17.05 - Exponential Moving Average - Teradata Database

Teradata Vantage™ - Advanced SQL Engine Analytic Functions

prodname
Advanced SQL Engine
Teradata Database
vrm_release
17.00
17.05
created_date
June 2020
category
Programming Reference
featnum
B035-1206-170K

Exponential moving average (EMA), or exponentially weighted moving average (EWMA), applies a damping factor, alpha, that exponentially decreases the weights of older values. This technique gives much more weight to recent observations, while retaining older observations.

With MAvgType ('E'), the MovingAverage function uses this procedure:
  1. Compute the arithmetic average of the first n rows.

    The value n is specified by the StartRows syntax element.

  2. For each subsequent row, compute the new exponential moving average value with this formula:

    EMAM = alpha * V + (1 - alpha) * EMAM-1

    The value alpha is specified by the Alpha syntax element. V is the new value.