How to add Exponential Weighted Moving Average into a pipeline?

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How to add Exponential Weighted Moving Average into a pipeline?

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API Using Data Pairs Trading Asset Allocation

I'm building an algorithm with a pipeline, in the pipeline I have the sma but I want to have a EWMA. I want to use those indicators to take decisions. And I want to be able to create an 'if statement' to compare a sma_10 and a EWMA. I hope you can help me.

2 responses

Use the ExponentialWeightedMovingAverage built in factor (see the docs https://www.quantopian.com/help#built-in-factors and scroll down a bit)

You can use an 'if' statement in the algorithm but perhaps a cleaner approach is simply define a filter within the pipeline definition.

from quantopian.pipeline.factors import SimpleMovingAverage, ExponentialWeightedMovingAverage

sma_10 = SimpleMovingAverage(  
                            inputs=[USEquityPricing.close],  
                            window_length = 10)


ema_10 = ExponentialWeightedMovingAverage(  
                            inputs=[USEquityPricing.close],  
                            window_length=30,  
                            decay_rate=(1 - (2.0 / (1 + 15.0))),  
                              )

sma_greater_than_ema = sma_10 > ema_10

Thank you this is exactly what i was looking for. I made a different thread asking about the (if) statement. I wonder if is there a way to adjust it. Because when the sma and the ewma are too close to each other I lose money. I want the algorithm to make a decision when the two indicators start to be more separated.

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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.