elasticsearch/docs/reference/aggregations/pipeline/movavg-aggregation.asciidoc

[[search-aggregations-pipeline-movavg-aggregation]]
=== Moving Average Aggregation

Given an ordered series of data, the Moving Average aggregation will slide a window across the data and emit the average
value of that window.  For example, given the data `[1, 2, 3, 4, 5, 6, 7, 8, 9, 10]`, we can calculate a simple moving
average with windows size of `5` as follows:

- (1 + 2 + 3 + 4 + 5) / 5  = 3
- (2 + 3 + 4 + 5 + 6) / 5  = 4
- (3 + 4 + 5 + 6 + 7) / 5 = 5
- etc

Moving averages are a simple method to smooth sequential data.  Moving averages are typically applied to time-based data,
such as stock prices or server metrics.  The smoothing can be used to eliminate high frequency fluctuations or random noise,
which allows the lower frequency trends to be more easily visualized, such as seasonality.

==== Syntax

A `moving_avg` aggregation looks like this in isolation:

[source,js]
--------------------------------------------------
{
    "moving_avg": {
        "buckets_path": "the_sum",
        "model": "holt",
        "window": 5,
        "gap_policy": "insert_zero",
        "settings": {
            "alpha": 0.8
        }
    }
}
--------------------------------------------------

.`moving_avg` Parameters
|===
|Parameter Name |Description |Required |Default Value
|`buckets_path` |Path to the metric of interest (see <<bucket-path-syntax, `buckets_path` Syntax>> for more details |Required |
|`model` |The moving average weighting model that we wish to use |Optional |`simple`
|`gap_policy` |Determines what should happen when a gap in the data is encountered. |Optional |`insert_zero`
|`window` |The size of window to "slide" across the histogram. |Optional |`5`
|`settings` |Model-specific settings, contents which differ depending on the model specified. |Optional |
|===

`moving_avg` aggregations must be embedded inside of a `histogram` or `date_histogram` aggregation.  They can be
embedded like any other metric aggregation:

[source,js]
--------------------------------------------------
{
    "my_date_histo":{                <1>
        "date_histogram":{
            "field":"timestamp",
            "interval":"day"
        },
        "aggs":{
            "the_sum":{
                "sum":{ "field": "lemmings" } <2>
            },
            "the_movavg":{
                "moving_avg":{ "buckets_path": "the_sum" } <3>
            }
        }
    }
}
--------------------------------------------------
<1> A `date_histogram` named "my_date_histo" is constructed on the "timestamp" field, with one-day intervals
<2> A `sum` metric is used to calculate the sum of a field.  This could be any metric (sum, min, max, etc)
<3> Finally, we specify a `moving_avg` aggregation which uses "the_sum" metric as its input.

Moving averages are built by first specifying a `histogram` or `date_histogram` over a field.  You can then optionally
add normal metrics, such as a `sum`, inside of that histogram.  Finally, the `moving_avg` is embedded inside the histogram.
The `buckets_path` parameter is then used to "point" at one of the sibling metrics inside of the histogram (see
<<bucket-path-syntax>> for a description of the syntax for `buckets_path`.


==== Models

The `moving_avg` aggregation includes four different moving average "models".  The main difference is how the values in the
window are weighted.  As data-points become "older" in the window, they may be weighted differently.  This will
affect the final average for that window.

Models are specified using the `model` parameter.  Some models may have optional configurations which are specified inside
the `settings` parameter.

===== Simple

The `simple` model calculates the sum of all values in the window, then divides by the size of the window.  It is effectively
a simple arithmetic mean of the window.  The simple model does not perform any time-dependent weighting, which means
the values from a `simple` moving average tend to "lag" behind the real data.

[source,js]
--------------------------------------------------
{
    "the_movavg":{
        "moving_avg":{
            "buckets_path": "the_sum",
            "model" : "simple"
        }
    }
}
--------------------------------------------------

A `simple` model has no special settings to configure

The window size can change the behavior of the moving average.  For example, a small window (`"window": 10`) will closely
track the data and only smooth out small scale fluctuations:

[[movavg_10window]]
.Moving average with window of size 10
image::images/pipeline_movavg/movavg_10window.png[]

In contrast, a `simple` moving average with larger window (`"window": 100`) will smooth out all higher-frequency fluctuations,
leaving only low-frequency, long term trends.  It also tends to "lag" behind the actual data by a substantial amount:

[[movavg_100window]]
.Moving average with window of size 100
image::images/pipeline_movavg/movavg_100window.png[]


==== Linear

The `linear` model assigns a linear weighting to points in the series, such that "older" datapoints (e.g. those at
the beginning of the window) contribute a linearly less amount to the total average.  The linear weighting helps reduce
the "lag" behind the data's mean, since older points have less influence.

