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Comments (1)

eitsupi avatar eitsupi commented on June 2, 2024

@snth Thanks for sharing that! That looks awesome!

I don't see myself adding it anytime soon, but it would be great to have it shared.

let calc_ewma = alpha:null span:1 rel -> (
  from rel
  filter t==1
  select {t, x, ewma=x}
  loop (
    join rel (that.t==this.t+1)
    select {t, x, ewma = (alpha ?? 2/(span+1))*x + (1-(alpha ?? 2/(span+1)))*ewma}
  )
)

let data = (
  from tris_with_sma
  sort Date
  derive {t=row_number this, x=google_tri}
)

from data
#calc_ewma alpha:2/(10+1)
calc_ewma span:10
derive google_ewma10 = ewma
select {Date=t, google_tri=x, google_ewma10=ewma}

from querying-with-prql.

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