Berechnung des exponentiellen gleitenden Durchschnitts in Python

Ich bin gerade dabei, einen Forex-Handelsalgorithmus zu erstellen, und wollte versuchen, EMA (Exponential Moving Averages) zu berechnen. Meine Ergebnisse scheinen korrekt zu sein (im Vergleich zu den Berechnungen, die ich von Hand durchgeführt habe), daher glaube ich, dass die folgende Methode funktioniert, wollte aber nur ein paar zusätzliche Augen haben, um sicherzustellen, dass mir nichts fehlt.

Beachten Sie, dass dies nur die EMA zum neuesten Preis zurückgibt. Es wird kein Array von EMAs zurückgegeben, da dies nicht das ist, was ich für meine Anwendung benötige.

I. Ich verwende diesen Link als Referenz: Exponentieller gleitender Durchschnitt

class Indicators: def sma(self, data, window): """ Calculates Simple Moving Average http://fxtrade.oanda.com/learn/forex-indicators/simple-moving-average """ if len(data) < window: return None return sum(data[-window:]) / float(window) def ema(self, data, window, position=None, previous_ema=None): """ Calculates Exponential Moving Average http://fxtrade.oanda.com/learn/forex-indicators/exponential-moving-average """ if len(data) < window + 2: return None c = 2 / float(window + 1) if not previous_ema: return self.ema(data, window, window, self.sma(data[-window*2 + 1:-window + 1], window)) else: current_ema = (c * data[-position]) + ((1 - c) * previous_ema) if position > 0: return self.ema(data, window, position - 1, current_ema) return previous_ema # Sample close prices for GBP_USD currency pair on the 2 hour timeframe close_prices = [1.682555, 1.682545, 1.682535, 1.682655, 1.682455, 1.682685, 1.68205, 1.683245, 1.68405, 1.68401, 1.68506, 1.685825, 1.685955, 1.686595, 1.686325, 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Kommentare

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