I would like to use the pandas.DataFrame.rolling method on a data frame with datetime to aggregate future values. It looks it can be done only in the past, is it correct?

IIUC, you can use shift to move you calculation back in time.

df = pd.DataFrame({'Data':np.arange(0,11,1)},index=pd.date_range('2018-07-23',periods=11))df['rolling'] = df.rolling('2D').mean().shift(-1)print(df)

Output:

            Data  rolling
2018-07-23     0      0.5
2018-07-24     1      1.5
2018-07-25     2      2.5
2018-07-26     3      3.5
2018-07-27     4      4.5
2018-07-28     5      5.5
2018-07-29     6      6.5
2018-07-30     7      7.5
2018-07-31     8      8.5
2018-08-01     9      9.5
2018-08-02    10      NaN