Forum Discussion
Exponential Moving Average in Power Query M ?
- 5 years ago
jsflint
Please find attached the PBIX file below my signature with the desired results. Basically, the solution involves a recursive operation to calculate the EMA ( Exponential Moving Average in Power Query ).
There are two columns, Average and EMA.Complete M Code:
let Source = Table.FromRows( Json.Document( Binary.Decompress( Binary.FromText( "VZLbbQRBCARz2e+TD5p3LNbln4Y5adnB3yVmmqJ/fy9+8xsEvl4X/Qghwwp2fV5fhIPY3BERuJEchFRIROmN9CAXB2Ua38gOSmEmS5Ib+UGVIdIobxQHGbsEdFLkIqlM7E/2Wu+hxDV5AjIdFmUIE58YvHQwJZX1d8OWD3PWkqL5jpeQTsim5jVsGSEEzEzGCC8lkZbO5bMdLydiZar8+OfYc17gHhy2tDi+xjrMsOVF4CQVz3WwvGSHJCedOfA+Qh8uO+qw5YWCoBJDdk24L+TBswGWFe3FJeMxhl2UXlz6eHMhbCtpndGmKFhSssvaZdYnypJC3YYyz4fVv4aBvOt8fT5/", BinaryEncoding.Base64 ), Compression.Deflate ) ), let _t = ((type nullable text) meta [Serialized.Text = true]) in type table [Date = _t, Value = _t] ), #"Changed Type" = Table.TransformColumnTypes( Source, {{"Date", type date}, {"Value", type number}} ), Step1 = Table.AddIndexColumn(#"Changed Type", "Index", 0, 1, Int64.Type), Step2 = Table.AddColumn( Step1, "Average", each if [Index] > 6 then List.Average(List.Range(Step1[Value], _[Index] - 7, 7)) else null , type number), Step3 = Table.AddColumn( Step2, "EMA", each if [Index] > 6 then let start = List.First(List.RemoveNulls(Step2[Average])), vlist = List.Range(Step2[Value], 8, _[Index] - 7), acc = List.Accumulate( vlist, start, (state, current) => (current - state) * (2 / (1 + 7)) + state ) in if [Index] = 7 then start else acc else null, type number ) in Step3
jsflint
Please find attached the PBIX file below my signature with the desired results. Basically, the solution involves a recursive operation to calculate the EMA ( Exponential Moving Average in Power Query ).
There are two columns, Average and EMA.
Complete M Code:
let
Source = Table.FromRows(
Json.Document(
Binary.Decompress(
Binary.FromText(
"VZLbbQRBCARz2e+TD5p3LNbln4Y5adnB3yVmmqJ/fy9+8xsEvl4X/Qghwwp2fV5fhIPY3BERuJEchFRIROmN9CAXB2Ua38gOSmEmS5Ib+UGVIdIobxQHGbsEdFLkIqlM7E/2Wu+hxDV5AjIdFmUIE58YvHQwJZX1d8OWD3PWkqL5jpeQTsim5jVsGSEEzEzGCC8lkZbO5bMdLydiZar8+OfYc17gHhy2tDi+xjrMsOVF4CQVz3WwvGSHJCedOfA+Qh8uO+qw5YWCoBJDdk24L+TBswGWFe3FJeMxhl2UXlz6eHMhbCtpndGmKFhSssvaZdYnypJC3YYyz4fVv4aBvOt8fT5/",
BinaryEncoding.Base64
),
Compression.Deflate
)
),
let
_t = ((type nullable text) meta [Serialized.Text = true])
in
type table [Date = _t, Value = _t]
),
#"Changed Type" = Table.TransformColumnTypes(
Source,
{{"Date", type date}, {"Value", type number}}
),
Step1 = Table.AddIndexColumn(#"Changed Type", "Index", 0, 1, Int64.Type),
Step2 = Table.AddColumn(
Step1,
"Average",
each if [Index] > 6 then List.Average(List.Range(Step1[Value], _[Index] - 7, 7)) else null
, type number),
Step3 = Table.AddColumn(
Step2,
"EMA",
each
if [Index] > 6 then
let
start = List.First(List.RemoveNulls(Step2[Average])),
vlist = List.Range(Step2[Value], 8, _[Index] - 7),
acc = List.Accumulate(
vlist,
start,
(state, current) => (current - state) * (2 / (1 + 7)) + state
)
in
if [Index] = 7 then start else acc
else
null,
type number )
in
Step3
Hey Fowmy , first of all the code you sent works awesome! However, I've been ultimately trying to create a Triple Exponential Moving Average, and I figure I could just reuse a good part of the code to create a second and third EMA then calculate a final column to create a TEMA. It's not working out for me right now, and I'd greatly appreciate your assistance again. I've attached another sample Excel file that includes date, value, average, ema1, ema2, ema3, and Tema columns. The formulas are present, and hopefully makes sense. Thanks again!!!