als-statistics/lib/ratio-column/instruments/ma.js

A powerful and lightweight JavaScript library for descriptive statistics, regression, clustering, outlier detection, and noise analysis using a flexible table/column architecture.

class MovingAverage {
   constructor(sample, windowSize,sampleThreshold = 1000) {
      this.sample = sample
      this.windowSize = windowSize
      if (!Number.isInteger(windowSize) || windowSize < 1) throw new Error("windowSize must be a positive integer");
      if (windowSize > sample.n) throw new Error('window size cant be bigger than sample size')
      this.result = []
      sample.n > sampleThreshold ? this.bigSample() : this.naiveSample()
   }

   bigSample() {
      const { sample: { values, n }, windowSize,result } = this
      const prefixSums = new Array(n + 1).fill(0); 
      for (let i = 0; i < n; i++) { prefixSums[i + 1] = prefixSums[i] + values[i] }
      for (let i = 0; i + windowSize <= n; i++) {
         result.push((prefixSums[i + windowSize] - prefixSums[i]) / windowSize);
      }
   }

   naiveSample() {
      const { sample: { values, n }, windowSize,result } = this
      for (let start = 0; start + windowSize <= n; start++) {
         let sumWindow = 0;
         for (let i = start; i < start + windowSize; i++) { sumWindow += values[i] }
         result.push(sumWindow / windowSize);
      }
   }
}

module.exports = MovingAverage