BUG: ewma with time gives strange results with adjust = False vs. True, difference is too large to make sense (original) (raw)

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Code Sample, a copy-pastable example

np.random.seed(0) idx=pd.date_range('20000101','20201231',periods=50000) df=pd.DataFrame(data=np.random.normal(0, 1, 50000),index=idx)

exclude first 1000 to avoid un-primed periods

df.ewm(halflife=pd.Timedelta('10d'),times=df.index,adjust=True).mean().iloc[1000:].plot() df.ewm(halflife=pd.Timedelta('10d'),times=df.index,adjust=False).mean().iloc[1000:].plot()

Your code here

Problem description

[this should explain why the current behaviour is a problem and why the expected output is a better solution]

Expected Output

Output of pd.show_versions()

[paste the output of pd.show_versions() here leaving a blank line after the details tag]