# Copyright 2008, 2009, 2010 Kevin Ryde
# This file is part of Chart.
#
# Chart is free software; you can redistribute it and/or modify it under the
# terms of the GNU General Public License as published by the Free Software
# Foundation; either version 3, or (at your option) any later version.
#
# Chart 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 General Public License for more
# details.
#
# You should have received a copy of the GNU General Public License along
# with Chart. If not, see <http://www.gnu.org/licenses/>.
package App::Chart::Series::Derived::Stddev;
use 5.010;
use strict;
use warnings;
use Carp;
use List::Util qw(min max);
use Locale::TextDomain ('App-Chart');
use base 'App::Chart::Series::Indicator';
use App::Chart::Series::Derived::SMA;
sub longname { __('Standard Deviation') }
sub shortname { __('Stddev') }
sub manual { __p('manual-node','Standard Deviation') }
use constant
{ priority => -10,
type => 'indicator',
units => 'price',
hlines => [ 0 ],
minimum => 0,
parameter_info => [ { name => __('Days'),
key => 'stddev_days',
type => 'integer',
minimum => 1,
default => 20 } ],
};
sub new {
my ($class, $parent, $N) = @_;
### Stddev new(): "@_"
$N //= parameter_info()->[0]->{'default'};
($N > 0) || croak "Stddev bad N: $N";
return $class->SUPER::new
(parent => $parent,
N => $N,
parameters => [ $N ],
arrays => { values => [] },
array_aliases => { });
}
*warmup_count = \&App::Chart::Series::Derived::SMA::warmup_count; # $N-1
# / p1^2 + p2^2 + ... + pN^2 (p1 + p2 + ... + pN)^2 \
# Stddev = sqrt ( ------------------------ - ---------------------- )
# \ N N^2 /
#
# rearranged to a single division,
#
# sqrt ( (p1^2 + p2^2 + ... + pN^2) * N - (p1 + p2 + ... + pN)^2 )
# = ----------------------------------------------------------------
# N
#
sub proc {
my ($class, $N) = @_;
if ($N == 0) { die "Stddev N==0"; }
$N = max (1, $N);
my @array;
my $count = 0;
my $pos = $N - 1; # initial extends
my $total = 0;
my $total_squares = 0;
return sub {
my ($value) = @_;
# drop old
if ($count >= $N) {
my $old = $array[$pos];
$total -= $old;
$total_squares -= $old * $old;
} else {
$count++;
}
# add new
$total += ($array[$pos] = $value);
$total_squares += $value * $value;
if (++$pos >= $N) { $pos = 0; }
return sqrt(max (0, $total_squares*$count - $total*$total)) / $count;
};
}
1;
__END__
# =head1 NAME
#
# App::Chart::Series::Derived::Stddev -- sliding window standard deviation
#
# =head1 SYNOPSIS
#
# my $series = $parent->Stddev($N);
#
# =head1 DESCRIPTION
#
# ...
#
# =head1 SEE ALSO
#
# L<App::Chart::Series>, L<App::Chart::Series::Derived::SMA>,
# L<App::Chart::Series::Derived::Bollinger>,
# L<App::Chart::Series::Derived::VIDYA>
#
# =cut