001/* ======================================================
002 * JFreeChart : a chart library for the Java(tm) platform
003 * ======================================================
004 *
005 * (C) Copyright 2000-present, by David Gilbert and Contributors.
006 *
007 * Project Info:  https://www.jfree.org/jfreechart/index.html
008 *
009 * This library is free software; you can redistribute it and/or modify it
010 * under the terms of the GNU Lesser General Public License as published by
011 * the Free Software Foundation; either version 2.1 of the License, or
012 * (at your option) any later version.
013 *
014 * This library is distributed in the hope that it will be useful, but
015 * WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY
016 * or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public
017 * License for more details.
018 *
019 * You should have received a copy of the GNU Lesser General Public
020 * License along with this library; if not, write to the Free Software
021 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA  02110-1301,
022 * USA.
023 *
024 * [Oracle and Java are registered trademarks of Oracle and/or its affiliates. 
025 * Other names may be trademarks of their respective owners.]
026 *
027 * ------------------
028 * MovingAverage.java
029 * ------------------
030 * (C) Copyright 2003-present, by David Gilbert.
031 *
032 * Original Author:  David Gilbert;
033 * Contributor(s):   Benoit Xhenseval;
034 *
035 */
036
037package org.jfree.data.time;
038
039import org.jfree.chart.util.Args;
040import org.jfree.data.xy.XYDataset;
041import org.jfree.data.xy.XYSeries;
042import org.jfree.data.xy.XYSeriesCollection;
043
044/**
045 * A utility class for calculating moving averages of time series data.
046 */
047public class MovingAverage {
048
049    private MovingAverage() {
050        // no requirement to instantiate
051    }
052
053    /**
054     * Creates a new {@link TimeSeriesCollection} containing a moving average
055     * series for each series in the source collection.
056     *
057     * @param source  the source collection.
058     * @param suffix  the suffix added to each source series name to create the
059     *                corresponding moving average series name.
060     * @param periodCount  the number of periods in the moving average
061     *                     calculation.
062     * @param skip  the number of initial periods to skip.
063     *
064     * @return A collection of moving average time series.
065     */
066    public static TimeSeriesCollection createMovingAverage(
067            TimeSeriesCollection source, String suffix, int periodCount,
068            int skip) {
069
070        Args.nullNotPermitted(source, "source");
071        if (periodCount < 1) {
072            throw new IllegalArgumentException("periodCount must be greater "
073                    + "than or equal to 1.");
074        }
075
076        TimeSeriesCollection result = new TimeSeriesCollection();
077        for (int i = 0; i < source.getSeriesCount(); i++) {
078            TimeSeries sourceSeries = source.getSeries(i);
079            TimeSeries maSeries = createMovingAverage(sourceSeries,
080                    sourceSeries.getKey() + suffix, periodCount, skip);
081            result.addSeries(maSeries);
082        }
083        return result;
084
085    }
086
087    /**
088     * Creates a new {@link TimeSeries} containing moving average values for
089     * the given series.  If the series is empty (contains zero items), the
090     * result is an empty series.
091     *
092     * @param source  the source series.
093     * @param name  the series key ({@code null} not permitted).
094     * @param periodCount  the number of periods used in the average
095     *                     calculation.
096     * @param skip  the number of initial periods to skip.
097     *
098     * @return The moving average series.
099     */
100    public static TimeSeries createMovingAverage(TimeSeries source,
101            String name, int periodCount, int skip) {
102
103        Args.nullNotPermitted(source, "source");
104        if (periodCount < 1) {
105            throw new IllegalArgumentException("periodCount must be greater " 
106                    + "than or equal to 1.");
107        }
108
109        TimeSeries result = new TimeSeries(name);
110
111        if (source.getItemCount() > 0) {
112
113            // if the initial averaging period is to be excluded, then
114            // calculate the index of the
115            // first data item to have an average calculated...
116            long firstSerial = source.getTimePeriod(0).getSerialIndex() + skip;
117
118            for (int i = source.getItemCount() - 1; i >= 0; i--) {
119
120                // get the current data item...
121                RegularTimePeriod period = source.getTimePeriod(i);
122                long serial = period.getSerialIndex();
123
124                if (serial >= firstSerial) {
125                    // work out the average for the earlier values...
126                    int n = 0;
127                    double sum = 0.0;
128                    long serialLimit = period.getSerialIndex() - periodCount;
129                    int offset = 0;
130                    boolean finished = false;
131
132                    while ((offset < periodCount) && (!finished)) {
133                        if ((i - offset) >= 0) {
134                            TimeSeriesDataItem item = source.getRawDataItem(
135                                    i - offset);
136                            RegularTimePeriod p = item.getPeriod();
137                            Number v = item.getValue();
138                            long currentIndex = p.getSerialIndex();
139                            if (currentIndex > serialLimit) {
140                                if (v != null) {
141                                    sum = sum + v.doubleValue();
142                                    n = n + 1;
143                                }
144                            }
145                            else {
146                                finished = true;
147                            }
148                        }
149                        offset = offset + 1;
150                    }
151                    if (n > 0) {
152                        result.add(period, sum / n);
153                    }
154                    else {
155                        result.add(period, null);
156                    }
157                }
158
159            }
160        }
161
162        return result;
163
164    }
165
166    /**
167     * Creates a new {@link TimeSeries} containing moving average values for
168     * the given series, calculated by number of points (irrespective of the
169     * 'age' of those points).  If the series is empty (contains zero items),
170     * the result is an empty series.
