MovingAverage


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26   *
27   * ------------------
28   * MovingAverage.java
29   * ------------------
30   * (C) Copyright 2003-2005, by Object Refinery Limited.
31   *
32   * Original Author:  David Gilbert (for Object Refinery Limited);
33   * Contributor(s):   Benoit Xhenseval;
34   *
35   * $Id: MovingAverage.java,v 1.5.2.1 2005/10/25 21:35:24 mungady Exp $
36   *
37   * Changes
38   * -------
39   * 28-Jan-2003 : Version 1 (DG);
40   * 10-Mar-2003 : Added createPointMovingAverage() method contributed by Benoit 
41   *               Xhenseval (DG);
42   * 01-Aug-2003 : Added new method for TimeSeriesCollection, and fixed bug in 
43   *               XYDataset method (DG);
44   * 15-Jul-2004 : Switched getX() with getXValue() and getY() with 
45   *               getYValue() (DG);
46   * 11-Jan-2005 : Removed deprecated code in preparation for the 1.0.0 
47   *               release (DG);
48   *
49   */
50  
51  package org.jfree.data.time;
52  
53  import org.jfree.data.xy.XYDataset;
54  import org.jfree.data.xy.XYSeries;
55  import org.jfree.data.xy.XYSeriesCollection;
56  
57  /**
58   * A utility class for calculating moving averages of time series data.
59   */
60  public class MovingAverage {
61  
62      /**
63       * Creates a new {@link TimeSeriesCollection} containing a moving average 
64       * series for each series in the source collection.
65       * 
66       * @param source  the source collection.
67       * @param suffix  the suffix added to each source series name to create the
68       *                corresponding moving average series name.
69       * @param periodCount  the number of periods in the moving average 
70       *                     calculation.
71       * @param skip  the number of initial periods to skip.
72       * 
73       * @return A collection of moving average time series.
74       */
75      public static TimeSeriesCollection createMovingAverage(
76          TimeSeriesCollection source, String   suffix, int periodCount,
77          int skip) {
78      
79          // check arguments
80          if (source == null) {
81              throw new IllegalArgumentException  (
82                  "MovingAverage.createMovingAverage() : null source."
83              );
84          }
85  
86          if (periodCount < 1) {
87              throw new IllegalArgumentException  (
88                  "periodCount must be greater than or equal to 1."
89              );
90          }
91  
92          TimeSeriesCollection result = new TimeSeriesCollection();
93          
94          for (int i = 0; i < source.getSeriesCount(); i++) {
95              TimeSeries sourceSeries = source.getSeries(i);
96              TimeSeries maSeries = createMovingAverage(
97                  sourceSeries, sourceSeries.getKey() + suffix, periodCount, skip
98              );
99              result.addSeries(maSeries);       
100         }
101         
102         return result;
103         
104     }
105     
106     /**
107      * Creates a new {@link TimeSeries} containing moving average values for 
108      * the given series.  If the series is empty (contains zero items), the 
109      * result is an empty series.
110      *
111      * @param source  the source series.
112      * @param name  the name of the new series.
113      * @param periodCount  the number of periods used in the average 
114      *                     calculation.
115      * @param skip  the number of initial periods to skip.
116      *
117      * @return The moving average series.
118      */
119     public static TimeSeries createMovingAverage(TimeSeries source,
120                                                  String   name,
121                                                  int periodCount,
122                                                  int skip) {
123 
124         // check arguments
125         if (source == null) {
126             throw new IllegalArgumentException  ("Null source.");
127         }
128 
129         if (periodCount < 1) {
130             throw new IllegalArgumentException  (
131                 "periodCount must be greater than or equal to 1."
132             );
133 
134         }
135 
136         TimeSeries result = new TimeSeries(name, source.getTimePeriodClass());
137 
138         if (source.getItemCount() > 0) {
139 
140             // if the initial averaging period is to be excluded, then 
141             // calculate the index of the
142             // first data item to have an average calculated...
143             long firstSerial 
144                 = source.getDataItem(0).getPeriod().getSerialIndex() + skip;
145 
146             for (int i = source.getItemCount() - 1; i >= 0; i--) {
147 
148                 // get the current data item...
149                 TimeSeriesDataItem current = source.getDataItem(i);
150                 RegularTimePeriod period = current.getPeriod();
151                 long serial = period.getSerialIndex();
152 
153                 if (serial >= firstSerial) {
154                     // work out the average for the earlier values...
155                     int n = 0;
156                     double sum = 0.0;
157                     long serialLimit = period.getSerialIndex() - periodCount;
158                     int offset = 0;
159                     boolean finished = false;
160 
161                     while ((offset < periodCount) && (!finished)) {
162                         if ((i - offset) >= 0) {
163                             TimeSeriesDataItem item 
164                                 = source.getDataItem(i - offset);
165                             RegularTimePeriod p = item.getPeriod();
166                             Number   v = item.getValue();
167                             long currentIndex = p.getSerialIndex();
168                             if (currentIndex > serialLimit) {
169                                 if (v != null) {
170                                     sum = sum + v.doubleValue();
171                                     n = n + 1;
172                                 }
173                             }
174                             else {
175                                 finished = true;
176                             }
177                         }
178                         offset = offset + 1;
179                     }
180                     if (n > 0) {
181                         result.add(period, sum / n);
182                     }
183                     else {
184                         result.add(period, null);
185                     }
186                 }
187 
188             }
189         }
190 
191         return result;
192 
193     }
194 
195     /**
196      * Creates a new {@link TimeSeries} containing moving average values for 
197      * the given series, calculated by number of points (irrespective of the 
198      * 'age' of those points).  If the series is empty (contains zero items), 
199      * the result is an empty series.
