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pandasnumpyyfinance

Exponential moving average on pandas

I was having a bit of trouble making an exponential moving average for a pandas data frame. I managed to make a simple moving average but I'm not sure how I can make one that is exponential. I was wondering if there's a function in pandas or maybe another module that can help with this. Ideally the exponential moving average would be in another column in my data frame. This is my code below:

import pandas as pd
import datetime as dt
import yfinance as yf

#Get initial paramaters
start = dt.date(2020,1,1)
end = dt.date.today()
ticker = 'SPY'

#Get df data
df = yf.download(ticker,start,end,progress=False)

#Make simple moving average 
df['SMA'] = df['Adj Close'].rolling(window=75,min_periods=1).mean()

Thanks

Solution

  • Use the ewm method:

    df['SMA'] = df['Adj Close'].ewm(span=75, min_periods=1).mean()

    NB. check carefully the parameters' documentation as there is no more window, you should use one of com, span, halflife or alpha instead