SMA

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Calculation

Experimental Time Series

Real Time Series

C++-Source

BOOL ivorix_sma (
          vector<double>& ivec,     // input  vector
          vector<double>& ovec,     // output vector
          unsigned long   span)     // time period or span of embedding
{
    ULONG   x     = 0;
    ULONG   y     = 0;
    ULONG   p     = 0;
    ULONG   e     = ivec.size();
    double  sum   = 0;

    if ( span == 0 || span >= e )
        return false;

    ovec.resize(ivec.size());

    ovec[0] = ivec[0];

    for ( x = 1; x < e; x++ )
    {
        p   = min(x, span);

        if ( p <= span )
        {
            sum = 0;

            for ( y = 0; y < p; y++ )
                sum += ivec[x-y];
        }
        else
        {
            // save cpu cycles: add current
            // value and subtract least recent
            sum = sum - ivec[x-p] + ivec[x];
        }

        ovec[x] = sum / p;
    }

    return true;
}

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