Module marketools.analysis.macd

Expand source code 
import pandas as pd


def macd(prices: pd.DataFrame, 
         mid_const: int = 12, 
         long_const: int = 26, 
         signal_const: int = 9):
    """
    Returns Pandas Dataframe with MACD, Signal, and Histogram.

    Parameters
    ----------
    prices : pandas.DataFrame
        DataFrame with OHLC data (must have column 'Close')
    mid_const : int
        period for fast exponential moving average
    long_const : int
        period for slow exponential moving average
    signal_const : int
        period for signal exponential moving average
        
    Returns
    -------
    pandas.DataFrame
    """

    price = prices['Close']
    output = pd.DataFrame(columns=['MACD', 'Signal', 'Histogram'])

    # calculate MACD line = price.emw(12) - price.emw(26)
    ewm_mid = price.ewm(span=mid_const).mean()
    ewm_long = price.ewm(span=long_const).mean()
    output['MACD'] = ewm_mid - ewm_long

    # calculate signal line = MACD.emw(9)
    output['Signal'] = output['MACD'].ewm(span=signal_const).mean()

    # calculate histogram = MACD - signal
    output['Histogram'] = output['MACD'] - output['Signal']
    
    return output


if __name__=='__main__':
    pass

Functions

def macd(prices: pandas.core.frame.DataFrame, mid_const: int = 12, long_const: int = 26, signal_const: int = 9)

Returns Pandas Dataframe with MACD, Signal, and Histogram.

Parameters

prices : pandas.DataFrame
DataFrame with OHLC data (must have column 'Close')
mid_const : int
period for fast exponential moving average
long_const : int
period for slow exponential moving average
signal_const : int
period for signal exponential moving average

Returns

pandas.DataFrame
 
Expand source code 
def macd(prices: pd.DataFrame, 
         mid_const: int = 12, 
         long_const: int = 26, 
         signal_const: int = 9):
    """
    Returns Pandas Dataframe with MACD, Signal, and Histogram.

    Parameters
    ----------
    prices : pandas.DataFrame
        DataFrame with OHLC data (must have column 'Close')
    mid_const : int
        period for fast exponential moving average
    long_const : int
        period for slow exponential moving average
    signal_const : int
        period for signal exponential moving average
        
    Returns
    -------
    pandas.DataFrame
    """

    price = prices['Close']
    output = pd.DataFrame(columns=['MACD', 'Signal', 'Histogram'])

    # calculate MACD line = price.emw(12) - price.emw(26)
    ewm_mid = price.ewm(span=mid_const).mean()
    ewm_long = price.ewm(span=long_const).mean()
    output['MACD'] = ewm_mid - ewm_long

    # calculate signal line = MACD.emw(9)
    output['Signal'] = output['MACD'].ewm(span=signal_const).mean()

    # calculate histogram = MACD - signal
    output['Histogram'] = output['MACD'] - output['Signal']
    
    return output