Pandas DataFrame 中的止损

如何解决Pandas DataFrame 中的止损

虽然这个问题与金融数据和算法交易有关，但我会尽量以最容易理解的方式来表述。

我有一个（非常大的）pandas DataFrame，我在这里展示了它的头部：

      Open     High      Low    Close     Volume      SMA1       SMA2  \
0  7228.80  7238.88  7225.64  7228.09  80.976766  7217.034  7197.7682   
1  7227.12  7233.84  7226.79  7232.77  35.869685  7218.304  7198.7750   
2  7232.06  7236.07  7229.65  7234.08  25.800914  7219.691  7199.8568   
3  7234.57  7234.97  7228.08  7232.30  60.018355  7221.072  7200.7492   
4  7232.61  7235.00  7229.70  7230.49  20.199962  7222.878  7201.5848   

    Vol_Diff  Buy Price  Stop Loss  Sell Price  Position  Buy Signal  \
0  49.797035          0          0           0         0           0   
1 -45.107081          0          0           0         0           0   
2 -10.068771          0          0           0         0           0   
3  34.217441          0          0           0         0           0   
4 -39.818393          0          0           0         0           0   

   Sell Signal  
0            0  
1            0  
2            0  
3            0  
4            0  

我想迭代并根据某些条件是否满足涉及 SMA1、SMA2 和 Vol_Diff 的条目我需要将买入信号更改为 1，将买入价格设置为收盘价，然后更改每个条目仓位为 1，直到我收到卖出信号（此条目更改为 1），此后仓位条目均为零。卖出信号来自止损条目，我希望这个止损根据“高”价格偏离（正）买入价的程度而改变。本质上，根据买入信号，我希望设置止损低于买入价 1%。如果最高价比买入价高出 1.5%，我希望止损移动到买入价并保持到它可能会随着最高价上涨 1.5%。这种动态变化是我最终想要改变的东西，使其更加动态并遵循累积最大值，但一次一个！当低价变得小于或等于止损价时，卖出信号就会出现，此时，正如我所说，一切都会重置，止损再次变为零。

这是我对迭代代码的尝试：

    if data['Position'][i-1] == 0:
        if (data['SMA1'][i-1] < data['SMA2'][i-1]) & (data['SMA1'][i] > data['SMA2'][i]) & (data['Vol_Diff'][i] > 0):
            data['Buy Signal'][i] = 1
            data['Buy Price'][i] = data['Open'][i]
            data['Stop Loss'][i] = data['Open'][i]*0.99
            data['Position'][i] = 1
        else:
            data['Buy Signal'][i] = 0
            data['Position'][i] = 0
    else:
        if (data['Stop Loss'][i-1] < data['High'][i]*0.974) & (data['Stop Loss'][i-1] > data['Low'][i]):
            data['Stop Loss'][i] = data['High'][i]*0.985
            data['Position'][i] = 1
        elif data['Low'][i] < data['Stop Loss'][i-1]:
            data['Sell Signal'][i] = 1
            data['Sell Price'][i] = data['Stop Loss'][i-1]
            data['Stop Loss'][i] = 0
            data['Position'][i] = 0
        else:
            data['Stop Loss'][i] = data['Stop Loss'][i-1]
            data['Position'][i] = 1

但 Python 似乎并不喜欢这个。我相当确定，就我想为该策略做的事情的基本逻辑而言，一切都是有道理的，但我显然在编码逻辑中犯了错误。这是我尝试运行它时得到的错误：

  File "/Users/charleyscotford/Machine_Learning/lib/python3.8/site-packages/pandas/core/indexes/base.py",line 3080,in get_loc
    return self._engine.get_loc(casted_key)
  File "pandas/_libs/index.pyx",line 70,in pandas._libs.index.IndexEngine.get_loc
  File "pandas/_libs/index.pyx",line 101,in pandas._libs.index.IndexEngine.get_loc
  File "pandas/_libs/hashtable_class_helper.pxi",line 1625,in pandas._libs.hashtable.Int64HashTable.get_item
  File "pandas/_libs/hashtable_class_helper.pxi",line 1632,in pandas._libs.hashtable.Int64HashTable.get_item
KeyError: -1

The above exception was the direct cause of the following exception:

Traceback (most recent call last):
  File "/Users/charleyscotford/PycharmProjects/Backtesting/main.py",line 59,in <module>
    if data['Position'][i-1] == 0:
  File "/Users/charleyscotford/Machine_Learning/lib/python3.8/site-packages/pandas/core/series.py",line 853,in __getitem__
    return self._get_value(key)
  File "/Users/charleyscotford/Machine_Learning/lib/python3.8/site-packages/pandas/core/series.py",line 961,in _get_value
    loc = self.index.get_loc(label)
  File "/Users/charleyscotford/Machine_Learning/lib/python3.8/site-packages/pandas/core/indexes/base.py",line 3082,in get_loc
    raise KeyError(key) from err
KeyError: -1

如果有人对我以后如何实施更动态的止损以密切关注高价有任何提示，我们将不胜感激。