32 lines
681 B
Factor
32 lines
681 B
Factor
! Copyright (C) 2008 John Benediktsson
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! See http://factorcode.org/license.txt for BSD license
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USING: arrays assocs kernel grouping sequences shuffle
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math math.functions math.statistics math.vectors ;
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IN: math.finance
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<PRIVATE
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: weighted ( x y a -- z )
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tuck [ * ] [ 1 swap - * ] 2bi* + ;
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: a ( n -- a )
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1 + 2 swap / ;
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PRIVATE>
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: ema ( seq n -- newseq )
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a swap unclip [ [ dup ] 2dip swap rot weighted ] accumulate 2nip ;
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: sma ( seq n -- newseq )
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clump [ mean ] map ;
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: macd ( seq n1 n2 -- newseq )
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rot dup ema [ swap ema ] dip v- ;
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: momentum ( seq n -- newseq )
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2dup tail-slice -rot swap [ length ] keep
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[ - neg ] dip swap head-slice v- ;
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