Changeset 9146 for branches/sluengo/HeuristicLab.Problems.TradeRules

Timestamp:

01/11/13 14:19:59 (12 years ago)

Author:

mkommend

Message:

sluengo branch: refactored interpretation of EMA symbol

File:

• branches/sluengo/HeuristicLab.Problems.TradeRules/Interpreter.cs (modified) (1 diff)

branches/sluengo/HeuristicLab.Problems.TradeRules/Interpreter.cs

@@ -372 +372 @@
                 case OpCodes.EMA:
                     {
-                        double timeValue = Evaluate(dataset, ref row, state);
-                        if (EMAValue == null || EMAValue.GetLength(0) < dataset.Rows)
-                            EMAValue = dataset.GetDoubleValues("Close").ToArray();
-                        int lastRow = row - 1;
-                        EMAValue[row] = double.NaN;
-                        if (row == (timeValue - 1))
-                        {
-                            string variableName = dataset.GetValue(row, 2);
-                            double meanValue = Convert.ToDouble(variableName);
-                            EMAValue[row] = meanValue / timeValue;
-                        }
-                        if (row > (timeValue - 1))
-                        {
-                            lastValue = ((IList<double>)currentInstr.iArg0)[row];
-                            string variableName = dataset.GetValue(row, 1);
-                            double meanValue = Convert.ToDouble(variableName);
-                            double factor = 2 / (timeValue + 1);
-                            EMAValue[row] = (meanValue * factor) + (EMAValue[lastRow] * (1 - factor));
-                        }
-                        return EMAValue[row];
-
-
+                        //I assume you want to calculate the EMA as defined at http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
+            //for the mean value saved at position 1 of the dataset
+            //and timevalue specifies how many days you want to include in your EMA
+            double timeValue = (int)Evaluate(dataset, ref row, state);
+
+            //get all mean values from row - timeValue up to the actual row
+            double[] meanValues = dataset.GetDoubleValues("insert variable name", Enumerable.Range(row - (int)timeValue, timeValue)).ToArray();
+
+            double EMA = meanValues[0];
+            double factor = 2 / (timeValue + 1);
+
+            for (int i = 1; i < timeValue; i++) {
+              EMA = meanValues[i] * factor + (1 - factor) * EMA;
+            }
+            return EMA;
                     }
                 case OpCodes.Constant: