ewma.ts

/**
 * The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe
 * a time series. The EWMA is widely used in finance, the main applications being technical analysis and volatility modeling.
 * The moving average is designed as such that older observations are given lower weights.
 * The weights fall exponentially as the data point gets older – hence the name exponentially weighted.
 * The only decision a user of the EWMA must make is the parameter alpha.
 * The parameter decides how important the current observation is in the calculation of the EWMA.
 * The higher the value of alpha, the more closely the EWMA tracks the original time series.
 * @param alpha must be from 0 to 1
 */
export class EWMA {
    private prevValue: number;
    private filled = false;

    constructor(private alpha = 0.2) {}

    nextValue(value: number) {
        const ewma = this.alpha * value + (1 - this.alpha) * (this.prevValue || 1);
        this.filled = this.filled || this.prevValue !== undefined;
        this.prevValue = ewma;

        if (this.filled) {
            return ewma;
        }
    }

    momentValue(value: number) {
        if (this.filled) {
            return this.alpha * value + (1 - this.alpha) * (this.prevValue || 1);
        }
    }
}