Mastering Python for Finance - Second Edition

Simple moving averages

A common technical indicator for time series data analysis is moving averages. The mean() method can be used to compute the mean of values for a given window in the rolling() command. For example, a 5-day Simple Moving Average (SMA) is the average of prices for the last five trading days, computed daily over a time period. Similarly, we can also compute a longer term 30-day simple moving average. These two moving averages can be used together to generate crossover signals.

In the following example, we download the daily closing prices of ABN, compute the short- and long-term SMAs, and visualize them on a single plot:

In [ ]:    %matplotlib inline    import quandl    import pandas as pd quandl.ApiConfig.api_key = QUANDL_API_KEY ...