ExponentialMovingAverage.cs

// N-day EMA implementation from Mirror with a few changes (struct etc.)
// it calculates an exponential moving average roughly equivalent to the last n observations
// https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
using System;
 
namespace Mirror
{
    public struct ExponentialMovingAverage
    {
        readonly float alpha;
        bool initialized;
 
        public double Value;
        public double Variance;
        [Obsolete("Var was renamed to Variance")] // 2022-06-17
        public double Var => Variance;
        public double StandardDeviation; // absolute value, see test
 
        public ExponentialMovingAverage(int n)
        {
            // standard N-day EMA alpha calculation
            alpha = 2.0f / (n + 1);
            initialized = false;
            Value = 0;
            Variance = 0;
            StandardDeviation = 0;
        }
 
        public void Add(double newValue)
        {
            // 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;
            }
        }
    }
}