sql - 查找列值连续增加的行

Question

我有一个存储股票每日价格的 sql 表。每天收市后都会插入新记录。我想找到价格连续上涨的股票。

该表有很多列，但这是相关的子集：

quoteid     stockid      closeprice     createdate
--------------------------------------------------
    1           1               1       01/01/2012
    2           2              10       01/01/2012
    3           3              15       01/01/2012

    4           1               2       01/02/2012
    5           2              11       01/02/2012
    6           3              13       01/02/2012

    7           1               5       01/03/2012
    8           2              13       01/03/2012
    9           3              17       01/03/2012

   10           1               7       01/04/2012
   11           2              14       01/04/2012
   12           3              18       01/04/2012

   13           1               9       01/05/2012
   14           2              11       01/05/2012
   15           3              10       01/05/2012

该quoteid列是主键。

在表中，股票 id 1 的收盘价每天都在上涨。股票 id 3 波动很大，股票 id 2 的价格在最后一天下跌。

我正在寻找这样的结果：

stockid     Consecutive Count (CC)
----------------------------------
    1                5
    2                4

如果你能得到连续连胜的日期输出，那就更好了：

stockid     Consecutive Count (CC)      StartDate      EndDate
---------------------------------------------------------------
    1                5                 01/01/2012    01/05/2012
    2                4                 01/01/2012    01/04/2012

StartDate是价格开始上涨EndDate的时间，也是牛市实际结束的时间。

我认为这不是一个容易的问题。我在这里查看了其他帖子，这些帖子也处理了这种连续场景，但它们不符合我的需求。如果您知道任何与我相似的帖子，请告诉我。

score 9 · Accepted Answer

在任何情况下，它都有助于增加每只股票的行数（实际quoteid值在这里并没有真正的帮助）。捕获的天数（在此表中）是最简单的 - 如果您想要其他内容（例如仅工作日、忽略周末/节假日或其他），它会涉及更多；你可能需要一个日历文件。如果你还没有索引，你会想要一个超过 [ stockid, ] 的索引。createdate

WITH StockRow AS (SELECT stockId, closePrice, createdDate,
                         ROW_NUMBER() OVER(PARTITION BY stockId 
                                           ORDER BY createdDate) rn
                  FROM Quote),

     RunGroup AS (SELECT Base.stockId, Base.createdDate,
                         MAX(Restart.rn) OVER(PARTITION BY Base.stockId
                                              ORDER BY Base.createdDate) groupingId
                  FROM StockRow Base
                  LEFT JOIN StockRow Restart
                         ON Restart.stockId = Base.stockId
                            AND Restart.rn = Base.rn - 1
                            AND Restart.closePrice > Base.closePrice)

SELECT stockId, 
       COUNT(*) AS consecutiveCount, 
       MIN(createdDate) AS startDate, MAX(createdDate) AS endDate
FROM RunGroup
GROUP BY stockId, groupingId
HAVING COUNT(*) >= 3
ORDER BY stockId, startDate

从提供的数据中产生以下结果：

Increasing_Run
stockId   consecutiveCount  startDate    endDate
===================================================
1         5                 2012-01-01   2012-01-05
2         4                 2012-01-01   2012-01-04
3         3                 2012-01-02   2012-01-04

SQL Fiddle Example
（小提琴也有一个多次运行的例子）

此分析将忽略所有间隙，正确匹配所有运行（下一次正运行开始时）。

那么这里发生了什么？

StockRow AS (SELECT stockId, closePrice, createdDate,
                    ROW_NUMBER() OVER(PARTITION BY stockId 
                                      ORDER BY createdDate) rn
             FROM Quote)

此 CTE 用于一个目的：我们需要一种方法来查找下一行/上一行，所以首先我们按（日期）顺序对每一行进行编号......

RunGroup AS (SELECT Base.stockId, Base.createdDate,
                    MAX(Restart.rn) OVER(PARTITION BY Base.stockId
                                         ORDER BY Base.createdDate) groupingId
             FROM StockRow Base
             LEFT JOIN StockRow Restart
                    ON Restart.stockId = Base.stockId
                       AND Restart.rn = Base.rn - 1
                           AND Restart.closePrice > Base.closePrice)

...然后根据索引加入它们。如果您最终选择了具有LAG()/的东西，那么LEAD()使用它们几乎肯定会是一个更好的选择。不过，这里有一件关键的事情——只有当行无序（小于前一行）时才匹配。否则，该值最终为null（使用LAG()，您需要使用类似的东西CASE来完成此操作）。你得到一个看起来像这样的临时集合：

