Find intersection points for two stock timeseries

Question

Background

I am trying to find intersection points of two series. In this stock example, I would like to find the intersection points of SMA20 & SMA50. Simple Moving Average (SMA) is commonly used as stock indicators, combined with intersections and other strategies will help one to make decision. Below is the code example.

Code

You can run the following with jupyter .

import pandas as pd
import matplotlib.pyplot as plt

%matplotlib inline

datafile = 'output_XAG_D1_20200101_to_20200601.csv'
#This creates a dataframe from the CSV file:
data = pd.read_csv(datafile, index_col = 'Date')

#This selects the 'Adj Close' column
close = data['BidClose']
#This converts the date strings in the index into pandas datetime format:
close.index = pd.to_datetime(close.index)
close

sma20 = close.rolling(window=20).mean()
sma50 = close.rolling(window=50).mean()

priceSma_df = pd.DataFrame({
      'BidClose' : close,
      'SMA 20' : sma20,
      'SMA 50' : sma50
     })

priceSma_df.plot()
plt.show()

Sample Data

This is the data file used in example output_XAG_D1_20200101_to_20200601.csv

 Date,BidOpen,BidHigh,BidLow,BidClose,AskOpen,AskHigh,AskLow,AskClose,Volume 01.01.2020 22:00:00,1520.15,1531.26,1518.35,1527.78,1520.65,1531.75,1518.73,1531.73,205667 01.02.2020 22:00:00,1527.78,1553.43,1526.72,1551.06,1531.73,1553.77,1528.17,1551.53,457713 01.05.2020 22:00:00,1551.06,1588.16,1551.06,1564.4,1551.53,1590.51,1551.53,1568.32,540496 01.06.2020 22:00:00,1564.4,1577.18,1555.2,1571.62,1568.32,1577.59,1555.54,1575.56,466430 01.07.2020 22:00:00,1571.62,1611.27,1552.13,1554.79,1575.56,1611.74,1552.48,1558.72,987671 01.08.2020 22:00:00,1554.79,1561.24,1540.08,1549.78,1558.72,1561.58,1540.5,1553.73,473799 01.09.2020 22:00:00,1549.78,1563.0,1545.62,1562.44,1553.73,1563.41,1545.96,1562.95,362002 01.12.2020 22:00:00,1562.44,1562.44,1545.38,1545.46,1562.95,1563.06,1546.71,1549.25,280809 01.13.2020 22:00:00,1545.46,1548.77,1535.78,1545.1,1549.25,1549.25,1536.19,1548.87,378200 01.14.2020 22:00:00,1545.1,1558.04,1543.79,1554.89,1548.87,1558.83,1546.31,1558.75,309719 01.15.2020 22:00:00,1554.89,1557.98,1547.91,1551.18,1558.75,1558.75,1548.24,1554.91,253944 01.16.2020 22:00:00,1551.18,1561.12,1549.28,1556.68,1554.91,1561.55,1549.59,1557.15,239186 01.19.2020 22:00:00,1556.68,1562.69,1556.25,1560.77,1557.15,1562.97,1556.61,1561.17,92020 01.20.2020 22:00:00,1560.77,1568.49,1546.21,1556.8,1561.17,1568.87,1546.56,1558.5,364753 01.21.2020 22:00:00,1556.8,1559.18,1550.07,1558.59,1558.5,1559.47,1550.42,1559.31,238468 01.22.2020 22:00:00,1558.59,1567.83,1551.8,1562.45,1559.31,1568.16,1552.11,1564.17,365518 01.23.2020 22:00:00,1562.45,1575.77,1556.44,1570.39,1564.17,1576.12,1556.76,1570.87,368529 01.26.2020 22:00:00,1570.39,1588.41,1570.39,1580.51,1570.87,1588.97,1570.87,1582.33,510524 01.27.2020 22:00:00,1580.51,1582.93,1565.31,1567.15,1582.33,1583.3,1565.79,1570.62,384205 01.28.2020 22:00:00,1567.15,1577.93,1563.27,1576.7,1570.62,1578.22,1563.61,1577.25,328766 