In financial data analysis, calculating the Moving Average (MA) is a common practice. The moving average provides valuable information about price trends, whether it is a simple or exponential average. A rising moving average indicates increasing prices, while a falling moving average suggests that prices are generally decreasing.

In this article, we will explore how to calculate the Simple Moving Average of a stock price using T-SQL in SQL Server.

Solution

There are multiple ways to calculate the Moving Average in SQL, but we will use the WINDOW function method in T-SQL. This method allows us to calculate a fixed number of rows ahead and behind the current row.

First, let’s prepare our data. For this tutorial, we will use the stock price for Microsoft, which can be freely downloaded from Quandl in CSV format. We import this data into SQL Server using the “Import Flat File Wizard”.

Once the data is imported, we can query the table and verify that the data has been imported correctly.

Now that our data is ready, let’s calculate a 15-day Moving Average. This means we will consider the 7 previous days, the current day, and the 7 days ahead when calculating the average. We will use a window function, specifically an aggregate function, to implement this.

The T-SQL script to calculate the Moving Average is as follows:

SELECT
    [Date],
    [Close],
    AVG([Close]) OVER (
        ORDER BY [Date]
        ROWS BETWEEN 7 PRECEDING AND 7 FOLLOWING
    ) AS FifteenDayMovAvg
FROM StockPrice

The result of the above query will provide us with the Moving Average values.

Once we have the result in SQL, we can easily copy and paste the data into Excel to verify the calculations. The Moving Average for a specific date can be compared with the average calculated in Excel for the same date range.

By plotting the Moving Average data on a line chart, we can observe a smoothed-out trend, which is helpful for further analysis.

Conclusion

Calculating Moving Averages in SQL Server using T-SQL provides a powerful tool for analyzing financial data. By utilizing the WINDOW function method, we can easily calculate Moving Averages for different time periods and gain insights into price trends.

For more information on calculating Moving Averages, you can refer to resources like Investopedia. Additionally, learning about Window Functions in SQL can enhance your understanding of this topic.