[Numpy-discussion] How to get the prices of Moving Averages Crosses?

Andre Lopes lopes80andre@gmail....
Tue Mar 1 10:07:23 CST 2011


Hi,

I'm new to Numpy. I'm doing some tests with some Stock Market Quotes

My struggle right now is "how to get the values of the moving averages
crosses", I send an image in attach to illustrate what I'm trying to
get.

I'm using the this computation to get when the moving averages
crosses, but when I look at the graph, the values doesn't seem ok.

[quote]
# Get when the ma20 cross ma50
equal = np.round(ma20,2)==np.round(ma50,2)
dates_cross  = (dates[equal])
prices_cross = (prices[equal])
[/quote]


The full code is this:
[quote]
# Modules
import datetime
import numpy as np
import matplotlib.finance as finance
import matplotlib.mlab as mlab
import matplotlib.pyplot as plot

# Define quote
startdate = datetime.date(2008,10,1)
today = enddate = datetime.date.today()
ticker = 'uso'

# Catch CSV
fh = finance.fetch_historical_yahoo(ticker, startdate, enddate)

# From CSV to REACARRAY
r = mlab.csv2rec(fh); fh.close()
# Order by Desc
r.sort()


### Methods Begin
def moving_average(x, n, type='simple'):
    """
    compute an n period moving average.

    type is 'simple' | 'exponential'

    """
    x = np.asarray(x)
    if type=='simple':
        weights = np.ones(n)
    else:
        weights = np.exp(np.linspace(-1., 0., n))

    weights /= weights.sum()


    a =  np.convolve(x, weights, mode='full')[:len(x)]
    a[:n] = a[n]
    return a
### Methods End


prices = r.adj_close
dates = r.date
ma20 = moving_average(prices, 20, type='simple')
ma50 = moving_average(prices, 50, type='simple')

# Get when the ma20 cross ma50
equal = np.round(ma20,2)==np.round(ma50,2)
dates_cross  = (dates[equal])
prices_cross = (prices[equal])

# Ver se a ma20 > ma50
# ma20_greater_than_ma50 = np.round(ma20,2) > np.round(ma50,2)
# dates_ma20_greater_than_ma50  = (dates[ma20_greater_than_ma50])
# prices_ma20_greater_than_ma50 = (prices[ma20_greater_than_ma50])

print dates_cross
print prices_cross
#print dates_ma20_greater_than_ma50
#print prices_ma20_greater_than_ma50


plot.plot(prices)
plot.plot(ma20)
plot.plot(ma50)
plot.show()
[/quote]

Someone can give me some clues?

Best Regards,
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