Re: Calculating moving average
Date: Sun, 18 May 2008 12:41:26 -0700 (PDT)
Message-ID: <a3922179-cada-4c24-a874-e1c4dd49741c@e39g2000hsf.googlegroups.com>
On May 18, 10:32 am, Maxim Demenko <mdeme..._at_gmail.com> wrote:
> nickli2..._at_gmail.com schrieb:
>
>
>
>
>
> > Hi,
>
> > I am trying to calculating the following with SQL:
>
> > Stock Date Price
> > X 5/1/2008 10
> > X 5/2/2008 12
> > X 5/3/2008 13
> > Y 5/1/2008 20
> > Y 5/2/2008 22
> > Y 5/3/2008 23
> > ..........
>
> > It will be a month of data with stock, date, price as unique,
> > with thousands of symbols.
>
> > Today's moving average is calculated based on previous days'
> > moving average plus today's price. The sum will be divided by the
> > number of days as in the following:
>
> > For stock X:
> > The moving average on 5/1/2008 will be 10
> > The moving average on 5/2/2008 will be (10 + 12) / 2 = 11
> > The moving average on 5/2/2008 will be (10 + 11 + 13) / 3 =
> > 11.33
>
> > The same for the stock Y:
> > The moving average on 5/1/2008 will be 20
> > The moving average on 5/2/2008 will be (20 + 22) / 2 = 21
> > The moving average on 5/2/2008 will be (20 + 21 + 23) / 3 =
> > 21.33
>
> > I am trying to using windowing function to get the moving aveage
> > but it doesn't seem to be working. Do I have to use PL/SQL to
> > accomplish this?
>
> > Thanks in advance.
>
> > Nick Li
>
> As Charles already shown, the key point for your problem is recursion -
> you need for every row ( ordered by date ) previously calculated values
> to calculate the current one. In my opinion, to solve tasks of recursive
> nature only with analytical functions might be a good challenge and in
> general case probably not always doable. However, if you are on the
> somewhat recent version of oracle, then the solution may be trivial (and
> very efficient in terms of resources)
>
> SQL> with t as (
> 2 select 'X' Stock,to_date('05.01.2008','mm.dd.yyyy') Dt,10 Price
> from dual union all
> 3 select 'X',to_date('05.02.2008','mm.dd.yyyy'),12 from dual union all
> 4 select 'X',to_date('05.03.2008','mm.dd.yyyy'),13 from dual union all
> 5 select 'Y',to_date('05.01.2008','mm.dd.yyyy'),20 from dual union all
> 6 select 'Y',to_date('05.02.2008','mm.dd.yyyy'),22 from dual union all
> 7 select 'Y',to_date('05.03.2008','mm.dd.yyyy'),23 from dual
> 8 )
> 9 -- End test data
> 10 select Stock,dt,Price,av
> 11 from t
> 12 model
> 13 partition by (stock)
> 14 dimension by (row_number() over(partition by stock order by dt) n)
> 15 measures(price,dt,0 av,row_number() over(partition by stock order
> by dt) n_m )
> 16 rules
> 17 (
> 18 av[any] order by n=(sum(av)[any] + price[cv()])/ n_m[cv()]
> 19 )
> 20 ;
>
> S DT PRICE AV
> - ---------- ---------- ----------
> Y 05/01/2008 20 20
> Y 05/02/2008 22 21
> Y 05/03/2008 23 21.3333333
> X 05/01/2008 10 10
> X 05/02/2008 12 11
> X 05/03/2008 13 11.3333333
>
> 6 rows selected.
>
> Now a slightly modified example, which shows - 1000 recursive iterations
> are not a problem at all:
>
> SQL> with t as (
> 2 select 'X' Stock, trunc(sysdate) + rownum - 1000
> dt,trunc(dbms_random.value(0,100)) price from dual
> 3 connect by level < 1001
> 4 )
> 5 -- End test data
> 6 select Stock,dt,Price,av
> 7 from t
> 8 model
> 9 partition by (stock)
> 10 dimension by (row_number() over(partition by stock order by dt) n)
> 11 measures(price,dt,0 av,row_number() over(partition by stock order
> by dt) n_m )
> 12 rules
> 13 (
> 14 av[any] order by n=(sum(av)[any] + price[cv()])/ n_m[cv()]
> 15 )
> 16 ;
>
> 1000 rows selected.
>
> Elapsed: 00:00:00.39
>
> Execution Plan
> ----------------------------------------------------------
> Plan hash value: 2046059844
>
> -----------------------------------------------------------------------------------------
> | Id | Operation | Name | Rows | Bytes | Cost
> (%CPU)| Time |
> -----------------------------------------------------------------------------------------
> | 0 | SELECT STATEMENT | | 1 | 22 | 3
> (34)| 00:00:01 |
> | 1 | SQL MODEL ORDERED | | 1 | 22 | 3
> (34)| 00:00:01 |
> | 2 | WINDOW SORT | | 1 | 22 | 3
> (34)| 00:00:01 |
> | 3 | VIEW | | 1 | 22 | 2
> (0)| 00:00:01 |
> | 4 | COUNT | | | |
> | |
> |* 5 | CONNECT BY WITHOUT FILTERING| | | |
> | |
> | 6 | FAST DUAL | | 1 | | 2
> (0)| 00:00:01 |
> -----------------------------------------------------------------------------------------
>
> Predicate Information (identified by operation id):
> ---------------------------------------------------
>
> 5 - filter(LEVEL<1001)
>
> Statistics
> ----------------------------------------------------------
> 0 recursive calls
> 0 db block gets
> 0 consistent gets
> 0 physical reads
> 0 redo size
> 46891 bytes sent via SQL*Net to client
> 1126 bytes received via SQL*Net from client
> 68 SQL*Net roundtrips to/from client
> 3 sorts (memory)
> 0 sorts (disk)
> 1000 rows processed
>
> You may need an extra handling for NULL values - that may depend on your
> business logic.
>
> Best regards
>
> Maxim- Hide quoted text -
>
> - Show quoted text -
Nicely done. Thank you for the education on the MODEL clause.
David Fitzjarrell Received on Sun May 18 2008 - 14:41:26 CDT