B.rn   B.closePrice   B.createdDate  R.rn   R.closePrice   R.createdDate  groupingId
1      15             2012-01-01     -      -              -              -
2      13             2012-01-02     1      15             2012-01-01     1
3      17             2012-01-03     -      -              -              1
4      18             2012-01-04     -      -              -              1
5      10             2012-01-05     4      18             2012-01-04     4

...所以Restart只有当前一个大于“当前”行时才有值。窗口函数中的使用MAX()被用于迄今为止看到的最大值......因为它null是最低的，导致为所有其他行保留行索引，直到发生另一个不匹配（这给出了一个新值）。此时，我们基本上已经有了间隙和孤岛查询的中间结果，为最终聚合做好了准备。

SELECT stockId, 
       COUNT(*) AS consecutiveCount, 
       MIN(createdDate) AS startDate, MAX(createdDate) AS endDate
FROM RunGroup
GROUP BY stockId, groupingId
HAVING COUNT(*) >= 3
ORDER BY stockId, startDate

查询的最后一部分是获取运行的开始日期和结束日期，并计算这些日期之间的条目数。如果日期计算有更复杂的事情，则可能需要在此时发生。这显示了在子句中不包含列GROUP BY的少数合法实例之一。该子句用于消除“太短”的运行。SELECTHAVING

score 1 · Accepted Answer

我会尝试 CTE，大致如下：

with increase (stockid, startdate, enddate, cc) as
(
    select d2.stockid, d1.createdate as startdate, d2.createdate as enddate, 1
    from quote d1, quote d2
    where d1.stockid = d2.stockid
    and d2.closedprice > d1.closedprice
    and dateadd(day, 1, d1.createdate) = d2.createdate

    union all

    select d2.stockid, d1.createdate as startdate, cend.enddate as enddate, cend.cc + 1
    from quote d1, quote d2, increase cend
    where d1.stockid = d2.stockid and d2.stockid = cend.stockid
    and d2.closedprice > d1.closedprice
    and d2.createdate = cend.startdate
    and dateadd(day, 1, d1.createdate) = d2.createdate
)
select o.stockid, o.cc, o.startdate, o.enddate
from increase o where cc = (select max(cc) from increase i where i.stockid = o.stockid and i.enddate = o.enddate)

这假设没有间隙。dateadd(day, 1, d1.createdate) = d2.createdate必须用其他指示 d2 是否是 d1 之后的“下一天”的东西来替换标准。

score 1 · Accepted Answer

这是根据我的需要的最终工作 SQL。测试表明它工作正常。我正在使用@Oran 的 CC 方法

WITH StockRow (stockId, [close], createdDate, rowNum)
 as
 (
     SELECT stockId,         [close],                   createdDate,
            ROW_NUMBER() OVER(PARTITION BY stockId ORDER BY createdDate)
     FROM dbo.Quote
     where createddate >= '01/01/2012' --Beginning of this year
     ),

     RunStart (stockId, [close], createdDate, runId) as (
     SELECT      a.stockId,       a.[close], a.createdDate,
            ROW_NUMBER() OVER(PARTITION BY a.stockId ORDER BY a.createdDate)
     FROM StockRow as a
     LEFT JOIN StockRow as b
     ON b.stockId = a.stockId
     AND b.rowNum = a.rowNum - 1
     AND b.[close] < a.[close]
     WHERE b.stockId IS NULL)
     ,
 RunEnd (stockId, [close], createdDate, runId) as (
     SELECT a.stockId, a.[close], a.createdDate,
            ROW_NUMBER() OVER(PARTITION BY a.stockId ORDER BY a.createdDate)
     FROM StockRow as a
     LEFT JOIN StockRow as b
     ON b.stockId = a.stockId
     AND b.rowNum = a.rowNum + 1
     AND b.[close] > a.[close]
     WHERE b.stockId IS NULL) 

SELECT a.stockId,        s.companyname,         s.Symbol, 
a.createdDate as startdate,        b.createdDate as enddate,
(select count(r.createdDate)       from      dbo.quote r      where r.stockid = b.stockid and        r.createdDate          between  a.createdDate      and       b.createdDate) as BullRunDuration
FROM RunStart as a JOIN RunEnd as b
ON b.stockId = a.stockId
join dbo.stock as s
on a.stockid = s.stockid
AND b.runId = a.runId
AND b.[close] > a.[close]
and (select count(r.createdDate) from dbo.quote r where r.stockid = b.stockid and 
r.createdDate between  a.createdDate and b.createdDate)  > 2 -- trying to avoid cluter
order by 6 desc, a.stockid

sql - 查找列值连续增加的行

3 回答 3

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