Trading using Python  - Exponential Moving Average (EMA)

exponentialMovingAverage.py

# data: dictionary { 'dd/mm/yyy': price, 'dd/mm/yyyy': price, ... }
# num: range in the average calculation, normally 9 to 26


def exponentialMovingAverage(data, num):
    if not isinstance(data, dict):
        raise Exception('Dictionary input expected')

    if not isinstance(num, int):
        raise Exception('Integer input expected')

    if num < 9 or num > 26:
        raise Exception('Unusual numeric input detected')

    if (num > len(data)):
        raise Exception('Insufficient data for calculation')

    data_keys = list(data.keys())
    data_list = list(data.values())

    last_sma = -1
    result = {}
    for x in range(len(data_list) - num + 1):
        series = data_list[x:x + num]

        if (last_sma == -1):
            result[data_keys[x + num - 1]] = round((sum(series) / num), 2)
        else:
            current_price = data[data_keys[x + num - 1]]
            result[data_keys[x + num - 1]] = round(
                current_price * 2 / (num + 1) + last_sma * (1 - 2 / (num + 1)), 2)

        last_sma = result[data_keys[x + num - 1]]

    return result


data = cbpGetHistoricRates('BTC-GBP', 86400)
ema12 = exponentialMovingAverage(data, 12)
ema26 = exponentialMovingAverage(data, 26)


print (ema12)
print (ema26)