16

如何在 SQL 中创建移动平均线？

当前表：

Date             Clicks 
2012-05-01       2,230
2012-05-02       3,150
2012-05-03       5,520
2012-05-04       1,330
2012-05-05       2,260
2012-05-06       3,540
2012-05-07       2,330

所需的表或输出：

Date             Clicks    3 day Moving Average
2012-05-01       2,230
2012-05-02       3,150
2012-05-03       5,520          4,360
2012-05-04       1,330          3,330
2012-05-05       2,260          3,120
2012-05-06       3,540          3,320
2012-05-07       2,330          3,010
4

13 回答 13

19

这是一个常青乔塞尔科的问题。我忽略了使用哪个 DBMS 平台。但无论如何，Joe 能够在 10 多年前使用标准 SQL 来回答。

Joe Celko SQL Puzzles and Answers 引用：“最后一次更新尝试表明我们可以使用谓词来构造一个查询，该查询会给我们一个移动平均线：”

SELECT S1.sample_time, AVG(S2.load) AS avg_prev_hour_load
FROM Samples AS S1, Samples AS S2
WHERE S2.sample_time
BETWEEN (S1.sample_time - INTERVAL 1 HOUR)
AND S1.sample_time
GROUP BY S1.sample_time;

额外的列或查询方法更好吗？该查询在技术上更好，因为 UPDATE 方法将使数据库非规范化。但是，如果记录的历史数据不会发生变化并且计算移动平均值的成本很高，那么您可以考虑使用列方法。

微软 SQL 示例：

CREATE TABLE #TestDW
( Date1 datetime,
  LoadValue Numeric(13,6)
);

INSERT INTO #TestDW VALUES('2012-06-09' , '3.540' );
INSERT INTO #TestDW VALUES('2012-06-08' , '2.260' );
INSERT INTO #TestDW VALUES('2012-06-07' , '1.330' );
INSERT INTO #TestDW VALUES('2012-06-06' , '5.520' );
INSERT INTO #TestDW VALUES('2012-06-05' , '3.150' );
INSERT INTO #TestDW VALUES('2012-06-04' , '2.230' );

SQL 拼图查询：

SELECT S1.date1,  AVG(S2.LoadValue) AS avg_prev_3_days
FROM #TestDW AS S1, #TestDW AS S2
WHERE S2.date1
    BETWEEN DATEADD(d, -2, S1.date1 )
    AND S1.date1
GROUP BY S1.date1
order by 1;
于 2012-05-16T19:22:43.950 回答
8

一种方法是在同一张桌子上加入几次。 

select
 (Current.Clicks 
  + isnull(P1.Clicks, 0)
  + isnull(P2.Clicks, 0)
  + isnull(P3.Clicks, 0)) / 4 as MovingAvg3
from
 MyTable as Current
 left join MyTable as P1 on P1.Date = DateAdd(day, -1, Current.Date)
 left join MyTable as P2 on P2.Date = DateAdd(day, -2, Current.Date)
 left join MyTable as P3 on P3.Date = DateAdd(day, -3, Current.Date)

调整 ON 条款的 DateAdd 组件以匹配您是否希望移动平均线严格从过去到现在或几天前到几天前。

  • 这适用于仅需要几个数据点的移动平均值的情况。
  • 对于具有多个数据点的移动平均线，这不是最佳解决方案。
于 2012-05-16T19:00:38.753 回答
3 
select t2.date, round(sum(ct.clicks)/3) as avg_clicks
from
(select date from clickstable) as t2,
(select date, clicks from clickstable) as ct
where datediff(t2.date, ct.date) between 0 and 2
group by t2.date

