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
这是一个
常青的乔·塞尔科问题。我忽略了使用哪个DBMS平台。但无论如何，Joe 在 10 多年前就能够用标准 SQL 回答问题。
Joe Celko SQL Puzzles and Answers 引文： "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，为我们提供移动平均线：">
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;
额外的列还是查询方法更好？查询是 技术上更好，因为 UPDATE 方法将使 数据库。但是，如果正在记录的历史数据没有去 要更改和计算移动平均线是昂贵的，您可能会 请考虑使用列方法。
MS 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;
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-Clauses 的 DateAdd 组件，以匹配您希望移动平均线严格从过去到现在还是从几天前到未来几天。
- 这适用于只需要几个数据点的移动平均线的情况。 对于
- 具有多个数据点的移动平均线，这不是最佳解决方案。
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所需的任何间隔。您也可以使用 count(( 代替幻数来使其更容易更改，但这也会减慢它的速度。
滚动
平均值的通用模板，适用于大型数据集
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];
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
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
具有语句将阻止返回任何没有至少 N 个值的日期。
假设x是要取平均值的值，xDate是日期值：
从 myTable 中选择 avg(x( 其中 xDate 介于 dateadd(d， -2， xDate( 和 xDate 之间
在蜂巢中，也许你可以试试
select date, clicks, avg(clicks) over (order by date rows between 2 preceding and current row) as moving_avg from clicktable;
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 ...)
虽然date是关键，但date_1这一天，date_2包含这一天和前一天; date_3......
然后，您可以在配置单元中执行相等的联接。
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
注意：这不是答案，而是Diego Scaravaggi答案的增强代码示例。我将其作为答案发布，因为评论部分不足。请注意，我已经参数化了移动大道的周期。
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
--@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
)
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，数字的前三重给出：
ThreeDaysMovingAverage = (2.230 + 3.150 + 5.520) / 3 = 3.6333333
但你期望4.360，这很令人困惑。
尽管如此，我还是建议以下解决方案，它使用窗口函数AVG。这种方法比其他答案中引入的方法更有效(清晰且资源密集度更低SELF-JOIN(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AVG用case when rownum >= p.days then包裹，以强制NULL在第一行中，其中"3 天移动平均线"毫无意义。
我们可以应用 Joe Celko 的"脏"左外连接方法(如上面引用的 Diego Scaravaggi(来回答问题。
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
此查询：
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