Finding moving average from data points in Python

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As numpy.convolve is pretty slow, those who need a fast performing solution might prefer an easier to understand cumsum approach. Here is the code:

cumsum_vec = numpy.cumsum(numpy.insert(data, 0, 0)) 
ma_vec = (cumsum_vec[window_width:] - cumsum_vec[:-window_width]) / window_width

where data contains your data, and ma_vec will contain moving averages of window_width length.

On average, cumsum is about 30-40 times faster than convolve.

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