mavg function simple or expotential?

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mavg function simple or expotential?

posted Dec 3, 2014

I was just wondering if the mavg function is a EMA or SMA?

5 responses

mavg is SMA

Is there a function already setup for the EMA?

Chris,

You might have a look at:

http://pandas.pydata.org/pandas-docs/stable/generated/pandas.stats.moments.ewma.html
http://pandas.pydata.org/pandas-docs/stable/computation.html

Grant

talib also has an EMA function, take a look at: https://www.quantopian.com/posts/talib-ema-documentation-question

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Hi Chris,

Another note is that the built-in mavg function is a carry-over from the early days of Quantopian, when they put out a handful of built-in transforms. My sense is that the current best-practice is to use the 'history' API (see the help page) which returns a trailing window of data in a Pandas data structure, and to do computations within the Pandas environment. One advantage is that it helps keep track of time (via timestamps as an index) and securities. It's also a popular and well-maintained and well-documented package. See https://www.quantopian.com/posts/working-with-history-dataframes for examples.

Grant

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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.

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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.