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Calculating Stock Returns Using the ROW_NUMBER function and CTEs


Calculating Stock Returns Using the ROW_NUMBER function and CTEs

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eephus101
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Comments posted to this topic are about the item Calculating Stock Returns Using the ROW_NUMBER function and CTEs

John R
brijen.patel
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I couldn't find prices.sql script file.
ChrisM@Work
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Nice, concise, easily-readable article.
However, I'd change the key query because it reads the prices table twice. This reads it once:

;WITH PriceYearly_CTE2 AS 
(SELECT
Period = ROW_NUMBER() OVER (ORDER BY [year]),
ticker,
close_,
[year]
FROM (
SELECT
MyRow = ROW_NUMBER() OVER(PARTITION BY YEAR(date_) ORDER BY date_ DESC),
ticker,
close_,
YEAR(date_) AS [year]
FROM prices
) d
WHERE MyRow = 1
)
SELECT * FROM PriceYearly_CTE2



Cheers

ChrisM

“Write the query the simplest way. If through testing it becomes clear that the performance is inadequate, consider alternative query forms.” - Gail Shaw

For fast, accurate and documented assistance in answering your questions, please read this article.
Understanding and using APPLY, (I) and (II) Paul White
Hidden RBAR: Triangular Joins / The "Numbers" or "Tally" Table: What it is and how it replaces a loop Jeff Moden
Exploring Recursive CTEs by Example Dwain Camps
azhar.iqbal499
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Looks nice article.Please upload prices.sql script file.
Thanks
voutmaster
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There are two different ways to calculate weekly returns. The methodology you're using implies holding for an entire week (using weekly prices). A more complicated methodology would compound daily, I'd be interested in seeing a CTE solution for it if one exists.
ChrisM@Work
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pvoutov (10/18/2011)
There are two different ways to calculate weekly returns. The methodology you're using implies holding for an entire week (using weekly prices). A more complicated methodology would compound daily, I'd be interested in seeing a CTE solution for it if one exists.


Supply some sample data in an easily-consumed format, a sample of required output...and wait a while.

“Write the query the simplest way. If through testing it becomes clear that the performance is inadequate, consider alternative query forms.” - Gail Shaw

For fast, accurate and documented assistance in answering your questions, please read this article.
Understanding and using APPLY, (I) and (II) Paul White
Hidden RBAR: Triangular Joins / The "Numbers" or "Tally" Table: What it is and how it replaces a loop Jeff Moden
Exploring Recursive CTEs by Example Dwain Camps
Steve Jones
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My apologies. I've uploaded the prices.sql file now. You can download it from the end of the article.

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Steve Jones
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pvoutov (10/18/2011)
There are two different ways to calculate weekly returns. The methodology you're using implies holding for an entire week (using weekly prices). A more complicated methodology would compound daily, I'd be interested in seeing a CTE solution for it if one exists.


If you have a question about a method or problem not in the article, please post a question in the T-SQL forum for your version instead.

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brijen.patel
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Thanks, i am able to download the prices.sql.

Thanks
Richard Gibbins
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Interesting technique. Thanks.

I am curious, though, about why you chagned the formula from (P(t) - P(t-1))/P(t-1) to
(P(t+1) - P(t))/P(t). I realize it amounts to the same thing in most cases but I did find it a bit disconcerting when reading the code.

Thanks,
Richard
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