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XLeratorDB/windowing Documentation

SQL Server moving Exponentially Weighted Moving Average


MovingEWMA

Updated: 31 Oct 2012


Use MovingEWMA to calculate the exponentially weighted moving average of column values in an ordered resultant table, without the need for a self-join. The exponentially weighted moving average value is calculated for each value from the first value in the window to the last value in the window. If the column values are presented to the functions out of order, an error message will be generated.
Syntax
SELECT [Example].[wct].[MovingEWMA](
  <@Val, float,>
 ,<@Alpha, float,>
 ,<@Offset, int,>
 ,<@Lag, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>)
GO
Arguments
@Val
the value passed into the function. @Val is an expression of type float or of a type that can be implicitly converted to float.
@Alpha
the degree of weighting decrease. A higher @Alpha discounts older observations faster. @Alpha is an expression of type float or of a type that can be implicitly converted to float.
@Offset
specifies the window size. @Offset is an expression of type int or of a type that can be implicitly converted to int.
@Lag
permits the exponentially weighted moving average to by returned with the current row (@Lag = 0) or the subsequent row (@Lag = 1). @Lag is an expression of type int or of a type that can be implicitly converted to int.
@RowNum
the number of the row within the group for which the sum is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.
@Id
a unique identifier for the RunningEWMA calculation. @Id allows you to specify multiple RunningEWMA calculations within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.
Remarks
·         If @Id is NULL then @Id = 0.
·         To calculate daily weighted moving averages, use the DWMA function.
·         To calculate a daily exponentially weighted moving average, use the DEMA function,
·         0 < @Alpha < 1.
·         @Lag must be 0 or 1.
·         @RowNum must be in ascending order.
·         There may be cases where the order in which the data are returned to the function and the order in which the results are returned are different, generally due to parallelism. You can use OPTION(MAXDOP 1) or OPTION(MAXDOP 1,FORCE ORDER) to help eliminate this problem
Example
In this example, we put a couple of months of price history for stock indices into a table and then calculate the 10-day exponentially weighted moving average for one of the indices with a = .05.
--Create the temporary table
CREATE TABLE #p(
      ticker                  varchar(4),
      date_trade              datetime,
      price_open              money,
      price_high              money,
      price_low               money,
      price_close             money,
      volume                        bigint,