171     * <p>
172     * Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
173     *
174     * @param source  the source series.
175     * @param name  the name of the new series.
176     * @param pointCount  the number of POINTS used in the average calculation
177     *                    (not periods!)
178     *
179     * @return The moving average series.
180     */
181    public static TimeSeries createPointMovingAverage(TimeSeries source,
182            String name, int pointCount) {
183
184        Args.nullNotPermitted(source, "source");
185        if (pointCount < 2) {
186            throw new IllegalArgumentException("periodCount must be greater " 
187                    + "than or equal to 2.");
188        }
189
190        TimeSeries result = new TimeSeries(name);
191        double rollingSumForPeriod = 0.0;
192        for (int i = 0; i < source.getItemCount(); i++) {
193            // get the current data item...
194            TimeSeriesDataItem current = source.getRawDataItem(i);
195            RegularTimePeriod period = current.getPeriod();
196            // FIXME: what if value is null on next line?
197            rollingSumForPeriod += current.getValue().doubleValue();
198
199            if (i > pointCount - 1) {
200                // remove the point i-periodCount out of the rolling sum.
201                TimeSeriesDataItem startOfMovingAvg = source.getRawDataItem(
202                        i - pointCount);
203                rollingSumForPeriod -= startOfMovingAvg.getValue()
204                        .doubleValue();
205                result.add(period, rollingSumForPeriod / pointCount);
206            }
207            else if (i == pointCount - 1) {
208                result.add(period, rollingSumForPeriod / pointCount);
209            }
210        }
211        return result;
212    }
213
214    /**
215     * Creates a new {@link XYDataset} containing the moving averages of each
216     * series in the {@code source} dataset.
217     *
218     * @param source  the source dataset.
219     * @param suffix  the string to append to source series names to create
220     *                target series names.
221     * @param period  the averaging period.
222     * @param skip  the length of the initial skip period.
223     *
224     * @return The dataset.
225     */
226    public static XYDataset createMovingAverage(XYDataset source, String suffix,
227            long period, long skip) {
228
229        return createMovingAverage(source, suffix, (double) period,
230                (double) skip);
231
232    }
233
234
235    /**
236     * Creates a new {@link XYDataset} containing the moving averages of each
237     * series in the {@code source} dataset.
238     *
239     * @param source  the source dataset.
240     * @param suffix  the string to append to source series names to create
241     *                target series names.
242     * @param period  the averaging period.
243     * @param skip  the length of the initial skip period.
244     *
245     * @return The dataset.
246     */
247    public static XYDataset createMovingAverage(XYDataset source,
248            String suffix, double period, double skip) {
249
250        Args.nullNotPermitted(source, "source");
251        XYSeriesCollection result = new XYSeriesCollection();
252        for (int i = 0; i < source.getSeriesCount(); i++) {
253            XYSeries s = createMovingAverage(source, i, source.getSeriesKey(i)
254                    + suffix, period, skip);
255            result.addSeries(s);
256        }
257        return result;
258    }
259
260    /**
261     * Creates a new {@link XYSeries} containing the moving averages of one
262     * series in the {@code source} dataset.
263     *
264     * @param source  the source dataset.
265     * @param series  the series index (zero based).
266     * @param name  the name for the new series.
267     * @param period  the averaging period.
268     * @param skip  the length of the initial skip period.
269     *
270     * @return The dataset.
271     */
272    public static XYSeries createMovingAverage(XYDataset source,
273            int series, String name, double period, double skip) {
274
275        Args.nullNotPermitted(source, "source");
276        if (period < Double.MIN_VALUE) {
277            throw new IllegalArgumentException("period must be positive.");
278        }
279        if (skip < 0.0) {
280            throw new IllegalArgumentException("skip must be >= 0.0.");
281        }
282
283        XYSeries result = new XYSeries(name);
284
285        if (source.getItemCount(series) > 0) {
286
287            // if the initial averaging period is to be excluded, then
288            // calculate the lowest x-value to have an average calculated...
289            double first = source.getXValue(series, 0) + skip;
290
291            for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
292
293                // get the current data item...
294                double x = source.getXValue(series, i);
295
296                if (x >= first) {
297                    // work out the average for the earlier values...
298                    int n = 0;
299                    double sum = 0.0;
300                    double limit = x - period;
301                    int offset = 0;
302                    boolean finished = false;
303
304                    while (!finished) {
305                        if ((i - offset) >= 0) {
306                            double xx = source.getXValue(series, i - offset);
307                            Number yy = source.getY(series, i - offset);
308                            if (xx > limit) {
309                                if (yy != null) {
310                                    sum = sum + yy.doubleValue();
311                                    n = n + 1;
312                                }
313                            }
314                            else {
315                                finished = true;
316                            }
317                        }
318                        else {
319                            finished = true;
320                        }
321                        offset = offset + 1;
322                    }
323                    if (n > 0) {
324                        result.add(x, sum / n);
325                    }
326                    else {
327                        result.add(x, null);
328                    }
329                }
330
331            }
332        }
333
334        return result;
335
336    }
337
338}