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XLeratorDB/windowing Documentation

SQL Server moving SLOPE function


MovingSLOPE

Updated: 31 Oct 2012


Use the MovingSLOPE function to calculate the slope of a series of x- and y-values within a resultant table or partition, without the need for a self-join. The intercept 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].[MovingSLOPE](
  <@Y, float,>
 ,<@X, float,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>)
GO
Arguments
@Y
the y-value passed into the function. @Y is an expression of type float or of a type that can be implicitly converted to float.
@X
the x-value passed into the function. @X 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.
@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 MovingSLOPE calculation. @Id allows you to specify multiple MovingSLOPE 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.
·         @RowNum must be in ascending order.
·         To calculate the slope from the first row of a dataset or partition use the RunningSLOPE function.
·         If @RowNum = 1 then MovingSLOPE is NULL.
·         Set @X to NULL to have the function maintain a constant set of x-values in the range 1 to window-size.
·         To calculate a single slope value for a set of x- and y-values, use the SLOPE function.
·         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 will calculate the slope, over time, in the closing prices for some stock indices, with the offset set to 9, meaning that the intercept will be calculated using the current row and the nine preceding rows. We will create a temporary table, #p, populate it with some data and then run the SELECT. 
--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 SLOPE for DJI
SELECT ticker
,cast(date_trade as date) as [trade date]
,price_close as [Closing Price]
,cast(wct.MovingSLOPE(price_close,convert(float, date_trade),9,ROW_NUMBER() over (ORDER BY date_trade ASC),NULL) as money) as [SLOPE]
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                 SLOPE
------ ---------- --------------------- ---------------------
DJI    2012-08-24              13157.97                  NULL
DJI    2012-08-27              13124.67                -11.10
DJI    2012-08-28              13102.99              -13.1346
DJI    2012-08-29              13107.48                -11.14
DJI    2012-08-30              13000.71              -21.2322
DJI    2012-08-31              13090.84              -15.3267
DJI    2012-09-04              13035.94              -11.7533
DJI    2012-09-05              13047.48               -9.6417
DJI    2012-09-06              13292.00                1.3976
DJI    2012-09-07              13306.64                7.4922
DJI    2012-09-10              13254.29                 13.49
DJI    2012-09-11              13323.36               18.1904
DJI    2012-09-12              13333.35               21.4768
DJI    2012-09-13              13539.86                30.614
DJI    2012-09-14              13593.37               35.9727
DJI    2012-09-17              13553.10               40.2777
DJI    2012-09-18              13564.64               34.6173
DJI    2012-09-19              13577.96               27.0955
DJI    2012-09-20              13596.93               27.8024
DJI    2012-09-21              13579.47               27.2087
DJI    2012-09-24              13558.92               16.4785
DJI    2012-09-25              13457.55                4.7364
DJI    2012-09-26              13413.51               -8.4681
DJI    2012-09-27              13485.97               -11.283
DJI    2012-09-28              13437.13              -13.6611
DJI    2012-10-01              13515.11              -10.8446
DJI    2012-10-02              13482.36               -9.6347
DJI    2012-10-03              13494.61               -7.2527
DJI    2012-10-04              13575.36               -0.4708
DJI    2012-10-05              13610.15                8.4471
DJI    2012-10-08              13583.65               13.1063
DJI    2012-10-09              13473.53                9.0655
DJI    2012-10-10              13344.97                 -0.83
DJI    2012-10-11              13326.39               -7.8113
DJI    2012-10-12              13328.85              -17.8552
DJI    2012-10-15              13424.23              -15.8098
DJI    2012-10-16              13551.78              -10.7361
DJI    2012-10-17              13557.00               -6.6551
DJI    2012-10-18              13548.94                0.2482
DJI    2012-10-19              13343.51                3.2788
DJI    2012-10-22              13345.89                4.0888
DJI    2012-10-23              13102.53               -6.3894
DJI    2012-10-24              13077.34              -19.3378
DJI    2012-10-25              13103.68              -31.5279
DJI    2012-10-26              13107.21              -45.9742
 
