在时间序列的滚动子集上计算R中的移动平均值

Question

I have a daily time series and I'm trying to calculate a 10 period moving average on it. The trouble I'm having is that the moving average needs to be on a rolling subset of the data (the 10 periods are not contiguous). I need an average over the previous 10 weeks, from and including today.
The 'today' value would be an average of today/value from 5 days ago/ value from 10 days ago.../value from 45 days ago To calculate 'yesterdays' value, I want yesterday/value from 6 days ago/value from 11 days ago.../value from 46 days ago.

I've tried the following:

WMA(na.omit(data[seq(NROW(data),1,-5)]),n=10, wts=wtzd)

Where wtzd is a vector of weights and data is an xts time series object.

Data contains daily observations from 2006-04-19 to 2017-02-03

That code works in that it returns correct values, but it only returns weekly figures, while I want the average calculated for each day. So, I get data back from the above for 2017-02-03/2017-01-27/2017-01-20.... While I want data back for each day, 2017-02-03/2017-02-02/...

I think there must be a straight forward solution, I just can't quite get it. I've tried running rollapply and a few other apply functions, but no luck.

The weighting vector is generated by:

wtzd<-(1:10/55)

A sample of the correct return values I'm looking for by date are:

2017-02-03->0.04354639 (which is weighted average of every 5th value (so 2017-02-03/2017-01-27...2016/11/29) 2017-02-02->0.04536664 (which is weighted avg of 2017-02-02...2016/11/28)

Here is a sample of the data:

