MovingMIN
Updated: 31 Oct 2012
Use MovingMIN to calculate the minimum of column values in an ordered resultant table, without the need for a self-join. The minimum 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].[MovingMIN](
<@Val, float,>
,<@Offset, 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.
@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 MovingMIN calculation. @Id allows you to specify multiple MovingMIN 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 a running minimum over an entire dataset or partition, use the RunningMin function.
· If @RowNum is equal to 1, MovingMIN is equal to @Val
· @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 will calculate the minimum closing price for some stock indices over a 10-day window. 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 running MIN for GSPC
SELECT ticker
,cast(date_trade as date) as [trade date]
,price_close as [Closing Price]
,wct.MovingMIN(price_close, 9, ROW_NUMBER() over (ORDER BY date_trade ASC),NULL) as [MIN Price]
FROM #p
WHERE ticker = 'GSPC'
ORDER BY date_trade ASC
--Clean up
DROP TABLE #p
This produces the following result.
ticker trade date Closing Price MIN Price
------ ---------- --------------------- ----------------------
GSPC 2012-08-24 1411.13 1411.13
GSPC 2012-08-27 1410.44 1410.44
GSPC 2012-08-28 1409.30 1409.3
GSPC 2012-08-29 1410.49 1409.3
GSPC 2012-08-30 1399.48 1399.48
GSPC 2012-08-31 1406.58 1399.48
GSPC 2012-09-04 1404.94 1399.48
GSPC 2012-09-05 1403.44 1399.48
GSPC 2012-09-06 1432.12 1399.48
GSPC 2012-09-07 1437.92 1399.48
GSPC 2012-09-10 1429.08 1399.48
GSPC 2012-09-11 1433.56 1399.48
GSPC 2012-09-12 1436.56 1399.48
GSPC 2012-09-13 1459.99 1399.48
GSPC 2012-09-14 1465.77 1403.44
GSPC 2012-09-17 1461.19 1403.44
GSPC 2012-09-18 1459.32 1403.44
GSPC 2012-09-19 1461.05 1429.08
GSPC 2012-09-20 1460.26 1429.08
GSPC 2012-09-21 1460.15 1429.08
GSPC 2012-09-24 1456.89 1433.56
GSPC 2012-09-25 1441.59 1436.56
GSPC 2012-09-26 1433.32 1433.32
GSPC 2012-09-27 1447.15 1433.32
GSPC 2012-09-28 1440.67 1433.32
GSPC 2012-10-01 1444.49 1433.32
GSPC 2012-10-02 1445.75 1433.32
GSPC 2012-10-03 1450.99 1433.32
GSPC 2012-10-04 1461.40 1433.32
GSPC 2012-10-05 1460.93 1433.32
GSPC 2012-10-08 1455.88 1433.32
GSPC 2012-10-09 1441.48 1433.32
GSPC 2012-10-10 1432.56 1432.56
GSPC 2012-10-11 1432.84 1432.56
GSPC 2012-10-12 1428.59 1428.59
GSPC 2012-10-15 1440.13 1428.59
GSPC 2012-10-16 1454.92 1428.59
GSPC 2012-10-17 1460.91 1428.59
GSPC 2012-10-18 1457.34 1428.59
GSPC 2012-10-19 1433.19 1428.59
GSPC 2012-10-22 1433.81 1428.59
GSPC 2012-10-23 1413.11 1413.11
GSPC 2012-10-24 1408.75 1408.75
GSPC 2012-10-25 1412.97 1408.75
GSPC 2012-10-26 1411.94 1408.75
In this example, we calculate the running max for Ticker and use the ROW_NUMBER() function to determine the @RowNum value passed into the RunningMIN function.
SELECT cast(p1.date_trade as date) as [trade date]
,p1.price_close as GSPC
,wct.MovingMIN(p1.price_close, 9, ROW_NUMBER() over (ORDER BY p1.date_trade ASC),1) as [MIN]
,p2.price_close as DJI
,wct.MovingMIN(p2.price_close, 9, ROW_NUMBER() over (ORDER BY p2.date_trade ASC),2) as [MIN]
,p3.price_close as IXIC
,wct.MovingMIN(p3.price_close, 9, ROW_NUMBER() over (ORDER BY p3.date_trade ASC),3) as [MIN]
FROM #p p1
JOIN #p p2
ON p1.date_trade = p2.date_trade
AND p2.ticker = 'DJI'
JOIN #p p3
ON p1.date_trade = p3.date_trade
AND p3.ticker = 'IXIC'
WHERE p1.ticker = 'GSPC'
ORDER BY p1.date_trade
This produces the following result.
