def compute(self, today, assets, out, close, fast_period, slow_period,
signal_period):
slow_EWMA = self._ewma(rolling_window(close, slow_period), slow_period)
fast_EWMA = self._ewma(
rolling_window(close, fast_period)[-signal_period:], fast_period)
macd = fast_EWMA - slow_EWMA
out[:] = self._ewma(macd.T, signal_period)
def compute(self, today, assets, out, close, fast_period, slow_period,
signal_period):
### today
slow_EWMA_today = self._ewma(
rolling_window(close[1:], slow_period),
slow_period
)
fast_EWMA_today = self._ewma(
rolling_window(close[1:], fast_period)[-signal_period:],
fast_period
)
macd_today = fast_EWMA_today - slow_EWMA_today
out.macd_today[:] = macd_today[-1]
out.trigger_today[:] = self._ewma(macd_today.T, signal_period)
### yesterday
slow_EWMA_yesterday = self._ewma(
rolling_window(close[:-1], slow_period),
slow_period
)
fast_EWMA_yesterday = self._ewma(
rolling_window(close[:-1], fast_period)[-signal_period:],
fast_period
)
macd_yesterday = fast_EWMA_yesterday - slow_EWMA_yesterday
out.macd_yesterday[:] = macd_yesterday[-1]
out.trigger_yesterday[:] = self._ewma(macd_yesterday.T, signal_period)
def compute(self, today, assets, out, close, fast_period, slow_period,
signal_period):
slow_EWMA = self._ewma(
rolling_window(close, slow_period),
slow_period
)
fast_EWMA = self._ewma(
rolling_window(close, fast_period)[-signal_period:],
fast_period
)
macd = fast_EWMA - slow_EWMA
out[:] = self._ewma(macd.T, signal_period)