exponential_moving_average

exponential_moving_average(x, alpha=0.75)[source]

Exponentially weighted moving average time series from previous values.

Parameters
  • x (Series) – time series of prices

  • alpha (float) – how much to weigh the previous price in the time series, thus controlling how much importance we place on the (more distant) past

Return type

Series

Returns

date-based time series of return

Usage

An exponential(ly weighted) moving average (EMA), is defined as:

\(R_{t+1} = \alpha \cdot R_t + (1 - \alpha) \cdot P_t\)

where :math: alpha is the weight we place on the previous day’s average.

See Exponential moving average for more information

Examples

Generate price series with 100 observations starting from today’s date:

>>> prices = generate_series(100)
>>> exponential_moving_average(prices, 0.9)

See also

mean() moving_average() smoothed_moving_average()