Question

我的Orignal数据框如下：

       C   EMA
0      a  start value as ema0
1      b  (ema0*alpha) + (b * (1-alpha)) as ema1
2      c  (ema1*alpha) + (c * (1-alpha)) as ema2
3      d  (ema2*alpha) + (d * (1-alpha)) as ema3 
4      e  (ema3*alpha) + (e * (1-alpha)) as ema4
...    ... ....

这是股票数据。 0,1,2,3是次，C：关闭是浮动。

我需要能够将一个EMA（指数移动平均线）的列添加到通过从当前C列计算得到的orignal数据帧和之前的新专栏（＆＃39; EMA＆＃39;）。

Calculation example on Excel

的Cr：http://investexcel.net/how-to-calculate-ema-in-excel/

所以结果应该是这样的

ema_period = 30
myalpha = 2/(ema_period+1)

data['EMA'] = np.where(data['index'] < ema_period,data['C'].rolling(window=ema_period, min_periods=ema_period).mean(), data['C']*myalpha +data['EMA'].shift(1)*(1-myalpha) )

起始值是一个简单的平均值，所以我尝试了以下方法。它是创造起始价值的第一个条件但在计算EMA值时，它不适用于第二个条件。

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Answer 1

由于您正在处理时间序列，建议您采用信号处理方法。使用显示here的scipy.signal.lfilter。

请执行以下操作：

df = # Your dataframe
start_value, alpha, weight = # initialize your parameters

# Use a filtering method to generate values
df['EMA'] = lfilter([1-alpha], [1.0, -alpha], df['C'].astype(float))

Answer 2

附带图片中所需的EWMA：

<强> 代码：

ema_period = 12             # change it to ema_period = 30 for your case
myalpha = 2/(ema_period+1)

# concise form : df.expanding(min_periods=12).mean()
df['Expand_Mean'] = df.rolling(window=len(df), min_periods=ema_period).mean()
# obtain the very first index after nulls
idx = df['Expand_Mean'].first_valid_index()
# Make all the subsequent values after this index equal to NaN
df.loc[idx:, 'Expand_Mean'].iloc[1:] = np.NaN
# Let these rows now take the corresponding values in the Close column
df.loc[idx:, 'Expand_Mean'] = df['Expand_Mean'].combine_first(df['Close'])
# Perform EMA by turning off adjustment
df['12 Day EMA'] = df['Expand_Mean'].ewm(alpha=myalpha, adjust=False).mean()
df

获得EWMA：

DF构建：

index = ['1/2/2013','1/3/2013','1/4/2013','1/7/2013','1/8/2013','1/9/2013', '1/10/2013','1/11/2013',
         '1/14/2013','1/15/2013','1/16/2013','1/17/2013','1/18/2013','1/22/2013','1/23/2013',
         '1/24/2013','1/25/2013','1/28/2013','1/29/2013','1/30/2013']
data = [42.42, 43.27, 43.66, 43.4, 43.4, 44.27, 45.01, 44.48, 44.34, 
        44.44, 44.08, 44.16, 44.04, 43.74, 44.27, 44.11, 43.93, 44.35,
        45.21,44.92]

df = pd.DataFrame(dict(Close=data), index)
df.index = pd.to_datetime(df.index)

在pandas中添加由以前的新列值导致的列（EMA）

2 个答案: