Trading using Python - Moving Average Convergence Divergence (MACD)

movingAverageConvergenceDivergence.py

# data: dictionary { 'dd/mm/yyy': price, 'dd/mm/yyyy': price, ... }


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

    if (26 > len(data)):
        raise Exception('Insufficient data for calculation')

    ema12_data = exponentialMovingAverage(data, 12)
    ema26_data = exponentialMovingAverage(data, 26)

    macd_data = {}
    data_keys = list(data.keys())
    for key in data_keys:
        ema12 = 0
        if key in ema12_data:
            ema12 = ema12_data[key]

        ema26 = 0
        if key in ema26_data:
            ema26 = ema26_data[key]

        if (ema12 > 0) and (ema26 == 0):
            macd_data[key] = 0
        else:
            macd_data[key] = ema12 - ema26

    signal_data = exponentialMovingAverage(macd_data, 9)

    result = {}
    for key in data_keys:
        price = 0
        if key in data:
            price = data[key]

        ema12 = 0
        if key in ema12_data:
            ema12 = ema12_data[key]

        ema26 = 0
        if key in ema26_data:
            ema26 = ema26_data[key]

        macd = 0
        if key in macd_data:
            macd = macd_data[key]

        signal = 0
        if key in signal_data:
            signal = signal_data[key]

        result[key] = {
            'price': price,
            'ema12': ema12,
            'ema26': ema26,
            'macd': macd,
            'signal': signal
        }

    return result


data = cbpGetHistoricRates('BTC-GBP', 86400)
macd = movingAverageConvergenceDivergence(data)


print (macd)