      price_adj_close   money,
      PRIMARY KEY (ticker, date_trade)
      )
--Populate the table with some data
INSERT INTO #p VALUES ('GSPC', '2012-10-26', 1412.97, 1417.09, 1403.28, 1411.94, 3284910000, 1411.94)
INSERT INTO #p VALUES ('GSPC', '2012-10-25', 1409.74, 1421.12, 1405.14, 1412.97, 3512640000, 1412.97)
INSERT INTO #p VALUES ('GSPC', '2012-10-24', 1413.2, 1420.04, 1407.1, 1408.75, 3385970000, 1408.75)
INSERT INTO #p VALUES ('GSPC', '2012-10-23', 1433.74, 1433.74, 1407.56, 1413.11, 3587670000, 1413.11)
INSERT INTO #p VALUES ('GSPC', '2012-10-22', 1433.21, 1435.46, 1422.06, 1433.81, 3216220000, 1433.81)
INSERT INTO #p VALUES ('GSPC', '2012-10-19', 1457.34, 1457.34, 1429.85, 1433.19, 3875170000, 1433.19)
INSERT INTO #p VALUES ('GSPC', '2012-10-18', 1460.94, 1464.02, 1452.63, 1457.34, 3880030000, 1457.34)
INSERT INTO #p VALUES ('GSPC', '2012-10-17', 1454.22, 1462.2, 1453.35, 1460.91, 3655320000, 1460.91)
INSERT INTO #p VALUES ('GSPC', '2012-10-16', 1440.31, 1455.51, 1440.31, 1454.92, 3568770000, 1454.92)
INSERT INTO #p VALUES ('GSPC', '2012-10-15', 1428.75, 1441.31, 1427.24, 1440.13, 3483810000, 1440.13)
INSERT INTO #p VALUES ('GSPC', '2012-10-12', 1432.84, 1438.43, 1425.53, 1428.59, 3134750000, 1428.59)
INSERT INTO #p VALUES ('GSPC', '2012-10-11', 1432.82, 1443.9, 1432.82, 1432.84, 3672540000, 1432.84)
INSERT INTO #p VALUES ('GSPC', '2012-10-10', 1441.48, 1442.52, 1430.64, 1432.56, 3225060000, 1432.56)
INSERT INTO #p VALUES ('GSPC', '2012-10-09', 1455.9, 1455.9, 1441.18, 1441.48, 3216320000, 1441.48)
INSERT INTO #p VALUES ('GSPC', '2012-10-08', 1460.93, 1460.93, 1453.1, 1455.88, 2328720000, 1455.88)
INSERT INTO #p VALUES ('GSPC', '2012-10-05', 1461.4, 1470.96, 1456.89, 1460.93, 3172940000, 1460.93)
INSERT INTO #p VALUES ('GSPC', '2012-10-04', 1451.08, 1463.14, 1451.08, 1461.4, 3615860000, 1461.4)
INSERT INTO #p VALUES ('GSPC', '2012-10-03', 1446.05, 1454.3, 1441.99, 1450.99, 3531640000, 1450.99)
INSERT INTO #p VALUES ('GSPC', '2012-10-02', 1444.99, 1451.52, 1439.01, 1445.75, 3321790000, 1445.75)
INSERT INTO #p VALUES ('GSPC', '2012-10-01', 1440.9, 1457.14, 1440.9, 1444.49, 3505080000, 1444.49)
INSERT INTO #p VALUES ('GSPC', '2012-09-28', 1447.13, 1447.13, 1435.6, 1440.67, 3509230000, 1440.67)
INSERT INTO #p VALUES ('GSPC', '2012-09-27', 1433.36, 1450.2, 1433.36, 1447.15, 3150330000, 1447.15)
INSERT INTO #p VALUES ('GSPC', '2012-09-26', 1441.6, 1441.6, 1430.53, 1433.32, 3565380000, 1433.32)
INSERT INTO #p VALUES ('GSPC', '2012-09-25', 1456.94, 1463.24, 1441.59, 1441.59, 3739900000, 1441.59)
INSERT INTO #p VALUES ('GSPC', '2012-09-24', 1459.76, 1460.72, 1452.06, 1456.89, 3008920000, 1456.89)
INSERT INTO #p VALUES ('GSPC', '2012-09-21', 1460.34, 1467.07, 1459.51, 1460.15, 4833870000, 1460.15)
INSERT INTO #p VALUES ('GSPC', '2012-09-20', 1461.05, 1461.23, 1449.98, 1460.26, 3382520000, 1460.26)
INSERT INTO #p VALUES ('GSPC', '2012-09-19', 1459.5, 1465.15, 1457.88, 1461.05, 3451360000, 1461.05)
INSERT INTO #p VALUES ('GSPC', '2012-09-18', 1461.19, 1461.47, 1456.13, 1459.32, 3377390000, 1459.32)
INSERT INTO #p VALUES ('GSPC', '2012-09-17', 1465.42, 1465.63, 1457.55, 1461.19, 3482430000, 1461.19)
INSERT INTO #p VALUES ('GSPC', '2012-09-14', 1460.07, 1474.51, 1460.07, 1465.77, 5041990000, 1465.77)
INSERT INTO #p VALUES ('GSPC', '2012-09-13', 1436.56, 1463.76, 1435.34, 1459.99, 4606550000, 1459.99)
INSERT INTO #p VALUES ('GSPC', '2012-09-12', 1433.56, 1439.15, 1432.99, 1436.56, 3641200000, 1436.56)
INSERT INTO #p VALUES ('GSPC', '2012-09-11', 1429.13, 1437.76, 1429.13, 1433.56, 3509630000, 1433.56)
INSERT INTO #p VALUES ('GSPC', '2012-09-10', 1437.92, 1438.74, 1428.98, 1429.08, 3223670000, 1429.08)
INSERT INTO #p VALUES ('GSPC', '2012-09-07', 1432.12, 1437.92, 1431.45, 1437.92, 3717620000, 1437.92)
INSERT INTO #p VALUES ('GSPC', '2012-09-06', 1403.74, 1432.12, 1403.74, 1432.12, 3952870000, 1432.12)
INSERT INTO #p VALUES ('GSPC', '2012-09-05', 1404.94, 1408.81, 1401.25, 1403.44, 3389110000, 1403.44)
INSERT INTO #p VALUES ('GSPC', '2012-09-04', 1406.54, 1409.31, 1396.56, 1404.94, 3200310000, 1404.94)
INSERT INTO #p VALUES ('GSPC', '2012-08-31', 1400.07, 1413.09, 1398.96, 1406.58, 2938250000, 1406.58)
INSERT INTO #p VALUES ('GSPC', '2012-08-30', 1410.08, 1410.08, 1397.01, 1399.48, 2530280000, 1399.48)
INSERT INTO #p VALUES ('GSPC', '2012-08-29', 1409.32, 1413.95, 1406.57, 1410.49, 2571220000, 1410.49)
INSERT INTO #p VALUES ('GSPC', '2012-08-28', 1410.44, 1413.63, 1405.59, 1409.3, 2629090000, 1409.3)
INSERT INTO #p VALUES ('GSPC', '2012-08-27', 1411.13, 1416.17, 1409.11, 1410.44, 2472500000, 1410.44)
INSERT INTO #p VALUES ('GSPC', '2012-08-24', 1401.99, 1413.46, 1398.04, 1411.13, 2598790000, 1411.13)
INSERT INTO #p VALUES ('DJI', '2012-10-26', 13104.22, 13151.72, 13040.17, 13107.21, 1346400, 13107.21)
INSERT INTO #p VALUES ('DJI', '2012-10-25', 13079.64, 13214.11, 13017.37, 13103.68, 1145900, 13103.68)
INSERT INTO #p VALUES ('DJI', '2012-10-24', 13103.53, 13155.21, 13063.63, 13077.34, 1106700, 13077.34)
INSERT INTO #p VALUES ('DJI', '2012-10-23', 13344.9, 13344.9, 13083.28, 13102.53, 1222200, 13102.53)
INSERT INTO #p VALUES ('DJI', '2012-10-22', 13344.28, 13368.55, 13235.15, 13345.89, 1218800, 13345.89)
INSERT INTO #p VALUES ('DJI', '2012-10-19', 13545.33, 13545.49, 13312.22, 13343.51, 2390800, 13343.51)
INSERT INTO #p VALUES ('DJI', '2012-10-18', 13553.24, 13588.73, 13510.93, 13548.94, 1284100, 13548.94)
INSERT INTO #p VALUES ('DJI', '2012-10-17', 13539.63, 13561.65, 13468.9, 13557, 1355700, 13557)
INSERT INTO #p VALUES ('DJI', '2012-10-16', 13423.84, 13556.37, 13423.76, 13551.78, 1134500, 13551.78)
INSERT INTO #p VALUES ('DJI', '2012-10-15', 13329.54, 13437.66, 13325.93, 13424.23, 1148800, 13424.23)