01.29.2020 22:00:00,1576.7,1585.87,1572.19,1573.23,1577.25,1586.18,1572.44,1575.33,522371 01.30.2020 22:00:00,1573.23,1589.98,1570.82,1589.75,1575.33,1590.37,1571.14,1590.31,482710 02.02.2020 22:00:00,1589.75,1593.09,1568.65,1575.62,1590.31,1595.82,1569.85,1578.35,488585 02.03.2020 22:00:00,1575.62,1579.56,1548.95,1552.55,1578.35,1579.87,1549.31,1556.4,393037 02.04.2020 22:00:00,1552.55,1562.3,1547.34,1554.62,1556.4,1562.64,1547.72,1556.42,473172 02.05.2020 22:00:00,1554.62,1568.14,1552.39,1565.08,1556.42,1568.51,1552.73,1567.0,365580 02.06.2020 22:00:00,1565.08,1574.02,1559.82,1570.11,1567.0,1574.33,1560.7,1570.55,424269 02.09.2020 22:00:00,1570.11,1576.9,1567.9,1571.05,1570.55,1577.25,1568.21,1573.34,326606 02.10.2020 22:00:00,1571.05,1573.92,1561.92,1566.12,1573.34,1574.27,1562.24,1568.12,310037 02.11.2020 22:00:00,1566.12,1570.39,1561.45,1564.26,1568.12,1570.71,1561.91,1567.02,269032 02.12.2020 22:00:00,1564.26,1578.24,1564.26,1574.5,1567.02,1578.52,1565.81,1576.63,368438 02.13.2020 22:00:00,1574.5,1584.87,1572.44,1584.49,1576.63,1585.29,1573.28,1584.91,250788 02.16.2020 22:00:00,1584.49,1584.49,1578.7,1580.79,1584.91,1584.91,1579.06,1581.31,101499 02.17.2020 22:00:00,1580.79,1604.97,1580.79,1601.06,1581.31,1605.33,1581.31,1603.08,321542 02.18.2020 22:00:00,1601.06,1612.83,1599.41,1611.27,1603.08,1613.4,1599.77,1613.34,357488 02.19.2020 22:00:00,1611.27,1623.62,1603.74,1618.48,1613.34,1623.98,1604.12,1621.27,535148 02.20.2020 22:00:00,1618.48,1649.26,1618.48,1643.42,1621.27,1649.52,1619.19,1643.87,590262 02.23.2020 22:00:00,1643.42,1689.22,1643.42,1658.62,1643.87,1689.55,1643.87,1659.07,1016570 02.24.2020 22:00:00,1658.62,1660.76,1624.9,1633.19,1659.07,1661.52,1625.5,1636.23,1222774 02.25.2020 22:00:00,1633.19,1654.88,1624.74,1640.4,1636.23,1655.23,1625.11,1642.59,1004692 02.26.2020 22:00:00,1640.4,1660.3,1635.15,1643.99,1642.59,1660.6,1635.6,1646.42,1084115 02.27.2020 22:00:00,1643.99,1649.39,1562.74,1584.95,1646.42,1649.84,1563.22,1585.58,1174015 03.01.2020 22:00:00,1584.95,1610.94,1575.29,1586.55,1585.58,1611.26,1575.88,1590.33,1115889 03.02.2020 22:00:00,1586.55,1649.16,1586.55,1640.19,1590.33,1649.6,1589.43,1644.16,889364 03.03.2020 22:00:00,1640.19,1652.81,1631.73,1635.95,1644.16,1653.51,1632.1,1639.05,589438 03.04.2020 22:00:00,1635.95,1674.51,1634.91,1669.36,1639.05,1674.9,1635.3,1672.83,643444 03.05.2020 22:00:00,1669.36,1692.1,1641.61,1673.89,1672.83,1692.65,1642.75,1674.46,1005737 03.08.2020 21:00:00,1673.89,1703.19,1656.98,1678.31,1674.46,1703.52,1657.88,1679.2,910166 03.09.2020 21:00:00,1678.31,1680.43,1641.37,1648.71,1679.2,1681.18,1641.94,1649.75,943377 03.10.2020 21:00:00,1648.71,1671.15,1632.9,1634.42,1649.75,1671.56,1633.31,1637.07,793816 03.11.2020 21:00:00,1634.42,1650.28,1560.5,1578.29,1637.07,1650.8,1560.92,1580.01,1009172 03.12.2020 21:00:00,1578.29,1597.85,1504.34,1528.99,1580.01,1598.36,1505.14,1530.09,1052940 03.15.2020 21:00:00,1528.99,1575.2,1451.08,1509.12,1530.09,1576.05,1451.49,1512.94,1196812 