001 /* ===========================================================
002 * JFreeChart : a free chart library for the Java(tm) platform
003 * ===========================================================
004 *
005 * (C) Copyright 2000-2008, 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 2003-2008, 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
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
088 for (int i = 0; i < source.getSeriesCount(); i++) {
089 TimeSeries sourceSeries = source.getSeries(i);
090 TimeSeries maSeries = createMovingAverage(sourceSeries,
091 sourceSeries.getKey() + suffix, periodCount, skip);
092 result.addSeries(maSeries);
093 }
094
095 return result;
096
097 }
098
099 /**
100 * Creates a new {@link TimeSeries} containing moving average values for
101 * the given series. If the series is empty (contains zero items), the
102 * result is an empty series.
103 *
104 * @param source the source series.
105 * @param name the name of the new series.
106 * @param periodCount the number of periods used in the average
107 * calculation.
108 * @param skip the number of initial periods to skip.
109 *
110 * @return The moving average series.
111 */
112 public static TimeSeries createMovingAverage(TimeSeries source,
113 String name, int periodCount, int skip) {
114
115 if (source == null) {
116 throw new IllegalArgumentException("Null source.");
117 }
118
119 if (periodCount < 1) {
120 throw new IllegalArgumentException("periodCount must be greater " +
121 "than or equal to 1.");
122
123 }
124
125 TimeSeries result = new TimeSeries(name, source.getTimePeriodClass());
126
127 if (source.getItemCount() > 0) {
128
129 // if the initial averaging period is to be excluded, then
130 // calculate the index of the
131 // first data item to have an average calculated...
132 long firstSerial
133 = source.getDataItem(0).getPeriod().getSerialIndex() + skip;
134
135 for (int i = source.getItemCount() - 1; i >= 0; i--) {
136
137 // get the current data item...
138 TimeSeriesDataItem current = source.getDataItem(i);
139 RegularTimePeriod period = current.getPeriod();
140 long serial = period.getSerialIndex();
141
142 if (serial >= firstSerial) {
143 // work out the average for the earlier values...
144 int n = 0;
145 double sum = 0.0;
146 long serialLimit = period.getSerialIndex() - periodCount;
147 int offset = 0;
148 boolean finished = false;
149
150 while ((offset < periodCount) && (!finished)) {
151 if ((i - offset) >= 0) {
152 TimeSeriesDataItem item = source.getDataItem(
153 i - offset);
154 RegularTimePeriod p = item.getPeriod();
155 Number v = item.getValue();
156 long currentIndex = p.getSerialIndex();
157 if (currentIndex > serialLimit) {
158 if (v != null) {
159 sum = sum + v.doubleValue();
160 n = n + 1;
161 }
162 }
163 else {
164 finished = true;
165 }
166 }
167 offset = offset + 1;
168 }
169 if (n > 0) {
170 result.add(period, sum / n);
171 }
172 else {
173 result.add(period, null);
174 }
175 }
176
177 }
178 }
179
180 return result;
181
182 }
183
184 /**
185 * Creates a new {@link TimeSeries} containing moving average values for
186 * the given series, calculated by number of points (irrespective of the
187 * 'age' of those points). If the series is empty (contains zero items),
188 * the result is an empty series.
189 * <p>
190 * Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
191 *
192 * @param source the source series.
193 * @param name the name of the new series.
194 * @param pointCount the number of POINTS used in the average calculation
195 * (not periods!)
196 *
197 * @return The moving average series.
198 */
199 public static TimeSeries createPointMovingAverage(TimeSeries source,
200 String name, int pointCount) {
201
202 if (source == null) {
203 throw new IllegalArgumentException("Null 'source'.");
204 }
205
206 if (pointCount < 2) {
207 throw new IllegalArgumentException("periodCount must be greater " +
208 "than or equal to 2.");
209 }
210
211 TimeSeries result = new TimeSeries(name, source.getTimePeriodClass());
212 double rollingSumForPeriod = 0.0;
213 for (int i = 0; i < source.getItemCount(); i++) {
214 // get the current data item...
