exp moving average, renaming moving average to simple moving average.

exp_moving_average_series.go

@@ -0,0 +1,88 @@
+package chart
+
+const (
+	// DefaultExponentialMovingAverageSigma is the default exponential smoothing factor.
+	DefaultExponentialMovingAverageSigma = 0.25
+)
+
+// ExponentialMovingAverageSeries is a computed series.
+type ExponentialMovingAverageSeries struct {
+	Name  string
+	Style Style
+	YAxis YAxisType
+
+	// Sigma is the 'smoothing factor' parameter.
+	Sigma       float64
+	InnerSeries ValueProvider
+
+	valueBuffer []float64
+}
+
+// GetName returns the name of the time series.
+func (mas ExponentialMovingAverageSeries) GetName() string {
+	return mas.Name
+}
+
+// GetStyle returns the line style.
+func (mas ExponentialMovingAverageSeries) GetStyle() Style {
+	return mas.Style
+}
+
+// GetYAxis returns which YAxis the series draws on.
+func (mas ExponentialMovingAverageSeries) GetYAxis() YAxisType {
+	return mas.YAxis
+}
+
+// Len returns the number of elements in the series.
+func (mas *ExponentialMovingAverageSeries) Len() int {
+	return mas.InnerSeries.Len()
+}
+
+// GetSigma returns the smoothing factor for the serise.
+func (mas ExponentialMovingAverageSeries) GetSigma(defaults ...float64) float64 {
+	if mas.Sigma == 0 {
+		if len(defaults) > 0 {
+			return defaults[0]
+		}
+		return DefaultExponentialMovingAverageSigma
+	}
+	return mas.Sigma
+}
+
+// GetValue gets a value at a given index.
+func (mas *ExponentialMovingAverageSeries) GetValue(index int) (x float64, y float64) {
+	if mas.InnerSeries == nil {
+		return
+	}
+	if mas.valueBuffer == nil || index == 0 {
+		mas.valueBuffer = make([]float64, mas.InnerSeries.Len())
+	}
+	vx, vy := mas.InnerSeries.GetValue(index)
+	x = vx
+	if index == 0 {
+		mas.valueBuffer[0] = vy
+		y = vy
+		return
+	}
+
+	sig := mas.GetSigma()
+	mas.valueBuffer[index] = sig*vy + ((1.0 - sig) * mas.valueBuffer[index-1])
+	y = mas.valueBuffer[index]
+	return
+}
+
+// GetLastValue computes the last moving average value but walking back window size samples,
+// and recomputing the last moving average chunk.
+func (mas ExponentialMovingAverageSeries) GetLastValue() (x float64, y float64) {
+	if mas.InnerSeries == nil {
+		return
+	}
+
+	return 0.0, 0.0 //this one is going to be a bitch.
+}
+
+// Render renders the series.
+func (mas *ExponentialMovingAverageSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
+	style := mas.Style.WithDefaultsFrom(defaults)
+	DrawLineSeries(r, canvasBox, xrange, yrange, style, mas)
+}

exp_moving_average_series_test.go

@@ -0,0 +1,31 @@
+package chart
+
+import (
+	"math"
+	"testing"
+
+	"github.com/blendlabs/go-assert"
+)
+
+func TestExponentialMovingAverageSeries(t *testing.T) {
+	assert := assert.New(t)
+
+	mockSeries := mockValueProvider{
+		Seq(1.0, 10.0),
+		Seq(10, 1.0),
+	}
+	assert.Equal(10, mockSeries.Len())
+
+	mas := &ExponentialMovingAverageSeries{
+		InnerSeries: mockSeries,
+	}
+
+	var yvalues []float64
+	for x := 0; x < mas.Len(); x++ {
+		_, y := mas.GetValue(x)
+		yvalues = append(yvalues, y)
+	}
+
+	assert.Equal(10.0, yvalues[0])
+	assert.True(math.Abs(yvalues[9]-3.77) < 0.01)
+}

simple_moving_average_series.go

@@ -5,8 +5,8 @@ const (
 	DefaultMovingAverageWindowSize = 5
 )
 
-// MovingAverageSeries is a computed series.
-type MovingAverageSeries struct {
+// SimpleMovingAverageSeries is a computed series.
+type SimpleMovingAverageSeries struct {
 	Name  string
 	Style Style
 	YAxis YAxisType
@@ -18,27 +18,27 @@ type MovingAverageSeries struct {
 }
 
 // GetName returns the name of the time series.
-func (mas MovingAverageSeries) GetName() string {
+func (mas SimpleMovingAverageSeries) GetName() string {
 	return mas.Name
 }
 
 // GetStyle returns the line style.
-func (mas MovingAverageSeries) GetStyle() Style {
+func (mas SimpleMovingAverageSeries) GetStyle() Style {
 	return mas.Style
 }
 
 // GetYAxis returns which YAxis the series draws on.
-func (mas MovingAverageSeries) GetYAxis() YAxisType {
+func (mas SimpleMovingAverageSeries) GetYAxis() YAxisType {
 	return mas.YAxis
 }
 
 // Len returns the number of elements in the series.
-func (mas *MovingAverageSeries) Len() int {
+func (mas *SimpleMovingAverageSeries) Len() int {
 	return mas.InnerSeries.Len()
 }
 
 // GetValue gets a value at a given index.
-func (mas *MovingAverageSeries) GetValue(index int) (x float64, y float64) {
+func (mas *SimpleMovingAverageSeries) GetValue(index int) (x float64, y float64) {
 	if mas.InnerSeries == nil {
 		return
 	}
@@ -57,7 +57,7 @@ func (mas *MovingAverageSeries) GetValue(index int) (x float64, y float64) {
 
