计算 3 年的回撤和波动率

Question

计算 3 年的回撤和波动率

Gae*_*n56 5 sql-server window-functions sql-server-2016

我有一张每日价格表，如下所示，在这个SQLfiddle 中。每条记录都与 ShareClassID、货币、日期和金额相关联。在我的真实场景中，我可以拥有至少 10 年的每日价格。

目标是计算3 年期间而非整个期间的回撤和波动性。

下面的查询正在对所有记录进行计算。对于给定的日期，我只想对过去 3 年进行计算。我不知道该怎么做。

添加AND valueDate >= DATEADD(yy, -3, GETDATE())到WHERE条款并没有给我我需要的东西：我需要从当前valueDate记录执行 3 年计算。在每一行上，我想从当前行到 -3 年执行计算。

样本数据

CREATE TABLE [dbo].ShareClassData2( 
valueDate  [date] NOT NULL,
 NAVLocal  [numeric](26, 8) NULL,
currency_fk   [bigint] NOT NULL,
vehicleShareClassGroup_fk   [bigint] NOT NULL,
 importTransactionID    [bigint] NOT NULL
)

INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-09-29',113.49,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-09-30',113.75,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-01',113.56,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-02',113.65,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-03',113.61,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-06',113.53,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-07',113.55,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-08',113.58,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-09',113.61,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-10',113.49,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-13',113.74,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-14',113.78,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-15',113.17,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-16',113.26,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-17',113.12,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-20',113.26,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-21',113.37,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-22',113.34,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-23',113.34,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-24',113.4,12,22370,1   );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-27',113.4,12,22370,1   );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-28',113.43,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-29',113.65,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-30',113.95,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-10-31',113.84,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-03',113.91,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-04',113.86,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-05',113.92,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-06',113.99,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-07',114.01,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-10',114.11,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-11',114.1,12,22370,1   );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-12',114.09,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-13',114.16,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-14',114.13,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-17',114.08,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-18',113.9,12,22370,1   );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-19',114.07,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-20',114.37,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-21',114.43,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-24',114.61,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-25',114.65,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-26',114.94,12,22370,1  );
INSERT INTO [dbo].[ShareClassData2]( [valueDate] ,[NAVLocal],[currency_fk],[vehicleShareClassGroup_fk],[importTransactionID]) VALUES (  '2014-11-27',115.02,12,22370,1  );

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当前查询

     WITH stage1
          AS (
          SELECT valueDate
               , NAVLocal
               , currency_fk
               , vehicleShareClassGroup_fk 
               , LAG(NAVLocal) OVER(PARTITION BY currency_fk
                                               , vehicleShareClassGroup_fk ORDER BY valueDate) AS previousInvestorLevelNAV

               , isnull(LOG(LAG(NAVLocal) OVER(PARTITION BY currency_fk
                                                          , vehicleShareClassGroup_fk ORDER BY valueDate) / NAVLocal), 0) AS            logCalc
               , SQRT(COUNT(NAVLocal) OVER(PARTITION BY currency_fk
                                                      , vehicleShareClassGroup_fk ORDER BY valueDate)) AS                               sqrtTimeSeries
          FROM   ShareClassData2
          WHERE  NAVLocal IS NOT NULL
                 AND NAVLocal != 0),
          stage2
          AS (
          SELECT   *
           , NAVLocal / MAX(previousInvestorLevelNAV) OVER(PARTITION BY currency_fk
                                                                         , vehicleShareClassGroup_fk ORDER BY valueDate) - 1 AS                               drawdown


