CODEWITHSUNDEEP
pythonpandas
john
john

Reputation: 478

calculate Exponential Moving Average with pandas

I try to calculate ema with pandas but the result is not good. I try 2 techniques to calculate :

The first technique is the panda's function ewn:

window = 100
c = 2 / float(window + 1)
df['100ema'] = df['close'].ewm(com=c).mean()

But the last result of this function gives. 2695.4 but the real result is 2656.2

The second technique is

window = 100
c = 2 / float(window + 1)
df['100sma'] = df['close'].rolling(window).mean()
df['100ema'] = (c * df['close']) + ((1 - c) * df['100sma'])

The result is 2649.1 it's closer than first technique but is always not good

The sma function give the good result

** EDIT **

The response is 

df['100ema'] = pd.Series.ewm(df['close'], span=window).mean()

Upvotes: 11

Views: 22957

Answers (2)

Brahmaiahchowdary
Brahmaiahchowdary

Reputation: 329

expwighted_avg = ts_log.ewm(halflife=12).mean()

where 'ts_log' is dataframe or series of Time Series

Upvotes: 2

user9609399
user9609399

Reputation:

If you want to calculate EWMA or any technical indicator in Python, I recommend using ta-lib.

Upvotes: 7

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