INSERT INTO #p VALUES ('DJI', '2012-10-12', 13325.62, 13401.32, 13296.43, 13328.85, 1137400, 13328.85)
INSERT INTO #p VALUES ('DJI', '2012-10-11', 13346.28, 13428.49, 13326.12, 13326.39, 866300, 13326.39)
INSERT INTO #p VALUES ('DJI', '2012-10-10', 13473.53, 13478.83, 13327.62, 13344.97, 1011200, 13344.97)
INSERT INTO #p VALUES ('DJI', '2012-10-09', 13582.88, 13592.33, 13473.31, 13473.53, 1036300, 13473.53)
INSERT INTO #p VALUES ('DJI', '2012-10-08', 13589.26, 13610.38, 13552.09, 13583.65, 713000, 13583.65)
INSERT INTO #p VALUES ('DJI', '2012-10-05', 13569.18, 13661.87, 13568.75, 13610.15, 1155000, 13610.15)
INSERT INTO #p VALUES ('DJI', '2012-10-04', 13495.18, 13594.33, 13495.18, 13575.36, 1063900, 13575.36)
INSERT INTO #p VALUES ('DJI', '2012-10-03', 13479.21, 13536.27, 13439.12, 13494.61, 1038900, 13494.61)
INSERT INTO #p VALUES ('DJI', '2012-10-02', 13515.3, 13567.06, 13424.92, 13482.36, 907300, 13482.36)
INSERT INTO #p VALUES ('DJI', '2012-10-01', 13437.66, 13598.25, 13437.66, 13515.11, 1061200, 13515.11)
INSERT INTO #p VALUES ('DJI', '2012-09-28', 13485.89, 13487.66, 13367.27, 13437.13, 1469500, 13437.13)
INSERT INTO #p VALUES ('DJI', '2012-09-27', 13413.47, 13522.83, 13413.47, 13485.97, 1139900, 13485.97)
INSERT INTO #p VALUES ('DJI', '2012-09-26', 13458.63, 13480.37, 13406.91, 13413.51, 1243500, 13413.51)
INSERT INTO #p VALUES ('DJI', '2012-09-25', 13559.92, 13620.21, 13457.25, 13457.55, 1386300, 13457.55)
INSERT INTO #p VALUES ('DJI', '2012-09-24', 13577.85, 13601.9, 13521.68, 13558.92, 1203700, 13558.92)
INSERT INTO #p VALUES ('DJI', '2012-09-21', 13597.24, 13647.1, 13571.53, 13579.47, 4296100, 13579.47)
INSERT INTO #p VALUES ('DJI', '2012-09-20', 13575.17, 13599.02, 13503, 13596.93, 1179100, 13596.93)
INSERT INTO #p VALUES ('DJI', '2012-09-19', 13565.41, 13626.48, 13556.74, 13577.96, 1162100, 13577.96)
INSERT INTO #p VALUES ('DJI', '2012-09-18', 13552.33, 13582.12, 13517.81, 13564.64, 1207200, 13564.64)
INSERT INTO #p VALUES ('DJI', '2012-09-17', 13588.57, 13593.15, 13526.67, 13553.1, 1280200, 13553.1)
INSERT INTO #p VALUES ('DJI', '2012-09-14', 13540.4, 13653.24, 13533.94, 13593.37, 1851600, 13593.37)
INSERT INTO #p VALUES ('DJI', '2012-09-13', 13329.71, 13573.33, 13325.11, 13539.86, 1517700, 13539.86)
INSERT INTO #p VALUES ('DJI', '2012-09-12', 13321.62, 13373.62, 13317.52, 13333.35, 1115200, 13333.35)
INSERT INTO #p VALUES ('DJI', '2012-09-11', 13254.6, 13354.34, 13253.21, 13323.36, 1049200, 13323.36)
INSERT INTO #p VALUES ('DJI', '2012-09-10', 13308.56, 13324.1, 13251.39, 13254.29, 1238100, 13254.29)
INSERT INTO #p VALUES ('DJI', '2012-09-07', 13289.53, 13320.27, 13266.22, 13306.64, 1422100, 13306.64)
INSERT INTO #p VALUES ('DJI', '2012-09-06', 13045.23, 13294.13, 13045.08, 13292, 1286500, 13292)
INSERT INTO #p VALUES ('DJI', '2012-09-05', 13036.09, 13095.91, 13018.74, 13047.48, 925500, 13047.48)
