    001/* ===========================================================
    002 * JFreeChart : a free chart library for the Java(tm) platform
    003 * ===========================================================
    004 *
    005 * (C) Copyright 2000-2011, 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 * [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 2003-2009, 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 * 09-Jun-2009 : Tidied up some calls to TimeSeries (DG);
    047 *
    048 */
    049
    050package org.jfree.data.time;
    051
    052import org.jfree.data.xy.XYDataset;
    053import org.jfree.data.xy.XYSeries;
    054import org.jfree.data.xy.XYSeriesCollection;
    055
    056/**
    057 * A utility class for calculating moving averages of time series data.
    058 */
    059public class MovingAverage {
    060
    061    /**
    062     * Creates a new {@link TimeSeriesCollection} containing a moving average
    063     * series for each series in the source collection.
    064     *
    065     * @param source  the source collection.
    066     * @param suffix  the suffix added to each source series name to create the
    067     *                corresponding moving average series name.
    068     * @param periodCount  the number of periods in the moving average
    069     *                     calculation.
    070     * @param skip  the number of initial periods to skip.
    071     *
    072     * @return A collection of moving average time series.
    073     */
    074    public static TimeSeriesCollection createMovingAverage(
    075            TimeSeriesCollection source, String suffix, int periodCount,
    076            int skip) {
    077
    078        if (source == null) {
    079            throw new IllegalArgumentException("Null 'source' argument.");
    080        }
    081        if (periodCount < 1) {
    082            throw new IllegalArgumentException("periodCount must be greater "
    083                    + "than or equal to 1.");
    084        }
    085
    086        TimeSeriesCollection result = new TimeSeriesCollection();
    087        for (int i = 0; i < source.getSeriesCount(); i++) {
    088            TimeSeries sourceSeries = source.getSeries(i);
    089            TimeSeries maSeries = createMovingAverage(sourceSeries,
    090                    sourceSeries.getKey() + suffix, periodCount, skip);
    091            result.addSeries(maSeries);
    092        }
    093        return result;
    094
    095    }
    096
    097    /**
    098     * Creates a new {@link TimeSeries} containing moving average values for
    099     * the given series.  If the series is empty (contains zero items), the
    100     * result is an empty series.
    101     *
    102     * @param source  the source series.
    103     * @param name  the name of the new series.
    104     * @param periodCount  the number of periods used in the average
    105     *                     calculation.
    106     * @param skip  the number of initial periods to skip.
    107     *
    108     * @return The moving average series.
    109     */
    110    public static TimeSeries createMovingAverage(TimeSeries source,
    111            String name, int periodCount, int skip) {
    112
    113        if (source == null) {
    114            throw new IllegalArgumentException("Null source.");
    115        }
    116        if (periodCount < 1) {
    117            throw new IllegalArgumentException("periodCount must be greater "
    118                    + "than or equal to 1.");
    119
    120        }
    121
    122        TimeSeries result = new TimeSeries(name);
    123
    124        if (source.getItemCount() > 0) {
    125
    126            // if the initial averaging period is to be excluded, then
    127            // calculate the index of the
    128            // first data item to have an average calculated...
    129            long firstSerial = source.getTimePeriod(0).getSerialIndex() + skip;
    130
    131            for (int i = source.getItemCount() - 1; i >= 0; i--) {
    132
    133                // get the current data item...
    134                RegularTimePeriod period = source.getTimePeriod(i);
    135                long serial = period.getSerialIndex();
    136
    137                if (serial >= firstSerial) {
    138                    // work out the average for the earlier values...
    139                    int n = 0;
    140                    double sum = 0.0;
    141                    long serialLimit = period.getSerialIndex() - periodCount;
    142                    int offset = 0;
    143                    boolean finished = false;
    144
    145                    while ((offset < periodCount) && (!finished)) {
    146                        if ((i - offset) >= 0) {
    147                            TimeSeriesDataItem item = source.getRawDataItem(
    148                                    i - offset);
    149                            RegularTimePeriod p = item.getPeriod();
    150                            Number v = item.getValue();
    151                            long currentIndex = p.getSerialIndex();
    152                            if (currentIndex > serialLimit) {
    153                                if (v != null) {
    154                                    sum = sum + v.doubleValue();
    155                                    n = n + 1;
    156                                }
    157                            }
    158                            else {
    159                                finished = true;
    160                            }
    161                        }
    162                        offset = offset + 1;
    163                    }
    164                    if (n > 0) {
    165                        result.add(period, sum / n);
    166                    }
    167                    else {
    168                        result.add(period, null);
    169                    }
    170                }
    171
    172            }
    173        }
    174
    175        return result;
    176
    177    }
    178
    179    /**
    180     * Creates a new {@link TimeSeries} containing moving average values for
    181     * the given series, calculated by number of points (irrespective of the
    182     * 'age' of those points).  If the series is empty (contains zero items),
    183     * the result is an empty series.
    184     * <p>
    185     * Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
    186     *
    187     * @param source  the source series.
    188     * @param name  the name of the new series.
    189     * @param pointCount  the number of POINTS used in the average calculation
    190     *                    (not periods!)
    191     *
    192     * @return The moving average series.
    193     */
    194    public static TimeSeries createPointMovingAverage(TimeSeries source,
    195            String name, int pointCount) {
    196
    197        if (source == null) {
    198            throw new IllegalArgumentException("Null 'source'.");
    199        }
    200        if (pointCount < 2) {
    201            throw new IllegalArgumentException("periodCount must be greater "
    202                    + "than or equal to 2.");
    203        }
    204
    205        TimeSeries result = new TimeSeries(name);
    206        double rollingSumForPeriod = 0.0;
    207        for (int i = 0; i < source.getItemCount(); i++) {
    208            // get the current data item...
    209            TimeSeriesDataItem current = source.getRawDataItem(i);
    210            RegularTimePeriod period = current.getPeriod();
    211            // FIXME: what if value is null on next line?
    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.getRawDataItem(
    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        XYSeries result = new XYSeries(name);
    307
    308        if (source.getItemCount(series) > 0) {
    309
    310            // if the initial averaging period is to be excluded, then
    311            // calculate the lowest x-value to have an average calculated...
    312            double first = source.getXValue(series, 0) + skip;
    313
    314            for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
    315
    316                // get the current data item...
    317                double x = source.getXValue(series, i);
    318
    319                if (x >= first) {
    320                    // work out the average for the earlier values...
    321                    int n = 0;
    322                    double sum = 0.0;
    323                    double limit = x - period;
    324                    int offset = 0;
    325                    boolean finished = false;
    326
    327                    while (!finished) {
    328                        if ((i - offset) >= 0) {
    329                            double xx = source.getXValue(series, i - offset);
    330                            Number yy = source.getY(series, i - offset);
    331                            if (xx > limit) {
    332                                if (yy != null) {
    333                                    sum = sum + yy.doubleValue();
    334                                    n = n + 1;
    335                                }
    336                            }
    337                            else {
    338                                finished = true;
    339                            }
    340                        }
    341                        else {
    342                            finished = true;
    343                        }
    344                        offset = offset + 1;
    345                    }
    346                    if (n > 0) {
    347                        result.add(x, sum / n);
    348                    }
    349                    else {
    350                        result.add(x, null);
    351                    }
    352                }
    353
    354            }
    355        }
    356
    357        return result;
    358
    359    }
    360
    361}