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;
INSTALLATION
perl Makefile.PL
make
make test
make install
DEPENDENCIES
* perl 5.8.0
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
AUTHOR
Torsten FĂ¶rtsch,
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.