macd.py

class MACD(Indicator):
	def __init__(self, strategy, pair, short_period=12, long_period=26, weight_period=9):
		self._weight_period = weight_period
		self._weight = 2.0 / (weight_period + 1.0)
		self._short_ema = EMA(strategy, pair, period=short_period)
		self._long_ema = EMA(strategy, pair, period=long_period)

		self._data = pandas.DataFrame(columns=['Value', 'MACD_line', 'Signal_line'])

		super(MACD, self).__init__("MACD", strategy, pair)

	def value(self):
		return self._data['Value'][-1]
		
	def data(self):
		return self._data

	def ready(self):
		return self._short_ema.ready() and self._long_ema.ready()

	def warmup(self):
		return max(self._long_ema.warmup(), self._weight_period)

	def feed(self, data):
		MACD_line = self._short_ema.value() - self._long_ema.value()
		
		if len(self.data) == 0
			self._data.loc[data['Date']] = { 'MACD_line' : MACD_line, 'Signal_line' : MACD_line, 'Value' : 0 }
		else:
			prev_diff = self.value()
			prev_macd = self._data['MACD_line'][-1]

			signal_line = (prev_macd - prev_diff) * self._weight + prev_diff
			
			self._data.loc[data['Date']] = { 'Signal_line' : signal_line, 'MACD_line' : MACD_line, 'Value' : MACD_line - signal_line  }