Moving Average in SQL (and beyond)

A very common analytics technique for financial and other data is to calculate the moving average. This can allow you to see a different type of pattern in your data that may not is evident from examining the original data.

But how can we calculate the moving average in SQL?

Well, there isn't a function to do it, but we can use the windowing feature of analytical SQL to do so. The following example was created in an Oracle Database but the same SQL (more or less) will work with most other SQL databases.

SELECT month, 
       SUM(amount) AS month_amount,
       AVG(SUM(amount)) OVER
          (ORDER BY month ROWS BETWEEN 3 PRECEDING AND CURRENT ROW) AS moving_average
FROM  sales
GROUP BY month
ORDER BY month;

This gives us the following with the moving average calculated based on the current value and the three preceding values, if they exist.

 MONTH MONTH_AMOUNT MOVING_AVERAGE
---------- ------------ --------------
         1     58704.52       58704.52
         2      28289.3       43496.91
         3     20167.83       35720.55
         4      50082.9     39311.1375
         5     17212.66     28938.1725
         6     31128.92     29648.0775
         7     78299.47     44180.9875
         8     42869.64     42377.6725
         9     35299.22     46899.3125
        10     43028.38     49874.1775
        11     26053.46      36812.675
        12     20067.28      31112.085

In some analytic languages and databases, they have included a moving average function. For example using HiveMall on Hive we have.

SELECT moving_avg(x, 3) FROM (SELECT explode(array(1.0,2.0,3.0,4.0,5.0,6.0,7.0)) as x) series;

If you are using Python, there is an inbuilt function in Pandas.

rolmean4 = timeseries.rolling(window = 4).mean()