def extrema(df,s): y = df.adj_close_price x = df.index threshold = len(df.log_ret[np.abs(df.log_ret-df.log_ret.mean())>=(s*df.log_ret.std())]) _max, _min = peakdetect(y, x, threshold) xm = pd.DatetimeIndex([p[0] for p in _max]) ym = [p[1] for p in _max] xn = pd.DatetimeIndex([p[0] for p in _min]) yn = [p[1] for p in _min] for i in xm: minima[i.date()] +=1 for j in xn: maxima[j.date()] +=1
