smoothed_moving_average¶
-
smoothed_moving_average
(x, w=Window(w=None, r=0))[source]¶ Smoothed moving average over specified window
- Parameters
x (
Series
) – time series of pricesw (
Union
[Window
,int
]) – Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size and 10 the ramp up value. Window size defaults to length of series.
- Return type
Series
- Returns
date-based time series of return
Usage
A modified moving average (MMA), running moving average (RMA), or smoothed moving average (SMMA) is defined as:
\(P_MM,today = \frac{(N_1)P_MM,yesterday + P_today}{N}\)
where N is the number of observations in each rolling window, \(w\). If window is not provided, computes rolling mean over the full series
See Modified moving average <https://en.wikipedia.org/wiki/Moving_average#Modified_moving_average> _ for more information
Examples
Generate price series with 100 observations starting from today’s date:
>>> prices = generate_series(100) >>> smoothed_moving_average(prices, 22)
See also
mean()
:func:’moving_average’