Notice that in the previous example that the interval between dates is unequal because there are no prices for the weekends and holidays. To eliminate that, we simple enter NULL for the x-values, and the x-values will be equally spaced in the range from 1 to @Offset + 1.
SELECT ticker
,cast(date_trade as date) as [trade date]
,price_close as [Closing Price]
,cast(wct.MovingSLOPE(price_close,NULL,9,ROW_NUMBER() over (ORDER BY date_trade ASC),NULL) as money) as [SLOPE]
FROM #p
WHERE ticker = 'DJI'
ORDER BY date_trade ASC
This produces the folowing result.
ticker trade date         Closing Price                 SLOPE
------ ---------- --------------------- ---------------------
DJI    2012-08-24              13157.97                  NULL
DJI    2012-08-27              13124.67                -33.30
DJI    2012-08-28              13102.99                -27.49
DJI    2012-08-29              13107.48               -17.315
DJI    2012-08-30              13000.71               -33.171
DJI    2012-08-31              13090.84              -20.0869
DJI    2012-09-04              13035.94              -19.1439
DJI    2012-09-05              13047.48               -16.194
DJI    2012-09-06              13292.00                2.5635
DJI    2012-09-07              13306.64               12.7715
DJI    2012-09-10              13254.29                21.819
DJI    2012-09-11              13323.36               31.2465
DJI    2012-09-12              13333.35               37.3652
DJI    2012-09-13              13539.86               52.2551
DJI    2012-09-14              13593.37               57.7048
DJI    2012-09-17              13553.10               59.7828
DJI    2012-09-18              13564.64               53.2272
DJI    2012-09-19              13577.96                41.759
DJI    2012-09-20              13596.93               41.1967
DJI    2012-09-21              13579.47                36.962
DJI    2012-09-24              13558.92               24.8093
DJI    2012-09-25              13457.55                8.0396
DJI    2012-09-26              13413.51              -12.0929
DJI    2012-09-27              13485.97              -15.4773
DJI    2012-09-28              13437.13              -17.3052
DJI    2012-10-01              13515.11              -15.6705
DJI    2012-10-02              13482.36              -14.5923
DJI    2012-10-03              13494.61              -10.9606
DJI    2012-10-04              13575.36               -0.6494
DJI    2012-10-05              13610.15               10.6569
DJI    2012-10-08              13583.65               18.7759
DJI    2012-10-09              13473.53               13.8305
DJI    2012-10-10              13344.97               -1.2568
DJI    2012-10-11              13326.39              -11.6962
DJI    2012-10-12              13328.85              -23.3232
DJI    2012-10-15              13424.23              -23.2364
DJI    2012-10-16              13551.78              -17.2741
DJI    2012-10-17              13557.00              -11.0518
DJI    2012-10-18              13548.94               -0.6421
DJI    2012-10-19              13343.51                1.2019
DJI    2012-10-22              13345.89                 4.641
DJI    2012-10-23              13102.53               -9.6534
DJI    2012-10-24              13077.34              -29.3955
DJI    2012-10-25              13103.68              -45.6956
DJI    2012-10-26              13107.21              -58.9396
In this example we will calculate the SLOPE for all three indices and display the values side-by-side.
SELECT cast(convert(varchar,p1.date_trade, 106) as char(11)) as [trade date]
,p1.price_close as [S&P]
,ROUND(wct.MovingSLOPE(p1.price_close,NULL, 9, ROW_NUMBER() over (ORDER BY p1.date_trade ASC),1), 2) as [SLOPE]
,p2.price_close as [DJIA]
