added sma and ema in indicators

Author: GitHub-Valie

algorithms/live algo/__init__.py

@@ -0,0 +1,50 @@
+# TODO: Request data from binance servers and create a standard moving average using numpy
+
+import numpy as np
+from pprint import pprint
+import matplotlib.pyplot as plt
+
+from data import closes
+
+a = np.array(closes)
+
+# Simple Moving Average with a rolling window of 'w'
+def sma(arr, window):
+    return np.convolve(arr, np.ones(window), 'valid') / window
+
+# Exponential Weighted Moving Average
+def ewma(arr, alpha, window):
+    '''
+    :arr: array
+    :param alpha: specify decay [0, 1]
+    :window: length of ewma
+    '''
+    arr = arr[-(len(arr) - window + 1):] # Re-adjusting length of arr so it has the same len as sma
+    ewma_arr = np.zeros_like(arr) # returns an array of zeros the same length as arr
+    ewma_arr[0] = arr[0] # first value in list ewma_arr is equal to first value in list arr
+    for t in range(1, arr.shape[0]):
+        ewma_arr[t] = alpha * arr[t] + (1 - alpha) * ewma_arr[t - 1]
+    
+    return ewma_arr
+
+sma = sma(
+    arr=a,
+    window=20
+)
+
+ewma = ewma(
+    arr=a,
+    alpha=0.33,
+    window=20
+)
+
+a = a[-481:]
+
+fig, ax = plt.subplots()
+
+ax.plot(a, label='BTCUSDT close')
+ax.plot(sma, label='sma 20 periods')
+ax.plot(ewma, label='ewma 20 periods')
+leg = ax.legend()
+
+plt.show()