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.

$3

* 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

$3

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.