# 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::WMA;
use 5.010;
use strict;
use warnings;
use Carp;
use Locale::TextDomain 1.17; # for __p()
use Locale::TextDomain ('App-Chart');
use Math::Trig ();
use base 'App::Chart::Series::Indicator';
use App::Chart::Series::Calculation;
use App::Chart::Series::Derived::SMA;
# http://www.linnsoft.com/tour/techind/movAvg.htm
# Formula, and sample WMA N=20 on Nasdaq 100 (symbol QQQ, yahoo now in
# ^IXIC) from 2001.
#
sub longname { __('WMA - Weighted MA') }
sub shortname { __('WMA') }
sub manual { __p('manual-node','Weighted Moving Average') }
use constant
{ priority => 11,
type => 'average',
parameter_info => [ { name => __('Days'),
key => 'wma_days',
type => 'integer',
minimum => 1,
default => 20 } ],
};
sub new {
my ($class, $parent, $N) = @_;
$N //= parameter_info()->[0]->{'default'};
($N > 0) || croak "WMA bad N: $N";
return $class->SUPER::new
(parent => $parent,
parameters => [ $N ],
arrays => { values => [] },
array_aliases => { });
}
*warmup_count = \&App::Chart::Series::Derived::SMA::warmup_count; # $N-1
sub proc {
my ($class_or_self, $N) = @_;
return App::Chart::Series::Calculation::ma_proc_by_weights (reverse 1 .. $N);
}
1;
__END__
# =head1 NAME
#
# App::Chart::Series::Derived::WMA -- weighted moving average
#
# =head1 SYNOPSIS
#
# my $series = $parent->WMA($N);
#
# =head1 DESCRIPTION
#
# ...
#
# =head1 SEE ALSO
#
# L<App::Chart::Series>, L<App::Chart::Series::Derived::SMA>,
# L<App::Chart::Series::Derived::SineMA>
#
# =cut
# with accumulated sums ...
#
# (define*-public (wma-calc-proc count #:optional (data '()))
# (set! data (take-right-maybe data count))
#
# ;; SUM is plain sum of DATA
# ;; WSUM is weighted sum of DATA
# ;; POINTS is number of non-#f in DATA
# ;; DIV is divisor for weighting in DATA
# ;; DIV-MIN is minimum DIV for valid result
#
# (let* ((points (length data))
# (sum (apply + data))
# (wsum (dot-product data (iota points (1+ (- count points)))))
# (div (exact->inexact ;; avoid exact fraction in guile 1.8
# (- (triangular count) (triangular (- count points)))))
# (div-min (ceiling-exact (* indicator-minimum-fraction
# (triangular count)))))
# (set! data (indicator-circular count data))
#
# (lambda (x)
#
# ;; drop old point, including one less of each in DATA
# (set! wsum (- wsum sum))
# (if (car data)
# (set! sum (- sum (car data)))
# (begin
# (set! div (+ div (- count points)))
# (set! points (1+ points))))
#
# ;; hold this point
# (set-car! data x)
# (set! data (cdr data))
#
# ;; add this point
# (set! sum (+ sum x))
# (set! wsum (+ wsum (* x count)))
#
# (and (>= div div-min)
# (/ wsum div)))))