Question

我试图在特定日期的股票价格表上计算随机振荡器值。

我正在处理的表格是：

CREATE TABLE [dbo].[equityprice](
    [SecurityId] [int] NOT NULL,
    [Date] [date] NOT NULL,
    [Open] [numeric](19, 6) NULL,
    [High] [numeric](19, 6) NULL,
    [Low] [numeric](19, 6) NULL,
    [Close] [numeric](19, 6) NULL,
    [Volume] [bigint] NULL
    CONSTRAINT [PK_equityprice] PRIMARY KEY CLUSTERED 
    (
        [SecurityId] ASC,
        [Date] ASC,
        [DateAdded] ASC
    )WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
) ON [PRIMARY]

计算如下：

Work out the lowest low for the last 14 periods (including the current one)
Calculate the raw value by: 100 * (CurrentClose-LowestLow) / (CurrentHigh-LowestLow)
Return field k as the average of the raw value for the last 3 periods (including the current one)
Return field d as the average of field k for the last 3 periods (including the current one)

有超过50,000个SecurityIds可能会有1亿多个价格记录。

作为初步尝试，我想出了这个。它有效，但它不能很好地扩展，我怀疑有更好的方法：

declare @dt date = '2010-11-12';

select * from 
    (select 
        SecurityId, [Date], [High], lowestLow, [Close], rawk, k, 
        avg(k) OVER(PARTITION BY SecurityId ORDER BY [Date] ROWS BETWEEN 2 PRECEDING  AND CURRENT ROW) as d
     from 
         (select 
              SecurityId, [Date], [Close], [High], [lowestLow], rawk, 
              avg(rawK) OVER(PARTITION BY SecurityId ORDER BY [Date] ROWS BETWEEN 2 PRECEDING  AND CURRENT ROW) as k
          from 
              (select 
                   SecurityId, [Date], [Close], [High], [lowestLow], 
                   iif(lowestLow is null, 0, iif([High]-lowestLow=0, 0, 100*([Close]-lowestLow)/([High]-lowestLow))) as rawK 
               from 
                   (select 
                        SecurityId, [Date], [Close], [High], 
                        Min([Low]) OVER(PARTITION BY SecurityId ORDER BY [Date] ROWS BETWEEN 13 PRECEDING AND CURRENT ROW) as lowestLow 
                    from 
                        equityprice 
                    where 
                        [Date]<=@dt) as base) 
               as raw) 
          as k) 
 as d
where
    [Date]=@dt

有什么想法吗？

测试数据如下：

High    Lowest  Close   rawK        K           D
7.39    7.251   7.33    56.83453237     
7.38    7.251   7.282   24.03100775     
7.432   7.251   7.3     27.0718232  35.97912111 
7.38    7.203   7.38    100         50.36761032 
7.35    7.203   7.214   7.482993197 44.85160547 43.73277897
7.349   7.203   7.349   100         69.16099773 54.79340451
7.399   7.203   7.3     49.48979592 52.32426304 55.44562208
7.501   7.203   7.501   100         83.16326531 68.21617536
7.549   7.203   7.49    82.94797688 77.4792576  70.98892865
7.649   7.203   7.649   100         94.31599229 84.98617173
7.609   7.203   7.609   100         94.31599229 88.70374739
7.504   7.203   7.473   89.70099668 96.56699889 95.06632783
7.688   7.203   7.483   57.73195876 82.47765181 91.12021433
7.558   7.203   7.558   100         82.47765181 87.17410084

SQL中移动平均线的移动平均值

0 个答案: