35 lines
1.7 KiB
OCaml
35 lines
1.7 KiB
OCaml
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(**************************************************************************)
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(* *)
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(* Copyright (c) 2014 - 2016. *)
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(* Dynamic Ledger Solutions, Inc. <contact@tezos.com> *)
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(* *)
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(* All rights reserved. No warranty, explicit or implicit, provided. *)
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(* *)
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(**************************************************************************)
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(** Moving averages. The formulas are from Wikipedia
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[https://en.wikipedia.org/wiki/Moving_average] *)
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class type ma = object
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method add_float : float -> unit
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method add_int : int -> unit
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method get : float
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end
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(** Common class type for objects computing a cumulative moving
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average of some flavor. In a cumulative moving average, the data
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arrive in an ordered datum stream, and the user would like to get
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the average of all of the data up until the current datum
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point. The method [add_float] and [add_int] are used to add the
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next datum. The method [get] and [get_exn] are used to compute the
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moving average up until the current datum point. *)
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class sma : ?init:float -> unit -> ma
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(** [sma ?init ()] is an object that computes the Simple Moving
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Average of a datum stream. [SMA(n+1) = SMA(n) + (x_(n+1) / SMA(n))
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/ (n+1)] *)
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class ema : ?init:float -> alpha:float -> unit -> ma
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(** [ema ?init ~alpha ()] is an object that computes the Exponential
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Moving Average of a datum stream. [EMA(n+1) = alpha * x_(n+1) +
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(1 - alpha) * x_n] *)
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