Hi Grant,

I was trying to write an Exponential Moving Average and had the same scratch-head moment but I think the below code works. I've not tested extensively

# calculate Extended Moving Average for a given SID  
@batch_transform(refresh_period=1, window_length=34)  
def batchEMA34(data,context,activeSID):  
    c = context  
    # closing-price array, where [0] is in the past and [N-1] is most current  
    vclose = data['close'][activeSID].values  
    sma = np.average(vclose)    # simple moving average here  
    if c.lastEMA is None:  
        c.lastEMA = sma  
    if c.lastSMA is None:  
        c.lastSMA = sma  
    multiplier = 2.0 / (vclose.size +1)  
    thisEMA = ((c.lastSMA - c.lastEMA) * multiplier) + c.lastEMA  
    c.lastEMA = thisEMA  
    c.lastSMA = sma  
    return thisEMA  

Sorry I think I misunderstood in my first reply. I think you could return multiple averages by doing something like...

@batch_transform(refresh_period=1, window_length=34)  
def batchEMA34(data,sidArray):  
    smaList = []  
    for s in sidArray:  
        vclose = data['close'][s].values  
        smaList.append(np.average(vclose))  
    return smaList  

hope it helps?

import numpy as np

R_P = 1  
W_L = 3

def initialize(context):  
    context.stocks = [sid(16841),sid(24)]

def handle_data(context, data):  
    avgs = get_avg(data, context.stocks)

    for i, stock in enumerate(context.stocks):  
        print "index i: {0}, stock {1}".format(i, stock)  
        event_time = data[stock].datetime  
        if avgs is not None:  
            avg = avgs[i]  
        else:  
            avg = None  
        log.debug(stock)  
        log.debug(event_time)  
        log.debug(avg)  
@batch_transform(refresh_period=R_P, window_length=W_L)  
def get_avg(datapanel, sids):  
    avgs = []  
    for s in sids:  
        avgs.append( np.average(datapanel['price'][s].values) )  
    return avgs  

Must stop drinking coffee ;)

Thanks James,

I'll give these a try at some point in the next day or two and let you know how things work out.

Grant

James,

See https://www.quantopian.com/posts/code-example-multi-security-batch-transform-moving-average.