Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / financial-0.4.0 / movavg.m

diff --git a/octave_packages/financial-0.4.0/movavg.m b/octave_packages/financial-0.4.0/movavg.m
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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program 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 of the License, or (at your option) any later
+## version.
+##
+## This program 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
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {} movavg (@var{asset}, @var{lead}, @var{lag})
+## @deftypefnx {Function File} {} movavg (@var{asset}, @var{lead}, @var{lag}, @var{alpha})
+## @deftypefnx {Function File} {[@var{short}, @var{long}] =} movavg (@var{asset}, @var{lead}, @var{lag}, @var{alpha})
+##
+## Calculate the @var{lead}ing and @var{lag}ging moving average of an
+## @var{asset}. If given, @var{alpha} is the weighting power of the
+## delay; 0 (default) is the simple moving average, 0.5 would be the
+## square root weighted moving average, 1 would be linear, 2 would be
+## squared, ..., and 'e' is the exponential moving average.
+##
+## If no output is requested the data is plotted.  The plots are drawn
+## in the following order: asset, lag, lead.  If output is requested, no
+## plot is generated.
+##
+## @seealso{bolling, candle, dateaxis, highlow, pointfig}
+## @end deftypefn
+
+function [varargout] = movavg (asset, lead, lag, alpha = 0)
+
+  if nargin < 3 || nargin > 4
+    print_usage ();
+  endif
+
+  if lead > lag
+    error ("lead must be <= lag")
+  elseif ischar (alpha)
+    if ! strcmpi (alpha, "e")
+      error ("alpha must be 'e' if it is a char");
+    endif
+  elseif ! isnumeric (alpha)
+    error ("alpha must be numeric or 'e'")
+  endif
+
+  ## Compute the weights
+  if ischar (alpha)
+    lead = exp(1:lead);
+    lag  = exp(1:lag);
+  else
+    lead = (1:lead).^alpha;
+    lag  = (1:lag).^alpha;
+  endif
+  ## Adjust the weights to equal 1
+  lead = lead / sum (lead);
+  lag  = lag / sum (lag);
+
+  short = asset;
+  long  = asset;
+  for i = 1:length (asset)
+    if i < length (lead)
+      ## Compute the run-in period
+      r        = length (lead) - i + 1:length(lead);
+      short(i) = dot (asset(1:i), lead(r))./sum (lead(r));
+    else
+      short(i) = dot (asset(i - length(lead) + 1:i), lead);
+    endif
+    if i < length (lag)
+      r       = length (lag) - i + 1:length(lag);
+      long(i) = dot (asset(1:i), lag(r))./sum (lag(r));
+    else
+      long(i) = dot (asset(i - length(lag) + 1:i), lag);
+    endif
+  endfor
+
+  if nargout > 0
+    varargout{1} = short;
+  else
+    plot((1:length(asset))', [asset(:), long(:), short(:)]);
+  endif
+  if nargout > 1
+    varargout{2} = long;
+  endif
+
+endfunction
+
+## Tests
+%!shared a
+%! a = [1 2 3 2 4 2 1];
+%!test
+%! [s l] = movavg(a, 2, 4);
+%! assert(s, [1 1.5 2.5 2.5 3 3 1.5])
+%! assert(l, [1 1.5 2 2 2.75 2.75 2.25])
+%!test
+%! [s l] = movavg(a', 2, 4);
+%! assert(s, [1;1.5;2.5;2.5;3;3;1.5])
+%! assert(l, [1;1.5;2;2;2.75;2.75;2.25])
+%!test
+%! [s l] = movavg(a, 3, 4, 1);
+%! assert(s, [3 4.8 7 7 9.5 8 5.5]./3, 10*eps)
+%! assert(l, [1 11/7 20/9 2.2 3 2.7 2], 10*eps)