这里的例子。

显然，您可以将间隔更改为您需要的任何内容。您也可以使用 count() 代替幻数来使其更容易更改，但这也会减慢速度。

于 2013-06-27T10:50:08.010 回答
2

适用于大型数据集的滚动平均值的通用模板

WITH moving_avg AS (
  SELECT 0 AS [lag] UNION ALL
  SELECT 1 AS [lag] UNION ALL
  SELECT 2 AS [lag] UNION ALL
  SELECT 3 AS [lag] --ETC
)
SELECT
  DATEADD(day,[lag],[date]) AS [reference_date],
  [otherkey1],[otherkey2],[otherkey3],
  AVG([value1]) AS [avg_value1],
  AVG([value2]) AS [avg_value2]
FROM [data_table]
CROSS JOIN moving_avg
GROUP BY [otherkey1],[otherkey2],[otherkey3],DATEADD(day,[lag],[date])
ORDER BY [otherkey1],[otherkey2],[otherkey3],[reference_date];

对于加权滚动平均值：

WITH weighted_avg AS (
  SELECT 0 AS [lag], 1.0 AS [weight] UNION ALL
  SELECT 1 AS [lag], 0.6 AS [weight] UNION ALL
  SELECT 2 AS [lag], 0.3 AS [weight] UNION ALL
  SELECT 3 AS [lag], 0.1 AS [weight] --ETC
)
SELECT
  DATEADD(day,[lag],[date]) AS [reference_date],
  [otherkey1],[otherkey2],[otherkey3],
  AVG([value1] * [weight]) / AVG([weight]) AS [wavg_value1],
  AVG([value2] * [weight]) / AVG([weight]) AS [wavg_value2]
FROM [data_table]
CROSS JOIN weighted_avg
GROUP BY [otherkey1],[otherkey2],[otherkey3],DATEADD(day,[lag],[date])
ORDER BY [otherkey1],[otherkey2],[otherkey3],[reference_date];
于 2012-12-12T00:40:05.673 回答
2 
select *
        , (select avg(c2.clicks) from #clicks_table c2 
            where c2.date between dateadd(dd, -2, c1.date) and c1.date) mov_avg
from #clicks_table c1
于 2012-12-13T12:56:33.580 回答
1

假设 x 是要平均的值，xDate 是日期值：

SELECT avg(x) from myTable WHERE xDate BETWEEN dateadd(d, -2, xDate) and xDate

于 2012-05-16T19:04:10.703 回答
1

使用不同的连接谓词：

SELECT current.date
       ,avg(periods.clicks)
FROM current left outer join current as periods
       ON current.date BETWEEN dateadd(d,-2, periods.date) AND periods.date
GROUP BY current.date HAVING COUNT(*) >= 3

have 语句将阻止返回没有至少 N 个值的任何日期。

于 2012-05-16T19:27:58.497 回答
1

在蜂巢中，也许你可以尝试

select date, clicks, avg(clicks) over (order by date rows between 2 preceding and current row) as moving_avg from clicktable;
于 2018-01-11T06:23:00.583 回答
0

为此，我想创建一个辅助/维度日期表，例如

create table date_dim(date date, date_1 date, dates_2 date, dates_3 dates ...)

whiledate是关键，date_1对于这一天，date_2包含这一天和前一天；date_3...

然后你可以在 hive 中进行相等的连接。

使用如下视图：

select date, date               from date_dim
union all
select date, date_add(date, -1) from date_dim
union all
select date, date_add(date, -2) from date_dim
union all
select date, date_add(date, -3) from date_dim
于 2012-09-24T14:42:56.310 回答
0

