net.tradelib.functors.StdDev.java Source code

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Here is the source code for net.tradelib.functors.StdDev.java

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// Copyright 2015 Ivan Popivanov
//
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
//     http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.

package net.tradelib.functors;

import com.google.common.collect.EvictingQueue;

public class StdDev {
    private EvictingQueue<Double> eq;
    private double mean;
    private double var;
    private int count;
    private int n;
    private double dn; // N as a double

    public StdDev(int n) {
        this.mean = 0.0;
        this.var = 0.0;
        this.count = 0;
        this.n = n;
        this.dn = n;
        this.eq = EvictingQueue.create(this.n);
    }

    public int getLength() {
        return n;
    }

    public int getCount() {
        return count;
    }

    public double add(double value) {
        // The number of elements including the one added
        ++count;
        if (count > n) {
            double oldMean = mean;
            mean += (value - eq.peek()) / dn;
            var += (value - mean + eq.peek() - oldMean) * (value - eq.peek()) / (dn - 1.0);
        } else if (count == n) {
            double newMean = mean + (value - mean) / dn;
            double newVar = var + (value - mean) * (value - newMean);

            mean = newMean;
            var = newVar / (dn - 1.0);
        } else if (count > 1) {
            double dd = value - mean;
            double newMean = mean + dd / count;
            double newVar = var + dd * (value - newMean);

            mean = newMean;
            var = newVar;
        } else {
            mean = value;
            var = 0.0;
        }

        // Add the value to the buffer
        eq.add(value);

        return stdDev();
    }

    public double sma() {
        return count >= n ? mean : Double.NaN;
    }

    public double var() {
        return count >= n ? var : Double.NaN;
    }

    public double stdDev() {
        return count >= n ? Math.sqrt(var) : Double.NaN;
    }
}