Exponential moving average in T-SQL

Exponential moving averages are similar to weighted moving averages in that they assign less weight to changes long ago, and more weight to recent changes. Weighted moving averages are linear, but exponential moving averages are exponential. That is, the weight can be expressed as a curve:

Weights in EMA
Weights in EMA

There is a great way to calculate exponential moving averages in T-SQL using an undocumented feature about variables and running totals in SQL Server. In this blog post I will show how to use that method to calculate exponential moving average in T-SQL, but I will also present a method that is using standard features in SQL Server. Unfortunately, that means using a loop.


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