Exponential Moving Average in Pipeline (without talib)?

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Exponential Moving Average in Pipeline (without talib)?

edited

New to quantopian. How would I go about using an exponential moving average in a pipeline without using the talib library? I see this thread (https://www.quantopian.com/posts/how-to-add-exponential-weighted-moving-average-into-a-pipeline), but I'm not at all sure what value to use as the "decay rate" in order to get a result equal to a generic EMA.

Suppose we want a 21 day EMA:

ema_21 = ExponentialWeightedMovingAverage(
inputs=[USEquityPricing.close],
window_length=21,
decay_rate= ?,
)

Thanks for any help!

1 response

Frank Kotsianas

For anyone looking: the decay rate is the coefficient used to weight the previous bars in the E(W)MA calculation. It can be calculated as:

decay = 2 / (1 + N), where N is the window length in your MA.

So a 10-day EMA = decay of .18,
and a 50-day EMA = .04

(You might see research firms assume it to be .06, which is ~= 2/31, or the 30-day EMA)

You can put the calculation directly into your code instead of providing a decimal:

decay = 2 / (1 + window_length)

If you'd like more, this helped me see how it's used: https://tlc.thinkorswim.com/center/reference/Tech-Indicators/studies-library/M-N/MovAvgExponential

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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.