Saturday, 8 July 2023

Find minimum and maximum values in OHLC data

I would like to find (in python) the local minimum and maximum values in OHLC data, under the condition that the distance between these values is at least +-5%.

The best way to explain what I would like to achieve is by a graphical example:

enter image description here

OHLC data is in this format:

open_time      open        high        low         close
2023-07-02  0.12800000  0.12800000  0.12090000  0.12390000
2023-07-03  0.12360000  0.13050000  0.12220000  0.12830000
2023-07-04  0.12830000  0.12830000  0.12320000  0.12410000
2023-07-05  0.12410000  0.12530000  0.11800000  0.11980000
2023-07-06  0.11990000  0.12270000  0.11470000  0.11500000

The result should be something like:

date1 val1 date2 val2 <---up
date2 val2 date3 val3 <---down
date3 val3 date4 val4 <---up
date4 val4 date5 val5 <---down
.
.
.

As for the data in the example the result should be:

2023-07-02  0.1280  2023-07-02  0.1209  -5.55%
2023-07-02  0.1209  2023-07-03  0.1305  7.94%
2023-07-03  0.1305  2023-07-06  0.1147  -12.11%

Is there a name for this task?



from Find minimum and maximum values in OHLC data

No comments:

Post a Comment