declare @t table (date datetime not null, rate float not null)
declare @movingAverages table (date datetime not null, 
                               simpleMovingAvg float not null, 
                               weightedMovingAvg float not null)

--
-- prepare some random sample data
--
declare @i int
set @i=0
while @i < 5000 --increase this number to make the perf difference even more stark
begin
	insert @t select getdate()+@i, rand()
	set @i = @i + 1
end
--
-- use an ugly cursor to calculate moving avgs
--
declare @date datetime
declare @rate float
declare @rateCurrent float
declare @rateMinusOne float
declare @rateMinusTwo float
declare @then datetime
set @then=getdate()

declare ugly cursor for select date, rate from @t
open ugly
while 1=1
begin

	FETCH NEXT FROM ugly INTO @date, @rate
	if @@FETCH_STATUS <> 0 break
	set @rateMinusTwo=@rateMinusOne
	set @rateMinusOne=@rateCurrent
	set @rateCurrent=@rate
	if @rateMinusTwo is not null and @rateMinusOne is not null and @rateCurrent is not null
	begin
		insert @movingAverages 
		select 
			@date
			,(@rateCurrent + @rateMinusOne + @rateMinusTwo) / 3.0
			,0.7 * @rateCurrent + 0.2 * @rateMinusOne + 0.1 * @rateMinusTwo
	end
end
CLOSE ugly
DEALLOCATE ugly

-- see what we came up with 
select t.date, t.rate, m.simpleMovingAvg, m.weightedMovingAvg
from @movingAverages m
join @t t on t.date=m.date

-- how long did the cursor take?
select datediff(ms, @then, getdate()) as [ugly cursor time]

--
-- now see how long the set-based way takes
--
set @then=getdate()
select 
	t.date
        ,avg(tt.rate) as simpleMovingAvg
	,sum(case when DATEDIFF(day, tt.date, t.date)=0 then 0.7*tt.rate
                  when DATEDIFF(day, tt.date, t.date)=1 then 0.2*tt.rate
                  when DATEDIFF(day, tt.date, t.date)=2 then 0.1*tt.rate end) as weightedMovingAvg
from @t AS t
join @t tt on DATEDIFF(day, tt.date, t.date) between 0 And 2
group by t.date
order by t.date

-- how long did set-based take? 
select datediff(ms, @then, getdate()) as [set based time]

select		t1.date,
		t1.rate,
		avg(t2.rate)
from		@t AS t1
cross join	@t as t2
where		t2.date between t1.date - 2 and t1.date
group by	t1.date,
		t1.rate

quote:

---

Originally posted by Peso

Jezemine, will you timetest this suggestion with CROSS JOIN?

select		t1.date,
		t1.rate,
		avg(t2.rate)
from		@t AS t1
cross join	@t as t2
where		t2.date between t1.date - 2 and t1.date
group by	t1.date,
		t1.rate

---

E 12°55'05.25"
N 56°04'39.16"

---

-- Prepare sample data
DECLARE	@Sample TABLE (dt DATETIME, Rate FLOAT)

INSERT	@Sample
SELECT	CURRENT_TIMESTAMP - 10,  1 UNION ALL
SELECT	CURRENT_TIMESTAMP -  9,  2 UNION ALL
SELECT	CURRENT_TIMESTAMP -  8,  4 UNION ALL
SELECT	CURRENT_TIMESTAMP -  7,  4 UNION ALL
SELECT	CURRENT_TIMESTAMP -  6,  5 UNION ALL
SELECT	CURRENT_TIMESTAMP -  5,  6 UNION ALL
SELECT	CURRENT_TIMESTAMP -  4,  6 UNION ALL
SELECT	CURRENT_TIMESTAMP -  3,  8 UNION ALL
SELECT	CURRENT_TIMESTAMP -  2,  9 UNION ALL
SELECT	CURRENT_TIMESTAMP -  1, 10 UNION ALL
SELECT	CURRENT_TIMESTAMP -  0, 11 UNION ALL
SELECT	CURRENT_TIMESTAMP +  1,  9

-- Peso 2
SELECT		DATEADD(DAY, dt, '19000101') AS dt,
		AVG(Rate) AS SimpleMovingAvg,
		SUM(wr) AS WeightedMovingAvg
FROM		(
			SELECT	DATEDIFF(DAY, '18991230', dt) AS dt,
				0.1 * Rate AS wr,
				Rate,
				0 AS Actualdate
			FROM	@Sample

			UNION ALL

			SELECT	DATEDIFF(DAY, '18991231', dt),
				0.2 * Rate,
				Rate,
				0
			FROM	@Sample

			UNION ALL

			SELECT	DATEDIFF(DAY, '19000101', dt),
				0.7 * Rate,
				Rate,
				1
			FROM	@Sample
		) AS k
GROUP BY	dt
HAVING		MAX(Actualdate) = 1
ORDER BY	dt

