I have the following MultiIndex dataframe:
Close ATR condition
Date Symbol
1990-01-01 A 24 1 True
B 72 1 False
C 40 3 False
D 21 5 True
1990-01-02 A 65 4 True
B 19 2 True
C 43 3 True
D 72 1 False
1990-01-03 A 92 5 False
B 32 3 True
C 52 2 False
D 33 1 False
I perform the following calculation on this dataframe:
data.loc[data.index.levels[0][0], 'Shares'] = 0
data.loc[data.index.levels[0][0], 'Closed_P/L'] = 0
data = data.reset_index()
Equity = 10000
def calcs(x):
global Equity
# Skip first date
if x.index[0]==0: return x
# calculate Shares where condition is True
x.loc[x['condition'] == True, 'Shares'] = np.floor((Equity * 0.02 / x['ATR']).astype(float))
# other calulations
x['Closed_P/L'] = x['Shares'] * x['Close']
Equity += x['Closed_P/L'].sum()
return x
data = data.groupby('Date').apply(calcs)
data['Equity'] = data.groupby('Date')['Closed_P/L'].transform('sum')
data['Equity'] = data.groupby('Symbol')['Equity'].cumsum() + Equity
data = data.set_index(['Date','Symbol'])
The output is:
Close ATR condition Shares Closed_P/L Equity
Date Symbol
1990-01-01 A 24 1.2 True 0.0 0.0 10000.0
B 72 1.4 False 0.0 0.0 10000.0
C 40 3 False 0.0 0.0 10000.0
D 21 5 True 0.0 0.0 10000.0
1990-01-02 A 65 4 True 50.0 3250.0 17988.0
B 19 2 True 100.0 1900.0 17988.0
C 43 3 True 66.0 2838.0 17988.0
D 72 1 False NaN NaN 17988.0
1990-01-03 A 92 5 False NaN NaN 21796.0
B 32 3 True 119.0 3808.0 21796.0
C 52 2 False NaN NaN 21796.0
D 33 1 False NaN NaN 21796.0
I want to forward fill Shares values - grouped by Symbol - in case condition evaluates to False (except for first date). So the Shares value on 1990-01-02 for D should be 0 (because on 1990-01-01 the Shares value for D was 0 and the condition on 1990-01-02 is False). Also values for Shares on 1990-01-03 for A, C and D should be 50, 66 and 0 respectively based on the logic described above. How can I do that?
