Struct ExponentialMovingAverage

pub struct ExponentialMovingAverage {
    pub cached: Vec<f64>,
    /* private fields */
}

An exponential moving average (EMA), also known as an exponentially weighted moving average (EWMA).

It is a type of infinite impulse response filter that applies weighting factors which decrease exponentially. The weighting for each older datum decreases exponentially, never reaching zero.

Formula

Where:

• EMA_t - is the value of the EMA at any time period t.
• EMA_t-1 - is the value of the EMA at the previous period t-1.
• p_t - is the input value at a time period t.
• α - is the coefficient that represents the degree of weighting decrease, a constant smoothing factor between 0 and 1.

α is calculated with the following formula:

Where:

• length - number of periods

Parameters

• length - number of periods (integer greater than 0)

Example

use quantaxis_rs::indicators::ExponentialMovingAverage;
use quantaxis_rs::Next;

let mut ema = ExponentialMovingAverage::new(3).unwrap();
assert_eq!(ema.next(2.0), 2.0);
assert_eq!(ema.next(5.0), 3.5);
assert_eq!(ema.next(1.0), 2.25);
assert_eq!(ema.next(6.25), 4.25);

Links

• Exponential moving average, Wikipedia

Fields

cached: Vec<f64>

Implementations

impl ExponentialMovingAverage

pub fn new(length: u32) -> Result<Self>

pub fn length(&self) -> u32

Trait Implementations

impl Clone for ExponentialMovingAverage

fn clone(&self) -> ExponentialMovingAverage

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for ExponentialMovingAverage

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for ExponentialMovingAverage

fn default() -> Self

Returns the “default value” for a type.

impl Display for ExponentialMovingAverage

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'a, T: Close> Next<&'a T> for ExponentialMovingAverage

type Output = f64

fn next(&mut self, input: &'a T) -> Self::Output

impl Next<f64> for ExponentialMovingAverage

type Output = f64

fn next(&mut self, input: f64) -> Self::Output

impl Reset for ExponentialMovingAverage

fn reset(&mut self)

impl<'a, T: Close> Update<&'a T> for ExponentialMovingAverage

type Output = f64

fn update(&mut self, input: &'a T) -> Self::Output

impl Update<f64> for ExponentialMovingAverage

type Output = f64

fn update(&mut self, input: f64) -> Self::Output