200      * <p>
201      * Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
202      *
203      * @param source  the source series.
204      * @param name  the name of the new series.
205      * @param pointCount  the number of POINTS used in the average calculation 
206      *                    (not periods!)
207      *
208      * @return The moving average series.
209      */
210     public static TimeSeries createPointMovingAverage(TimeSeries source,
211                                                       String   name, 
212                                                       int pointCount) {
213 
214         // check arguments
215         if (source == null) {
216             throw new IllegalArgumentException  ("Null 'source'.");
217         }
218 
219         if (pointCount < 2) {
220             throw new IllegalArgumentException  (
221                 "periodCount must be greater than or equal to 2."
222             );
223         }
224 
225         TimeSeries result = new TimeSeries(name, source.getTimePeriodClass());
226         double rollingSumForPeriod = 0.0;
227         for (int i = 0; i < source.getItemCount(); i++) {
228             // get the current data item...
229             TimeSeriesDataItem current = source.getDataItem(i);
230             RegularTimePeriod period = current.getPeriod();
231             rollingSumForPeriod += current.getValue().doubleValue();
232 
233             if (i > pointCount - 1) {
234                 // remove the point i-periodCount out of the rolling sum.
235                 TimeSeriesDataItem startOfMovingAvg 
236                     = source.getDataItem(i - pointCount);
237                 rollingSumForPeriod 
238                     -= startOfMovingAvg.getValue().doubleValue();
239                 result.add(period, rollingSumForPeriod / pointCount);
240             }
241             else if (i == pointCount - 1) {
242                 result.add(period, rollingSumForPeriod / pointCount);
243             }
244         }
245         return result;
246     }
247 
248     /**
249      * Creates a new {@link XYDataset} containing the moving averages of each 
250      * series in the <code>source</code> dataset.
251      *
252      * @param source  the source dataset.
253      * @param suffix  the string to append to source series names to create 
254      *                target series names.
255      * @param period  the averaging period.
256      * @param skip  the length of the initial skip period.
257      *
258      * @return The dataset.
259      */
260     public static XYDataset createMovingAverage(XYDataset source, String   suffix,
261                                                 long period, final long skip) {
262 
263         return createMovingAverage(
264             source, suffix, (double) period, (double) skip
265         );
266         
267     }
268 
269 
270     /**
271      * Creates a new {@link XYDataset} containing the moving averages of each 
272      * series in the <code>source</code> dataset.
273      *
274      * @param source  the source dataset.
275      * @param suffix  the string to append to source series names to create 
276      *                target series names.
277      * @param period  the averaging period.
278      * @param skip  the length of the initial skip period.
279      *
280      * @return The dataset.
281      */
282     public static XYDataset createMovingAverage(XYDataset source, String   suffix,
283                                                 double period, double skip) {
284 
285         // check arguments
286         if (source == null) {
287             throw new IllegalArgumentException  ("Null source (XYDataset).");
288         }
289         
290         XYSeriesCollection result = new XYSeriesCollection();
291 
292         for (int i = 0; i < source.getSeriesCount(); i++) {
293             XYSeries s = createMovingAverage(
294                 source, i, source.getSeriesKey(i) + suffix, period, skip
295             );
296             result.addSeries(s);
297         }
298 
299         return result;
300 
301     }
302 
303     /**
304      * Creates a new {@link XYSeries} containing the moving averages of one 
305      * series in the <code>source</code> dataset.
306      *
307      * @param source  the source dataset.
308      * @param series  the series index (zero based).
309      * @param name  the name for the new series.
310      * @param period  the averaging period.
311      * @param skip  the length of the initial skip period.
312      *
313      * @return The dataset.
314      */
315     public static XYSeries createMovingAverage(XYDataset source, 
316                                                int series, String   name,
317                                                double period, double skip) {
318 
319                                                
320         // check arguments
321         if (source == null) {
322             throw new IllegalArgumentException  ("Null source (XYDataset).");
323         }
324 
325         if (period < Double.MIN_VALUE) {
326             throw new IllegalArgumentException  ("period must be positive.");
327 
328         }
329 
330         if (skip < 0.0) {
331             throw new IllegalArgumentException  ("skip must be >= 0.0.");
332 
333         }
334 
335         XYSeries result = new XYSeries(name);
336 
337         if (source.getItemCount(series) > 0) {
338 
339             // if the initial averaging period is to be excluded, then 
340             // calculate the lowest x-value to have an average calculated...
341             double first = source.getXValue(series, 0) + skip;
342 
343             for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
344 
345                 // get the current data item...
346                 double x = source.getXValue(series, i);
347 
348                 if (x >= first) {
349                     // work out the average for the earlier values...
350                     int n = 0;
351                     double sum = 0.0;
352                     double limit = x - period;
353                     int offset = 0;
354                     boolean finished = false;
355 
356                     while (!finished) {
357                         if ((i - offset) >= 0) {
358                             double xx = source.getXValue(series, i - offset);
359                             Number   yy = source.getY(series, i - offset);
360                             if (xx > limit) {
361                                 if (yy != null) {
362                                     sum = sum + yy.doubleValue();
363                                     n = n + 1;
364                                 }
365                             }
366                             else {
367                                 finished = true;
368                             }
369                         }
370                         else {
371                             finished = true;
372                         }
373                         offset = offset + 1;
374                     }
375                     if (n > 0) {
376                         result.add(x, sum / n);
377                     }
378                     else {
379                         result.add(x, null);
380                     }
381                 }
382 
383             }
384         }
385 
386         return result;
387 
388     }
389 
390 }
391
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