,ROUND(wct.MovingSLOPE(p2.price_close,NULL, 9, ROW_NUMBER() over (ORDER BY p2.date_trade ASC),2), 2) as [SLOPE]
,p3.price_close as [NASDAQ]
,ROUND(wct.MovingSLOPE(p3.price_close,NULL, 9, ROW_NUMBER() over (ORDER BY p3.date_trade ASC),3), 2) as [SLOPE]
FROM #p p1
JOIN #p p2
ON p2.date_trade = p1.date_trade
AND p2.ticker = 'DJI'
JOIN #p p3
ON p3.date_trade = p1.date_trade
AND p3.ticker = 'IXIC'
WHERE p1.ticker = 'GSPC'
This produces the following result.
trade date        S&P     SLOPE      DJIA     SLOPE    NASDAQ     SLOPE
----------- --------- --------- --------- --------- --------- ---------
24 Aug 2012   1411.13            13157.97             3069.79         
27 Aug 2012   1410.44      -.69  13124.67    -33.30   3073.19      3.40
28 Aug 2012   1409.30      -.92  13102.99    -27.49   3077.14      3.68
29 Aug 2012   1410.49      -.31  13107.48    -17.31   3081.19      3.82
30 Aug 2012   1399.48     -2.33  13000.71    -33.17   3048.71     -3.42
31 Aug 2012   1406.58     -1.56  13090.84    -20.09   3066.96     -2.39
04 Sep 2012   1404.94     -1.29  13035.94    -19.14   3075.06      -.90
05 Sep 2012   1403.44     -1.20  13047.48    -16.19   3069.27      -.68
06 Sep 2012   1432.12       .84  13292.00      2.56   3135.81      3.90
07 Sep 2012   1437.92      2.15  13306.64     12.77   3136.42      6.05
10 Sep 2012   1429.08      2.95  13254.29     21.82   3104.02      6.27
11 Sep 2012   1433.56      3.73  13323.36     31.25   3104.53      6.34
12 Sep 2012   1436.56      4.32  13333.35     37.37   3114.31      6.82
13 Sep 2012   1459.99      5.94  13539.86     52.26   3155.83      9.38
14 Sep 2012   1465.77      6.54  13593.37     57.70   3183.95     10.41
17 Sep 2012   1461.19      6.56  13553.10     59.78   3178.67     10.72
18 Sep 2012   1459.32      5.71  13564.64     53.23   3177.80     10.18
19 Sep 2012   1461.05      4.19  13577.96     41.76   3182.62      8.27
20 Sep 2012   1460.26      3.84  13596.93     41.20   3175.96      9.05
21 Sep 2012   1460.15      3.53  13579.47     36.96   3179.96      9.61
24 Sep 2012   1456.89      2.18  13558.92     24.81   3160.78      6.43
25 Sep 2012   1441.59      -.03  13457.55      8.04   3117.73       .26
26 Sep 2012   1433.32     -2.60  13413.51    -12.09   3093.70     -6.74
27 Sep 2012   1447.15     -2.81  13485.97    -15.48   3136.60     -8.38
28 Sep 2012   1440.67     -2.84  13437.13    -17.31   3116.23     -9.02
01 Oct 2012   1444.49     -2.65  13515.11    -15.67   3113.53     -9.34
02 Oct 2012   1445.75     -2.32  13482.36    -14.59   3120.04     -8.58
03 Oct 2012   1450.99     -1.43  13494.61    -10.96   3135.23     -5.96
04 Oct 2012   1461.40       .11  13575.36      -.65   3149.46     -2.44
05 Oct 2012   1460.93      1.59  13610.15     10.66   3136.19       .95
08 Oct 2012   1455.88      2.58  13583.65     18.78   3112.35      2.28
09 Oct 2012   1441.48      1.77  13473.53     13.83   3065.02     -1.24
10 Oct 2012   1432.56      -.08  13344.97     -1.26   3051.78     -6.45
11 Oct 2012   1432.84      -.98  13326.39    -11.70   3049.41     -8.43
12 Oct 2012   1428.59     -2.37  13328.85    -23.32   3044.11    -10.99
15 Oct 2012   1440.13     -2.73  13424.23    -23.24   3064.18    -11.77
16 Oct 2012   1454.92     -2.14  13551.78    -17.27   3101.17     -9.49
17 Oct 2012   1460.91      -.99  13557.00    -11.05   3104.12     -5.81
18 Oct 2012   1457.34       .54  13548.94      -.64   3072.87     -2.51
19 Oct 2012   1433.19       .77  13343.51      1.20   3005.62     -2.84
22 Oct 2012   1433.81      1.03  13345.89      4.64   3016.96     -2.55
23 Oct 2012   1413.11      -.53  13102.53     -9.65   2990.46     -5.71
24 Oct 2012   1408.75     -2.58  13077.34    -29.40   2981.70     -9.33
25 Oct 2012   1412.97     -4.09  13103.68    -45.70   2986.12    -12.01
26 Oct 2012   1411.94     -5.70  13107.21    -58.94   2987.95    -14.18
 


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