improved time complexity of sma

CHANGELOG.md

@@ -1,6 +1,10 @@
 # Change Log
 All notable changes to this project will be documented in this file.
 
+## 0.1.0 - 2022-12-13
+### Changed
+- `simple-moving-average` now works on logarithmic time, but it assumes only latest time points are added. For adding late arriving time points, the complete tail (from early time point to latest) needs to be recomputed. Most of the time only latest time points arrive.
+
 ## 0.0.2 - 2022-09-30
 ### Fix
 - docstring of `timeseries.keep-latest` to be consistent with code behaviour.

README.md

@@ -7,12 +7,12 @@ Collection of timeseries technical analysis indicators as [graphcom](https://git
 
 ### Clojure CLI/deps.edn
 ```clojure
-io.github.bortexz/tacos {:mvn/version "0.0.2"}
+io.github.bortexz/tacos {:mvn/version "0.1.0"}
 ```
 
 ### Leiningen/Boot
 ```clojure
-[io.github.bortexz/tacos "0.0.2"]
+[io.github.bortexz/tacos "0.1.0"]
 ```
 
 ## Description

build.clj

@@ -3,7 +3,7 @@
   (:require [org.corfield.build :as bb]))
 
 (def lib 'io.github.bortexz/tacos)
-(def version "0.0.2")
+(def version "0.1.0")
 
 (defn- gha-output
   [k v]

src/bortexz/tacos.clj

@@ -262,13 +262,32 @@
    - `src`
    
    Opts:
-   - `period`"
+   - `period`
+     
+   Notes:
+   - Assumes that only latest time points are added (either new later timestamp, or replacement of current latest).
+     This should be the case most of the time. For earlier than latest arriving time points, you need to recompute all 
+     from earlier time point to latest for correct results, by specifying them on the timeline.
+   
+   - Keeps an internal summatory to work on log-n (n=size of timeseries) instead of reducing tail all the time."
   [tl {:keys [src] :as sources} {:keys [period]}]
-  (derived
-   tl
-   sources
-   (fn simple-moving-average- [_ {:keys [src]} k]
-     (ts/moving-average src k period))))
+  (let [acc (derived
+             tl
+             sources
+             (fn [x {:keys [src]} k]
+               (let [to-remove (ts/shift src k (- period) {:vf val})
+                     to-add (get src k)
+                     prev-k (ts/shift src k -1 {:vf key})
+                     prev (when prev-k (get x prev-k))
+                     {:keys [sum]} (or prev {:sum 0 :ready? false})]
+                 {:sum (when to-add (+ (or sum 0) to-add (if to-remove (- to-remove) 0)))
+                  :ready? (some? to-remove)})))]
+    (derived
+     tl
+     {:acc acc}
+     (fn [_ {:keys [acc]} k]
+       (let [{:keys [sum ready?]} (get acc k)]
+         (when ready? (/ sum period)))))))
 
 (defn weighted-moving-average
   "Reference:
@@ -1291,4 +1310,4 @@
                      :let [prev-kama (get kama (ts/shift src k -1 {:vf key}))]]
          (if prev-kama
            (+ prev-kama (* curr-sc (- curr-p prev-kama)))
-           (ts/moving-average src k er-period)))))))
+           (ts/moving-average src k er-period)))))))

test/bortexz/tacos_test.clj

@@ -137,4 +137,4 @@
 (comment
   ; manual test, with portal and Tradingview
   (tap> (update-vals indicators-vals (fn [i] (into (sorted-map) i))))
-  (tap> (into (sorted-map) (::cci indicators-vals))))
+  (tap> (into (sorted-map) (::ma indicators-vals))))