03.16.2020 21:00:00,1509.12,1553.91,1465.4,1528.57,1512.94,1554.21,1466.1,1529.43,1079729 03.17.2020 21:00:00,1528.57,1545.93,1472.49,1485.85,1529.43,1546.74,1472.99,1486.75,976857 03.18.2020 21:00:00,1485.85,1500.68,1463.49,1471.89,1486.75,1501.6,1464.64,1474.16,833803 03.19.2020 21:00:00,1471.89,1516.07,1454.46,1497.01,1474.16,1516.57,1455.93,1497.82,721471 03.22.2020 21:00:00,1497.01,1560.86,1482.21,1551.45,1497.82,1561.65,1483.22,1553.09,707830 03.23.2020 21:00:00,1551.45,1631.23,1551.45,1621.05,1553.09,1638.75,1553.09,1631.35,164862 03.24.2020 21:00:00,1621.05,1636.23,1588.82,1615.77,1631.35,1650.03,1601.29,1618.47,205272 03.25.2020 21:00:00,1615.77,1642.96,1587.7,1628.31,1618.47,1649.81,1599.87,1633.29,152804 03.26.2020 21:00:00,1628.31,1630.48,1606.76,1617.5,1633.29,1638.48,1616.9,1622.8,307278 03.29.2020 21:00:00,1617.5,1631.48,1602.51,1620.91,1622.8,1643.86,1612.55,1623.77,291653 03.30.2020 21:00:00,1620.91,1626.55,1573.37,1574.9,1623.77,1627.31,1575.24,1579.1,371507 03.31.2020 21:00:00,1574.9,1600.41,1560.13,1590.13,1579.1,1603.42,1570.75,1592.43,412780 04.01.2020 21:00:00,1590.13,1619.76,1582.42,1612.07,1592.43,1621.1,1583.37,1614.49,704652 04.02.2020 21:00:00,1612.07,1625.21,1605.39,1618.63,1614.49,1626.83,1607.69,1621.37,409490 04.05.2020 21:00:00,1618.63,1668.35,1608.59,1657.77,1621.37,1670.98,1609.7,1663.43,381690 04.06.2020 21:00:00,1657.77,1671.95,1641.84,1644.84,1663.43,1677.53,1643.4,1650.46,286313 04.07.2020 21:00:00,1644.84,1656.39,1640.1,1644.06,1650.46,1657.43,1643.46,1646.66,219464 04.08.2020 21:00:00,1644.06,1689.66,1643.05,1682.16,1646.66,1691.13,1644.83,1686.74,300111 04.12.2020 21:00:00,1682.16,1722.25,1677.35,1709.16,1686.74,1725.48,1680.49,1718.28,280905 04.13.2020 21:00:00,1709.16,1747.04,1708.56,1726.18,1718.28,1748.88,1709.36,1729.72,435098 04.14.2020 21:00:00,1726.18,1730.53,1706.67,1714.35,1729.72,1732.97,1708.95,1717.25,419065 04.15.2020 21:00:00,1714.35,1738.65,1707.83,1715.99,1717.25,1740.35,1708.93,1720.09,615105 04.16.2020 21:00:00,1715.99,1718.46,1677.16,1683.2,1720.09,1720.09,1680.55,1684.97,587875 04.19.2020 21:00:00,1683.2,1702.49,1671.1,1694.71,1684.97,1703.46,1672.02,1697.29,412116 04.20.2020 21:00:00,1694.71,1697.66,1659.42,1683.4,1697.29,1698.44,1662.3,1686.58,502893 04.21.2020 21:00:00,1683.4,1718.21,1679.61,1713.67,1686.58,1719.19,1680.71,1716.91,647622 04.22.2020 21:00:00,1713.67,1738.59,1706.93,1729.89,1716.91,1739.47,1707.72,1731.83,751833 04.23.2020 21:00:00,1729.89,1736.31,1710.56,1726.74,1731.83,1736.98,1711.03,1727.71,608827 04.26.2020 21:00:00,1726.74,1727.55,1705.99,1713.36,1727.71,1728.55,1706.72,1715.29,698217 04.27.2020 21:00:00,1713.36,1716.52,1691.41,1707.66,1715.29,1718.02,1692.51,1710.22,749906 04.28.2020 21:00:00,1707.66,1717.42,1697.65,1711.58,1710.22,1718.57,1698.4,1715.42,630720 04.29.2020 21:00:00,1711.58,1721.94,1681.36,1684.97,1715.42,1722.79,1681.91,1687.92,631609 04.30.2020 21:00:00,1684.97,1705.87,1669.62,1699.92,1687.92,1706.33,1670.81,1701.66,764742 