Moving Average Envelopes
get_ma_envelopes(quotes, lookback_periods, percent_offset=2.5, ma_type=MAType.SMA)
Parameters
name | type | notes |
---|---|---|
quotes |
Iterable[Quote] | Iterable(such as list or an object having __iter__() ) of the Quote class or its sub-class. • Need help with pandas.DataFrame? |
lookback_periods |
int | Number of periods (N ) in the moving average. Must be greater than 1. |
percent_offset |
float, default 2.5 | Percent offset for envelope width. Example: 3.5% would be entered as 3.5 (not 0.035). Must be greater than 0. Typical values range from 2 to 10. |
ma_type |
MAType, default MAType.SMA | Type of moving average (e.g. SMA, EMA, HMA). See MAType options below. |
Historical quotes requirements
See links in the supported MAType options section below for details on the inherited requirements for quotes
and lookback_periods
.
quotes
is an Iterable[Quote]
collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.
MAType options
from stock_indicators.indicators.common.enums import MAType
type | description |
---|---|
MAType.ALMA |
Arnaud Legoux Moving Average |
MAType.DEMA |
Double Exponential Moving Average |
MAType.EPMA |
Endpoint Moving Average |
MAType.EMA |
Exponential Moving Average |
MAType.HMA |
Hull Moving Average |
MAType.SMA |
Simple Moving Average (default) |
MAType.SMMA |
Smoothed Moving Average |
MAType.TEMA |
Triple Exponential Moving Average |
MAType.WMA |
Weighted Moving Average |
Warning: For ALMA, default values are used for
offset
andsigma
.
Return
MAEnvelopeResults[MAEnvelopeResult]
- This method returns a time series of all available indicator values for the
quotes
provided. -
MAEnvelopeResults
is just a list ofMAEnvelopeResult
. - It always returns the same number of elements as there are in the historical quotes.
- It does not return a single incremental indicator value.
- The first periods will have
None
values since there’s not enough data to calculate; the quantity will vary based on thema_type
specified.
Convergence Warning: Some moving average variants have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods. See links in the supported MAType options section above for more information.
MaEnvelopeResult
name | type | notes |
---|---|---|
date |
datetime | Date |
center_line |
float, Optional | Moving average |
upper_envelope |
float, Optional | Upper envelope band |
lower_envelope |
float, Optional | Lower envelope band |
The moving average center_line
is based on the ma_type
type specified.
Utilities
See Utilities and Helpers for more information.
Example
from stock_indicators import indicators
from stock_indicators import MAType # Short path, version >= 0.8.1
# This method is NOT a part of the library.
quotes = get_history_from_feed("SPY")
# Calculate 20-period SMA envelopes with 2.5% offset
results = indicators.get_ma_envelopes(quotes, 20, 2.5, MAType.SMA);
About Moving Average Envelopes
Moving Average Envelopes is a price band overlay that is offset from the moving average of Close price over a lookback window. [Discuss]