moving_avg 0.2.0

checksums.yaml

@@ -0,0 +1,7 @@
+---
+SHA1:
+  metadata.gz: 9ca3a31aa83c9ee4734e42d2b1473e4454a37d7a
+  data.tar.gz: 28ddfa0b6d617b230ecc2b48ef3971b3bead7bcf
+SHA512:
+  metadata.gz: 19bd75386f757b260aa9ea4a4b841aae58e84afb7e0c674301b9630766715caa1e3bf3db8bcffedd1095a03e0c93319d76117e07e74cbb335345554bff5fb7a7
+  data.tar.gz: 4b5812e266961e95e9a47988807b317f2c1f7447faf02b395aad6aa6a572ece5e6c4d477142be37f94d96878e0a26be2d346687b168dfa7dfab5a81264e45c5a

data/.gitignore

@@ -0,0 +1,13 @@
+/.bundle/
+/.yardoc
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/
+
+# rspec failure tracking
+.rspec_status
+
+tmp.rb

data/.rspec

@@ -0,0 +1,3 @@
+--format documentation
+--color
+--require spec_helper

data/.travis.yml

@@ -0,0 +1,5 @@
+sudo: false
+language: ruby
+rvm:
+  - 2.4.2
+before_install: gem install bundler -v 1.16.0.pre.3

data/Gemfile

@@ -0,0 +1,6 @@
+source "https://rubygems.org"
+
+git_source(:github) {|repo_name| "https://github.com/#{repo_name}" }
+
+# Specify your gem's dependencies in moving_avg.gemspec
+gemspec

data/Gemfile.lock

@@ -0,0 +1,46 @@
+PATH
+  remote: .
+  specs:
+    moving_avg (0.2.0)
+
+GEM
+  remote: https://rubygems.org/
+  specs:
+    byebug (9.1.0)
+    coderay (1.1.2)
+    diff-lcs (1.3)
+    method_source (0.9.0)
+    pry (0.11.3)
+      coderay (~> 1.1.0)
+      method_source (~> 0.9.0)
+    pry-byebug (3.5.1)
+      byebug (~> 9.1)
+      pry (~> 0.10)
+    rake (10.5.0)
+    rspec (3.6.0)
+      rspec-core (~> 3.6.0)
+      rspec-expectations (~> 3.6.0)
+      rspec-mocks (~> 3.6.0)
+    rspec-core (3.6.0)
+      rspec-support (~> 3.6.0)
+    rspec-expectations (3.6.0)
+      diff-lcs (>= 1.2.0, < 2.0)
+      rspec-support (~> 3.6.0)
+    rspec-mocks (3.6.0)
+      diff-lcs (>= 1.2.0, < 2.0)
+      rspec-support (~> 3.6.0)
+    rspec-support (3.6.0)
+
+PLATFORMS
+  ruby
+
+DEPENDENCIES
+  bundler (~> 1.16.a)
+  moving_avg!
+  pry
+  pry-byebug
+  rake (~> 10.0)
+  rspec (~> 3.0)
+
+BUNDLED WITH
+   1.16.0.pre.3

data/README.md

@@ -0,0 +1,84 @@
+# MovingAvg
+
+Calculate Moving Average in Ruby.
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'moving_avg'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install moving_avg
+
+## Usage
+
+```ruby
+data = [100, 200, 200, 500]
+p MovingAvg::Base.sma(data)  #=> 250.0
+p MovingAvg::Base.wma(data)  #=> 190.0
+p MovingAvg::Base.ewma(data) #=> 298.4
+p MovingAvg::Base.mma(data)  #=> 232.8125
+```
+
+## `MovingAvg::Base`
+
+### Simple Moving Average
+- aliases
+  - `MovingAvg::Base.simple_moving_average()`
+  - `MovingAvg::Base.sma()`
+
+### Weighted Moving Average
+- a.k.a. Linear Weighted Moving Average
+- aliases
+  - `MovingAvg::Base.weighted_moving_average()`
+  - `MovingAvg::Base.wma()`
+  - `MovingAvg::Base.lwma()`
+
+### Exponentially Weighted Moving Average
+- aliases
+  - `MovingAvg::Base.exponentially_weighted_moving_average()`
+  - `MovingAvg::Base.ewma()`
+
+### Modified Moving Average
+- aliases
+  - `MovingAvg::Base.modified_moving_average()`
+  - `MovingAvg::Base.mma()`
+
+
+## `MovingAvg::Evaluator`
+
+### `.error_sum`
+
+Helper method for calculating the sum of errors.
+
+```ruby
+training_items = [100, 300, 350, 280, 500]
+teacher_items = [110.0, 200.0, 300.0, 400.0]
+%i(sma wma ewma mma).each { |strategy|
+  error = MovingAvg::Evaluator.error_sum(
+    training_items: training_items,
+    teacher_items: teacher_items,
+    window_size: 3,
+    strategy: strategy,
+  )
+  puts "#{strategy.to_s.ljust(4).rjust(10)} = #{error}"
+}
+```
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake spec` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+Bug reports and pull requests are welcome on GitHub at https://github.com/kenju/moving_avg.

data/Rakefile

@@ -0,0 +1,6 @@
+require "bundler/gem_tasks"
+require "rspec/core/rake_task"
+
+RSpec::Core::RakeTask.new(:spec)
+
+task :default => :spec

data/bin/console

@@ -0,0 +1,14 @@
+#!/usr/bin/env ruby
+
+require "bundler/setup"
+require "moving_avg"
+
+# You can add fixtures and/or initialization code here to make experimenting
+# with your gem easier. You can also use a different console, if you like.
+
+# (If you use this, don't forget to add pry to your Gemfile!)
+# require "pry"
+# Pry.start
+
+require "irb"
+IRB.start(__FILE__)

data/bin/setup

@@ -0,0 +1,8 @@
+#!/usr/bin/env bash
+set -euo pipefail
+IFS=$'\n\t'
+set -vx
+
+bundle install
+
+# Do any other automated setup that you need to do here

data/lib/moving_avg/base.rb

@@ -0,0 +1,50 @@
+require "moving_avg/version"
+
+module MovingAvg
+  class Base
+    class << self
+      # SMA - Simple Moving Average
+      def simple_moving_average(u)
+        sum_vector(u).to_f / u.size
+      end
+      alias_method :sma, :simple_moving_average
+
+      # WMA - Weighted Moving Average
+      def weighted_moving_average(u)
+        weights = (1..u.size).to_a.reverse # [n, n-1, n-2 ... 2, 1]
+        weighted = weights.zip(u).map { |w, x| w * x  }
+        sum_vector(weighted).to_f / sum_vector(weights)
+      end
+      alias_method :wma, :weighted_moving_average
+      alias_method :lwma, :weighted_moving_average
+
+      # EWMA - Exponentially Weighted Moving Average
+      def exponentially_weighted_moving_average(u)
+        factor = 2.0 / (u.size + 1) # 2 / (N + 1) a.k.a. smoothing factor
+        weighted = exponentially_weighting(u, factor)
+        weighted.last
+      end
+      alias_method :ewma, :exponentially_weighted_moving_average
+
+      # MMA - Modified Moving Average
+      def modified_moving_average(u)
+        factor = 1.0 / u.size # 1 / N
+        weighted = exponentially_weighting(u, factor)
+        weighted.last
+      end
+      alias_method :mma, :modified_moving_average
+
+      private
+
+      def exponentially_weighting(u, factor)
+        u.inject([]) { |acc, x|
+          acc << factor * x + (1 - factor) * (acc.last || x)
+        }
+      end
+
+      def sum_vector(u)
+        u.reduce(0) { |x, y| x + y }
+      end
+    end
+  end
+end

