = False
                p_l = p_t
                
                # Here is where I think I've made my mistake, instead of appending the dates to a list,
                # there needs to be alternative logic in order to create the proper start/end ranges for both the
                # DC event and the overshoot...
                dc_ranges['t_dt_end'].append(t.Index)
                dc_ranges['t_dos_start'].append(t.Index + step)
            else:
                if p_h < p_t:
                    p_h = p_t
                    dc_ranges['t_dt_start'].append(t.Index)
                    dc_ranges['t_uos_end'].append(t.Index - step)

        else: # if we're in a downturn
            if p_t >= p_l * (1 + thresh):
                upturn_event = True
                p_h = p_t
                dc_ranges['t_ut_end'].append(t.Index)
                dc_ranges['t_uos_start'].append(t.Index + step)
            else:
                if p_l > p_t:
                    p_l = p_t
                    dc_ranges['t_ut_start'].append(t.Index)
                    dc_ranges['t_dos_end'].append(t.Index - step)

    index = None
    for k,v in dc_ranges.items():
        dc_ranges[k] = sorted(v)
        try:
            index = index.union(DatetimeIndex(v))
        except:
            index = DatetimeIndex(v)

    up = zip(dc_ranges['t_ut_start'], dc_ranges['t_ut_end'])
    down = zip(dc_ranges['t_dt_start'], dc_ranges['t_dt_end'])
    up_os = zip(dc_ranges['t_uos_start'], dc_ranges['t_uos_end'])
    down_os = zip(dc_ranges['t_dos_start'], dc_ranges['t_dos_end'])

    out = {
            'up': up,
            'down': down,
            'up_os': up_os,
            'down_os': down_os,
            'index': index 
          }
    return dc_ranges