CURSOR			 6,813 ms
Jezemine set-based	20,577 ms
Peso set-based		   127 ms

DECLARE	@Sample TABLE (dt DATETIME, Rate FLOAT)

INSERT	@Sample
SELECT	CURRENT_TIMESTAMP - 10,  1 UNION ALL
SELECT	CURRENT_TIMESTAMP -  9,  2 UNION ALL
SELECT	CURRENT_TIMESTAMP -  8,  4 UNION ALL
SELECT	CURRENT_TIMESTAMP -  7,  4 UNION ALL
SELECT	CURRENT_TIMESTAMP -  6,  5 UNION ALL
SELECT	CURRENT_TIMESTAMP -  5,  6 UNION ALL
SELECT	CURRENT_TIMESTAMP -  4,  6 UNION ALL
SELECT	CURRENT_TIMESTAMP -  3,  8 UNION ALL
SELECT	CURRENT_TIMESTAMP -  2,  9 UNION ALL
SELECT	CURRENT_TIMESTAMP -  1, 10 UNION ALL
SELECT	CURRENT_TIMESTAMP -  0, 11 UNION ALL
SELECT	CURRENT_TIMESTAMP +  1,  9

-- SQL Server 2005
SELECT		DATEADD(DAY, p.ActualDate, '19000101') AS dt,
		AVG(p.Rate) AS SimpleMovingAvg,
		SUM(
			CASE p.dt
				WHEN 'dt0' THEN p.r0
				WHEN 'dt1' THEN p.r1
				WHEN 'dt2' THEN p.r2
				ELSE 0
			END
		) AS WeightedMovingAvg
FROM		(
			SELECT	Rate,
				DATEDIFF(DAY, '19000101', dt) AS dt0,
				0.7 * Rate AS r0,
				DATEDIFF(DAY, '18991231', dt) AS dt1,
				0.2 * Rate AS r1,
				DATEDIFF(DAY, '18991230', dt) AS dt2,
				0.1 * Rate AS r2
			FROM	@Sample
		) AS y
UNPIVOT		(
				ActualDate
			FOR	dt IN (y.dt0, y.dt1, y.dt2)
		) AS p
GROUP BY	p.ActualDate
HAVING		MIN(p.dt) = 'dt0'
ORDER BY	p.ActualDate

-- SQL Server 2000
SELECT		DATEADD(DAY, k.dt, '19000101') AS dt,
		AVG(k.Rate) AS SimpleMovingAvg,
		SUM(k.wr) AS WeightedMovingAvg
FROM		(
			SELECT	DATEDIFF(DAY, '18991230', dt) AS dt,
				0.1 * Rate AS wr,
				Rate,
				0 AS Actualdate
			FROM	@Sample

			UNION ALL

			SELECT	DATEDIFF(DAY, '18991231', dt),
				0.2 * Rate,
				Rate,
				0
			FROM	@Sample

			UNION ALL

			SELECT	DATEDIFF(DAY, '19000101', dt),
				0.7 * Rate,
				Rate,
				1
			FROM	@Sample
		) AS k
GROUP BY	k.dt
HAVING		MAX(k.Actualdate) = 1
ORDER BY	k.dt

CREATE TABLE	#Sample
		(
			dt DATETIME,
			Rate FLOAT,
			running FLOAT
		)

INSERT	#Sample 
	(
		dt,
		Rate
	)
SELECT	CURRENT_TIMESTAMP - 10,  1 UNION ALL
SELECT	CURRENT_TIMESTAMP -  4,  6 UNION ALL
SELECT	CURRENT_TIMESTAMP -  3,  8 UNION ALL
SELECT	CURRENT_TIMESTAMP -  7,  4 UNION ALL
SELECT	CURRENT_TIMESTAMP -  6,  5 UNION ALL
SELECT	CURRENT_TIMESTAMP -  5,  6 UNION ALL
SELECT	CURRENT_TIMESTAMP -  2,  9 UNION ALL
SELECT	CURRENT_TIMESTAMP -  1, 10 UNION ALL
SELECT	CURRENT_TIMESTAMP -  0, 11 UNION ALL
SELECT	CURRENT_TIMESTAMP -  9,  2 UNION ALL
SELECT	CURRENT_TIMESTAMP -  8,  4 UNION ALL
SELECT	CURRENT_TIMESTAMP +  1,  9

DECLARE	@rt FLOAT
SET	@rt = 0

CREATE CLUSTERED INDEX IX_Peso ON #Sample (dt)

UPDATE	#Sample
SET	@rt = running = @rt + Rate

DROP INDEX	#Sample.IX_Peso

SELECT		dt,
		Rate,
		running
FROM		#Sample
ORDER BY	dt

DROP TABLE	#Sample