05.03.2020 21:00:00,1699.92,1714.75,1691.46,1700.42,1701.66,1715.83,1692.96,1702.17,355859 05.04.2020 21:00:00,1700.42,1711.64,1688.55,1703.04,1702.17,1712.55,1690.42,1706.71,415576 05.05.2020 21:00:00,1703.04,1708.1,1681.6,1685.18,1706.71,1708.71,1682.33,1688.33,346814 05.06.2020 21:00:00,1685.18,1721.95,1683.59,1715.17,1688.33,1722.53,1684.8,1716.91,379103 05.07.2020 21:00:00,1715.17,1723.54,1701.49,1704.06,1716.91,1724.42,1702.1,1705.25,409225 05.10.2020 21:00:00,1704.06,1712.02,1691.75,1696.68,1705.25,1713.03,1692.45,1697.58,438010 05.11.2020 21:00:00,1696.68,1710.94,1693.56,1701.46,1697.58,1711.31,1693.92,1703.32,369988 05.12.2020 21:00:00,1701.46,1718.11,1698.86,1716.09,1703.32,1718.69,1699.4,1718.63,518107 05.13.2020 21:00:00,1716.09,1736.16,1710.79,1727.71,1718.63,1736.55,1711.33,1731.38,447401 05.14.2020 21:00:00,1727.71,1751.56,1727.71,1743.94,1731.38,1752.1,1728.89,1744.96,561909 05.17.2020 21:00:00,1743.94,1765.3,1727.4,1731.73,1744.96,1765.92,1728.08,1732.99,495628 05.18.2020 21:00:00,1731.73,1747.76,1725.05,1743.52,1732.99,1748.24,1726.29,1746.9,596250 05.19.2020 21:00:00,1743.52,1753.8,1742.04,1747.22,1746.9,1754.28,1742.62,1748.48,497960 05.20.2020 21:00:00,1747.22,1748.7,1717.14,1726.56,1748.48,1751.18,1717.39,1727.82,557122 05.21.2020 21:00:00,1726.56,1740.06,1723.33,1735.67,1727.82,1740.7,1724.41,1736.73,336867 05.24.2020 21:00:00,1735.67,1735.67,1721.61,1727.88,1736.73,1736.73,1721.83,1730.25,164650 05.25.2020 21:00:00,1727.88,1735.39,1708.48,1710.1,1730.25,1735.99,1709.34,1712.21,404914 05.26.2020 21:00:00,1710.1,1715.93,1693.57,1708.36,1712.21,1716.3,1694.04,1709.85,436519 05.27.2020 21:00:00,1708.36,1727.42,1703.41,1717.28,1709.85,1727.93,1705.85,1721.0,416306 05.28.2020 21:00:00,1717.28,1737.58,1712.55,1731.2,1721.0,1738.26,1713.24,1732.07,399698 05.31.2020 21:00:00,1731.2,1744.51,1726.98,1738.73,1732.07,1745.11,1727.93,1742.56,365219

Problem

This is the result for this code and I'm looking for ways to find intersections for SMA20 (yellow) and SMA50 (green) lines and thus able to get alerts whenever these lines cross.

Solution

Print out intersections indication crossing from above or below relative to each series.

import numpy as np

g20=sma20.values
g50=sma50.values
# np.sign(...) return -1, 0 or 1
# np.diff(...) return value difference for (n-1) - n, to obtain intersections
# np.argwhere(...) remove zeros, preserves turning points only
idx20 = np.argwhere(np.diff(np.sign(g20 - g50))).flatten()

priceSma_df.plot()
plt.scatter(close.index[idx20], sma50[idx20], color='red')
plt.show()

Answer 1

import numpy as np

f=close.values
g20=sma20.values
g50=sma50.values
idx20 = np.argwhere(np.diff(np.sign(f - g20))).flatten()
idx50 = np.argwhere(np.diff(np.sign(f - g50))).flatten()

priceSma_df = pd.DataFrame({
  'BidClose' : close,
  'SMA 20' : sma20,
  'SMA 50' : sma50
 })


priceSma_df.plot()
plt.scatter(close.index[idx20], sma20[idx20], color='orange')
plt.scatter(close.index[idx50], sma50[idx50], color='green')
plt.show()