001 /* ===========================================================
002 * JFreeChart : a free chart library for the Java(tm) platform
003 * ===========================================================
004 *
005 * (C) Copyright 2000-2009, by Object Refinery Limited and Contributors.
006 *
007 * Project Info: http://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 * [Java is a trademark or registered trademark of Sun Microsystems, Inc.
025 * in the United States and other countries.]
026 *
027 * ------------------
028 * MovingAverage.java
029 * ------------------
030 * (C) Copyright 2003-2009, by Object Refinery Limited.
031 *
032 * Original Author: David Gilbert (for Object Refinery Limited);
033 * Contributor(s): Benoit Xhenseval;
034 *
035 * Changes
036 * -------
037 * 28-Jan-2003 : Version 1 (DG);
038 * 10-Mar-2003 : Added createPointMovingAverage() method contributed by Benoit
039 * Xhenseval (DG);
040 * 01-Aug-2003 : Added new method for TimeSeriesCollection, and fixed bug in
041 * XYDataset method (DG);
042 * 15-Jul-2004 : Switched getX() with getXValue() and getY() with
043 * getYValue() (DG);
044 * 11-Jan-2005 : Removed deprecated code in preparation for the 1.0.0
045 * release (DG);
046 *
047 */
048
049 package org.jfree.data.time;
050
051 import org.jfree.data.xy.XYDataset;
052 import org.jfree.data.xy.XYSeries;
053 import org.jfree.data.xy.XYSeriesCollection;
054
055 /**
056 * A utility class for calculating moving averages of time series data.
057 */
058 public class MovingAverage {
059
060 /**
061 * Creates a new {@link TimeSeriesCollection} containing a moving average
062 * series for each series in the source collection.
063 *
064 * @param source the source collection.
065 * @param suffix the suffix added to each source series name to create the
066 * corresponding moving average series name.
067 * @param periodCount the number of periods in the moving average
068 * calculation.
069 * @param skip the number of initial periods to skip.
070 *
071 * @return A collection of moving average time series.
072 */
073 public static TimeSeriesCollection createMovingAverage(
074 TimeSeriesCollection source, String suffix, int periodCount,
075 int skip) {
076
077 if (source == null) {
078 throw new IllegalArgumentException("Null 'source' argument.");
079 }
080 if (periodCount < 1) {
081 throw new IllegalArgumentException("periodCount must be greater "
082 + "than or equal to 1.");
083 }
084
085 TimeSeriesCollection result = new TimeSeriesCollection();
086 for (int i = 0; i < source.getSeriesCount(); i++) {
087 TimeSeries sourceSeries = source.getSeries(i);
088 TimeSeries maSeries = createMovingAverage(sourceSeries,
089 sourceSeries.getKey() + suffix, periodCount, skip);
090 result.addSeries(maSeries);
091 }
092 return result;
093
094 }
095
096 /**
097 * Creates a new {@link TimeSeries} containing moving average values for
098 * the given series. If the series is empty (contains zero items), the
099 * result is an empty series.
100 *
101 * @param source the source series.
102 * @param name the name of the new series.
103 * @param periodCount the number of periods used in the average
104 * calculation.
105 * @param skip the number of initial periods to skip.
106 *
107 * @return The moving average series.
108 */
109 public static TimeSeries createMovingAverage(TimeSeries source,
110 String name, int periodCount, int skip) {
111
112 if (source == null) {
113 throw new IllegalArgumentException("Null source.");
114 }
115 if (periodCount < 1) {
116 throw new IllegalArgumentException("periodCount must be greater " +
117 "than or equal to 1.");
118
119 }
120
121 TimeSeries result = new TimeSeries(name);
122
123 if (source.getItemCount() > 0) {
124
125 // if the initial averaging period is to be excluded, then
126 // calculate the index of the
127 // first data item to have an average calculated...
128 long firstSerial
129 = source.getDataItem(0).getPeriod().getSerialIndex() + skip;
130
131 for (int i = source.getItemCount() - 1; i >= 0; i--) {
132
133 // get the current data item...
134 TimeSeriesDataItem current = source.getDataItem(i);
135 RegularTimePeriod period = current.getPeriod();
136 long serial = period.getSerialIndex();
137
138 if (serial >= firstSerial) {
139 // work out the average for the earlier values...
140 int n = 0;
141 double sum = 0.0;
142 long serialLimit = period.getSerialIndex() - periodCount;
143 int offset = 0;
144 boolean finished = false;
145
146 while ((offset < periodCount) && (!finished)) {
147 if ((i - offset) >= 0) {
148 TimeSeriesDataItem item = source.getDataItem(
149 i - offset);
150 RegularTimePeriod p = item.getPeriod();
151 Number v = item.getValue();
152 long currentIndex = p.getSerialIndex();
153 if (currentIndex > serialLimit) {
154 if (v != null) {
155 sum = sum + v.doubleValue();
156 n = n + 1;
157 }
158 }
159 else {
160 finished = true;
161 }
162 }
163 offset = offset + 1;
164 }
165 if (n > 0) {
166 result.add(period, sum / n);
167 }
168 else {
169 result.add(period, null);
170 }
171 }
172
173 }
174 }
175
176 return result;
177
178 }
179
180 /**
181 * Creates a new {@link TimeSeries} containing moving average values for
182 * the given series, calculated by number of points (irrespective of the
183 * 'age' of those points). If the series is empty (contains zero items),
184 * the result is an empty series.
