hist_qry6.sql

--(Based on the previous query) Find the points (specific days) when the
--5-day moving average intersects the 21-day moving average for these stocks.
--The output is to be sorted by INSTRUMENT_ID and date.

truncate table hist_temp;
truncate table hist6_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,'2012-06-01')
and B.TRADE_DATE <= '2012-12-01'
GROUP BY B.INSTRUMENT_ID,TRADING_SYMBOL,
B.TRADE_DATE, B.CLOSE_PRICE
ORDER BY B.INSTRUMENT_ID,
B.TRADE_DATE;

Insert hist6_temp
SELECT number(),x.INSTRUMENT_ID, 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 >= '2012-06-01'
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 >= '2012-06-01'
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
order by x.INSTRUMENT_ID, x.TRADE_DATE;


select z.TRADING_SYMBOL, z.TRADE_DATE, DAY_5, DAY_21, PREV_DAY5, PREV_DAY21
from (SELECT a.INSTRUMENT_ID, a.TRADING_SYMBOL, a.TRADE_DATE,  avg(b.avg_21day) as prev_day21
from hist6_temp a, hist6_temp b
where a.INSTRUMENT_ID = b.INSTRUMENT_ID
and b.row_nbr between a.row_nbr - 2 and a.row_nbr - 1
group by a.INSTRUMENT_ID, a.TRADING_SYMBOL, a.TRADE_DATE) x,
(SELECT a.INSTRUMENT_ID, a.TRADING_SYMBOL, a.TRADE_DATE,  avg(b.avg_5day) as prev_day5
from hist6_temp a, hist6_temp b
where a.INSTRUMENT_ID = b.INSTRUMENT_ID
and b.row_nbr between a.row_nbr - 2 and a.row_nbr - 1
group by a.INSTRUMENT_ID, a.TRADING_SYMBOL, a.TRADE_DATE) y,
(SELECT INSTRUMENT_ID, TRADING_SYMBOL, TRADE_DATE, avg_5day as day_5, avg_21day as day_21
from hist6_temp) z
where z.INSTRUMENT_ID = x.INSTRUMENT_ID
and z.TRADE_DATE = x.TRADE_DATE
and z.INSTRUMENT_ID = y.INSTRUMENT_ID
and z.TRADE_DATE = y.TRADE_DATE
and sign(day_21-day_5) * sign(prev_day21-prev_day5) < 0;