INSERT INTO #p VALUES ('DJI', '2012-09-04', 13092.15, 13092.39, 12977.09, 13035.94, 1039200, 13035.94)
INSERT INTO #p VALUES ('DJI', '2012-08-31', 13002.72, 13151.87, 13002.64, 13090.84, 1197800, 13090.84)
INSERT INTO #p VALUES ('DJI', '2012-08-30', 13101.29, 13101.37, 12978.91, 13000.71, 899800, 13000.71)
INSERT INTO #p VALUES ('DJI', '2012-08-29', 13103.46, 13144.81, 13081.27, 13107.48, 915300, 13107.48)
INSERT INTO #p VALUES ('DJI', '2012-08-28', 13122.74, 13147.32, 13081.12, 13102.99, 816300, 13102.99)
INSERT INTO #p VALUES ('DJI', '2012-08-27', 13157.74, 13176.17, 13115.46, 13124.67, 960700, 13124.67)
INSERT INTO #p VALUES ('DJI', '2012-08-24', 13052.82, 13175.51, 13027.2, 13157.97, 880300, 13157.97)
INSERT INTO #p VALUES ('IXIC', '2012-10-26', 2986.05, 2999.14, 2961.16, 2987.95, 1839700000, 2987.95)
INSERT INTO #p VALUES ('IXIC', '2012-10-25', 3005.04, 3007.71, 2975.98, 2986.12, 1922660000, 2986.12)
INSERT INTO #p VALUES ('IXIC', '2012-10-24', 3011.82, 3012.95, 2978.73, 2981.7, 1967000000, 2981.7)
INSERT INTO #p VALUES ('IXIC', '2012-10-23', 2989.44, 3006.59, 2974.07, 2990.46, 1830840000, 2990.46)
INSERT INTO #p VALUES ('IXIC', '2012-10-22', 3005.92, 3020.61, 2995.78, 3016.96, 1654130000, 3016.96)
INSERT INTO #p VALUES ('IXIC', '2012-10-19', 3066.56, 3066.56, 3000.27, 3005.62, 2225580000, 3005.62)
INSERT INTO #p VALUES ('IXIC', '2012-10-18', 3097.77, 3102.56, 3065.24, 3072.87, 2043290000, 3072.87)
INSERT INTO #p VALUES ('IXIC', '2012-10-17', 3091.38, 3112.45, 3088.05, 3104.12, 1770920000, 3104.12)
INSERT INTO #p VALUES ('IXIC', '2012-10-16', 3073.21, 3102.97, 3070.25, 3101.17, 1736930000, 3101.17)
INSERT INTO #p VALUES ('IXIC', '2012-10-15', 3053.21, 3066.31, 3037.27, 3064.18, 1563440000, 3064.18)
INSERT INTO #p VALUES ('IXIC', '2012-10-12', 3049.08, 3061.77, 3039.58, 3044.11, 1524840000, 3044.11)
INSERT INTO #p VALUES ('IXIC', '2012-10-11', 3075.89, 3078.08, 3047.14, 3049.41, 1595020000, 3049.41)
INSERT INTO #p VALUES ('IXIC', '2012-10-10', 3066.25, 3071.57, 3046.78, 3051.78, 1788970000, 3051.78)
INSERT INTO #p VALUES ('IXIC', '2012-10-09', 3108.01, 3108.01, 3062.52, 3065.02, 1645740000, 3065.02)
INSERT INTO #p VALUES ('IXIC', '2012-10-08', 3121.33, 3125.49, 3107.57, 3112.35, 1186260000, 3112.35)
INSERT INTO #p VALUES ('IXIC', '2012-10-05', 3161.21, 3171.46, 3130.76, 3136.19, 1607940000, 3136.19)
INSERT INTO #p VALUES ('IXIC', '2012-10-04', 3142.38, 3153.48, 3132.56, 3149.46, 1585190000, 3149.46)
INSERT INTO #p VALUES ('IXIC', '2012-10-03', 3130.85, 3142.36, 3115.04, 3135.23, 1704050000, 3135.23)
INSERT INTO #p VALUES ('IXIC', '2012-10-02', 3127.73, 3131.64, 3101.64, 3120.04, 1609570000, 3120.04)
INSERT INTO #p VALUES ('IXIC', '2012-10-01', 3130.31, 3146.99, 3103.89, 3113.53, 1758170000, 3113.53)
INSERT INTO #p VALUES ('IXIC', '2012-09-28', 3125.31, 3132.51, 3109.91, 3116.23, 1864640000, 3116.23)
