python - 如何编写每周 EMA 的 CustomFactor - Python、Quantopian

Question

class EWMAWeekly(CustomFactor):

    inputs = [USEquityPricing.close]
    window_length = (13 + 2 * 13 - 1) * 5  # Initial 13 weeks for sma, then 25 more weeks to improve the accuracy of the current ema.

    def compute(
        self,
        today,
        assets,
        out,
        data,
        ):
        alpha = 2 / (13 + 1)
        weekly_data = data[4::5]  # len = 38, index from 0 - 37
        ema = average(weekly_data[:13])  # Initial SMA
        i = 0
        while i < 25:
            ema = weekly_data[13 + i] * alpha + ema * (1 - alpha)
            i += 1

        out[:] = ema

上面的CustomFactor是我目前拥有的。当我通过管道运行此命令时，输出为 average(weekly_data[:13])，这是 25 周前的 SMA。该代码不会引发任何错误，并且我已经测试了 while 循环，因此我知道它正在运行。我认为问题出在 while 循环内重新分配 ema 变量。我可能有一瞬间的愚蠢，但我似乎找不到问题所在。如有任何建议，我们将不胜感激。

谢谢

Answer 1

看来我犯了一个愚蠢的错误。我使用整数而不是 float 来计算 alpha。更正后的代码如下。

class EWMAWeekly(CustomFactor):

inputs = [USEquityPricing.close]
window_length = (13 + 2 * 13 - 1) * 5  # Initial 13 weeks for sma, then 25 more weeks to improve the accuracy of the current ema.

def compute(
    self,
    today,
    assets,
    out,
    data,
    ):
    alpha = 2.0 / (13.0 + 1.0)
    weekly_data = data[4::5]  # len = 38, index from 0 - 37
    ema = average(weekly_data[:13])  # Initial SMA
    i = 0
    while i < 25:
        ema = weekly_data[13 + i] * alpha + ema * (1 - alpha)
        i += 1

    out[:] = ema