001/* ===========================================================
002 * JFreeChart : a free chart library for the Java(tm) platform
003 * ===========================================================
004 *
005 * (C) Copyright 2000-2009, 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 2003-2009, 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 *
047 */
048
049package org.jfree.data.time;
050
051import org.jfree.data.xy.XYDataset;
052import org.jfree.data.xy.XYSeries;
053import org.jfree.data.xy.XYSeriesCollection;
054
055/**
056 * A utility class for calculating moving averages of time series data.
057 */
058public 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        if (periodCount < 1) {
081            throw new IllegalArgumentException("periodCount must be greater "
082                    + "than or equal to 1.");
083        }
084
085        TimeSeriesCollection result = new TimeSeriesCollection();
086        for (int i = 0; i < source.getSeriesCount(); i++) {
087            TimeSeries sourceSeries = source.getSeries(i);
088            TimeSeries maSeries = createMovingAverage(sourceSeries,
089                    sourceSeries.getKey() + suffix, periodCount, skip);
090            result.addSeries(maSeries);
091        }
092        return result;
093
094    }
095
096    /**
097     * Creates a new {@link TimeSeries} containing moving average values for
098     * the given series.  If the series is empty (contains zero items), the
099     * result is an empty series.
100     *
101     * @param source  the source series.
102     * @param name  the name of the new series.
103     * @param periodCount  the number of periods used in the average
104     *                     calculation.
105     * @param skip  the number of initial periods to skip.
106     *
107     * @return The moving average series.
108     */
109    public static TimeSeries createMovingAverage(TimeSeries source,
110            String name, int periodCount, int skip) {
111
112        if (source == null) {
113            throw new IllegalArgumentException("Null source.");
114        }
115        if (periodCount < 1) {
116            throw new IllegalArgumentException("periodCount must be greater " +
117                    "than or equal to 1.");
118
119        }
120
121        TimeSeries result = new TimeSeries(name);
122
123        if (source.getItemCount() > 0) {
124
125            // if the initial averaging period is to be excluded, then
126            // calculate the index of the
127            // first data item to have an average calculated...
128            long firstSerial
129                    = source.getDataItem(0).getPeriod().getSerialIndex() + skip;
130
131            for (int i = source.getItemCount() - 1; i >= 0; i--) {
132
133                // get the current data item...
134                TimeSeriesDataItem current = source.getDataItem(i);
135                RegularTimePeriod period = current.getPeriod();
136                long serial = period.getSerialIndex();
137
138                if (serial >= firstSerial) {
139                    // work out the average for the earlier values...
140                    int n = 0;
141                    double sum = 0.0;
142                    long serialLimit = period.getSerialIndex() - periodCount;
143                    int offset = 0;
144                    boolean finished = false;
145
146                    while ((offset < periodCount) && (!finished)) {
147                        if ((i - offset) >= 0) {
148                            TimeSeriesDataItem item = source.getDataItem(
149                                    i - offset);
150                            RegularTimePeriod p = item.getPeriod();
151                            Number v = item.getValue();
152                            long currentIndex = p.getSerialIndex();
153                            if (currentIndex > serialLimit) {
154                                if (v != null) {
155                                    sum = sum + v.doubleValue();
156                                    n = n + 1;
157                                }
158                            }
159                            else {
160                                finished = true;
161                            }
162                        }
163                        offset = offset + 1;
164                    }
165                    if (n > 0) {
166                        result.add(period, sum / n);
167                    }
168                    else {
169                        result.add(period, null);
170                    }
171                }
172
173            }
174        }
175
176        return result;
177
178    }
179
180    /**
181     * Creates a new {@link TimeSeries} containing moving average values for
182     * the given series, calculated by number of points (irrespective of the
183     * 'age' of those points).  If the series is empty (contains zero items),
184     * the result is an empty series.
185     * <p>
186     * Developed by Benoit Xhenseval (www.ObjectLab.co.uk).
187     *
188     * @param source  the source series.
189     * @param name  the name of the new series.
190     * @param pointCount  the number of POINTS used in the average calculation
191     *                    (not periods!)
192     *
193     * @return The moving average series.
194     */
195    public static TimeSeries createPointMovingAverage(TimeSeries source,
196            String name, int pointCount) {
197
198        if (source == null) {
199            throw new IllegalArgumentException("Null 'source'.");
200        }
201        if (pointCount < 2) {
202            throw new IllegalArgumentException("periodCount must be greater " +
203                    "than or equal to 2.");
204        }
205
206        TimeSeries result = new TimeSeries(name);
207        double rollingSumForPeriod = 0.0;
208        for (int i = 0; i < source.getItemCount(); i++) {
209            // get the current data item...
210            TimeSeriesDataItem current = source.getDataItem(i);
211            RegularTimePeriod period = current.getPeriod();
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.getDataItem(
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
307        XYSeries result = new XYSeries(name);
308
309        if (source.getItemCount(series) > 0) {
310
311            // if the initial averaging period is to be excluded, then
312            // calculate the lowest x-value to have an average calculated...
313            double first = source.getXValue(series, 0) + skip;
314
315            for (int i = source.getItemCount(series) - 1; i >= 0; i--) {
316
317                // get the current data item...
318                double x = source.getXValue(series, i);
319
320                if (x >= first) {
321                    // work out the average for the earlier values...
322                    int n = 0;
323                    double sum = 0.0;
324                    double limit = x - period;
325                    int offset = 0;
326                    boolean finished = false;
327
328                    while (!finished) {
329                        if ((i - offset) >= 0) {
330                            double xx = source.getXValue(series, i - offset);
331                            Number yy = source.getY(series, i - offset);
332                            if (xx > limit) {
333                                if (yy != null) {
334                                    sum = sum + yy.doubleValue();
335                                    n = n + 1;
336                                }
337                            }
338                            else {
339                                finished = true;
340                            }
341                        }
342                        else {
343                            finished = true;
344                        }
345                        offset = offset + 1;
346                    }
347                    if (n > 0) {
348                        result.add(x, sum / n);
349                    }
350                    else {
351                        result.add(x, null);
352                    }
353                }
354
355            }
356        }
357
358        return result;
359
360    }
361
362}