The most fundemental part to understand here is everything you do is a column of a time-based spreadsheet. As you go up the spreadsheet, time moves backwards, as you go down it moves up. Your ‘rolling window’ is just the last N rows going back in time (or, if you use a negative number, going forward in time).
The first thing I had to make is the most simple. Every day, get the last 20 rows, get the average of them. This is called a SMA - simple moving average. This is used because it’s a much more stable indicator than a single day’s movement.
The thing is, the SMA thinks yesterday has the same amount of importance as two weeks ago. In a real market, this isn’t the case. So, we use a EMA, an exponentially weighted average. An EMA has a curve falling off starting from the most recent and ending 20 days ago. Is still weights the other stuff, but it pays more attention to the most recent.
Overall, I’m not sad with this for ~30 minutes of work. I’ll be updating this regularly to summarize what I’ve learned!
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