Moving Average

Moving Average

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Description

Moving averages are quite simple to calculate in Postgres, using the AVG window function. Here is an example query with a 7-day moving average over a total of 31 days, calculated for 1 dimension (colour):

WITH data AS (
    SELECT *,
           CASE WHEN num <= 0.5 THEN 'blue' ELSE 'red' END AS str
    FROM (SELECT generate_series('2021-01-01'::TIMESTAMP, '2021-01-31'::TIMESTAMP, '1 day') AS timeseries,
                 RANDOM() AS num
         ) t
)

SELECT   timeseries,
         str,
         num,
         AVG(num) OVER (PARTITION BY str ORDER BY timeseries ROWS BETWEEN 7 PRECEDING AND CURRENT ROW) AS mov_avg
FROM     data
ORDER BY timeseries, str;
timeseries str num mov_avg
2021-01-01 00:00:00.000000 red 0.6724503329790004 0.6724503329790004
2021-01-02 00:00:00.000000 blue 0.02015057538457654 0.02015057538457654
2021-01-03 00:00:00.000000 blue 0.19436280964817954 0.10725669251637804
2021-01-04 00:00:00.000000 blue 0.3170075569498252 0.17717364732752708
2021-01-05 00:00:00.000000 blue 0.45274767058829823 0.24606715314271987
2021-01-06 00:00:00.000000 red 0.5295068450998173 0.6009785890394088
2021-01-07 00:00:00.000000 red 0.5856947203861544 0.5958839661549907
2021-01-08 00:00:00.000000 blue 0.23106543649677036 0.24306680981352996
2021-01-09 00:00:00.000000 red 0.8057297084321 0.648345401724268
2021-01-10 00:00:00.000000 blue 0.18782650473713147 0.23386009230079688
2021-01-11 00:00:00.000000 blue 0.012715414005509018 0.20226799540147006
2021-01-12 00:00:00.000000 blue 0.41378600069740656 0.22870774606346211
2021-01-13 00:00:00.000000 red 0.7848015045167251 0.6756366222827594
2021-01-14 00:00:00.000000 blue 0.3062660702635327 0.26447218292333163
2021-01-15 00:00:00.000000 red 0.7321478245155468 0.685055155988224
2021-01-16 00:00:00.000000 blue 0.20009039295143083 0.26518813083623805
2021-01-17 00:00:00.000000 red 0.9851023962729109 0.7279190474574649
2021-01-18 00:00:00.000000 blue 0.42790603927394955 0.2790504411267536
2021-01-19 00:00:00.000000 red 0.7966662316864124 0.7365124454860834
2021-01-20 00:00:00.000000 red 0.8913488809896606 0.7638747639874159
2021-01-21 00:00:00.000000 red 0.6797595409599531 0.7826563509699329
2021-01-22 00:00:00.000000 red 0.9692422752366809 0.8305997953262487
2021-01-23 00:00:00.000000 blue 0.3873783130847208 0.2708792714388064
2021-01-24 00:00:00.000000 red 0.960779246012315 0.8499809875237756
2021-01-25 00:00:00.000000 red 0.6482284656189883 0.8329093576615585
2021-01-26 00:00:00.000000 red 0.8471274360131815 0.8472818090987628
2021-01-27 00:00:00.000000 red 0.5269376445697667 0.7900112151358698
2021-01-28 00:00:00.000000 blue 0.07696316291711724 0.2516164872413498
2021-01-29 00:00:00.000000 blue 0.1035287644690932 0.241079269707845
2021-01-30 00:00:00.000000 red 0.7339086567504438 0.7821665182688737
2021-01-31 00:00:00.000000 red 0.8169741358988709 0.772869675132525