 <table border=0 cellpadding=0 cellspacing=0 width=139 style='border-collapse: collapse;table-layout:fixed;width:104pt'> <col width=75 style='mso-width-source:userset;mso-width-alt:2742;width:56pt'> <col width=64 style='width:48pt'> <tr height=20 style='height:15.0pt'> <td height=20 class=xl154556 width=75 style='height:15.0pt;width:56pt'>Date</td> <td class=xl154556 width=64 style='width:48pt'>Data</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/5/2016</td> <td class=xl154556 align=right>0.010798</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/8/2016</td> <td class=xl154556 align=right>0.011934</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/9/2016</td> <td class=xl154556 align=right>0.015761</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/10/2016</td> <td class=xl154556 align=right>0.017658</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/11/2016</td> <td class=xl154556 align=right>0.018573</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/12/2016</td> <td class=xl154556 align=right>0.018512</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/15/2016</td> <td class=xl154556 align=right>0.016978</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/16/2016</td> <td class=xl154556 align=right>0.012713</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/17/2016</td> <td class=xl154556 align=right>0.008406</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/18/2016</td> <td class=xl154556 align=right>0.003475</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/19/2016</td> <td class=xl154556 align=right>-8E-05</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/22/2016</td> <td class=xl154556 align=right>-0.00153</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/23/2016</td> <td class=xl154556 align=right>-0.00096</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/24/2016</td> <td class=xl154556 align=right>0.000888</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/25/2016</td> <td class=xl154556 align=right>0.003899</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/26/2016</td> <td class=xl154556 align=right>0.006597</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/29/2016</td> <td class=xl154556 align=right>0.006941</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/30/2016</td> <td class=xl154556 align=right>0.008899</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>8/31/2016</td> <td class=xl154556 align=right>0.009631</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/1/2016</td> <td class=xl154556 align=right>0.009314</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/2/2016</td> <td class=xl154556 align=right>0.008964</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/6/2016</td> <td class=xl154556 align=right>0.007931</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/7/2016</td> <td class=xl154556 align=right>0.005969</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/8/2016</td> <td class=xl154556 align=right>0.004158</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/9/2016</td> <td class=xl154556 align=right>0.004553</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/12/2016</td> <td class=xl154556 align=right>0.003861</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/13/2016</td> <td class=xl154556 align=right>0.005387</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/14/2016</td> <td class=xl154556 align=right>0.004989</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/15/2016</td> <td class=xl154556 align=right>0.005372</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/16/2016</td> <td class=xl154556 align=right>0.006748</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/19/2016</td> <td class=xl154556 align=right>0.007596</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/20/2016</td> <td class=xl154556 align=right>0.007595</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/21/2016</td> <td class=xl154556 align=right>0.00819</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/22/2016</td> <td class=xl154556 align=right>0.007539</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/23/2016</td> <td class=xl154556 align=right>0.004659</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/26/2016</td> <td class=xl154556 align=right>0.002459</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/27/2016</td> <td class=xl154556 align=right>0.000717</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/28/2016</td> <td class=xl154556 align=right>0.000757</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/29/2016</td> <td class=xl154556 align=right>0.00175</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>9/30/2016</td> <td class=xl154556 align=right>0.002898</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/3/2016</td> <td class=xl154556 align=right>0.004611</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/4/2016</td> <td class=xl154556 align=right>0.004674</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/5/2016</td> <td class=xl154556 align=right>0.002337</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/6/2016</td> <td class=xl154556 align=right>0.001521</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/7/2016</td> <td class=xl154556 align=right>0.000596</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/10/2016</td> <td class=xl154556 align=right>-0.00019</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/11/2016</td> <td class=xl154556 align=right>0.002114</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/12/2016</td> <td class=xl154556 align=right>0.006229</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/13/2016</td> <td class=xl154556 align=right>0.008139</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/14/2016</td> <td class=xl154556 align=right>0.011209</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/17/2016</td> <td class=xl154556 align=right>0.01471</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/18/2016</td> <td class=xl154556 align=right>0.01581</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/19/2016</td> <td class=xl154556 align=right>0.017636</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/20/2016</td> <td class=xl154556 align=right>0.020715</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/21/2016</td> <td class=xl154556 align=right>0.023097</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/24/2016</td> <td class=xl154556 align=right>0.023854</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/25/2016</td> <td class=xl154556 align=right>0.024841</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/26/2016</td> <td class=xl154556 align=right>0.024457</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/27/2016</td> <td class=xl154556 align=right>0.024512</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/28/2016</td> <td class=xl154556 align=right>0.02277</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>10/31/2016</td> <td class=xl154556 align=right>0.021808</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/1/2016</td> <td class=xl154556 align=right>0.019764</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/2/2016</td> <td class=xl154556 align=right>0.018609</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/3/2016</td> <td class=xl154556 align=right>0.01617</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/4/2016</td> <td class=xl154556 align=right>0.015457</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/7/2016</td> <td class=xl154556 align=right>0.017325</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/8/2016</td> <td class=xl154556 align=right>0.020514</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/9/2016</td> <td class=xl154556 align=right>0.025313</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/10/2016</td> <td class=xl154556 align=right>0.030246</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/11/2016</td> <td class=xl154556 align=right>0.035005</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/14/2016</td> <td class=xl154556 align=right>0.037926</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/15/2016</td> <td class=xl154556 align=right>0.040985</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/16/2016</td> <td class=xl154556 align=right>0.0421</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/17/2016</td> <td class=xl154556 align=right>0.045048</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/18/2016</td> <td class=xl154556 align=right>0.048647</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/21/2016</td> <td class=xl154556 align=right>0.050855</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/22/2016</td> <td class=xl154556 align=right>0.054225</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/23/2016</td> <td class=xl154556 align=right>0.059675</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/25/2016</td> <td class=xl154556 align=right>0.063056</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/28/2016</td> <td class=xl154556 align=right>0.065385</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/29/2016</td> <td class=xl154556 align=right>0.067396</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>11/30/2016</td> <td class=xl154556 align=right>0.068715</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/1/2016</td> <td class=xl154556 align=right>0.067195</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/2/2016</td> <td class=xl154556 align=right>0.065036</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/5/2016</td> <td class=xl154556 align=right>0.060924</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/6/2016</td> <td class=xl154556 align=right>0.057955</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/7/2016</td> <td class=xl154556 align=right>0.053682</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/8/2016</td> <td class=xl154556 align=right>0.05172</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/9/2016</td> <td class=xl154556 align=right>0.052188</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/12/2016</td> <td class=xl154556 align=right>0.053812</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/13/2016</td> <td class=xl154556 align=right>0.055302</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/14/2016</td> <td class=xl154556 align=right>0.059984</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/15/2016</td> <td class=xl154556 align=right>0.065521</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/16/2016</td> <td class=xl154556 align=right>0.069117</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/19/2016</td> <td class=xl154556 align=right>0.07395</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/20/2016</td> <td class=xl154556 align=right>0.079027</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/21/2016</td> <td class=xl154556 align=right>0.079922</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/22/2016</td> <td class=xl154556 align=right>0.078866</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/23/2016</td> <td class=xl154556 align=right>0.077589</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/27/2016</td> <td class=xl154556 align=right>0.07534</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/28/2016</td> <td class=xl154556 align=right>0.073149</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/29/2016</td> <td class=xl154556 align=right>0.070329</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>12/30/2016</td> <td class=xl154556 align=right>0.066114</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/3/2017</td> <td class=xl154556 align=right>0.065532</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/4/2017</td> <td class=xl154556 align=right>0.063771</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/5/2017</td> <td class=xl154556 align=right>0.059462</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/6/2017</td> <td class=xl154556 align=right>0.058926</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/9/2017</td> <td class=xl154556 align=right>0.058652</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/10/2017</td> <td class=xl154556 align=right>0.055221</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/11/2017</td> <td class=xl154556 align=right>0.052785</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>1/12/2017</td> <td class=xl154556 align=right>0.051279</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 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align=right style='height:15.0pt'>2/1/2017</td> <td class=xl154556 align=right>0.021491</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>2/2/2017</td> <td class=xl154556 align=right>0.017533</td> </tr> <tr height=20 style='height:15.0pt'> <td height=20 class=xl634556 align=right style='height:15.0pt'>2/3/2017</td> <td class=xl154556 align=right>0.012598</td> </tr> <![if supportMisalignedColumns]> <tr height=0 style='display:none'> <td width=75 style='width:56pt'></td> <td width=64 style='width:48pt'></td> </tr> <![endif]> </table> </div> </body> </html> 

Answer 1

Your question looks similar to this one: Conditional rolling mean (moving average) on irregular time series

I like the data table solution where you pad in the missing dates and then use rollmean from zoo package to get the moving average. It is difficult to demonstrate without a sample data set. I created a bogus one and then removes some dates to show how to resolve missing ones.

library(data.table)
library(zoo)

## Convert to data.table

#number of days
dateno<-as.numeric(difftime(as.Date("2017-02-03"),as.Date("2006-04-19"),units="days"))+1

DT<-data.table(ID=seq(1,dateno,by=1),
    val=rnorm(dateno),
    dates=seq(as.Date("2006-04-19"),as.Date("2017-02-03"),by=1),
    missing.dates=rbinom(n=dateno,size=1,prob=.9))

DT<-DT[missing.dates==1][,missing.dates:=NULL]


## Using related questions/response
## reference: https://stackoverflow.com/questions/21372735/conditional-rolling-mean-moving-average-on-irregular-time-series
##Missing DATES will be added in. Value will be set to NA. 
DT<-DT[DT[,.(dates=seq(min(dates),max(dates),by=1))],on="dates"]

## Run your function
DT[, Avg5day:=rollmean(val, 5, na.rm=TRUE,align="right",fill=NA)]

Hopefully I understood your question correctly.

To add weekly averages, and then compute a rolling 10week average using same strategy with rollmean:

#add workweek column to group by
DT[,YYYY.WW:=paste0(year(as.Date(dates)),"-",ifelse(week(as.Date(dates))<10,"0",""),week(as.Date(dates)))]

#calculate weekly average
DT[,YYYY.WW.AVG:=mean(val,na.rm=TRUE),YYYY.WW]
weekly.DT<-unique(DT[,.(YYYY.WW,YYYY.WW.AVG)])

#calculate rolling weekly average
weekly.DT[,WW10AVG:=rollmean(YYYY.WW.AVG,k=10,na.rm=TRUE,align="right",fill=NA)]
DT[weekly.DT,on="YYYY.WW"]

Answer 2

Thanks for providing sample data set....

You can still use data.table with zoo's rollapply...

To match your expected answer, I added a DateIndex and then performed rollapply on weighted.mean grouping by it.

DT[,DateIndex:=1:5]
DT[,DateIndex.10period.avg:=rollapply(Data,width=10,weighted.mean,
    w=(1:10)/55,na.rm=TRUE,fill=NA,align="right"),by=DateIndex]

Alternatively, you could have added a weekdays column and performed average over it to get last 10 Fridays values...but this didn't align with your expected answer. Providing it here just in case...

DT[,weekday:=weekdays(Date)]
DT[,weekday.10period.avg:=rollapply(Data,width=10,weighted.mean,
    w=(1:10)/55,na.rm=TRUE,fill=NA,align="right"),by=weekday]