Calculating Moving Averages with T-SQL

Question

Post reply

Calculating Moving Averages with T-SQL

Gabriel P

SSCarpal Tunnel

Points: 4289
More actions
March 3, 2010 at 9:07 pm

#386430

Comments posted to this topic are about the item Calculating Moving Averages with T-SQL

Viewing 15 posts - 1 through 15 (of 80 total)

You must be logged in to reply to this topic. Login to reply

Satnam Singh Hall of Fame Points: 3542 More actions · Answer 1

Nice article and Very well explained...

Cheers,

Satnam

minnyperry SSC Rookie Points: 41 More actions · Answer 2

All topics are very good here.. when I read this full details so I am very impress to this.........

Acai Optimum

weider x factor

Ritesh Medhe SSCommitted Points: 1941 More actions · Answer 3

Ritesh Medhe

SSCommitted

Points: 1941

March 4, 2010 at 1:58 am

#1128329

Lovely piece of work..

ChrisM@Work SSC Guru Points: 186127 More actions · Answer 4

Gabriel P (3/3/2010)
Comments posted to this topic are about the item <A HREF="/articles/Moving+Average/69389/">Calculating Moving Averages with T-SQL</A>

Excellent article, Gabriel. I reckon it's time to start messing with those pesky CTE's again.

<< and therefore isn't a good indicator of what the immediate future might hold. >>

Have a word with Gail about DBCC TIMEWARP, without too much effort you should get the last ten days and the next ten days.

^{“Write the query the simplest way. If through testing it becomes clear that the performance is inadequate, consider alternative query forms.” - Gail Shaw}

For fast, accurate and documented assistance in answering your questions, please read this article.
Understanding and using APPLY, (I) and (II) Paul White
Hidden RBAR: Triangular Joins / The "Numbers" or "Tally" Table: What it is and how it replaces a loop Jeff Moden

sushil9313333532 SSC Rookie Points: 39 More actions · Answer 5

sushil9313333532

SSC Rookie

Points: 39

March 4, 2010 at 3:01 am

#1128361

hi ..........i m aldon .how 2 improve my sql tech.

TimvdH Valued Member Points: 59 More actions · Answer 6

Great work, thank you! Would love to read more about technical analysis and sql. Or even better: portfolio theory and sql. BTW: does someone know if using MDX / Analysis Server makes sense here (query performance wise)? I guess it could make sense if all you need is the most recent moving average, but I know too little about AS to really have an idea. I was thinking about trying to use AS to calculate securities price correlations. Maybe someone knows if it makes sense to try this at all. After all you need to import the daily securities data into the data mart every day (I hope it is possible to add only the most recent day after an initial import). If someone has any hands on experience about (ten thousands of) time series in AS, I would be most interested...

Regards

Tim

shogg Mr or Mrs. 500 Points: 541 More actions · Answer 7

This is very useful and well detailed. Much appreciated!!!

HoggZilla

Edward Boyle-478467 Ten Centuries Points: 1165 More actions · Answer 8

Excellent article.

I have a huge volume of historical data [3 years of data at 15 minute intervals] and will try out the method this weekend

Thanks

Dean Cochrane SSC Eights! Points: 992 More actions · Answer 9

This is one of the best articles I have read in a long time. Excellent work.

rkkelly SSC Enthusiast Points: 130 More actions · Answer 10

Nice to have an alternative to self joins for the sliding window average. Thanks for the post.

kamban Grasshopper Points: 22 More actions · Answer 11

Yes, but how we can make connection to some live data source so we can do live trading analyse?

F

JJ B SSCertifiable Points: 5130 More actions · Answer 12

So well written and explained. Thanks for taking the time to share this with us.

Tom Garth SSCertifiable Points: 6193 More actions · Answer 13

Good code. Good read. Lot's of fun.

Thanks for the time and effort that you put into writing the article.

Tom Garth
Vertical Solutions[/url]

"There are three kinds of men. The one that learns by reading. The few who learn by observation. The rest of them have to pee on the electric fence for themselves." -- Will Rogers

Calvin Lawson SSChampion Points: 11030 More actions · Answer 14

In the immortal words of Paris Hilton, "That's hot". I love the technique and the article is very well written.

Signature is NULL