NAME Math::EMA - compute the exponential moving average SYNOPSIS use Math::EMA; my $avg=Math::EMA->new(alpha=>0.926119, ema=>$initial_value); $avg->set_param($iterations, $end_weight); $avg->alpha=$new_alpha; $avg->ema=$new_value; $avg->add($some_value); my $ema=$avg->ema; INSTALLATION perl Makefile.PL make make test make install DEPENDENCIES * perl 5.8.0 DESCRIPTION This module computes an exponential moving average by the following formula avg(n+1) = (1 - alpha) * new_value + alpha * avg(n) where alpha is a number between 0 and 1. That means a new value influences the average with a certain weight (1-alpha). That weight then exponentially vanes when other values are added. How to choose alpha? The value of alpha determines how fast a given value vanes but it never completely drops out. Assume you can define a limit say after 10 iterations the weight of a certain value should be 1% or 0.01. Then _____ _10 / ` alpha = \ / 0.01 = exp( log(0.01) / 10 ) \/ Methods Math::EMA->new( key=>value, ... ) creates a new "Math::EMA" object. Parameters are passed as "key=>value" pairs. Currently these keys are recognized: * alpha initializes alpha. Alpha must be in the range from 0 to 1. * ema initializes the average. If an uninitialized ema is used the first value being added initializes it. $obj->alpha set or retrieve the current alpha $obj->ema set or retrieve the current average $obj->set_param($iterations, $end_weight) computes alpha from the passed values. After $iterations new values a certain value should have a weight of $end_weight in the average. SEE ALSO AUTHOR Torsten Förtsch, COPYRIGHT AND LICENSE Copyright (C) 2008 by Torsten Foertsch This library is free software; you can redistribute it and/or modify it under the same terms as Perl itself, either Perl version 5.10.0 or, at your option, any later version of Perl 5 you may have available.