36 lines
851 B
Matlab
36 lines
851 B
Matlab
function [mvavg] = smartMovingAvg(x, T, varargin)
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% [mvavg]=movingAvg(x, lookback). create moving average series over T days. mvavg
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% has T-1 NaN in beginning. Ignore over days with NaN.
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% [mvavg]=movingAvg(x, lookback, period) creates moving avg of lookback
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% periods. I.e. data is sampled every period.
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assert(T>0);
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mvavg=zeros(size(x));
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goodDays=isfinite(x);
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xx=x;
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xx(~goodDays)=0;
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numGoodDays=zeros(size(x));
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if (nargin == 2)
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for i=0:T-1
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mvavg=mvavg+backshift(i, xx);
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numGoodDays=numGoodDays+isfinite(backshift(i, x));
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end
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else
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period=varargin{1};
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for i=0:T-1
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mvavg=mvavg+backshift(i*period, xx);
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numGoodDays=numGoodDays+isfinite(backshift(i*period, x));
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end
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end
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nonzeroDays=numGoodDays>0;
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mvavg(nonzeroDays)=mvavg(nonzeroDays) ./ numGoodDays(nonzeroDays);
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mvavg(~nonzeroDays)=NaN;
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