Welcome to ShenZhenJia Knowledge Sharing Community for programmer and developer-Open, Learning and Share
menu search
person
Welcome To Ask or Share your Answers For Others

Categories

I've been trying to calculate the Exponential Moving Average (EMA) for stock prices. I have the following methods:

def ema(self, prices, period):
    if len(prices) < period:
        return 'Not enough data to calculate EMA'

    return self.ema_helper(prices, period, (2 / (period + 1)), len(prices))


def ema_helper(self, prices, N, k, length):
    if len(prices) == length-N:
        return prices[0]
    
    return prices[0] * k + self.ema_helper(prices[1:], N, k, length) * (1 - k)

I'm going off of this formula:

EMA = Price(t) × k + EMA(y) × (1 ? k)

where:
t = today
y = yesterday
N = number of days in EMA
k = 2 ÷ (N + 1)

Why is it not calculating the EMA?

This is the dataset I'm using: (from the latest price 22.27 to the oldest price 22.17)

[22.27, 22.19, 22.08, 22.17, 22.18, 22.13, 22.23, 22.43, 22.24, 22.29, 22.15, 22.39, 22.38, 22.61, 23.36, 24.05, 23.75, 23.83, 23.95, 23.63, 23.82, 23.87, 23.65, 23.19, 23.1, 23.33, 22.68, 23.1, 22.4, 22.17]

The period is the number of days in EMA. I am assuming a 10 day EMA.

question from:https://stackoverflow.com/questions/65860467/how-do-i-calculate-the-exponential-moving-average-in-python

与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…
thumb_up_alt 0 like thumb_down_alt 0 dislike
650 views
Welcome To Ask or Share your Answers For Others

Please log in or register to answer this question.

Welcome to ShenZhenJia Knowledge Sharing Community for programmer and developer-Open, Learning and Share
...