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/* ===========================================================
* JFreeChart : a free chart library for the Java(tm) platform
* ===========================================================
*
* (C) Copyright 2000-2013, by Object Refinery Limited and Contributors.
*
* Project Info: http://www.jfree.org/jfreechart/index.html
*
* This library is free software; you can redistribute it and/or modify it
* under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation; either version 2.1 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful, but
* WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY
* or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public
* License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301,
* USA.
*
* [Oracle and Java are registered trademarks of Oracle and/or its affiliates.
* Other names may be trademarks of their respective owners.]
*
* ------------------
* MovingAverage.java
* ------------------
* (C) Copyright 2003-2013, by Object Refinery Limited.
*
* Original Author: David Gilbert (for Object Refinery Limited);
* Contributor(s): Benoit Xhenseval;
*
* Changes
* -------
* 28-Jan-2003 : Version 1 (DG);
* 10-Mar-2003 : Added createPointMovingAverage() method contributed by Benoit
* Xhenseval (DG);
* 01-Aug-2003 : Added new method for TimeSeriesCollection, and fixed bug in
* XYDataset method (DG);
* 15-Jul-2004 : Switched getX() with getXValue() and getY() with
* getYValue() (DG);
* 11-Jan-2005 : Removed deprecated code in preparation for the 1.0.0
* release (DG);
* 09-Jun-2009 : Tidied up some calls to TimeSeries (DG);
* 02-Jul-2013 : Use ParamChecks (DG);
*
*/
package org.jfree.data.time;
import org.jfree.chart.util.ParamChecks;
import org.jfree.data.xy.XYDataset;
import org.jfree.data.xy.XYSeries;
import org.jfree.data.xy.XYSeriesCollection;
/**
* A utility class for calculating moving averages of time series data.
*/
public class MovingAverage {
/**
* Creates a new {@link TimeSeriesCollection} containing a moving average
* series for each series in the source collection.
*
* @param source the source collection.
* @param suffix the suffix added to each source series name to create the
* corresponding moving average series name.
* @param periodCount the number of periods in the moving average
* calculation.
* @param skip the number of initial periods to skip.
*
* @return A collection of moving average time series.
*/
public static TimeSeriesCollection createMovingAverage(
TimeSeriesCollection source, String suffix, int periodCount,
int skip) {
ParamChecks.nullNotPermitted(source, "source");
if (periodCount < 1) {
throw new IllegalArgumentException("periodCount must be greater "
+ "than or equal to 1.");
}
TimeSeriesCollection result = new TimeSeriesCollection();
for (int i = 0; i < source.getSeriesCount(); i++) {
TimeSeries sourceSeries = source.getSeries(i);
TimeSeries maSeries = createMovingAverage(sourceSeries,
sourceSeries.getKey() + suffix, periodCount, skip);
result.addSeries(maSeries);
}
return result;
}
/**
* Creates a new {@link TimeSeries} containing moving average values for
* the given series. If the series is empty (contains zero items), the
* result is an empty series.
*
* @param source the source series.
* @param name the name of the new series.
* @param periodCount the number of periods used in the average
* calculation.
* @param skip the number of initial periods to skip.
*
* @return The moving average series.
*/
public static TimeSeries createMovingAverage(TimeSeries source,
String name, int periodCount, int skip) {
ParamChecks.nullNotPermitted(source, "source");
if (periodCount < 1) {
throw new IllegalArgumentException("periodCount must be greater "
+ "than or equal to 1.");
}
TimeSeries result = new TimeSeries(name);
if (source.getItemCount() > 0) {
// if the initial averaging period is to be excluded, then
// calculate the index of the
// first data item to have an average calculated...
long firstSerial = source.getTimePeriod(0).getSerialIndex() + skip;
for (int i = source.getItemCount() - 1; i >= 0; i--) {
// get the current data item...
RegularTimePeriod period = source.getTimePeriod(i);
long serial = period.getSerialIndex();
if (serial >= firstSerial) {
// work out the average for the earlier values...
int n = 0;
double sum = 0.0;
long serialLimit = period.getSerialIndex() - periodCount;
int offset = 0;
boolean finished = false;
while ((offset < periodCount) && (!finished)) {
if ((i - offset) >= 0) {
TimeSeriesDataItem item = source.getRawDataItem(
i - offset);
RegularTimePeriod p = item.getPeriod();
Number v = item.getValue();
long currentIndex = p.getSerialIndex();
if (currentIndex > serialLimit) {
if (v != null) {
sum = sum + v.doubleValue();
n = n + 1;
}
}
else {
finished = true;
}
}
offset = offset + 1;
}
if (n > 0) {
result.add(period, sum / n);
}
else {
result.add(period, null);
}
}
}
}
return result;
}
/**
* Creates a new {@link TimeSeries} containing moving average values for
* the given series, calculated by number of points (irrespective of the
* 'age' of those points). If the series is empty (contains zero items),
* the result is an empty series.
