RMA similar to TV RMA #189
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xmatthias
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May 15, 2021
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| for i in range(1, series.size): | ||
| series.iloc[i] = series.iloc[i] * alpha + (1 - alpha) * ( | ||
| series.iloc[i - 1] if not isna(series.iloc[i - 1]) else 0 | ||
| ) |
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uh - that'll be ... VERY slow in backtesting (it's a loop ...).
Are you sure there isn't a vectorized method to mirror this behaviour?
this will be ok for small timeranges - but when you have 10.000 candles in a backtest, it'll become very difficult to run.
At the very least (if it can't be vectorized) - please add a comment to the docstring noting that it'll be slow.
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#141 (comment) In my comment I have a vectorized version of RMA, it would need to be tweaked so that it is ready to use as a function (we might also want to optimize the initial SMA). I just wanted to leave this here as a note, maybe I'll make it a PR sometime. |
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RMA which behaves similarly to the RMA found in TV (inbuilt function)