215 TimeSeriesDataItem current = source.getDataItem(i);
216 RegularTimePeriod period = current.getPeriod();
217 rollingSumForPeriod += current.getValue().doubleValue();
218
219 if (i > pointCount - 1) {
220 // remove the point i-periodCount out of the rolling sum.
221 TimeSeriesDataItem startOfMovingAvg = source.getDataItem(
222 i - pointCount);
223 rollingSumForPeriod -= startOfMovingAvg.getValue()
224 .doubleValue();
225 result.add(period, rollingSumForPeriod / pointCount);
226 }
227 else if (i == pointCount - 1) {
228 result.add(period, rollingSumForPeriod / pointCount);
229 }
230 }
231 return result;
232 }
233
234 /**
235 * Creates a new {@link XYDataset} containing the moving averages of each
236 * series in the <code>source</code> dataset.
237 *
238 * @param source the source dataset.
239 * @param suffix the string to append to source series names to create
240 * target series names.
241 * @param period the averaging period.
242 * @param skip the length of the initial skip period.
243 *
244 * @return The dataset.
245 */
246 public static XYDataset createMovingAverage(XYDataset source, String suffix,
247 long period, long skip) {
248
249 return createMovingAverage(source, suffix, (double) period,
250 (double) skip);
251
252 }
253
254
255 /**
256 * Creates a new {@link XYDataset} containing the moving averages of each
257 * series in the <code>source</code> dataset.
258 *
259 * @param source the source dataset.
260 * @param suffix the string to append to source series names to create
261 * target series names.
262 * @param period the averaging period.
263 * @param skip the length of the initial skip period.
264 *
265 * @return The dataset.
266 */
267 public static XYDataset createMovingAverage(XYDataset source,
268 String suffix, double period, double skip) {
269
270 if (source == null) {
271 throw new IllegalArgumentException("Null source (XYDataset).");
272 }
273
274 XYSeriesCollection result = new XYSeriesCollection();
275
276 for (int i = 0; i < source.getSeriesCount(); i++) {
277 XYSeries s = createMovingAverage(source, i, source.getSeriesKey(i)
278 + suffix, period, skip);
279 result.addSeries(s);
280 }
281
282 return result;
283
284 }
285
286 /**
287 * Creates a new {@link XYSeries} containing the moving averages of one
288 * series in the <code>source</code> dataset.
289 *
290 * @param source the source dataset.
291 * @param series the series index (zero based).
292 * @param name the name for the new series.
293 * @param period the averaging period.
294 * @param skip the length of the initial skip period.
295 *
296 * @return The dataset.
297 */
298 public static XYSeries createMovingAverage(XYDataset source,
299 int series, String name, double period, double skip) {
300
301 if (source == null) {
302 throw new IllegalArgumentException("Null source (XYDataset).");
303 }
304 if (period < Double.MIN_VALUE) {
305 throw new IllegalArgumentException("period must be positive.");
306 }
307 if (skip < 0.0) {
308 throw new IllegalArgumentException("skip must be >= 0.0.");
309
310 }
311
312 XYSeries result = new XYSeries(name);
313
314 if (source.getItemCount(series) > 0) {
315
316 // if the initial averaging period is to be excluded, then
317 // calculate the lowest x-value to have an average calculated...
318 double first = source.getXValue(series, 0) + skip;
319
320 for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
321
322 // get the current data item...
323 double x = source.getXValue(series, i);
324
325 if (x >= first) {
326 // work out the average for the earlier values...
327 int n = 0;
328 double sum = 0.0;
329 double limit = x - period;
330 int offset = 0;
331 boolean finished = false;
332
333 while (!finished) {
334 if ((i - offset) >= 0) {
335 double xx = source.getXValue(series, i - offset);
336 Number yy = source.getY(series, i - offset);
337 if (xx > limit) {
338 if (yy != null) {
339 sum = sum + yy.doubleValue();
340 n = n + 1;
341 }
342 }
343 else {
344 finished = true;
345 }
346 }
347 else {
348 finished = true;
349 }
350 offset = offset + 1;
351 }
352 if (n > 0) {
353 result.add(x, sum / n);
354 }
355 else {
356 result.add(x, null);
357 }
358 }
359
360 }
361 }
362
363 return result;
364
365 }
366
367 }