SQL Server RunningINTERCEPT Function
Updated 2023-11-14 14:48:39.517000
Description
Use the scalar function to calculate the intercept of a series of x- and y-values within a resultant table or partition, without the need for a self-join. The intercept value is calculated from the first row of the resultant table or partition through to the current row. If the column values are presented to the functions out of order, an error message will be generated.
Syntax
SELECT [westclintech].[wct].[RunningINTERCEPT](
<@Y, float,>
,<@X, float,>
,<@RowNum, int,>
,<@Id, tinyint,>)
Arguments
@Y
the y-value passed into the function. @Y is an expression of type float or of a type that can be implicitly converted to float.
@X
the x-value passed into the function. @X is an expression of type float or of a type that can be implicitly converted to float.
@RowNum
the number of the row within the group for which the sum is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.
@Id
a unique identifier for the RunningINTERCEPT calculation. @Id allows you to specify multiple RunningINTERCEPT calculations within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.
Return Type
float
Remarks
If @Id is NULL then @Id = 0.
@RowNum must be in ascending order.
To calculate the intercept over a window of x- and y-values use the MovingINTERCEPT function.
If @RowNum = 1 then RunningINTERCEPT is NULL.
To calculate a single intercept value for a set of data use the INTERCEPT function.
There may be cases where the order in which the data are returned to the function and the order in which the results are returned are different, generally due to parallelism. You can use OPTION(MAXDOP 1) or OPTION(MAXDOP 1,FORCE ORDER) to help eliminate this problem.
Examples
In this example we will calculate the intercept, over time, in the closing prices for some stock indices. We will create a temporary table, #p, populate it with some data and then run the SELECT.
--Create the temporary table
CREATE TABLE #p
(
ticker varchar(4),
date_trade datetime,
price_open money,
price_high money,
price_low money,
price_close money,
volume bigint,
price_adj_close money,
PRIMARY KEY (
ticker,
date_trade
)
);
--Populate the table with some data
INSERT INTO #p
VALUES
('GSPC', '2012-10-26', 1412.97, 1417.09, 1403.28, 1411.94, 3284910000, 1411.94);
INSERT INTO #p
VALUES
('GSPC', '2012-10-25', 1409.74, 1421.12, 1405.14, 1412.97, 3512640000, 1412.97);
INSERT INTO #p
VALUES
('GSPC', '2012-10-24', 1413.2, 1420.04, 1407.1, 1408.75, 3385970000, 1408.75);
INSERT INTO #p
VALUES
('GSPC', '2012-10-23', 1433.74, 1433.74, 1407.56, 1413.11, 3587670000, 1413.11);
INSERT INTO #p
VALUES
('GSPC', '2012-10-22', 1433.21, 1435.46, 1422.06, 1433.81, 3216220000, 1433.81);
INSERT INTO #p
VALUES
('GSPC', '2012-10-19', 1457.34, 1457.34, 1429.85, 1433.19, 3875170000, 1433.19);
INSERT INTO #p
VALUES
('GSPC', '2012-10-18', 1460.94, 1464.02, 1452.63, 1457.34, 3880030000, 1457.34);
INSERT INTO #p
VALUES
('GSPC', '2012-10-17', 1454.22, 1462.2, 1453.35, 1460.91, 3655320000, 1460.91);
INSERT INTO #p
VALUES
('GSPC', '2012-10-16', 1440.31, 1455.51, 1440.31, 1454.92, 3568770000, 1454.92);
