Weighted moving average in T-SQL
In an earlier post I demonstrated the calculation of moving averages in T-SQL. However, the there is one major drawback with simple moving averages. Price changes in the beginning of the period have the same importance as more recent price changes. Somehow you’d like to assign different weights to the price changes, so that the most recent changes gets the most weight.
For this purpose, a Weighted Moving Average (WMA) can be calculated. In this blog post I will show two different methods to calculate WMA, one that can be used on SQL Server 2005 and later, and the other version is for SQL Server versions earlier than 2005.