          FROM      stage1  

),
          stage3
          AS (
          SELECT *
               , STDEV(logCalc) OVER(PARTITION BY currency_fk
                                                , vehicleShareClassGroup_fk ORDER BY valueDate) AS                                                 standardDeviationCalc
               , MIN(drawdown) OVER(PARTITION BY currency_fk
                                               , vehicleShareClassGroup_fk ORDER BY valueDate ROWS BETWEEN UNBOUNDED PRECEDING AND 0 PRECEDING) AS maximumDrawdown
               , MAX(drawdown) OVER(PARTITION BY currency_fk
                                               , vehicleShareClassGroup_fk ORDER BY valueDate ROWS BETWEEN UNBOUNDED PRECEDING AND 0 PRECEDING) AS minimumDrawdown
          FROM   stage2),
          stage4
          AS (
          SELECT a.*
               , a.standardDeviationCalc * a.sqrtTimeSeries AS volatility
          FROM   stage3 AS a)
          SELECT valueDate
               , currency_fk
               , vehicleShareClassGroup_fk 
               , data.volatility
               , data.drawdown
               , data.drawdown * 100 AS        drawdownPercentage
               , data.maximumDrawdown
               , data.minimumDrawdown
               , data.maximumDrawdown * 100 AS maximumDrawdownPercentage
               , data.minimumDrawdown * 100 AS minimumDrawdownPercentage
          FROM   stage4 AS data 
          where data.vehicleShareClassGroup_fk=22370

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Answer 1

Pau*_*ite 4

在等待对诸如之类的窗口语法的支持时RANGE BETWEEN INTERVAL 3 YEARS PRECEDING AND CURRENT ROW，一种方法是显式扩展每个源行的三年窗口：

SELECT
    SCD.valueDate,
    SCD.currency_fk,
    SCD.vehicleShareClassGroup_fk,
    Q3.Volatility,
    Q3.Drawdown,
    DrawdownPercentage = Q3.Drawdown * 100,
    Q3.MaxDrawdown,
    Q3.MinDrawdown,
    MaxDrawdownPercentage = Q3.MaxDrawdown * 100,
    MinDrawdownPercentage = Q3.MinDrawdown * 100
FROM dbo.ShareClassData2 AS SCD
CROSS APPLY
(
    -- Aggregates
    SELECT
        Drawdown = (SCD.NAVLocal / MAX(Q2.PrevNAVLocal)) - 1,
        MaxDrawdown = MIN(Q2.Drawdown),
        MinDrawdown = MAX(Q2.Drawdown),
        Volatility = STDEV(Q2.LogCalc) * SQRT(COUNT_BIG(Q2.NAVLocal))
    FROM 
    (
        -- Calculations
        SELECT
            Q1.NAVLocal,
            Q1.PrevNAVLocal,
            Drawdown = Q1.NAVLocal / MAX(Q1.PrevNAVLocal) OVER (
                ORDER BY Q1.valueDate 
                ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) -1,
            LogCalc = ISNULL(LOG(Q1.PrevNAVLocal / Q1.NAVLocal), 0)
        FROM 
        (
            -- Data range for the current row
            SELECT
                SCD3.valueDate,
                SCD3.NAVLocal,
                PrevNAVLocal = LAG(SCD3.NAVLocal, 1) OVER (ORDER BY SCD3.valueDate)
            FROM dbo.ShareClassData2 AS SCD3
            WHERE
                SCD3.currency_fk = SCD.currency_fk
                AND SCD3.vehicleShareClassGroup_fk = SCD.vehicleShareClassGroup_fk
                AND SCD3.valueDate BETWEEN DATEADD(YEAR, -3, SCD.valueDate) AND SCD.valueDate
                AND SCD3.NAVLocal IS NOT NULL
                AND SCD3.NAVLocal <> 0
        ) AS Q1
    ) AS Q2
) AS Q3;

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性能可能会也可能不会被接受。以下索引应该有所帮助：

CREATE INDEX i 
ON dbo.ShareClassData2 
(
    currency_fk, 
    vehicleShareClassGroup_fk, 
    valueDate
) 
INCLUDE 
(
    NAVLocal
) 
WHERE NAVLocal <> 0;

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还可以采用窗口函数的相关问答日期范围滚动总和中描述的一些技术（包括 SQLCLR 函数）。

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