Re: recursive sql

Hello,

sorry for my short explanation. It was not enough to understand the my
task/target.

These are the basic computation for an exponential moving average (ema)
an statistic indicator for trading data.

The components of trading data are
timestamp, High, Low, Open and Close value
For this indicator I need the timestamp and the close value, not more.

For the current day (period) the formula is

EMA = Close(t) * SF + ( (1-SF) * EMA(t-1) )

where Smoothing Factor SF = 2 / (n+1)

The best way is, to explain it with an example:
day close SF close 1-SF EMA(t-1) = part_of_result
1 105,5
2 104 0.33 * 104 + 0.76 * 105,5 = 105.005
3 103.5 0.33 * 103 + 0.76 * 105.005 = 104.508
4 102 0.33 * 102 + 0.76 * 104.508 = 103.680
5 101 0.33 * 101 + 0.76 * 103.680 = 102.795
6 100 0.33 * 100 + 0.76 * 102.795 = 101.872

0.33 and 0.67 are the SF
You see, the result of one line is a component of the next line.
The result for day 6 is 101.872

I need the close value of the current day and
the the close value of the previous day. But before, it must be calculated.

I believe, the best way is, to do it with
"with recursive"

Franz

On 8/9/20 2:08 PM, Samed YILDIRIM wrote:
> Hi Frank,
> It seems I need to read more carefully :)
> With window functions;
> pgsql-sql=# select *,sum(c) over (order by ts) from tt;
> ts | c | sum
> ---------------------+---+-----
> 2019-12-31 00:00:00 | 1 | 1
> 2020-01-01 00:00:00 | 2 | 3
> 2020-07-02 00:00:00 | 3 | 6
> 2020-07-06 00:00:00 | 4 | 10
> 2020-07-07 00:00:00 | 5 | 15
> 2020-07-08 00:00:00 | 6 | 21
> (6 rows)
>
> With recursive query:
> pgsql-sql=# with recursive rc as (
> select * from (select ts,c,c as c2 from tt order by ts asc limit 1) sq1
> union
> select * from (select tt.ts,tt.c,tt.c+rc.c2 as c2 from tt, lateral
> (select * from rc order by ts desc limit 1) rc where tt.ts > rc.ts order
> by tt.ts asc limit 1) sq2
> )
> select * from rc;
> ts | c | c2
> ---------------------+---+----
> 2019-12-31 00:00:00 | 1 | 1
> 2020-01-01 00:00:00 | 2 | 3
> 2020-07-02 00:00:00 | 3 | 6
> 2020-07-06 00:00:00 | 4 | 10
> 2020-07-07 00:00:00 | 5 | 15
> 2020-07-08 00:00:00 | 6 | 21
> (6 rows)
> Best regards.
> Samed YILDIRIM
> 09.08.2020, 14:57, "ml(at)ft-c(dot)de" <ml(at)ft-c(dot)de>:
>
> Hallo,
>
> with the window function lag there is a shift of one or more rows. Every
> row connects to the previous row := lag(column,1).
>
> What I am looking for:
> ts c c2
> .. 1 1 -- or null in the first row
> .. 2 3 -- it is the result of 1 + 2
> .. 3 6 -- it is the result of 3 + 3
> .. 4 10 -- it is the result of 6 + 4
>
>
> Franz
>
> On 8/9/20 12:38 PM, Samed YILDIRIM wrote:
>
>  Hi Franz,
>  Simply you can use window functions[1][2].
>  pgsql-sql=# select *, lag(c) over (order by ts) as c2 from tt;
>  ts | c | c2
>  ---------------------+---+----
>  2019-12-31 00:00:00 | 1 |
>  2020-01-01 00:00:00 | 2 | 1
>  2020-07-02 00:00:00 | 3 | 2
>  2020-07-06 00:00:00 | 4 | 3
>  2020-07-07 00:00:00 | 5 | 4
>  2020-07-08 00:00:00 | 6 | 5
>  (6 rows)
>  I personally prefer to use window functions due to their
> simplicity. If
>  you still want to use recursive query: [3]
>  pgsql-sql=# with recursive rc as (
>  select * from (select ts,c,null::numeric as c2 from tt order
> by ts asc
>  limit 1) k1
>  union
>  select * from (select tt.ts,tt.c,rc.c as c2 from tt, lateral
> (select *
>  from rc) rc where tt.ts > rc.ts order by tt.ts asc limit 1) k2
>  )
>  select * from rc;
>  ts | c | c2
>  ---------------------+---+----
>  2019-12-31 00:00:00 | 1 |
>  2020-01-01 00:00:00 | 2 | 1
>  2020-07-02 00:00:00 | 3 | 2
>  2020-07-06 00:00:00 | 4 | 3
>  2020-07-07 00:00:00 | 5 | 4
>  2020-07-08 00:00:00 | 6 | 5
>  (6 rows)
>  [1]: https://www.postgresql.org/docs/12/functions-window.html
>  [2]: https://www.postgresql.org/docs/12/tutorial-window.html
>  [3]: https://www.postgresql.org/docs/12/queries-with.html
>  Best regards.
>  Samed YILDIRIM
>  09.08.2020, 09:29, "ml(at)ft-c(dot)de <mailto:ml(at)ft-c(dot)de>"
> <ml(at)ft-c(dot)de <mailto:ml(at)ft-c(dot)de>>:
>
>      Hello,
>
>      the table
>      create table tt (
>          ts timestamp,
>          c numeric) ;
>
>      insert into tt values
>         ('2019-12-31',1), ('2020-01-01',2),
>         ('2020-07-02',3), ('2020-07-06',4),
>         ('2020-07-07',5), ('2020-07-08',6);
>
>      My question: It is possible to get an
>          additional column (named c2)
>          with
>          ( c from current row ) + ( c2 from the previous row )
> as c2
>
>      the result:
>      ts c c2
>      .. 1 1 -- or null in the first row
>      .. 2 3
>      .. 3 6
>      .. 4 10
>      ...
>
>      with recursive ema as ()
>      select ts, c,
>          -- many many computed_rows
>          -- <code> as c2
>      from tt -- <- I need tt on this place
>
>
>      thank you for help
>      Franz
>
>