Question

我正在研究一个我认为需要递归的查询。在这种情况下，我无法弄清楚基本情况以及如何构建它。我有股票市场数据，我想比较按日期排序的desc的移动平均线，以及两个移动平均线之间的差异符号（以及按照cte的符号和周期值）的行数/分区。我使用0和1的列来帮助确定分区。对于标准分区，如果一组行的值为0，则结果切换为1然后返回0，0将全部分区在一起。我在结果集中需要的是每个从0到1的变化的新分区，反之亦然。我添加了代码，因为我现在拥有它（不会返回第二列，这是为了显示我想要的输出而添加的）以及我到目前为止的一些示例数据，再次使用第二列（RowNInner）作为我正在尝试的列实现：

WITH allData AS
(
    SELECT t1.Symbol, t.TradingDate AS TradeDate, t1.Period AS FastPeriod, t2.Period AS SlowPeriod, 
    t1.Value AS FastValue, t2.Value AS SlowValue, (t1.Value - t2.Value) AS SlowFastDiff,
    CASE 
        WHEN (t1.Value - t2.Value) < 0 THEN 0
        ELSE 1
    END AS ChgSign
    FROM tblTradingDays t RIGHT JOIN tblDailySMA t1 ON t.TradingDate = t1.TradeDate JOIN tblDailySMA t2 ON 
        t1.Symbol = t2.Symbol AND t1.TradeDate = t2.TradeDate
    WHERE t1.Period < t2.Period AND t1.Symbol < 'AC'
)

SELECT DENSE_RANK() OVER (ORDER BY Symbol, FastPeriod, 
    SlowPeriod) AS RowNOuter, Symbol, TradeDate, FastPeriod, SlowPeriod, FastValue, SlowValue, 
    SlowFastDiff, ChgSign
FROM allData
ORDER BY Symbol, FastPeriod, SlowPeriod, TradeDate DESC, RowNInner

样本结果集（我想要的第二列）：

RowNOuter   RowNInner     Symbol    TradeDate   FastPeriod  SlowPeriod  FastValue   SlowValue   SlowFastDiff    ChgSign
1           1             A         5/11/2012   5           10          40.05       41.166      -1.116           0
1           2             A         5/10/2012   5           10          40.362      41.477      -1.115           0
1           3             A         5/9/2012    5           10          40.856      41.702      -0.846           0
1           1             A         5/8/2012    5           10          42.018      41.78       0.238            1
1           2             A         5/7/2012    5           10          42.282      41.821      0.461            1
1           1             A         5/6/2012    5           10          41.542      41.797      -0.255           0
1           2             A         5/5/2012    5           10          41.36       41.778      -0.418           0

Answer 1

如果我没有遗漏任何东西，这可以在没有递归CTE的情况下解决。

这个想法如下：

按(Symbol, FastPeriod, SlowPeriod)的降序排列TradeDate的每个分区中的行（我猜）。
对(Symbol, FastPeriod, SlowPeriod, ChgSign)的everty分区中的行进行排名（同样，按TradeDate的降序排列。）
找出两个排名之间的差异。这将是最终分区的附加标准。
现在，您可以再次对行进行排名，按(Symbol, FastPeriod, SlowPeriod, ChgSign, RankDiff)对其进行分区。

以下是生成的查询的外观：

WITH allData AS
(
    SELECT
        t1.Symbol,
        TradeDate    = t.TradingDate,
        FastPeriod   = t1.Period,
        SlowPeriod   = t2.Period,
        FastValue    = t1.Value,
        SlowValue    = t2.Value,
        SlowFastDiff = (t1.Value - t2.Value),
        ChgSign      = CASE WHEN t1.Value < t2.Value THEN 0 ELSE 1 END
    FROM tblTradingDays t
        RIGHT JOIN tblDailySMA t1 ON t.TradingDate = t1.TradeDate
        INNER JOIN tblDailySMA t2 ON t1.Symbol     = t2.Symbol
                                 AND t1.TradeDate  = t2.TradeDate
    WHERE t1.Period < t2.Period
      AND t1.Symbol < 'AC'
)
,    partitioned AS (
    SELECT
        RowOuter = DENSE_RANK() OVER (ORDER BY Symbol, FastPeriod, SlowPeriod),
        RankDiff = ROW_NUMBER() OVER (
                       PARTITION BY Symbol, FastPeriod, SlowPeriod
                       ORDER BY TradeDate DESC
                   )
                 - ROW_NUMBER() OVER (
                       PARTITION BY Symbol, FastPeriod, SlowPeriod, ChgSign
                       ORDER BY TradeDate DESC
                   ),
        Symbol,
        TradeDate,
        FastPeriod,
        SlowPeriod,
        FastValue,
        SlowValue, 
        SlowFastDiff,
        ChgSign
    FROM allData
)
SELECT
    RowOuter,
    RowInner = ROW_NUMBER() OVER (
       PARTITION BY Symbol, FastPeriod, SlowPeriod, ChgSign, RankDiff
       ORDER BY TradeDate DESC
    ),
    Symbol,
    TradeDate,
    FastPeriod,
    SlowPeriod,
    FastValue,
    SlowValue, 
    SlowFastDiff,
    ChgSign
FROM partitioned
ORDER BY Symbol, FastPeriod, SlowPeriod, TradeDate DESC, RowNInner

我可以使用递归cte来扩展分区吗？

1 个答案: