Re: time based moving average (and other newbie mathematica

*To*: mathgroup at smc.vnet.net*Subject*: [mg92789] Re: time based moving average (and other newbie mathematica*From*: Mark Fisher <particlefilter at gmail.com>*Date*: Mon, 13 Oct 2008 06:19:50 -0400 (EDT)*References*: <gcn496$751$1@smc.vnet.net>

On Oct 10, 4:37 am, falcon <shahb... at gmail.com> wrote: > Hi, > I see that Mathematica provides a couple of moving average functions. > As far as I can tell, they are based on the number of elements in an > array. Is there a function for doing moving average based on time? > In other words, if I pass in intra-day data containing prices, times > (up to a millisecond) and some other fields, can I get Mathematica to > to give me a 5 minute moving average rather than moving average of the > last 100 trades? Obviously this five minute window may contain any > number of elements. > > Secondly, along the same idea, I have a file with a large number of > stocks. They are all mixed in (the file is in chronological order). > Is there an sql type 'group by' command that lets me see moving > averages for each stock? > > Third, if I'm able to get moving average for each stock in the list, > can I plot all of them in one command (I guess this technique is > called "small multiples" in charting vernacular). Obviously I will > only have 20 or 30 stocks. > > Thanks Following up on my previous post, this version is faster: MovingTimeAverage = Compile[{{data, _Real, 2}, {lag, _Real, 0}}, Module[{j = 1}, Table[ While[data[[i, 1]] - data[[j, 1]] > lag, j++]; {data[[i, 1]], Mean[data[[j ;; i, 2]]]}, {i, Length[data]}] ]] It didn't occur to me right away to put the two pieces together. --Mark