注意：这不是答案，而是Diego Scaravaggi答案的增强代码示例。由于评论部分不足，我将其发布为答案。请注意，我已将移动平均线的周期参数化。

declare @p int = 3
declare @t table(d int, bal float)
insert into @t values
(1,94),
(2,99),
(3,76),
(4,74),
(5,48),
(6,55),
(7,90),
(8,77),
(9,16),
(10,19),
(11,66),
(12,47)

select a.d, avg(b.bal)
from
       @t a
       left join @t b on b.d between a.d-(@p-1) and a.d
group by a.d
于 2012-11-14T16:27:13.787 回答
0 
--@p1 is period of moving average, @01 is offset

declare @p1 as int
declare @o1 as int
set @p1 = 5;
set @o1 = 3;

with np as(
select *, rank() over(partition by cmdty, tenor order by markdt) as r
from p_prices p1
where
1=1 
)
, x1 as (
select s1.*, avg(s2.val) as avgval from np s1
inner join np s2 
on s1.cmdty = s2.cmdty and s1.tenor = s2.tenor
and s2.r between s1.r - (@p1 - 1) - (@o1) and s1.r - (@o1)
group by s1.cmdty, s1.tenor, s1.markdt, s1.val, s1.r
)
于 2015-09-22T10:28:59.070 回答
0

我不确定您的预期结果（输出）是否显示 3 天的经典“简单移动（滚动）平均值”。因为，例如，根据定义，数字的第一个三元组给出：

ThreeDaysMovingAverage = (2.230 + 3.150 + 5.520) / 3 = 3.6333333

但你期望4.360它令人困惑。

不过，我建议使用以下解决方案，它使用 window-function AVG。这种方法比SELF-JOIN其他答案中介绍的方法更有效（清晰且资源较少）（我很惊讶没有人给出更好的解决方案）。

-- Oracle-SQL dialect 
with
  data_table as (
     select date '2012-05-01' AS dt, 2.230 AS clicks from dual union all
     select date '2012-05-02' AS dt, 3.150 AS clicks from dual union all
     select date '2012-05-03' AS dt, 5.520 AS clicks from dual union all
     select date '2012-05-04' AS dt, 1.330 AS clicks from dual union all
     select date '2012-05-05' AS dt, 2.260 AS clicks from dual union all
     select date '2012-05-06' AS dt, 3.540 AS clicks from dual union all
     select date '2012-05-07' AS dt, 2.330 AS clicks from dual  
  ),
  param as (select 3 days from dual)
select
   dt     AS "Date",
   clicks AS "Clicks",

   case when rownum >= p.days then 
       avg(clicks) over (order by dt
                          rows between p.days - 1 preceding and current row)
   end    
          AS "3 day Moving Average"
from data_table t, param p;

您会看到在第一行AVG中用case when rownum >= p.days thento force NULLs 包裹，其中“3 天移动平均线”是没有意义的。

于 2016-02-23T13:12:02.830 回答
-1

我们可以应用 Joe Celko 的“脏”左外连接方法（如上 Diego Scaravaggi 所引用的）来回答被问到的问题。

declare @ClicksTable table  ([Date] date, Clicks int)
insert into @ClicksTable
    select '2012-05-01', 2230 union all
    select '2012-05-02', 3150 union all
    select '2012-05-03', 5520 union all
    select '2012-05-04', 1330 union all
    select '2012-05-05', 2260 union all
    select '2012-05-06', 3540 union all
    select '2012-05-07', 2330

这个查询：

SELECT
    T1.[Date],
    T1.Clicks,
    -- AVG ignores NULL values so we have to explicitly NULLify
    -- the days when we don't have a full 3-day sample
    CASE WHEN count(T2.[Date]) < 3 THEN NULL
        ELSE AVG(T2.Clicks) 
    END AS [3-Day Moving Average] 
FROM @ClicksTable T1
LEFT OUTER JOIN @ClicksTable T2
    ON T2.[Date] BETWEEN DATEADD(d, -2, T1.[Date]) AND T1.[Date]
GROUP BY T1.[Date]

生成请求的输出：

Date             Clicks    3-Day Moving Average
2012-05-01       2,230
2012-05-02       3,150
2012-05-03       5,520          4,360
2012-05-04       1,330          3,330
2012-05-05       2,260          3,120
2012-05-06       3,540          3,320
2012-05-07       2,330          3,010
于 2016-01-09T00:33:50.607 回答