 // GetLastValue computes the last moving average value but walking back window size samples,
 // and recomputing the last moving average chunk.
-func (mas MovingAverageSeries) GetLastValue() (x float64, y float64) {
+func (mas SimpleMovingAverageSeries) GetLastValue() (x float64, y float64) {
 	if mas.InnerSeries == nil {
 		return
 	}
@@ -78,7 +78,7 @@ func (mas MovingAverageSeries) GetLastValue() (x float64, y float64) {
 }
 
 // GetWindowSize returns the window size.
-func (mas MovingAverageSeries) GetWindowSize(defaults ...int) int {
+func (mas SimpleMovingAverageSeries) GetWindowSize(defaults ...int) int {
 	if mas.WindowSize == 0 {
 		if len(defaults) > 0 {
 			return defaults[0]
@@ -88,7 +88,7 @@ func (mas MovingAverageSeries) GetWindowSize(defaults ...int) int {
 	return mas.WindowSize
 }
 
-func (mas MovingAverageSeries) getAverage(valueBuffer *RingBuffer) float64 {
+func (mas SimpleMovingAverageSeries) getAverage(valueBuffer *RingBuffer) float64 {
 	var accum float64
 	valueBuffer.Each(func(v interface{}) {
 		if typed, isTyped := v.(float64); isTyped {
@@ -99,7 +99,7 @@ func (mas MovingAverageSeries) getAverage(valueBuffer *RingBuffer) float64 {
 }
 
 // Render renders the series.
-func (mas *MovingAverageSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
+func (mas *SimpleMovingAverageSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
 	style := mas.Style.WithDefaultsFrom(defaults)
 	DrawLineSeries(r, canvasBox, xrange, yrange, style, mas)
 }

simple_moving_average_series_test.go

@@ -21,7 +21,7 @@ func (m mockValueProvider) GetValue(index int) (x, y float64) {
 	return
 }
 
-func TestMovingAverageSeriesGetValue(t *testing.T) {
+func TestSimpleMovingAverageSeriesGetValue(t *testing.T) {
 	assert := assert.New(t)
 
 	mockSeries := mockValueProvider{
@@ -30,7 +30,7 @@ func TestMovingAverageSeriesGetValue(t *testing.T) {
 	}
 	assert.Equal(10, mockSeries.Len())
 
-	mas := &MovingAverageSeries{
+	mas := &SimpleMovingAverageSeries{
 		InnerSeries: mockSeries,
 		WindowSize:  10,
 	}
@@ -52,7 +52,7 @@ func TestMovingAverageSeriesGetValue(t *testing.T) {
 	assert.Equal(6.0, yvalues[8])
 }
 
-func TestMovingAverageSeriesGetLastValueWindowOverlap(t *testing.T) {
+func TestSimpleMovingAverageSeriesGetLastValueWindowOverlap(t *testing.T) {
 	assert := assert.New(t)
 
 	mockSeries := mockValueProvider{
@@ -61,7 +61,7 @@ func TestMovingAverageSeriesGetLastValueWindowOverlap(t *testing.T) {
 	}
 	assert.Equal(10, mockSeries.Len())
 
-	mas := &MovingAverageSeries{
+	mas := &SimpleMovingAverageSeries{
 		InnerSeries: mockSeries,
 		WindowSize:  15,
 	}
@@ -78,7 +78,7 @@ func TestMovingAverageSeriesGetLastValueWindowOverlap(t *testing.T) {
 	assert.Equal(yvalues[len(yvalues)-1], ly)
 }
 
-func TestMovingAverageSeriesGetLastValue(t *testing.T) {
+func TestSimpleMovingAverageSeriesGetLastValue(t *testing.T) {
 	assert := assert.New(t)
 
 	mockSeries := mockValueProvider{
@@ -87,7 +87,7 @@ func TestMovingAverageSeriesGetLastValue(t *testing.T) {
 	}
 	assert.Equal(100, mockSeries.Len())
 
-	mas := &MovingAverageSeries{
+	mas := &SimpleMovingAverageSeries{
 		InnerSeries: mockSeries,
 		WindowSize:  10,
 	}

testserver/main.go

@@ -60,7 +60,7 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
 		},
 	}
 
-	s1ma := &chart.BollingerBandsSeries{
+	s1bb := &chart.BollingerBandsSeries{
 		Name: "BBS",
 		Style: chart.Style{
 			Show:        true,
@@ -72,6 +72,24 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
 		InnerSeries: s1,
 	}
 
+	s1sma := &chart.SimpleMovingAverageSeries{
+		Style: chart.Style{
+			Show:            true,
+			StrokeColor:     drawing.ColorRed,
+			StrokeDashArray: []float64{5.0, 5.0},
+		},
+		InnerSeries: s1,
+	}
+
+	s1ema := &chart.ExponentialMovingAverageSeries{
+		Style: chart.Style{
+			Show:            true,
+			StrokeColor:     drawing.ColorBlue,
+			StrokeDashArray: []float64{5.0, 5.0},
+		},
+		InnerSeries: s1,
+	}
+
 	c := chart.Chart{
 		Title: "A Test Chart",
 		TitleStyle: chart.Style{
@@ -102,9 +120,11 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
 			},
 		},
 		Series: []chart.Series{
+			s1bb,
 			s1,
-			s1ma,
 			s1lv,
+			s1sma,
+			s1ema,
 		},
 	}