INSERT INTO #p
VALUES
('GSPC', '2012-10-15', 1428.75, 1441.31, 1427.24, 1440.13, 3483810000, 1440.13);
INSERT INTO #p
VALUES
('GSPC', '2012-10-12', 1432.84, 1438.43, 1425.53, 1428.59, 3134750000, 1428.59);
INSERT INTO #p
VALUES
('GSPC', '2012-10-11', 1432.82, 1443.9, 1432.82, 1432.84, 3672540000, 1432.84);
INSERT INTO #p
VALUES
('GSPC', '2012-10-10', 1441.48, 1442.52, 1430.64, 1432.56, 3225060000, 1432.56);
INSERT INTO #p
VALUES
('GSPC', '2012-10-09', 1455.9, 1455.9, 1441.18, 1441.48, 3216320000, 1441.48);
INSERT INTO #p
VALUES
('GSPC', '2012-10-08', 1460.93, 1460.93, 1453.1, 1455.88, 2328720000, 1455.88);
INSERT INTO #p
VALUES
('GSPC', '2012-10-05', 1461.4, 1470.96, 1456.89, 1460.93, 3172940000, 1460.93);
INSERT INTO #p
VALUES
('GSPC', '2012-10-04', 1451.08, 1463.14, 1451.08, 1461.4, 3615860000, 1461.4);
INSERT INTO #p
VALUES
('GSPC', '2012-10-03', 1446.05, 1454.3, 1441.99, 1450.99, 3531640000, 1450.99);
INSERT INTO #p
VALUES
('GSPC', '2012-10-02', 1444.99, 1451.52, 1439.01, 1445.75, 3321790000, 1445.75);
INSERT INTO #p
VALUES
('GSPC', '2012-10-01', 1440.9, 1457.14, 1440.9, 1444.49, 3505080000, 1444.49);
INSERT INTO #p
VALUES
('GSPC', '2012-09-28', 1447.13, 1447.13, 1435.6, 1440.67, 3509230000, 1440.67);
INSERT INTO #p
VALUES
('GSPC', '2012-09-27', 1433.36, 1450.2, 1433.36, 1447.15, 3150330000, 1447.15);
INSERT INTO #p
VALUES
('GSPC', '2012-09-26', 1441.6, 1441.6, 1430.53, 1433.32, 3565380000, 1433.32);
INSERT INTO #p
VALUES
('GSPC', '2012-09-25', 1456.94, 1463.24, 1441.59, 1441.59, 3739900000, 1441.59);
INSERT INTO #p
VALUES
('GSPC', '2012-09-24', 1459.76, 1460.72, 1452.06, 1456.89, 3008920000, 1456.89);
INSERT INTO #p
VALUES
('GSPC', '2012-09-21', 1460.34, 1467.07, 1459.51, 1460.15, 4833870000, 1460.15);
INSERT INTO #p
VALUES
('GSPC', '2012-09-20', 1461.05, 1461.23, 1449.98, 1460.26, 3382520000, 1460.26);
INSERT INTO #p
VALUES
('GSPC', '2012-09-19', 1459.5, 1465.15, 1457.88, 1461.05, 3451360000, 1461.05);
INSERT INTO #p
VALUES
('GSPC', '2012-09-18', 1461.19, 1461.47, 1456.13, 1459.32, 3377390000, 1459.32);
INSERT INTO #p
VALUES
('GSPC', '2012-09-17', 1465.42, 1465.63, 1457.55, 1461.19, 3482430000, 1461.19);
INSERT INTO #p
VALUES
('GSPC', '2012-09-14', 1460.07, 1474.51, 1460.07, 1465.77, 5041990000, 1465.77);
INSERT INTO #p
VALUES
('GSPC', '2012-09-13', 1436.56, 1463.76, 1435.34, 1459.99, 4606550000, 1459.99);
INSERT INTO #p
VALUES
('GSPC', '2012-09-12', 1433.56, 1439.15, 1432.99, 1436.56, 3641200000, 1436.56);
INSERT INTO #p
VALUES
('GSPC', '2012-09-11', 1429.13, 1437.76, 1429.13, 1433.56, 3509630000, 1433.56);
INSERT INTO #p
VALUES
('GSPC', '2012-09-10', 1437.92, 1438.74, 1428.98, 1429.08, 3223670000, 1429.08);
INSERT INTO #p
VALUES
('GSPC', '2012-09-07', 1432.12, 1437.92, 1431.45, 1437.92, 3717620000, 1437.92);
INSERT INTO #p
VALUES
('GSPC', '2012-09-06', 1403.74, 1432.12, 1403.74, 1432.12, 3952870000, 1432.12);
INSERT INTO #p
VALUES
('GSPC', '2012-09-05', 1404.94, 1408.81, 1401.25, 1403.44, 3389110000, 1403.44);
INSERT INTO #p
VALUES
('GSPC', '2012-09-04', 1406.54, 1409.31, 1396.56, 1404.94, 3200310000, 1404.94);
INSERT INTO #p
