This is happening because Tableau connects through the multidimensional interface (MDX). Because of that, some things work different than when you're working with relational databases. This article tells you more about it: Understanding Functional Differences Between OLAP and Relational Data Source Connections | Tableau Software
Back to your question, there are a couple of alternatives.
1. You can create calculated members in Tableau where you use a MDX function that returns the right time period. This blog post has a YoY example of this: http://www.kaviglobal.com/getting-tableau-work-ssas/ but you can use the same concept to return different time periods.
2. You can convert the data type in Tableau to 'Date':
Once you do that, you can then use relative date filters and select a time period: Quick Start: Relative Date Filters . With this approach, you'll probably need 3 sheets that you'd put together in a dashboard.
Hope this helps!