# Copyright 2008, 2009, 2010 Kevin Ryde # This file is part of Chart. # # Chart is free software; you can redistribute it and/or modify it under the # terms of the GNU General Public License as published by the Free Software # Foundation; either version 3, or (at your option) any later version. # # Chart is distributed in the hope that it will be useful, but WITHOUT ANY # WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS # FOR A PARTICULAR PURPOSE. See the GNU General Public License for more # details. # # You should have received a copy of the GNU General Public License along # with Chart. If not, see . package App::Chart::Series::Derived::VWMA; use 5.010; use strict; use warnings; use Carp; use List::Util qw(min max); use Locale::TextDomain ('App-Chart'); use Math::Trig (); use base 'App::Chart::Series::Indicator'; use constant DEBUG => 0; sub longname { __('VWMA - Volume Weighted') } sub shortname { __('VWMA') } sub manual { __p('manual-node','Volume Weighted Moving Average') } use constant { type => 'average', parameter_info => [ { name => __('Days'), key => 'vwma_days', type => 'integer', minimum => 1, default => 20 } ], }; sub new { if (DEBUG >= 2) { require Data::Dumper; print "VWMA->new ",Data::Dumper::Dumper(\@_); } my ($class, $parent, $N) = @_; $parent->array('volumes') or croak "No volumes in series '",$parent->name,"'"; $N //= parameter_info()->[0]->{'default'}; ($N > 0) || croak "VWMA bad N: $N"; return $class->SUPER::new (parent => $parent, N => $N, parameters => [ $N ], arrays => { values => [] }, array_aliases => { }); } sub fill_part { my ($self, $lo, $hi) = @_; my $parent = $self->{'parent'}; my $N = $self->{'N'}; my $start = $parent->find_before ($lo, $N-1); $parent->fill ($start, $hi); my $s = $self->values_array; my $pp = $parent->values_array; my $pv = $parent->array('volumes'); $hi = min ($hi, $#$pp); if ($#$s < $hi) { $#$s = $hi; } # pre-extend # $a[0] is the newest point, $a[1] the prev, through to $a[$N-1] my @a; my @v; my $total_volume = 0; my $total_prod = 0; my $pos = 0; foreach my $i ($start .. $lo-1) { my $value = $pp->[$i] // next; my $volume = $pv->[$i] // 0; $total_volume += ($v[$pos] = $volume); $total_prod += ($a[$pos++] = $value * $volume); } my $count = $pos; if (DEBUG) { print " warmed to total_volume=$total_volume count=$count\n"; require Data::Dumper; print Data::Dumper->Dump([\@v,\@a],['v','a']); } foreach my $i ($lo .. $hi) { my $value = $pp->[$i] // next; my $volume = $pv->[$i] // 0; if ($count < $N) { $count++; } else { # drop old $total_volume -= $v[$pos]; $total_prod -= $a[$pos]; } # add new $total_volume += ($v[$pos] = $volume); $total_prod += ($a[$pos++] = $value * $volume); if ($pos >= $N) { $pos = 0; } if ($total_volume != 0) { $s->[$i] = $total_prod / $total_volume; } } } 1; __END__ # =head1 NAME # # App::Chart::Series::Derived::VWMA -- volume weighted moving average # # =head1 SYNOPSIS # # my $series = $parent->VWMA($N); # # =head1 DESCRIPTION # # ... # # =head1 SEE ALSO # # L, L # # =cut