INSERT INTO #p VALUES ('IXIC', '2012-09-27', 3105.87, 3142.02, 3098.46, 3136.6, 1691800000, 3136.6)
INSERT INTO #p VALUES ('IXIC', '2012-09-26', 3113.4, 3114.54, 3080.28, 3093.7, 1738010000, 3093.7)
INSERT INTO #p VALUES ('IXIC', '2012-09-25', 3170.37, 3176.3, 3117.73, 3117.73, 1975470000, 3117.73)
INSERT INTO #p VALUES ('IXIC', '2012-09-24', 3155.35, 3167.74, 3150.71, 3160.78, 1704860000, 3160.78)
INSERT INTO #p VALUES ('IXIC', '2012-09-21', 3194.86, 3196.93, 3178.09, 3179.96, 2526250000, 3179.96)
INSERT INTO #p VALUES ('IXIC', '2012-09-20', 3166.84, 3178.45, 3156.46, 3175.96, 1809130000, 3175.96)
INSERT INTO #p VALUES ('IXIC', '2012-09-19', 3179.04, 3189.35, 3170.29, 3182.62, 1850920000, 3182.62)
INSERT INTO #p VALUES ('IXIC', '2012-09-18', 3173.62, 3179.37, 3169.41, 3177.8, 1707200000, 3177.8)
INSERT INTO #p VALUES ('IXIC', '2012-09-17', 3183.4, 3183.4, 3168.63, 3178.67, 1485390000, 3178.67)
INSERT INTO #p VALUES ('IXIC', '2012-09-14', 3166.24, 3195.67, 3164.26, 3183.95, 1984720000, 3183.95)
INSERT INTO #p VALUES ('IXIC', '2012-09-13', 3117.66, 3167.63, 3112.62, 3155.83, 1870050000, 3155.83)
INSERT INTO #p VALUES ('IXIC', '2012-09-12', 3115.33, 3120.12, 3098.82, 3114.31, 1689140000, 3114.31)
INSERT INTO #p VALUES ('IXIC', '2012-09-11', 3105.02, 3117.86, 3099.1, 3104.53, 1586250000, 3104.53)
INSERT INTO #p VALUES ('IXIC', '2012-09-10', 3131.34, 3133.89, 3102.76, 3104.02, 1575370000, 3104.02)
INSERT INTO #p VALUES ('IXIC', '2012-09-07', 3133.22, 3139.61, 3128.17, 3136.42, 1740640000, 3136.42)
INSERT INTO #p VALUES ('IXIC', '2012-09-06', 3087.94, 3135.81, 3087.67, 3135.81, 1918900000, 3135.81)
INSERT INTO #p VALUES ('IXIC', '2012-09-05', 3072.58, 3082.75, 3062.54, 3069.27, 1495030000, 3069.27)
INSERT INTO #p VALUES ('IXIC', '2012-09-04', 3063.25, 3082.26, 3040.24, 3075.06, 1505960000, 3075.06)
INSERT INTO #p VALUES ('IXIC', '2012-08-31', 3069.64, 3078.52, 3040.59, 3066.96, 1394760000, 3066.96)
INSERT INTO #p VALUES ('IXIC', '2012-08-30', 3066.73, 3067.54, 3045.92, 3048.71, 1216640000, 3048.71)
INSERT INTO #p VALUES ('IXIC', '2012-08-29', 3078.05, 3087.24, 3067.62, 3081.19, 1282900000, 3081.19)
INSERT INTO #p VALUES ('IXIC', '2012-08-28', 3069.4, 3083.19, 3063.65, 3077.14, 1364740000, 3077.14)
INSERT INTO #p VALUES ('IXIC', '2012-08-27', 3083.62, 3085.81, 3068.13, 3073.19, 1383530000, 3073.19)
INSERT INTO #p VALUES ('IXIC', '2012-08-24', 3045.22, 3076.8, 3042.22, 3069.79, 1349740000, 3069.79)
--Calculate the 10-days EWMA for DJI with an Alpha of .182
SELECT ticker
,cast(date_trade as date) as [trade date]
,price_close as [Closing Price]
,wct.MovingEWMA(price_close,.182,10,0,ROW_NUMBER() OVER (ORDER BY date_trade ASC),NULL) as [EWMA]
FROM #p
WHERE ticker = 'DJI'
ORDER BY date_trade ASC
--Clean up
DROP TABLE #p
 
This produces the following result.
