Paul Lipscomb
97 lines
1.8 KiB
C++
97 lines
1.8 KiB
C++
#ifndef _WDL_TIME_SERIES_H_
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#define _WDL_TIME_SERIES_H_
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#include "heapbuf.h"
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class WDL_TimeSeries
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{
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WDL_TimeSeries(int size)
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{
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m_size=wdl_max(size,1);
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m_ema_wt=0.0;
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Reset();
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}
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void Reset()
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{
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m_series.Resize(0, false);
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m_pos=0;
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m_ema=0.0;
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m_ema_init=false;
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}
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int GetSize() const { return m_series.GetSize(); }
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void AddData(double v)
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{
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if (m_series.GetSize() < m_size) m_series.Add(v);
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else m_series.Get()[m_pos]=v;
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m_pos = (m_pos+1)%m_size;
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if (m_ema_wt > 0.0)
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{
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if (!m_ema_init)
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{
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m_ema=v;
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m_ema_init=true;
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}
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else
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{
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m_ema=m_ema*(1.0-m_ema_wt)+v*m_ema_wt;
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}
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}
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}
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double Last() const
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{
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const int sz=m_series.GetSize();
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if (!sz) return 0.0;
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const double *p=m_series.Get();
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return (m_pos ? p[m_pos-1] : p[sz-1]);
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}
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double Mean() const
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{
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const int sz=m_series.GetSize();
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if (!sz) return 0.0;
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double mean=0.0;
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const double *p=m_series.Get();
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for (int i=0; i < sz; ++i) mean += p[i];
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return mean/(double)sz;
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}
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double StdDev() const
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{
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const int sz=m_series.GetSize();
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if (!sz) return 0.0;
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const double mean=Mean();
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double mean2=0.0;
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const double *p=m_series.Get();
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for (int i=0; i < sz; ++i) mean2 += (p[i]-mean)*(p[i]-mean);
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return sqrt(mean2/(double)sz);
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}
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double ZScore(double v) const
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{
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const int sz=m_series.GetSize();
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if (!sz) return 0.0;
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double stdev=StdDev();
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if (stdev == 0.0) return 0.0;
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double last=Last();
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return fabs(v-last)/stdev;
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}
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void InitExpMovAvg(int hl)
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{
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if (hl < 1) hl=1;
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m_ema_wt=exp(-1.0/(double)hl);
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}
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double ExpMovAvg() const { return m_ema; }
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int m_size;
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int m_pos;
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double m_ema, m_ema_wt;
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bool m_ema_init;
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WDL_TypedBuf<double> m_series;
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};
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#endif
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