@beenotung/tslib/moving-average.js

utils library in Typescript

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.create_exponential_moving_average = create_exponential_moving_average;
exports.create_sliding_window_average = create_sliding_window_average;
const ring_buffer_1 = require("./ring-buffer");
function create_exponential_moving_average(options) {
    let acc = options.initial_value;
    let alpha;
    let beta;
    if ('alpha' in options) {
        alpha = options.alpha;
        beta = 1 - alpha;
    }
    else if ('beta' in options) {
        beta = options.beta;
        alpha = 1 - beta;
    }
    else {
        throw new Error('either alpha or beta must be provided');
    }
    function next(current_value) {
        if (acc === undefined) {
            acc = current_value;
            return acc;
        }
        acc = acc * alpha + current_value * beta;
        return acc;
    }
    function get_value() {
        if (acc === undefined) {
            throw new Error('no value yet');
        }
        return acc;
    }
    return {
        next,
        get_value,
        alpha,
        beta,
    };
}
function create_sliding_window_average(options) {
    if (!('window_size' in options)) {
        throw new Error('missing window_size');
    }
    const window_size = options.window_size;
    if (!(window_size > 0)) {
        throw new Error('window_size must be positive and non-zero');
    }
    const ring_buffer = new ring_buffer_1.RingBuffer(window_size);
    let acc;
    if ('initial_value' in options) {
        acc = options.initial_value * window_size;
        for (let i = 0; i < window_size; i++) {
            ring_buffer.enqueue(options.initial_value);
        }
    }
    function next(current_value) {
        if (ring_buffer.length === window_size) {
            const x = ring_buffer.dequeue();
            ring_buffer.enqueue(current_value);
            acc = acc - x + current_value;
            return acc / window_size;
        }
        if (acc === undefined) {
            acc = current_value;
            ring_buffer.enqueue(current_value);
            return acc;
        }
        acc += current_value;
        ring_buffer.enqueue(current_value);
        return acc / ring_buffer.length;
    }
    function get_value() {
        if (acc === undefined) {
            throw new Error('no value yet');
        }
        return acc / ring_buffer.length;
    }
    return {
        next,
        get_value,
        window_size,
    };
}