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May 27, 2019 11:31
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C# Moving averages extensions (Cumulative, Simple, Exponential).
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public static class MovingAverageExtensions | |
{ | |
public static IEnumerable<decimal> CumulativeMovingAverage(this IEnumerable<decimal> source) | |
{ | |
ulong count = 0; | |
decimal sum = 0; | |
foreach (var d in source) | |
{ | |
yield return (sum += d) / ++count; | |
} | |
} | |
public static IEnumerable<decimal> SimpleMovingAverage(this IEnumerable<decimal> source, int length) | |
{ | |
var sample = new Queue<decimal>(length); | |
foreach (var d in source) | |
{ | |
if (sample.Count == length) | |
{ | |
sample.Dequeue(); | |
} | |
sample.Enqueue(d); | |
yield return sample.Average(); | |
} | |
} | |
public static IEnumerable<decimal> ExponentialMovingAverage(this IEnumerable<decimal> source, int length) | |
{ | |
var alpha = 2 / (decimal)(length + 1); | |
var s = source.ToArray(); | |
decimal result = 0; | |
for (var i = 0; i < s.Length; i++) | |
{ | |
result = i == 0 | |
? s[i] | |
: alpha*s[i] + (1 - alpha) * result; | |
yield return result; | |
} | |
} | |
} |
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