Why SAS "proc sql" is way too slower than "data step" - sas

Question

I was trying to calculate past average stock returns. I find using the following "data step" code is much better than using "proc sql" code.
The data step code:
%macro same(start = ,end = );
proc sql;drop view temp;quit;
proc sql;
create table temp
as select distinct a.*, mean(b.ret_dm) as same_&start._&end, count(b.ret_dm) as sc_&start._&end
from msf1 as a left join msf1 as b
on a.stkcd = b.stkcd and &start <= a.ym - b.ym <= &end and a.month = b.month
group by a.stkcd,a.ym;
quit;
proc sql;
create table same
as select a.*, b.same_&start._&end, b.sc_&start._&end
from same as a left join temp as b
on a.stkcd = b.stkcd and a.ym = b.ym;
quit;
proc sql; drop table temp;quit;
%mend;
data same; set msf;run;
%same(start = 1, end = 12);
The proc sql code:
%macro MA_1;
%do p = 2 %to 9; *;
%put p &p;
proc printto log = junk ; run;
proc sql;
create table price&p
as select distinct a.*, b.count,b.ym
from price&p as a left join tradingdate as b
on a.date = b.date;
quit;
proc sort data = price&p; by stkcd ym date;quit;
data msf;
set price&p;
by stkcd ym date;
if last.ym;
run;
proc printto; run;
%do j = 1 %to %sysfunc(countw(&laglist));
%let lag = %scan(&laglist,&j);
%put lag &lag;
/*********************************************/
proc sql; drop table ma_&lag._&p ;quit;
%do i = 1 %to 2018; *;
proc printto log = junk ; run;
data getname;
set stock;
if _n_ = &i;
call symput('stkcd',stkcd);
run;
proc printto; run;
%put &i &stkcd;
proc printto log = junk ; run;
proc sql;
create table temp
as select distinct a.*, mean(b.prc) as ma_&lag._&p
from msf (where = (stkcd = "&stkcd" )) as a left join price&p (where = (stkcd = "&stkcd" )) as b
on a.stkcd = b.stkcd and 0 <= a.count - b.count <= &lag
group by a.stkcd, a.date
order by a.stkcd, a.date;
quit;
proc append base = ma_&lag._&p data = temp force; quit;
proc printto; run;
%end;
dm "log; clear;";
proc sql;
create table ma_allprc
as select a.*, b.ma_&lag._&p
from ma_allprc as a left join ma_&lag._&p as b
on a.stkcd = b.stkcd and a.date = b.date;
quit;
proc sql; drop table ma_&lag._&p;quit;
%end;
%end;
%mend;
%let laglist = 5 10 20 50 100 200 500 1000 2000; * ;
data ma_allprc; set msf;run;
%ma_1;
"Proc sql" is much slower than I thought. "Data step" takes about 3 hours, but "Proc sql" takes about 2 days.
I even have to loop over each stock when using proc sql, cause it takes up too much of the memory space, I have to say that using proc sql to calculate past averages is dumb, but currently I have no better ideas. :(
Does anybody have a solution with that..