topic IPP optimized version for EMA needed (Exponential Moving Averag in Intel® Integrated Performance Primitives

IPP optimized version for EMA needed (Exponential Moving Average)

reportbase — Sun, 13 Mar 2011 21:59:44 GMT

The exponential moving average is probably the most commonly used moving average

in financial applications. The 'C' version is shown below.

Test case is also shown at the bottom.

Anyone up to converting this to a IPP optimized function. Shouldn't

be to hard, it just consists of addition/subtraction/division. I might

be able to pay you for your time. I also have other 'c' functions

that could be rewritten if someone gets motiviated. Test case

with performance before and after would be useful.

This would be a good function to add to IPP, its used very commonly.

For more on EMA:

http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages

//(Close - EMA(previous day)) x multiplier + EMA(previous day)

void ema_32f(const float* src, float* out, int size, int factor)

{

IppStatus status;

float k;

int n;

n = size - factor;

ippsMean_32f(src + n, factor, &out, ippAlgHintFast);

--n;

k = 2.0f / (factor + 1.0f);

for(int m = n; m >= 0; --m)

out = ((src - out[m + 1]) * k) + out[m + 1];

}

float data[] = {22.27, 22.19, 22.08, 22.17, 22.18, 22.13, 22.23, 22.43, 22.24, 22.29, 22.15, 22.39,22.38, 22.61, 23.36, 24.05, 23.75, 23.83, 23.95, 23.63, 23.82, 23.87, 23.65, 23.19,23.10, 23.33, 22.68, 23.10, 22.40, 22.17, 22.17, 22.17, 22.17, 22.17};

float result[20];

ema_32f(data, result, 30, 10);

assert(std::abs(22.296 - result[0]) <= 0.01)

assert(std::abs(23.222 - result[19]) <= 0.01)

IPP optimized version for EMA needed (Exponential Moving Averag

Chao_Y_Intel — Wed, 16 Mar 2011 02:24:45 GMT

Hello, thanks for letting us know. I tracked it into our database, so we can review it during furture release implementation. Thanks, Chao

IPP optimized version for EMA needed (Exponential Moving Averag

reportbase — Wed, 16 Mar 2011 22:13:20 GMT

Thanks, that would be great and very useful. The EMA is pretty obvious, but there are others, maybe not so obvious in financial domain that would be pretty useful too. I could provide 'C' implementations of these, with test cases.

Many financial algorithms could really benefit from being converted to IPP. These financial algorithms are all pretty simple and no more complicated than EMA.

I use IPP where I can, but we still need to do straight 'C' for much of our work. I'd love for IPP to do the heavy lifting. Most of these financial algorithms are in the public domain and would be perfect for IPP. I just don't have much background in low level SSE2 and SSE3 or however IPP is done. As a 'C' programmer, IPP abstracts away the difficult bits, so I can just code in 'C'. Thanks for awesome library.