[지수 이동평균] #퀀트

지수 이동평균.py

# 가중 이동평균 함수
# 지수 이동평균 함수
def ema(Data, alpha, lookback, what, where):
	# alpha is the smoothing factor
	# window is the lookback period
	# what is the column that needs to have its average calculated
	# where is where to put the exponential moving average

	alpha = alpha / (lookback + 1.0)
	beta  = 1 - alpha

	# First value is a simple SMA
	Data = ma(Data, lookback, what, where)

	# Calculating first EMA
	Data[lookback + 1, where] = (Data[lookback + 1, what] * alpha) + (Data[lookback, where] * beta) # Calculating the rest of EMA
	for i in range(lookback + 2, len(Data)):
			try:
				Data[i, where] = (Data[i, what] * alpha) + (Data[i - 1, where] * beta)
		
			except IndexError:
				pass
	return Data