Improved ewma function.

src/nimrod/core/math.clj

@@ -1,15 +1,22 @@
 (ns nimrod.core.math
  (:require [nimrod.core.util :as util]))
 
+; n = {1000, 10000, 100000}
+; k = 1 - ((samples % n) / n)
+; w = n ^ -k
+; ewma = (v * w) + (ewma-1 * (1 - w))
 (defn ewma [ewma-1 value samples]
   (let 
     [ewma-1 (or ewma-1 [0 0 0])
+    ; k decreases
     k-1000 (float (- 1 (/ (mod samples 1000) 1000)))
     k-10000 (float (- 1 (/ (mod samples 10000) 10000)))
     k-100000 (float (- 1 (/ (mod samples 100000) 100000)))
-    w-1000 (Math/pow 10 (* -1 (if (< k-1000 1) k-1000 0)))
-    w-10000 (Math/pow 100 (* -1 (if (< k-10000 1) k-10000 0)))
-    w-100000 (Math/pow 1000 (* -1 (if (< k-100000 1) k-100000 0)))]
+    ; w increases
+    w-1000 (Math/pow 1000 (* -1 (if (< k-1000 1) k-1000 0)))
+    w-10000 (Math/pow 10000 (* -1 (if (< k-10000 1) k-10000 0)))
+    w-100000 (Math/pow 100000 (* -1 (if (< k-100000 1) k-100000 0)))]
+    ; to calculate new ewma: current value increases, current ewma decreases
     [(float (+ (* value w-1000) (* (ewma-1 0) (- 1 w-1000))))
     (float (+ (* value w-10000) (* (ewma-1 1) (- 1 w-10000))))
     (float (+ (* value w-100000) (* (ewma-1 2) (- 1 w-100000))))]))

test/nimrod/core/math_test.clj

@@ -4,28 +4,26 @@
    [nimrod.core.math]))
 
 (deftest compute-ewma
-  (testing "ewma with 10 values"
-    (let 
-      [ewma1 (ewma nil 1 1000191)
-    ewma2 (ewma ewma1 23 1160000)
-    ewma3 (ewma ewma2 35 1170000)
-    ewma4 (ewma ewma3 41 1180000)
-    ewma5 (ewma ewma4 55 1190000)
-    ewma6 (ewma ewma5 63 1200000)
-    ewma7 (ewma ewma6 150 1200001)
-    ewma8 (ewma ewma7 85 1200200)
-    ewma9 (ewma ewma8 99 1200300)
-    ewma10 (ewma ewma9 100 1290000)]
-    (println ewma1)
-    (println ewma2)
-    (println ewma3)
-    (println ewma4)
-    (println ewma5)
-    (println ewma6)
-    (println ewma7)
-    (println ewma8)
-    (println ewma9)
-    (println ewma10))))
+  (testing "ewma from 0"
+    (loop [ewma1 nil i 1]
+      (if (< i 1000)
+        (recur (ewma ewma1 1 i) (inc i))
+    (println ewma1))))
+  (testing "ewma within 1000 values"
+    (loop [ewma1 [1000 10000 100000] i 1]
+      (if (< i 1000)
+        (recur (ewma ewma1 1 i) (inc i))
+    (println ewma1))))
+  (testing "ewma within 10000 values"
+    (loop [ewma1 [1000 10000 100000] i 1]
+      (if (< i 10000)
+        (recur (ewma ewma1 1 i) (inc i))
+    (println ewma1))))
+  (testing "ewma within 100000 values"
+    (loop [ewma1 [1000 10000 100000] i 1]
+      (if (< i 100000)
+        (recur (ewma ewma1 1 i) (inc i))
+    (println ewma1)))))
 
 (deftest compute-count-mean-variance
   (testing "count-mean-variance with 1 value"