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Math::EMA - compute the exponential moving average
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;
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.
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 ) \/
creates a new
Math::EMA object. Parameters are passed as
key=>value pairs. Currently these keys are recognized:
initializes alpha. Alpha must be in the range from 0 to 1.
initializes the average. If an uninitialized ema is used the first value being added initializes it.
set or retrieve the current alpha
set or retrieve the current average
computes alpha from the passed values. After
$iterations new values a certain value should have a weight of
$end_weight in the average.
Torsten Förtsch, <firstname.lastname@example.org>
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.