python计算ema_用python计算指数移动平均

要使用平滑因子计算数据的exponential smoothing(在维基百科中是(1 - alpha))：>>> alpha = 0.5

>>> assert 0 < alpha <= 1.0

>>> av = sum(alpha**n.days * iq

... for n, iq in map(lambda (day, iq), today=max(days): (today-day, iq),

... sorted(zip(days, IQ), key=lambda p: p[0], reverse=True)))

95.0

上面的不太好看，我们来重构一下：from collections import namedtuple

from operator import itemgetter

def smooth(iq_data, alpha=1, today=None):

"""Perform exponential smoothing with factor `alpha`.

Time period is a day.

Each time period the value of `iq` drops `alpha` times.

The most recent data is the most valuable one.

"""

assert 0 < alpha <= 1

if alpha == 1: # no smoothing

return sum(map(itemgetter(1), iq_data))

if today is None:

today = max(map(itemgetter(0), iq_data))

return sum(alpha**((today - date).days) * iq for date, iq in iq_data)

IQData = namedtuple("IQData", "date iq")

if __name__ == "__main__":

from datetime import date

days = [date(2008,1,1), date(2008,1,2), date(2008,1,7)]

IQ = [110, 105, 90]

iqdata = list(map(IQData, days, IQ))

print("\n".join(map(str, iqdata)))

print(smooth(iqdata, alpha=0.5))

示例：$ python26 smooth.py

IQData(date=datetime.date(2008, 1, 1), iq=110)

IQData(date=datetime.date(2008, 1, 2), iq=105)

IQData(date=datetime.date(2008, 1, 7), iq=90)

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