Quantitative Trading Strategies Using Python by Peng Liu

Author:Peng Liu
Language: eng
Format: epub
ISBN: 9781484296752
Publisher: Apress

Listing 5-14 Plotting all moving averages together

Running these commands generates Figure 5-13. We note that EWM_0.1 (red line) is close to SMA-20 (green line), both of which give more weightage to historical observations. The same is true for the other two moving averages. For EMA, a small weighting factor α results in a high degree of smoothing, while a larger value leads to a quicker response to recent changes.

Figure 5-13 Visualizing the daily closing prices with both SMA and EMA of different configurations

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