I am trying to play with different moving averages.
Some pointers here.
http://www.financialwisdomforum.org/gummy-stuff/MA-stuff.htm
And am trying to implement HullMA and MAg and I need Weighted moving average.
What is the best way to calculate these values?
Sarvi
A low-level approach:
http://docs.scipy.org/doc/numpy/reference/generated/numpy.average.html
HullMA(HMA), Weighted moving average (WMA)
Thanks to Market Tech
https://www.quantopian.com/posts/trying-on-for-size-a-technical-framework
def CalculateHMA(context, data):
closeDeck = history(HMAPeriods * 2, "1d", "close_price")
closeDeck = closeDeck.dropna(axis=1)
closeDeck = closeDeck[[sid for sid in closeDeck if sid in data]]
wmaA = closeDeck.apply(talib.MA, timeperiod = HMAPeriods / 2, matype = MAType.WMA).dropna() * 2.0
wmaB = closeDeck.apply(talib.MA, timeperiod = HMAPeriods, matype = MAType.WMA).dropna()
wmaDiffs = wmaA - wmaB
hma = wmaDiffs.apply(talib.MA, timeperiod = math.sqrt(HMAPeriods), matype = MAType.WMA)
for stock in closeDeck:
context.S[stock].Trigger += 1 if hma[stock][-1] > hma[stock][-2] else 0
context.S[stock].HMA = hma[stock][-1]
Quantopian has talib module supported, it has WMA implemented
https://github.com/mrjbq7/ta-lib
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