Why is the average trace (math) of my signal different to the actual signal?

[eTobey]

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Some good information, that i just confirmed (by testing) to not have any flaws.

Btw, this applies to Siglent scopes like yours (which you obviously consider so buggy that they are almost unusable). Don't expect that any other scope does the same.

Of course i already checked, that this would apply to my scope. (Some features have some flaws that are at least confusing, which would let you think your circuit is doing weird stuff, when acutally the scope doing weird stuff - Apart from "normal" weird stuff.)

[MrAl]

It's an average over a moving window.  It looks perfectly fine to me.

Trace averaging does not explicitly apply a moving average filter.
Still, a convolution can happen as (unwanted) side effect.

Isnt a moving window averaging all the values that were before a point? I believe in my case, its like the ERES defintion where adjacent points are averaged.

It does not matter it depends on how the algorithm was made and applied.  It could also be such that it waits for 1/2 the number of samples before it averages, or it begins averaging right away.  In the case for sum=(sum*19+v)/20 we would see a very small average to start with if the signal started out at 0 volts.  The first two samples would result in a low value, which would be normal for that kind of algorithm.
There are other algorithms which implement a digital filter in a more elaborate form.  2nd order, 3rd order, etc., which can usually respond faster to changes in the signal level.  There are so many kinds of digital filters though so there are many algorithms.  There are books written just for that.