data/lib/moving_avg/evaluator.rb

@@ -0,0 +1,26 @@
+module MovingAvg
+  class Evaluator
+    class << self
+      def error_sum(training_items:, teacher_items:, window_size:, strategy:)
+        errors = self.errors(
+          training_items: training_items,
+          teacher_items: teacher_items,
+          window_size: window_size,
+          strategy: strategy,
+        )
+        errors.reduce(0) { |x, y| x + y }
+      end
+
+      def errors(training_items:, teacher_items:, window_size:, strategy:)
+        trained = MovingAvg::Helper.build_with_sliding(
+          items: training_items,
+          window_size: window_size,
+          strategy: strategy,
+        )
+        trained.zip(teacher_items).map { |trained, teacher|
+          (trained - teacher).abs
+        }
+      end
+    end
+  end
+end

data/lib/moving_avg/helper.rb

@@ -0,0 +1,36 @@
+module MovingAvg
+  class Helper
+    class << self
+      # repeatedly calculate moving average
+      # separating items by window size.
+      # the first N-1 items should be padded
+      # or calculated from inconvinient data
+      def build_with_sliding(items:, window_size:, strategy:)
+        map_with_sliding(
+          items: items,
+          window_size: window_size,
+        ).map { |data|
+          MovingAvg::Base.public_send(strategy, data)
+        }
+      end
+
+      def map_with_sliding(items:, window_size:)
+        items.each_with_object([]) { |val, acc|
+          if acc.last.nil?
+            # the first time
+            acc << [val]
+          elsif acc.last.size < window_size
+            # the first window
+            acc.last << val
+          else
+            # the following windows
+            next_window = acc.last.dup
+            next_window.shift
+            next_window << val
+            acc << next_window
+          end
+        }
+      end
+    end
+  end
+end

data/lib/moving_avg/version.rb

@@ -0,0 +1,3 @@
+module MovingAvg
+  VERSION = "0.2.0"
+end

data/lib/moving_avg.rb

@@ -0,0 +1,7 @@
+require "moving_avg/version"
+require "moving_avg/base"
+require "moving_avg/evaluator"
+require "moving_avg/helper"
+
+module MovingAvg
+end

data/moving_avg.gemspec

@@ -0,0 +1,27 @@
+
+lib = File.expand_path("../lib", __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require "moving_avg/version"
+
+Gem::Specification.new do |spec|
+  spec.name          = "moving_avg"
+  spec.version       = MovingAvg::VERSION
+  spec.authors       = ["kenju"]
+  spec.email         = ["ken901waga@gmail.com"]
+
+  spec.summary       = %q{Moving Average in Ruby.}
+  spec.homepage      = "https://github.com/kenju/moving_avg-ruby"
+
+  spec.files         = `git ls-files -z`.split("\x0").reject do |f|
+    f.match(%r{^(test|spec|features)/})
+  end
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler", "~> 1.16.a"
+  spec.add_development_dependency "rake", "~> 10.0"
+  spec.add_development_dependency "rspec", "~> 3.0"
+  spec.add_development_dependency "pry"
+  spec.add_development_dependency "pry-byebug"
+end

metadata

@@ -0,0 +1,128 @@
+--- !ruby/object:Gem::Specification
+name: moving_avg
+version: !ruby/object:Gem::Version
+  version: 0.2.0
+platform: ruby
+authors:
+- kenju
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2017-12-27 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 1.16.a
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 1.16.a
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+- !ruby/object:Gem::Dependency
+  name: pry
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: pry-byebug
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+description: 
+email:
+- ken901waga@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".rspec"
+- ".travis.yml"
+- Gemfile
+- Gemfile.lock
+- README.md
+- Rakefile
+- bin/console
+- bin/setup
+- lib/moving_avg.rb
+- lib/moving_avg/base.rb
+- lib/moving_avg/evaluator.rb
+- lib/moving_avg/helper.rb
+- lib/moving_avg/version.rb
+- moving_avg.gemspec
+homepage: https://github.com/kenju/moving_avg-ruby
+licenses: []
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.6.13
+signing_key: 
+specification_version: 4
+summary: Moving Average in Ruby.
+test_files: []