Public Member Functions
	ExponentialMovingAverage (int n)

void	Add (double newValue)

Public Attributes
readonly float	alpha

bool	initialized

double	Value

double	Variance

double	StandardDeviation

Properties
double	Var `[get]`

Detailed Description

Definition at line 8 of file ExponentialMovingAverage.cs.

Constructor & Destructor Documentation

◆ ExponentialMovingAverage()

Mirror.ExponentialMovingAverage.ExponentialMovingAverage ( int n )

Definition at line 19 of file ExponentialMovingAverage.cs.

        {
            // standard N-day EMA alpha calculation
            alpha = 2.0f / (n + 1);
            initialized = false;
            Value = 0;
            Variance = 0;
            StandardDeviation = 0;
        }

Member Function Documentation

◆ Add()

void Mirror.ExponentialMovingAverage.Add ( double newValue )

Definition at line 29 of file ExponentialMovingAverage.cs.

        {
            // simple algorithm for EMA described here:
            // https://en.wikipedia.org/wiki/Moving_average#Exponentially_weighted_moving_variance_and_standard_deviation
            if (initialized)
            {
                double delta = newValue - Value;
                Value += alpha * delta;
                Variance = (1 - alpha) * (Variance + alpha * delta * delta);
                StandardDeviation = Math.Sqrt(Variance);
            }
            else
            {
                Value = newValue;
                initialized = true;
            }
        }