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DOC: Docs updates for EWMA/EWMSTD.

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Scott Sanderson
2015-12-14 13:32:28 -05:00
parent 84d8cc4d41
commit bd85f59fc0
1 changed files with 80 additions and 5 deletions
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zipline/pipeline/factors/technical.py
+80 -5
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@@ -185,6 +185,28 @@ class _ExponentialWeightedFactor(SingleInputMixin, CustomFactor):
Forwards `decay_rate` as `1 - (2.0 / (1 + span))`. This provides the
behavior equivalent to passing `span` to pandas.ewma.
Example
-------
.. code-block:: python
# Equivalent to:
# my_ewma = EWMA(
# inputs=[USEquityPricing.close],
# window_length=30,
# decay_rate=(1 - (2.0 / (1 + 15.0))),
# )
my_ewma = EWMA.from_span(
inputs=[USEquityPricing.close],
window_length=30,
span=15,
)
Note
----
This classmethod is provided by both
:class:`ExponentialWeightedMovingAverage` and
:class:`ExponentialWeightedStandardDeviation`.
"""
if span <= 1:
raise ValueError(
@@ -204,10 +226,33 @@ class _ExponentialWeightedFactor(SingleInputMixin, CustomFactor):
@expect_types(halflife=Number)
def from_halflife(cls, inputs, window_length, halflife):
"""
Convenience constructor for passing `decay_rate` in terms of half life.
Convenience constructor for passing ``decay_rate`` in terms of half
life.
Forwards `decay_rate` as `exp(log(.5) / halflife)`. This provides
Forwards ``decay_rate`` as ``exp(log(.5) / halflife)``. This provides
the behavior equivalent to passing `halflife` to pandas.ewma.
Example
-------
.. code-block:: python
# Equivalent to:
# my_ewma = EWMA(
# inputs=[USEquityPricing.close],
# window_length=30,
# decay_rate=np.exp(np.log(0.5) / 15),
# )
my_ewma = EWMA.from_halflife(
inputs=[USEquityPricing.close],
window_length=30,
halflife=15,
)
Note
----
This classmethod is provided by both
:class:`ExponentialWeightedMovingAverage` and
:class:`ExponentialWeightedStandardDeviation`.
"""
if halflife <= 0:
raise ValueError(
@@ -228,8 +273,30 @@ class _ExponentialWeightedFactor(SingleInputMixin, CustomFactor):
Convenience constructor for passing `decay_rate` in terms of center of
mass.
Forwards `decay_rate` as `1 - (1 / center_of_mass)`. This provides
Forwards `decay_rate` as `1 - (1 / 1 + center_of_mass)`. This provides
behavior equivalent to passing `center_of_mass` to pandas.ewma.
Example
-------
.. code-block:: python
# Equivalent to:
# my_ewma = EWMA(
# inputs=[USEquityPricing.close],
# window_length=30,
# decay_rate=(1 - (1 / 15.0)),
# )
my_ewma = EWMA.from_center_of_mass(
inputs=[USEquityPricing.close],
window_length=30,
center_of_mass=15,
)
Note
----
This classmethod is provided by both
:class:`ExponentialWeightedMovingAverage` and
:class:`ExponentialWeightedStandardDeviation`.
"""
return cls(
inputs=inputs,
@@ -260,9 +327,13 @@ class ExponentialWeightedMovingAverage(_ExponentialWeightedFactor):
decay_rate, decay_rate ** 2, decay_rate ** 3, ...
Notes
-----
- This class can also be imported under the name ``EWMA``.
See Also
--------
pandas.ewma
:func:`pandas.ewma`
"""
def compute(self, today, assets, out, data, decay_rate):
out[:] = average(
@@ -294,9 +365,13 @@ class ExponentialWeightedStandardDeviation(_ExponentialWeightedFactor):
decay_rate, decay_rate ** 2, decay_rate ** 3, ...
Notes
-----
- This class can also be imported under the name ``EWMSTD``.
See Also
--------
pandas.ewmstd
:func:`pandas.ewmstd`
"""
def compute(self, today, assets, out, data, decay_rate):