考夫曼的自适应移动平均 python 代码中的编译错误

Question

I want to use Kaufman's Adaptive Moving Average (KAMA) for my Master's thesis. I got the code from Python Pandas Kaufman Adaptive Moving Average (KAMA) --- Recursive Calculation in Pandas or Cython However, I cannot run this code because it is showing these errors:

AttributeError: 'numpy.ndarray' object has no attribute 'shift'

AttributeError: module 'pandas' has no attribute 'stats'

Please help me to solve the problem.

#%%
import numpy as np
import pandas


def KAMA(price, n=10, pow1=2, pow2=30):
    ''' kama indicator '''
    ''' accepts pandas dataframe of prices '''

    absDiffx = abs(price - price.shift(1) ) 

    ER_num = abs( price - price.shift(n) )
    ER_den = pandas.stats.moments.rolling_sum(absDiffx,n)
    ER = ER_num / ER_den

    sc = ( ER*(2.0/(pow1+1)-2.0/(pow2+1.0))+2/(pow2+1.0) ) ** 2.0


    answer = np.zeros(sc.size)
    N = len(answer)
    first_value = True

    for i in range(N):
        if sc[i] != sc[i]:
            answer[i] = np.nan
        else:
            if first_value:
                answer[i] = price[i]
                first_value = False
            else:
                answer[i] = answer[i-1] + sc[i] * (price[i] - answer[i-1])
    return answer
#%%


marray = np.arange(20)
KAMA(marray)

Answer 1

stats.moments.rolling_sum is no longer available in the latest version of pandas. You can do the same thing using the rolling method.

https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.Series.rolling.html