market_variables.py 文件源码

def ema(f, c, p = 20):
    r"""Calculate the mean on a rolling basis.

    Parameters
    ----------
    f : pandas.DataFrame
        Dataframe containing the column ``c``.
    c : str
        Name of the column in the dataframe ``f``.
    p : int
        The period over which to calculate the rolling mean.

    Returns
    -------
    new_column : pandas.Series (float)
        The array containing the new feature.

    References
    ----------
    *An exponential moving average (EMA) is a type of moving average
    that is similar to a simple moving average, except that more weight
    is given to the latest data* [IP_EMA]_.

    .. [IP_EMA] http://www.investopedia.com/terms/e/ema.asp

    """
    new_column = pd.ewma(f[c], span=p)
    return new_column


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