[Numpy-discussion] trailing max

John Hunter jdh2358@gmail....
Tue Oct 30 12:31:41 CDT 2007

In financial time series, it is very common to keep track of things
like a trailing N day max, trailing N day average, etc.  Generally,
for a 1D array x, I'd like to be able to efficiently compute a new
len(x) vector where y[i] = func(x[i-N:])  and I need to be able to
handle edge effects (eg where i<N).  I'm thinking of writing some
extension code to handle this, but since this is a common task, I
thought I'd elicit some suggestions about how to best handle this.
One approach might to create a very large 2D array with each row the
appropriate masked (to handle edge effects) shifted array, and then
one could do sums and maxes over the columns.  For a length 1000
vector with a max lag of 250, you'd have 250K elements, which is
probably manageable, but I'm still not sure how to best create this
shifted array and if there are better approaches.


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