185 * <p>
186 * Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
187 *
188 * @param source the source series.
189 * @param name the name of the new series.
190 * @param pointCount the number of POINTS used in the average calculation
191 * (not periods!)
192 *
193 * @return The moving average series.
194 */
195 public static TimeSeries createPointMovingAverage(TimeSeries source,
196 String name, int pointCount) {
197
198 if (source == null) {
199 throw new IllegalArgumentException("Null 'source'.");
200 }
201 if (pointCount < 2) {
202 throw new IllegalArgumentException("periodCount must be greater " +
203 "than or equal to 2.");
204 }
205
206 TimeSeries result = new TimeSeries(name);
207 double rollingSumForPeriod = 0.0;
208 for (int i = 0; i < source.getItemCount(); i++) {
209 // get the current data item...
210 TimeSeriesDataItem current = source.getDataItem(i);
211 RegularTimePeriod period = current.getPeriod();
212 rollingSumForPeriod += current.getValue().doubleValue();
213
214 if (i > pointCount - 1) {
215 // remove the point i-periodCount out of the rolling sum.
216 TimeSeriesDataItem startOfMovingAvg = source.getDataItem(
217 i - pointCount);
218 rollingSumForPeriod -= startOfMovingAvg.getValue()
219 .doubleValue();
220 result.add(period, rollingSumForPeriod / pointCount);
221 }
222 else if (i == pointCount - 1) {
223 result.add(period, rollingSumForPeriod / pointCount);
224 }
225 }
226 return result;
227 }
228
229 /**
230 * Creates a new {@link XYDataset} containing the moving averages of each
231 * series in the <code>source</code> dataset.
232 *
233 * @param source the source dataset.
234 * @param suffix the string to append to source series names to create
235 * target series names.
236 * @param period the averaging period.
237 * @param skip the length of the initial skip period.
238 *
239 * @return The dataset.
240 */
241 public static XYDataset createMovingAverage(XYDataset source, String suffix,
242 long period, long skip) {
243
244 return createMovingAverage(source, suffix, (double) period,
245 (double) skip);
246
247 }
248
249
250 /**
251 * Creates a new {@link XYDataset} containing the moving averages of each
252 * series in the <code>source</code> dataset.
253 *
254 * @param source the source dataset.
255 * @param suffix the string to append to source series names to create
256 * target series names.
257 * @param period the averaging period.
258 * @param skip the length of the initial skip period.
259 *
260 * @return The dataset.
261 */
262 public static XYDataset createMovingAverage(XYDataset source,
263 String suffix, double period, double skip) {
264
265 if (source == null) {
266 throw new IllegalArgumentException("Null source (XYDataset).");
267 }
268
269 XYSeriesCollection result = new XYSeriesCollection();
270
271 for (int i = 0; i < source.getSeriesCount(); i++) {
272 XYSeries s = createMovingAverage(source, i, source.getSeriesKey(i)
273 + suffix, period, skip);
274 result.addSeries(s);
275 }
276
277 return result;
278
279 }
280
281 /**
282 * Creates a new {@link XYSeries} containing the moving averages of one
283 * series in the <code>source</code> dataset.
284 *
285 * @param source the source dataset.
286 * @param series the series index (zero based).
287 * @param name the name for the new series.
288 * @param period the averaging period.
289 * @param skip the length of the initial skip period.
290 *
291 * @return The dataset.
292 */
293 public static XYSeries createMovingAverage(XYDataset source,
294 int series, String name, double period, double skip) {
295
296 if (source == null) {
297 throw new IllegalArgumentException("Null source (XYDataset).");
298 }
299 if (period < Double.MIN_VALUE) {
300 throw new IllegalArgumentException("period must be positive.");
301 }
302 if (skip < 0.0) {
303 throw new IllegalArgumentException("skip must be >= 0.0.");
304
305 }
306
307 XYSeries result = new XYSeries(name);
308
309 if (source.getItemCount(series) > 0) {
310
311 // if the initial averaging period is to be excluded, then
312 // calculate the lowest x-value to have an average calculated...
313 double first = source.getXValue(series, 0) + skip;
314
315 for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
316
317 // get the current data item...
318 double x = source.getXValue(series, i);
319
320 if (x >= first) {
321 // work out the average for the earlier values...
322 int n = 0;
323 double sum = 0.0;
324 double limit = x - period;
325 int offset = 0;
326 boolean finished = false;
327
328 while (!finished) {
329 if ((i - offset) >= 0) {
330 double xx = source.getXValue(series, i - offset);
331 Number yy = source.getY(series, i - offset);
332 if (xx > limit) {
333 if (yy != null) {
334 sum = sum + yy.doubleValue();
335 n = n + 1;
336 }
337 }
338 else {
339 finished = true;
340 }
341 }
342 else {
343 finished = true;
344 }
345 offset = offset + 1;
346 }
347 if (n > 0) {
348 result.add(x, sum / n);
349 }
350 else {
351 result.add(x, null);
352 }
353 }
354
355 }
356 }
357
358 return result;
359
360 }
361
362 }