SQL

The following script contains the SQL statements for this query.

-- Find the 21-day and 5-day moving average price for a specified
-- list of 1000 stocks during a 6-month period. (Use split adjusted prices) */
truncate table hist_temp;
commit;


insert hist_temp
SELECT number(),B.INSTRUMENT_ID, B.TRADING_SYMBOL,B.TRADE_DATE, B.CLOSE_PRICE, IFNULL(sum(A.SPLIT_FACTOR),1,sum(A.SPLIT_FACTOR)) 
FROM STOCK_HISTORY AS B
left outer join SPLIT_EVENT as A
on B.INSTRUMENT_ID = A.INSTRUMENT_ID
AND B.TRADE_DATE < A.EFFECTIVE_DATE 
WHERE B.TRADING_SYMBOL BETWEEN 'AAA' AND 'BML'
AND LENGTH(B.TRADING_SYMBOL) = 3
and B.TRADE_DATE >= DATEADD(DAY,-28,'2010-06-01')
and B.TRADE_DATE <= '2010-12-01' 
GROUP BY B.INSTRUMENT_ID, B.TRADING_SYMBOL,
B.TRADE_DATE, B.CLOSE_PRICE
ORDER BY B.INSTRUMENT_ID,
B.TRADE_DATE;


SELECT x.TRADING_SYMBOL, x.TRADE_DATE, AVG_5DAY , AVG_21DAY
FROM (SELECT B.INSTRUMENT_ID, B.TRADING_SYMBOL, B.TRADE_DATE,
AVG(C.CLOSE_PRICE * B.SPLIT_FACTOR ) avg_5day
FROM hist_temp as B 
left outer join hist_temp as C
on B.INSTRUMENT_ID = C.INSTRUMENT_ID
and c.row_nbr BETWEEN b.row_nbr - 5 and b.row_nbr 
Where B.TRADE_DATE >= '2010-06-01'
GROUP BY B.INSTRUMENT_ID, B.TRADING_SYMBOL,
B.TRADE_DATE) x,
(SELECT B.INSTRUMENT_ID, B.TRADING_SYMBOL, B.TRADE_DATE,
AVG(C.CLOSE_PRICE * B.SPLIT_FACTOR ) avg_21day
FROM hist_temp as B 
left outer join hist_temp as C
on B.INSTRUMENT_ID = C.INSTRUMENT_ID
and c.row_nbr BETWEEN b.row_nbr - 21 and b.row_nbr 

Where B.TRADE_DATE >= '2010-06-01'
GROUP BY B.INSTRUMENT_ID, B.TRADING_SYMBOL,
B.TRADE_DATE) y 
where x.INSTRUMENT_ID = y.INSTRUMENT_ID
and x.TRADE_DATE = y.TRADE_DATE
;

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