java判断均线_EWMA:EWMA指数加权移动平均模型的Java实现

java判断均线_EWMA:EWMA指数加权移动平均模型的Java实现具体代码如下:packagecom.lyz.storm.ewma;importjava.io.Serializable;/***实现指数移动平均值计算*实现中使用了流式风格的builderAPI*@authorliuyazhuang**/publicclassEWMAimplementsSerializable{privatestaticfinallongseria…

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具体代码如下:

package com.lyz.storm.ewma;

import java.io.Serializable;

/**

* 实现指数移动平均值计算

* 实现中使用了流式风格的builder API

* @author liuyazhuang

*

*/

public class EWMA implements Serializable {

private static final long serialVersionUID = 2979391326784043002L;

//时间类型枚举

public static enum Time {

MILLISECONDS(1), SECONDS(1000), MINUTES(SECONDS.getTime() * 60), HOURS(MINUTES.getTime() * 60), DAYS(HOURS.getTime() * 24), WEEKS(DAYS.getTime() * 7);

private long millis;

private Time(long millis) {

this.millis = millis;

}

public long getTime() {

return this.millis;

}

}

//三个alpha常量,这些值和Unix系统计算负载时使用的标准alpha值相同

public static final double ONE_MINUTE_ALPHA = 1 – Math.exp(-5d / 60d / 1d);

public static final double FIVE_MINUTE_ALPHA = 1 – Math.exp(-5d / 60d / 5d);

public static final double FIFTEEN_MINUTE_ALPHA = 1 – Math.exp(-5d / 60d / 15d);

private long window;

private long alphaWindow;

private long last;

private double average;

private double alpha = -1D;

private boolean sliding = false;

public EWMA() {

}

public EWMA sliding(double count, Time time) {

return this.sliding((long) (time.getTime() * count));

}

public EWMA sliding(long window) {

this.sliding = true;

this.window = window;

return this;

}

public EWMA withAlpha(double alpha) {

if (!(alpha > 0.0D && alpha <= 1.0D)) {

throw new IllegalArgumentException(“Alpha must be between 0.0 and 1.0”);

}

this.alpha = alpha;

return this;

}

public EWMA withAlphaWindow(long alphaWindow) {

this.alpha = -1;

this.alphaWindow = alphaWindow;

return this;

}

public EWMA withAlphaWindow(double count, Time time) {

return this.withAlphaWindow((long) (time.getTime() * count));

}

//没有参数的话,当前时间来计算平均值

public void mark() {

mark(System.currentTimeMillis());

}

//用来更新移动平均值,没有参数的话,使用当前时间来计算平均值

public synchronized void mark(long time) {

if (this.sliding) {

if (time – this.last > this.window) {

this.last = 0;

}

}

if (this.last == 0) {

this.average = 0;

this.last = time;

}

long diff = time – this.last;

double alpha = this.alpha != -1.0 ? this.alpha : Math.exp(-1.0 * ((double) diff / this.alphaWindow));

this.average = (1.0 – alpha) * diff + alpha * this.average;

this.last = time;

}

//返回mark()方法多次调用的平均间隔时间,单位是微秒

public double getAverage() {

return this.average;

}

//按照特定的时间单位来返回平均值,单位详见Time枚举

public double getAverageIn(Time time) {

return this.average == 0.0 ? this.average : this.average / time.getTime();

}

//返回特定时间度量内调用mark()的频率

public double getAverageRatePer(Time time) {

return this.average == 0.0 ? this.average : time.getTime() / this.average;

}

}

按照如下方式调用:

//建立1分钟滑动窗口EWMA实例

EWMA ewma = new EWMA().sliding(1.0, EWMA.Time.MINUTES).withAlpha(EWMA.ONE_MINUTE_ALPHA);

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