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# NAME

Math::EMA - compute the exponential moving average

# SYNOPSIS

``````  use Math::EMA;
my \$avg=Math::EMA->new(alpha=>0.926119, ema=>\$initial_value);
\$avg->set_param(\$iterations, \$end_weight);
\$avg->alpha=\$new_alpha;
\$avg->ema=\$new_value;
\$avg->add(\$some_value);
my \$ema=\$avg->ema;``````

# DESCRIPTION

This module computes an exponential moving average by the following formula

``  avg(n+1) = (1 - alpha) * new_value + alpha * avg(n)``

where alpha is a number between 0 and 1.

That means a new value influences the average with a certain weight (1-alpha). That weight then exponentially vanes when other values are added.

## How to choose alpha?

The value of alpha determines how fast a given value vanes but it never completely drops out. Assume you can define a limit say after 10 iterations the weight of a certain value should be 1% or 0.01. Then

``````               _____
_10  /     `
alpha =  \  / 0.01   = exp( log(0.01) / 10 )
\/``````

## Methods

### Math::EMA->new( key=>value, ... )

creates a new `Math::EMA` object. Parameters are passed as `key=>value` pairs. Currently these keys are recognized:

• alpha

initializes alpha. Alpha must be in the range from 0 to 1.

• ema

initializes the average. If an uninitialized ema is used the first value being added initializes it.

### \$obj->alpha

set or retrieve the current alpha

### \$obj->ema

set or retrieve the current average

### \$obj->set_param(\$iterations, \$end_weight)

computes alpha from the passed values. After `\$iterations` new values a certain value should have a weight of `\$end_weight` in the average.

# SEE ALSO

http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

http://en.wikipedia.org/wiki/Exponential_smoothing#The_exponential_moving_average

# AUTHOR

Torsten Förtsch, <torsten.foertsch@gmx.net>

# COPYRIGHT AND LICENSE

Copyright (C) 2008 by Torsten Foertsch

This library is free software; you can redistribute it and/or modify it under the same terms as Perl itself, either Perl version 5.10.0 or, at your option, any later version of Perl 5 you may have available.