https://github.com/rsocket/ewma

Exponentially Weighted Moving Average
https://github.com/rsocket/ewma

Last synced: 11 months ago
JSON representation

Exponentially Weighted Moving Average

• Host: GitHub
• URL: https://github.com/rsocket/ewma
• Owner: rsocket
• Created: 2017-09-01T21:49:43.000Z (over 8 years ago)
• Default Branch: master
• Last Pushed: 2017-09-08T21:06:23.000Z (over 8 years ago)
• Last Synced: 2024-10-28T15:39:25.185Z (over 1 year ago)
• Language: JavaScript
• Homepage:
• Size: 108 KB
• Stars: 10
• Watchers: 4
• Forks: 2
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

Awesome Lists containing this project

README

          
[![NPM Version](https://img.shields.io/npm/v/ewma.svg)](https://npmjs.org/package/ewma)

[![Build Status](https://travis-ci.org/ReactiveSocket/ewma.svg?branch=master)](https://travis-ci.org/ReactiveSocket/ewma)

# EWMA

An exponential weighted moving average for Node.js and the browser!

```bash

npm install -g ewma

```

## Usage

Compute the exponential weighted moving average of a series of values.  The

time at which you insert the value into `Ewma` is used to compute a weight

(recent points are weighted higher).  The parameter for defining the

convergence speed (like most decay process) is the half-life.

e.g. with a half-life of 10 unit, if you insert 100 at t=0 and 200 at t=10 the

ewma will be equal to (200 - 100)/2 = 150 (half of the distance between the new

and the old value).

### `var ewma = new EWMA(halfLifeMs, initialValue, clock)`

* `halfLifeMs` - `{Number}` parameter representing the speed of convergence

* `initialValue` - `{Number}` initial value

* `clock` - Optional `{Number}` clock object used to read time, must support

            `Date.now()` style method. Defaults to `Date`.

returns an object computing the ewma average

### `ewma.insert(x)`

* `x` - The next value, `ewma` will automatically compute the EWMA based on the

        clock difference between this value and the last time `insert` was

        called

### `ewma.reset(x)`

* `x` - Set the EWMA to exactly `x`.

### `ewma.value()`

Returns the current EWMA value.

## Examples

These are generated using a 500ms interval with a half life indicated in the

key. For the source code, or to reproduce yourself, check the

[Example](./example) directory.

![](./example/abs.png)

![](./example/sin.png)

![](./example/sawtooth.png)

## Contributions

Contributions welcome, please ensure `make` runs clean.

## License

MIT