ticker trade date         Closing Price                   EWMA
------ ---------- --------------------- ----------------------
DJI    2012-08-24              13157.97               13157.97
DJI    2012-08-27              13124.67             13151.9094
DJI    2012-08-28              13102.99          13143.0060692
DJI    2012-08-29              13107.48       13136.5403246056
DJI    2012-08-30              13000.71       13111.8192055274
DJI    2012-08-31              13090.84       13108.0009901214
DJI    2012-09-04              13035.94       13094.8858899193
DJI    2012-09-05              13047.48        13086.258017954
DJI    2012-09-06              13292.00       13123.7030586864
DJI    2012-09-07              13306.64       13156.9975820055
DJI    2012-09-10              13254.29       13170.2381999348
DJI    2012-09-11              13323.36        13195.198381525
DJI    2012-09-12              13333.35       13220.9442296501
DJI    2012-09-13              13539.86       13264.6656052262
DJI    2012-09-14              13593.37       13336.5791399517
DJI    2012-09-17              13553.10       13368.6220788889
DJI    2012-09-18              13564.64       13405.8452260795
DJI    2012-09-19              13577.96       13469.9681196378
DJI    2012-09-20              13596.93       13495.0388772215
DJI    2012-09-21              13579.47       13503.3835210768
DJI    2012-09-24              13558.92       13522.7556710578
DJI    2012-09-25              13457.55        13512.228219569
DJI    2012-09-26              13413.51       13521.9611435206
DJI    2012-09-27              13485.97       13522.5881692382
DJI    2012-09-28              13437.13       13501.6332788811
DJI    2012-10-01              13515.11       13505.6339276731
DJI    2012-10-02              13482.36       13503.1847136949
DJI    2012-10-03              13494.61       13504.1686035713
DJI    2012-10-04              13575.36       13514.7834895693
DJI    2012-10-05              13610.15       13529.3837778282
DJI    2012-10-08              13583.65       13525.6632494974
DJI    2012-10-09              13473.53        13510.267816152
DJI    2012-10-10              13344.97       13489.9028325757
DJI    2012-10-11              13326.39       13453.5924805665
DJI    2012-10-12              13328.85       13441.3489777918
DJI    2012-10-15              13424.23       13433.8404943961
DJI    2012-10-16              13551.78       13456.9486038239
DJI    2012-10-17              13557.00       13485.9891328008
DJI    2012-10-18              13548.94       13502.1126497497
DJI    2012-10-19              13343.51       13469.6924642862
DJI    2012-10-22              13345.89       13432.3897783001
DJI    2012-10-23              13102.53       13355.1112634587
DJI    2012-10-24              13077.34        13302.064717297
DJI    2012-10-25              13103.68       13266.2886639525
DJI    2012-10-26              13107.21       13250.1298760218


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