range

range_(x, w=Window(w=None, r=0))[source]

Range of series over given window

Parameters
  • x (Series) – series: timeseries

  • w (Union[Window, int]) – Window or int: number of observations and ramp up to use. e.g. Window(22, 10) where 22 is the window size

and 10 the ramp up value. Window size defaults to length of series. :rtype: Series :return: timeseries of range

Usage

Returns the range of the series (max - min) over rolling window:

\(R_t = max(X_{t-w+1}:X_t) - min(X_{t-w+1}:X_t)\)

where \(w\) is the size of the rolling window. If window is not provided, returns the range over the full series. If the window size is greater than the available data, will return range of all available values.

Examples

Range of price series over the last \(22\) observations:

>>> prices = generate_series(100)
>>> range_(prices, 22)

See also

min_() max_()