running.py

from collections import deque
import numpy as np


class SMA:
    def __init__(self, window: int) -> None:
        """Calculates a running mean and standard deviation

        Args:
            window (int): Window length
        """
        self.N = window
        self._q = deque(maxlen=window)
        self.E = 0
        self.variance = 0

    def __repr__(self) -> str:
        return "<SMA N=%d E=%.3f std=%.3f>" % (self.N, self.E, self.std)

    def reset(self):
        self.E = 0
        self.variance = 0
        self._q.clear()

    def add(self, value):
        if len(self._q) == 0:
            self.E = value
            for _ in range(self.N):
                self._q.append(value)
        x0 = self._q.popleft()
        self._q.append(value)
        prevE = self.E
        self.E = self.E + (value - x0) / self.N
        self.variance += (value - x0) * (value - self.E + x0 - prevE) / (self.N - 1)
        return self.E

    @property
    def std(self):
        return np.sqrt(self.variance)