rolling-math

rolling-math

The rolling-math library calculates simple moving average and standard deviation on a sliding window of BigNumber values.

This package was created to support the development of Forta scan agents. It can be used to filter out short-term fluctuations and also detect anomalous value changes.

Dependencies

This package depends on the bignumber.js package.

Installation

Use the node package manager npm to add the library to your project:

$ npm install rolling-math

Usage

Import the rolling-math and BigNumber libraries into a JavaScript file like this:

const BigNumber = require('bignumber.js');
const RollingMath = require('rolling-math');

For each data set you wish to track over time, create a new RollingMath object and specify the window size:

rollingMath = new RollingMath(5);

The window size (5 in this case) represents the maximum number of previous elements the RollingMath object will store. Each time a new value is added, the oldest value is removed once the window size limit has been reached. Window size corresponds directly with time--if you are sampling once per day, and the window size is 5, you have a 5-day Simple Moving Average (SMA) filter.

Methods

• addElement(element): Add a value to the data set. The element value must be a BigNumber type.
• getNumElements(): Returns the number of values currently stored
• getWindowSize(): Returns the window size
• getSum(): Returns the sum of the currently stored values
• getAverage(): Return the average of the currently stored values
• getStandardDeviation(): Return the standard deviation of the currently stored values

Examples

Populate the rolling-math object with data:

rollingMath = new RollingMath(5);
rollingMath.addElement(new BigNumber(100));
rollingMath.addElement(new BigNumber(40));
rollingMath.addElement(new BigNumber(55));
rollingMath.addElement(new BigNumber(45));
rollingMath.addElement(new BigNumber(70));
rollingMath.addElement(new BigNumber(10));  // this will pop 100 out of the sliding window

Compute statistics:

const sum = rollingMath.getSum();                   // 220
const average = rollingMath.getAverage();           // 44
const stdDev = rollingMath.getStandardDeviation();  // 22.19234

License

GNU Affero General Public License (AGPLv3). See LICENSE.