我一直在尝试计算股票价格的指数移动平均线(EMA)。我有以下方法:
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)
我要离开这个公式了:
EMA = Price(t) × k + EMA(y) × (1 − k)
where:
t = today
y = yesterday
N = number of days in EMA
k = 2 ÷ (N + 1)
为什么不计算EMA?
这是我使用的数据集:(从最新价格22.27到最旧价格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]
周期是EMA中的天数。我假设是10 day EMA。
你们的EMA使用昨天的结果，所以需要保留。也许不如使用这样的列表(这当然可以被清理和改进，我只是更改了ema_helper):
def ema_helper(prices, N, k, length):
if len(prices) == length-N:
return prices[0]
res_ema = [p for p in prices[:N]] # this keeps the ema
for t in range(N, length):
res_ema.append(prices[t] * k + res_ema[t-1] * (1 - k))
return res_ema
这生产
[22.27, 22.19, 22.08, 22.17, 22.18, 22.13, 22.23, 22.43, 22.24, 22.29, 22.264545454545452, 22.287355371900823, 22.304199849737035, 22.359799877057576, 22.541654444865287, 22.815899091253414, 22.98573562011643, 23.139238234640715, 23.286649464706038, 23.349076834759483, 23.434699228439577, 23.513844823268744, 23.538600309947153, 23.475218435411307, 23.406996901700158, 23.3929974650274, 23.263361562295145, 23.233659460059663, 23.082085012776083, 22.916251374089523]
为您的数据集。(我假设你是从移动平均线中取的)，这些值对应。
如果你只需要最后一个值，你也可以使用(这里不需要列表):
def ema_helper(prices, N, k, length):
if len(prices) == length-N:
return prices[0]
res_ema = prices[N-1]
for t in range(N, length):
res_ema = (prices[t] * k + res_ema * (1 - k))
return res_ema
得到22.916251374089523(或者只取最后一个列表项res_ema[-1])。