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Thursday, December 29, 2022

pandas calculate return by shifting timeseries index

 usually, we calculate the return with next row data by simply using df.Close.shift()

but if we want shifting by a specific time period, can try:

df['ret15min'] = (df.Close.shift(-15, freq="min") -df.Close)*100/df.Close

Posted by linkedin.com/in/maxtang at 11:19 PM No comments:
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