54 lines
1.6 KiB
C#
54 lines
1.6 KiB
C#
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// N-day EMA implementation from Mirror with a few changes (struct etc.)
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// it calculates an exponential moving average roughly equivalent to the last n observations
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// https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
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using System;
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namespace Mirror
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{
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public struct ExponentialMovingAverage
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{
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readonly double alpha;
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bool initialized;
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public double Value;
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public double Variance;
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public double StandardDeviation; // absolute value, see test
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public ExponentialMovingAverage(int n)
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{
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// standard N-day EMA alpha calculation
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alpha = 2.0 / (n + 1);
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initialized = false;
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Value = 0;
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Variance = 0;
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StandardDeviation = 0;
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}
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public void Add(double newValue)
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{
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// simple algorithm for EMA described here:
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// https://en.wikipedia.org/wiki/Moving_average#Exponentially_weighted_moving_variance_and_standard_deviation
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if (initialized)
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{
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double delta = newValue - Value;
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Value += alpha * delta;
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Variance = (1 - alpha) * (Variance + alpha * delta * delta);
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StandardDeviation = Math.Sqrt(Variance);
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}
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else
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{
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Value = newValue;
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initialized = true;
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}
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}
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public void Reset()
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{
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initialized = false;
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Value = 0;
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Variance = 0;
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StandardDeviation = 0;
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}
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}
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}
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