Exponential Weighted Moving Average

ExponentialWeightedMovingAverage.cs

public class ExponentialWeightedMovingAverage
{
    private bool isInitialized;
    
    // Smoothing/damping coefficient
    private double alpha;
    
    public double Average { get; private set; }

    public ExponentialWeightedMovingAverage(int samplesPerWindow)
    {
        // Both `2 / (n + 1)` is a fairly standard ways of choosing an alpha value, even if somewhat arbitrary
        this.alpha = 2d / (samplesPerWindow + 1);
    }

    public double Update(double val)
    {
        // First tick will initialize the average, subsequent ticks trigger the recursive weighting function
        if (this.isInitialized)
        {
            // EMA[current] = EMA[previous] + alpha * (current_value - EMA[previous])
            this.Average += this.alpha * (val - this.Average);
        }
        else
        {
            // For the first update, just use the value as-is
            this.Average = val;
            this.isInitialized = true;
        }
    }
}