[source,js]
--------------------------------------------------
{
    "the_movavg":{
        "moving_avg":{
            "buckets_path": "the_sum",
            "model" : "linear"
        }
}
--------------------------------------------------

A `linear` model has no special settings to configure

Like the `simple` model, window size can change the behavior of the moving average.  For example, a small window (`"window": 10`)
will closely track the data and only smooth out small scale fluctuations:

[[linear_10window]]
.Linear moving average with window of size 10
image::images/pipeline_movavg/linear_10window.png[]

In contrast, a `linear` moving average with larger window (`"window": 100`) will smooth out all higher-frequency fluctuations,
leaving only low-frequency, long term trends.  It also tends to "lag" behind the actual data by a substantial amount,
although typically less than the `simple` model:

[[linear_100window]]
.Linear moving average with window of size 100
image::images/pipeline_movavg/linear_100window.png[]

==== EWMA (Exponentially Weighted)

The `ewma` model (aka "single-exponential") is similar to the `linear` model, except older data-points become exponentially less important,
rather than linearly less important.  The speed at which the importance decays can be controlled with an `alpha`
setting.  Small values make the weight decay slowly, which provides greater smoothing and takes into account a larger
portion of the window.  Larger valuers make the weight decay quickly, which reduces the impact of older values on the
moving average.  This tends to make the moving average track the data more closely but with less smoothing.

The default value of `alpha` is `0.5`, and the setting accepts any float from 0-1 inclusive.

[source,js]
--------------------------------------------------
{
    "the_movavg":{
        "moving_avg":{
            "buckets_path": "the_sum",
            "model" : "ewma",
            "settings" : {
                "alpha" : 0.5
            }
        }
}
--------------------------------------------------



[[single_0.2alpha]]
.Single Exponential moving average with window of size 10, alpha = 0.2
image::images/pipeline_movavg/single_0.2alpha.png[]

[[single_0.7alpha]]
.Single Exponential moving average with window of size 10, alpha = 0.7
image::images/pipeline_movavg/single_0.7alpha.png[]

==== Holt-Linear

The `holt` model (aka "double exponential") incorporates a second exponential term which
tracks the data's trend.  Single exponential does not perform well when the data has an underlying linear trend.  The
double exponential model calculates two values internally: a "level" and a "trend".

The level calculation is similar to `ewma`, and is an exponentially weighted view of the data.  The difference is
that the previously smoothed value is used instead of the raw value, which allows it to stay close to the original series.
The trend calculation looks at the difference between the current and last value (e.g. the slope, or trend, of the
smoothed data).  The trend value is also exponentially weighted.

Values are produced by multiplying the level and trend components.

The default value of `alpha` and `beta` is `0.5`, and the settings accept any float from 0-1 inclusive.

[source,js]
--------------------------------------------------
{
    "the_movavg":{
        "moving_avg":{
            "buckets_path": "the_sum",
            "model" : "holt",
            "settings" : {
                "alpha" : 0.5,
                "beta" : 0.5
            }
        }
}
--------------------------------------------------

In practice, the `alpha` value behaves very similarly in `holt` as `ewma`: small values produce more smoothing
and more lag, while larger values produce closer tracking and less lag.  The value of `beta` is often difficult
to see.  Small values emphasize long-term trends (such as a constant linear trend in the whole series), while larger
values emphasize short-term trends.  This will become more apparently when you are predicting values.

[[double_0.2beta]]
.Double Exponential moving average with window of size 100, alpha = 0.5, beta = 0.2
image::images/pipeline_movavg/double_0.2beta.png[]

[[double_0.7beta]]
.Double Exponential moving average with window of size 100, alpha = 0.5, beta = 0.7
image::images/pipeline_movavg/double_0.7beta.png[]

==== Prediction

All the moving average model support a "prediction" mode, which will attempt to extrapolate into the future given the
current smoothed, moving average.  Depending on the model and parameter, these predictions may or may not be accurate.

Predictions are enabled by adding a `predict` parameter to any moving average aggregation, specifying the nubmer of
predictions you would like appended to the end of the series.  These predictions will be spaced out at the same interval
as your buckets:

[source,js]
--------------------------------------------------
{
    "the_movavg":{
        "moving_avg":{
            "buckets_path": "the_sum",
            "model" : "simple",
            "predict" 10
        }
}
--------------------------------------------------

The `simple`, `linear` and `ewma` models all produce "flat" predictions: they essentially converge on the mean
of the last value in the series, producing a flat:

[[simple_prediction]]
.Simple moving average with window of size 10, predict = 50
image::images/pipeline_movavg/simple_prediction.png[]

In contrast, the `holt` model can extrapolate based on local or global constant trends.  If we set a high `beta`
value, we can extrapolate based on local constant trends (in this case the predictions head down, because the data at the end
of the series was heading in a downward direction):

[[double_prediction_local]]
.Double Exponential moving average with window of size 100, predict = 20, alpha = 0.5, beta = 0.8
image::images/pipeline_movavg/double_prediction_local.png[]

In contrast, if we choose a small `beta`, the predictions are based on the global constant trend.  In this series, the
global trend is slightly positive, so the prediction makes a sharp u-turn and begins a positive slope:

[[double_prediction_global]]
.Double Exponential moving average with window of size 100, predict = 20, alpha = 0.5, beta = 0.1
image::images/pipeline_movavg/double_prediction_global.png[]