*
* Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
*
* @param source the source series.
* @param name the name of the new series.
* @param pointCount the number of POINTS used in the average calculation
* (not periods!)
*
* @return The moving average series.
*/
public static TimeSeries createPointMovingAverage(TimeSeries source,
String name, int pointCount) {
ParamChecks.nullNotPermitted(source, "source");
if (pointCount < 2) {
throw new IllegalArgumentException("periodCount must be greater "
+ "than or equal to 2.");
}
TimeSeries result = new TimeSeries(name);
double rollingSumForPeriod = 0.0;
for (int i = 0; i < source.getItemCount(); i++) {
// get the current data item...
TimeSeriesDataItem current = source.getRawDataItem(i);
RegularTimePeriod period = current.getPeriod();
// FIXME: what if value is null on next line?
rollingSumForPeriod += current.getValue().doubleValue();
if (i > pointCount - 1) {
// remove the point i-periodCount out of the rolling sum.
TimeSeriesDataItem startOfMovingAvg = source.getRawDataItem(
i - pointCount);
rollingSumForPeriod -= startOfMovingAvg.getValue()
.doubleValue();
result.add(period, rollingSumForPeriod / pointCount);
}
else if (i == pointCount - 1) {
result.add(period, rollingSumForPeriod / pointCount);
}
}
return result;
}
/**
* Creates a new {@link XYDataset} containing the moving averages of each
* series in the source dataset.
*
* @param source the source dataset.
* @param suffix the string to append to source series names to create
* target series names.
* @param period the averaging period.
* @param skip the length of the initial skip period.
*
* @return The dataset.
*/
public static XYDataset createMovingAverage(XYDataset source, String suffix,
long period, long skip) {
return createMovingAverage(source, suffix, (double) period,
(double) skip);
}
/**
* Creates a new {@link XYDataset} containing the moving averages of each
* series in the source dataset.
*
* @param source the source dataset.
* @param suffix the string to append to source series names to create
* target series names.
* @param period the averaging period.
* @param skip the length of the initial skip period.
*
* @return The dataset.
*/
public static XYDataset createMovingAverage(XYDataset source,
String suffix, double period, double skip) {
ParamChecks.nullNotPermitted(source, "source");
XYSeriesCollection result = new XYSeriesCollection();
for (int i = 0; i < source.getSeriesCount(); i++) {
XYSeries s = createMovingAverage(source, i, source.getSeriesKey(i)
+ suffix, period, skip);
result.addSeries(s);
}
return result;
}
/**
* Creates a new {@link XYSeries} containing the moving averages of one
* series in the source dataset.
*
* @param source the source dataset.
* @param series the series index (zero based).
* @param name the name for the new series.
* @param period the averaging period.
* @param skip the length of the initial skip period.
*
* @return The dataset.
*/
public static XYSeries createMovingAverage(XYDataset source,
int series, String name, double period, double skip) {
ParamChecks.nullNotPermitted(source, "source");
if (period < Double.MIN_VALUE) {
throw new IllegalArgumentException("period must be positive.");
}
if (skip < 0.0) {
throw new IllegalArgumentException("skip must be >= 0.0.");
}
XYSeries result = new XYSeries(name);
if (source.getItemCount(series) > 0) {
// if the initial averaging period is to be excluded, then
// calculate the lowest x-value to have an average calculated...
double first = source.getXValue(series, 0) + skip;
for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
// get the current data item...
double x = source.getXValue(series, i);
if (x >= first) {
// work out the average for the earlier values...
int n = 0;
double sum = 0.0;
double limit = x - period;
int offset = 0;
boolean finished = false;
while (!finished) {
if ((i - offset) >= 0) {
double xx = source.getXValue(series, i - offset);
Number yy = source.getY(series, i - offset);
if (xx > limit) {
if (yy != null) {
sum = sum + yy.doubleValue();
n = n + 1;
}
}
else {
finished = true;
}
}
else {
finished = true;
}
offset = offset + 1;
}
if (n > 0) {
result.add(x, sum / n);
}
else {
result.add(x, null);
}
}
}
}
return result;
}
}