fast_moving_average.cpp

                template<typename T>
                void SimpleMovingAverage(const T *const timeSeries, const uint32_t timeSeriesCnt, const uint32_t windowSize, Vector<T> &res)
                {
                        T window[128], sum = 0;
                        uint8_t windowIndex, windowBase = 0;
                        uint32_t i = 0;
                        const auto n = Min<uint32_t>(timeSeriesCnt, windowSize - 1);

                        runtime_assert(windowSize <= ARRAY_SIZE(window), "Too large window");
                        static_assert((ARRAY_SIZE(window)&(ARRAY_SIZE(window) - 1)) == 0, "window size not base 2");

                        res.EnsureCapacity(timeSeriesCnt / windowSize);
                        while (i != n)
                        {                        
                                const auto v = timeSeries[i];

                                window[i] = v;
                                sum+=v;

                                ++i;
                                res.Append(sum / i);
                        } 
                       
                        for (windowIndex = i; i != timeSeriesCnt; ++i)
                        {
                                const auto v = timeSeries[i];

                                window[windowIndex] = v;
                                sum+=v;

                                windowIndex = (windowIndex + 1)&(ARRAY_SIZE(window) - 1);
                                sum-=window[windowBase];
                                windowBase = (windowBase + 1)&(ARRAY_SIZE(window) - 1);

                                res.Append(sum / windowSize);
                        }
                }