trade date GSPC MIN DJI MIN IXIC MIN
---------- --------- --------- --------- --------- --------- ---------
2012-08-24 1411.13 1411.13 13157.97 13157.97 3069.79 3069.79
2012-08-27 1410.44 1410.44 13124.67 13124.67 3073.19 3069.79
2012-08-28 1409.30 1409.30 13102.99 13102.99 3077.14 3069.79
2012-08-29 1410.49 1409.30 13107.48 13102.99 3081.19 3069.79
2012-08-30 1399.48 1399.48 13000.71 13000.71 3048.71 3048.71
2012-08-31 1406.58 1399.48 13090.84 13000.71 3066.96 3048.71
2012-09-04 1404.94 1399.48 13035.94 13000.71 3075.06 3048.71
2012-09-05 1403.44 1399.48 13047.48 13000.71 3069.27 3048.71
2012-09-06 1432.12 1399.48 13292.00 13000.71 3135.81 3048.71
2012-09-07 1437.92 1399.48 13306.64 13000.71 3136.42 3048.71
2012-09-10 1429.08 1399.48 13254.29 13000.71 3104.02 3048.71
2012-09-11 1433.56 1399.48 13323.36 13000.71 3104.53 3048.71
2012-09-12 1436.56 1399.48 13333.35 13000.71 3114.31 3048.71
2012-09-13 1459.99 1399.48 13539.86 13000.71 3155.83 3048.71
2012-09-14 1465.77 1403.44 13593.37 13035.94 3183.95 3066.96
2012-09-17 1461.19 1403.44 13553.10 13035.94 3178.67 3069.27
2012-09-18 1459.32 1403.44 13564.64 13047.48 3177.80 3069.27
2012-09-19 1461.05 1429.08 13577.96 13254.29 3182.62 3104.02
2012-09-20 1460.26 1429.08 13596.93 13254.29 3175.96 3104.02
2012-09-21 1460.15 1429.08 13579.47 13254.29 3179.96 3104.02
2012-09-24 1456.89 1433.56 13558.92 13323.36 3160.78 3104.53
2012-09-25 1441.59 1436.56 13457.55 13333.35 3117.73 3114.31
2012-09-26 1433.32 1433.32 13413.51 13413.51 3093.70 3093.70
2012-09-27 1447.15 1433.32 13485.97 13413.51 3136.60 3093.70
2012-09-28 1440.67 1433.32 13437.13 13413.51 3116.23 3093.70
2012-10-01 1444.49 1433.32 13515.11 13413.51 3113.53 3093.70
2012-10-02 1445.75 1433.32 13482.36 13413.51 3120.04 3093.70
2012-10-03 1450.99 1433.32 13494.61 13413.51 3135.23 3093.70
2012-10-04 1461.40 1433.32 13575.36 13413.51 3149.46 3093.70
2012-10-05 1460.93 1433.32 13610.15 13413.51 3136.19 3093.70
2012-10-08 1455.88 1433.32 13583.65 13413.51 3112.35 3093.70
2012-10-09 1441.48 1433.32 13473.53 13413.51 3065.02 3065.02
2012-10-10 1432.56 1432.56 13344.97 13344.97 3051.78 3051.78
2012-10-11 1432.84 1432.56 13326.39 13326.39 3049.41 3049.41
2012-10-12 1428.59 1428.59 13328.85 13326.39 3044.11 3044.11
2012-10-15 1440.13 1428.59 13424.23 13326.39 3064.18 3044.11
2012-10-16 1454.92 1428.59 13551.78 13326.39 3101.17 3044.11
2012-10-17 1460.91 1428.59 13557.00 13326.39 3104.12 3044.11
2012-10-18 1457.34 1428.59 13548.94 13326.39 3072.87 3044.11
2012-10-19 1433.19 1428.59 13343.51 13326.39 3005.62 3005.62
2012-10-22 1433.81 1428.59 13345.89 13326.39 3016.96 3005.62
2012-10-23 1413.11 1413.11 13102.53 13102.53 2990.46 2990.46
2012-10-24 1408.75 1408.75 13077.34 13077.34 2981.70 2981.70
2012-10-25 1412.97 1408.75 13103.68 13077.34 2986.12 2981.70
2012-10-26 1411.94 1408.75 13107.21 13077.34 2987.95 2981.70