def get_ema(data: List[dict], prices: int, parameter: str, sma_prices: int, memo: dict = None, desc: bool = True) -> \
Tuple[float, dict]:
"""
Calculates the exponential moving average from data provided.
The data is assumed to be in descending order - meaning newer dates are in the front of the list.
:param desc: Order data is in. If descending, this will be true, else false.
:param data: Data to calculate exponential moving average.
:param prices: Periods to data to get exponential moving average.
:param parameter: Parameter from data dictionary with which to get the exponential moving average.
:param sma_prices: Initial SMA periods to use to calculate first exponential moving average.
:param memo: Memoized dictionary containing past exponential moving averages data.
:return: A tuple containing the exponential moving average and memoized dictionary.
"""
multiplier = 2 / (prices + 1)
if memo and prices in memo and parameter in memo[prices]:
index = 0 if desc else -1
current_price = get_data_from_parameter(data[index], parameter)
if memo[prices][parameter][-1][1] == data[index]['date_utc']:
previous_ema = memo[prices][parameter][-2][0]
ema = current_price * multiplier + previous_ema * (1 - multiplier)
memo[prices][parameter][-1][0] = ema
elif memo[prices][parameter][-1][1] < data[index]['date_utc']:
previous_ema = memo[prices][parameter][-1][0]
ema = current_price * multiplier + previous_ema * (1 - multiplier)
memo[prices][parameter].append([ema, data[index]['date_utc']])
else:
raise ValueError(
"Something went wrong in the calculation of the EMA.")
else:
if desc:
sma_data = data[len(data) - sma_prices:]
else:
sma_data = data[:sma_prices]
ema = get_sma(sma_data, sma_prices, parameter)
if desc:
values = [[ema, data[len(data) - sma_prices]['date_utc']]]
data = data[:len(
data
) - sma_prices][::
-1] # Reverse the data to start from back to front.
else:
values = [[ema, data[sma_prices - 1]['date_utc']]]
data = data[sma_prices:]
for period in data:
current_price = get_data_from_parameter(period,
parameter=parameter)
ema = current_price * multiplier + ema * (1 - multiplier)
values.append([ema, period['date_utc']])
if not memo:
memo = {prices: {parameter: values}}
elif memo and prices not in memo:
memo[prices] = {parameter: values}
else:
memo[prices][parameter] = values
return ema, memo
def get_wma(data: List[dict],
prices: int,
parameter: str,
desc: bool = True) -> float:
"""
Calculates the weighted moving average from data provided.
The data is assumed to be in descending order - meaning newer dates are in the front of the list.
:param desc: Order data is in. If descending, this will be true, else false.
:param data: Data to calculate weighted moving average.
:param prices: Periods of data to get weighted moving average.
:param parameter: Parameter from data dictionary with which to get the weighted moving average.
:return: Weighted moving average.
"""
if desc:
total = get_data_from_parameter(data=data[0],
parameter=parameter) * prices
data = data[1:]
index = 0
for x in range(prices - 1, 0, -1):
total += x * get_data_from_parameter(data=data[index],
parameter=parameter)
index += 1
else:
total = get_data_from_parameter(data=data[-1],
parameter=parameter) * prices
data = data[:-1]
for index, data in enumerate(data, start=1):
total += index * get_data_from_parameter(data, parameter)
divisor = prices * (prices + 1) / 2
wma = total / divisor
return wma
def get_sma(data: List[Dict[str, float]], prices: int, parameter: str) -> float:
"""
Calculates the simple moving average from data provided.
:param data: Data to calculate simple moving average.
:param prices: Periods of data to get simple moving average.
:param parameter: Parameter from data dictionary with which to get the simple moving average.
:return: Simple moving average.
"""
return sum([get_data_from_parameter(data=period, parameter=parameter) for period in data]) / prices
def test_get_data_from_parameter(data: Dict[str, Any], parameter: str,
expected: float):
"""
Test get data from parameter functionality.
:param data: Data dictionary to use.
:param parameter: Parameter from data dictionary.
:param expected: Expected data.
"""
assert get_data_from_parameter(
data, parameter) == expected, f"Expected data to be: {expected}."
def test_get_data_from_parameter(data, parameter, expected):
assert get_data_from_parameter(
data, parameter) == expected, f"Expected data to be: {expected}."
