﻿ 计算python中的指数移动平均值 - 代码日志

#### 计算python中的指数移动平均值

``````from datetime import date
days = [date(2008,1,1), date(2008,1,2), date(2008,1,7)]
IQ = [110, 105, 90]
``````

(可能有更好的方式来构建数据，任何建议都不会感激)

``````>>> 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
``````

``````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))
``````

``````\$ 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)
95.0
``````
http://stackoverflow.com/questions/488670/calculate-exponential-moving-average-in-python