Question

我的表格如下：

Date        stock   price
19980102     xxx    1.2
19980103     xxx    1.3
...
19980102     yyy    1.2
19980103     yyy    3.3

由于某种原因，日期存储在int中并且每天更新。我想挑选每年累计回报率+ 5％的股票代码，这种模式在过去的19年中持续存在。该怎么做？

例如：if for xxx

(price(19981231)-price(19980101))/price(19980101) > 5%

那么1998年就是那一年，那么如果每年19年就是这样的话，我会选择XXX。

棘手的部分是：股票仅在工作日交易，因此19980101可能没有数据..

Answer 1

过去19年的累计回报率为5％，为1.05 ^ 19 = 2.53。

所以，你可以得到期间最新的结果和最新的结果，看看比率是否至少那么大：

select stock
from (select t.*, row_number() over (partition by stock order by date) as seqnum,
             count(*) over (order by date) as cnt
      from table t
      where date >= 19980101
     ) t
group by stock
having (sum(case when seqnum = cnt then price end) /
        sum(case when seqnum = 1 then price end)
       ) >= 2.53;

Answer 2

好吧，这可能有点奇怪，但请耐心等待。我不得不说，我并不真正理解你的意思，每年的累积回报＆＃34 ;;你似乎只是在一年中的第一天和最后一天检查价格并进行比较 - 没有什么可以累积的。首先，让我们按一年的最低和最高日期获取价格：

SELECT stock, TRUNC(date/10000) AS the_year
     , MIN(price) KEEP (DENSE_RANK FIRST ORDER BY date) AS start_price
     , MAX(price) KEEP (DENSE_RANK LAST ORDER BY date) AS end_price
  FROM mytable
 GROUP BY stock, TRUNC(date/10000)

这将获得起始价格（截至一年的第一个工作日，或至少为date的最低值）和最终价格（最大值为date）。

现在我们需要做的就是找出最终价格是起始价格的105％的年份：

SELECT stock, the_year, start_price, end_price
     , ( end_price - start_price ) / start_price AS yield
     , COUNT(*) OVER ( PARTITION BY stock ) AS year_cnt
  FROM (
    SELECT stock, TRUNC(date/10000) AS the_year
         , MIN(price) KEEP (DENSE_RANK FIRST ORDER BY date) AS start_price
         , MAX(price) KEEP (DENSE_RANK LAST ORDER BY date) AS end_price
      FROM mytable
     GROUP BY stock, TRUNC(date/10000)
) WHERE end_price >= start_price * 1.05

然后获得year_cnt为19：

的股票

SELECT * FROM (
    SELECT stock, the_year, start_price, end_price
         , ( end_price - start_price ) / start_price AS yield
         , COUNT(*) OVER ( PARTITION BY stock ) AS year_cnt
      FROM (
        SELECT stock, TRUNC(date/10000) AS the_year
             , MIN(price) KEEP (DENSE_RANK FIRST ORDER BY date) AS start_price
             , MAX(price) KEEP (DENSE_RANK LAST ORDER BY date) AS end_price
          FROM mytable
         GROUP BY stock, TRUNC(date/10000)
    ) WHERE end_price >= start_price * 1.05
) WHERE year_cnt = 19;

如何计算年累积回报

2 个答案: