Arnaud Legoux Moving Average

alma.py

def add_alma(df):
    alma = pd.DataFrame(columns=["ALMA"])
    close = df["close"]
    size = len(close)

    def ALMA(data, sigma=6, offset=0.90, size=40):
        """
        Arnaud Legoux Moving Average

        :param data: data array
        :param sigma: filter
        :param offset: responsiveness/smoothness in range [0.0 - 1.0]
        :param size: window size
        """
        try:
            m = offset * (size - 1)
            s = size / sigma
            sum_ = 0
            norm = 0
            for i in range(size):
                coeff = math.exp(- pow(i - m, 2) / 2 * pow(s, 2))
                sum_ += data[size - i - 1] * coeff
                norm += coeff
            return sum_ / norm
        except:
            return math.nan

    for i in reversed(close.index):
        if i == 0:
            subset = list(close)[::-1]
        else:
            subset = list(close)[:-i][::-1]
        alma.loc[size - i - 1] = ALMA(subset)
    df["ALMA"] = alma
    return df