Build a CustomFactor EMA and MACD?

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Build a CustomFactor EMA and MACD?

posted Aug 9, 2016

There is built-in factor SMA.

Has someone idea to build a CustomFactor EMA and MACD?

4 responses

a little late response but for someone who searches later - two different variations below:

class MACD(CustomFactor):

inputs=[USEquityPricing.close]  
window_length = 40

def compute(self, today, assets, out, close):  
    ema12 = pd.stats.moments.ewma(close, span=12)  
    ema26 = pd.stats.moments.ewma(close, span=26)  
    signal = pd.stats.moments.ewma(ema12[-10:] - ema26[-10:], span=9)  
    out[:] = (ema12[-1] - ema26[-1]) - signal[-1]

class MACD(CustomFactor):
inputs = [USEquityPricing.close]
window_length = 40

def compute(self, today, assets, out, close):

    sig_lines = []

    for col in close.T:  
            # get signal line only  
        try:  
            macd, signal, hist = talib.MACD(col, fastperiod=12, slowperiod=26, signalperiod=9)  
            sig_lines.append(macd[-1] - signal[-1])  
            # if error calculating, return NaN  
        except:  
            sig_lines.append(np.nan)  

    out[:] = sig_lines

oh and ewma

ewma12 = ewma.from_span([USEquityPricing.close], window_length=12, span=6)

Hi Hasan,

Thanks much for your answer. In your first post you've posted two alternatives of MACD-Factor. I've tried them but find the values are "quite" different. Have you also tried them?

Thomas

And to the EWMA, is the EWMA the same as EMA?

Cheers

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.