VALUES
('GSPC', '2012-08-31', 1400.07, 1413.09, 1398.96, 1406.58, 2938250000, 1406.58);
INSERT INTO #p
VALUES
('GSPC', '2012-08-30', 1410.08, 1410.08, 1397.01, 1399.48, 2530280000, 1399.48);
INSERT INTO #p
VALUES
('GSPC', '2012-08-29', 1409.32, 1413.95, 1406.57, 1410.49, 2571220000, 1410.49);
INSERT INTO #p
VALUES
('GSPC', '2012-08-28', 1410.44, 1413.63, 1405.59, 1409.3, 2629090000, 1409.3);
INSERT INTO #p
VALUES
('GSPC', '2012-08-27', 1411.13, 1416.17, 1409.11, 1410.44, 2472500000, 1410.44);
INSERT INTO #p
VALUES
('GSPC', '2012-08-24', 1401.99, 1413.46, 1398.04, 1411.13, 2598790000, 1411.13);
INSERT INTO #p
VALUES
('DJI', '2012-10-26', 13104.22, 13151.72, 13040.17, 13107.21, 1346400, 13107.21);
INSERT INTO #p
VALUES
('DJI', '2012-10-25', 13079.64, 13214.11, 13017.37, 13103.68, 1145900, 13103.68);
INSERT INTO #p
VALUES
('DJI', '2012-10-24', 13103.53, 13155.21, 13063.63, 13077.34, 1106700, 13077.34);
INSERT INTO #p
VALUES
('DJI', '2012-10-23', 13344.9, 13344.9, 13083.28, 13102.53, 1222200, 13102.53);
INSERT INTO #p
VALUES
('DJI', '2012-10-22', 13344.28, 13368.55, 13235.15, 13345.89, 1218800, 13345.89);
INSERT INTO #p
VALUES
('DJI', '2012-10-19', 13545.33, 13545.49, 13312.22, 13343.51, 2390800, 13343.51);
INSERT INTO #p
VALUES
('DJI', '2012-10-18', 13553.24, 13588.73, 13510.93, 13548.94, 1284100, 13548.94);
INSERT INTO #p
VALUES
('DJI', '2012-10-17', 13539.63, 13561.65, 13468.9, 13557, 1355700, 13557);
INSERT INTO #p
VALUES
('DJI', '2012-10-16', 13423.84, 13556.37, 13423.76, 13551.78, 1134500, 13551.78);
INSERT INTO #p
VALUES
('DJI', '2012-10-15', 13329.54, 13437.66, 13325.93, 13424.23, 1148800, 13424.23);
INSERT INTO #p
VALUES
('DJI', '2012-10-12', 13325.62, 13401.32, 13296.43, 13328.85, 1137400, 13328.85);
INSERT INTO #p
VALUES
('DJI', '2012-10-11', 13346.28, 13428.49, 13326.12, 13326.39, 866300, 13326.39);
INSERT INTO #p
VALUES
('DJI', '2012-10-10', 13473.53, 13478.83, 13327.62, 13344.97, 1011200, 13344.97);
INSERT INTO #p
VALUES
('DJI', '2012-10-09', 13582.88, 13592.33, 13473.31, 13473.53, 1036300, 13473.53);
INSERT INTO #p
VALUES
('DJI', '2012-10-08', 13589.26, 13610.38, 13552.09, 13583.65, 713000, 13583.65);
INSERT INTO #p
VALUES
('DJI', '2012-10-05', 13569.18, 13661.87, 13568.75, 13610.15, 1155000, 13610.15);
INSERT INTO #p
VALUES
('DJI', '2012-10-04', 13495.18, 13594.33, 13495.18, 13575.36, 1063900, 13575.36);
INSERT INTO #p
VALUES
('DJI', '2012-10-03', 13479.21, 13536.27, 13439.12, 13494.61, 1038900, 13494.61);
INSERT INTO #p
VALUES
('DJI', '2012-10-02', 13515.3, 13567.06, 13424.92, 13482.36, 907300, 13482.36);
INSERT INTO #p
VALUES
('DJI', '2012-10-01', 13437.66, 13598.25, 13437.66, 13515.11, 1061200, 13515.11);
INSERT INTO #p
VALUES
('DJI', '2012-09-28', 13485.89, 13487.66, 13367.27, 13437.13, 1469500, 13437.13);
INSERT INTO #p
VALUES
('DJI', '2012-09-27', 13413.47, 13522.83, 13413.47, 13485.97, 1139900, 13485.97);
INSERT INTO #p
VALUES
('DJI', '2012-09-26', 13458.63, 13480.37, 13406.91, 13413.51, 1243500, 13413.51);
INSERT INTO #p
VALUES
('DJI', '2012-09-25', 13559.92, 13620.21, 13457.25, 13457.55, 1386300, 13457.55);
INSERT INTO #p
VALUES
('DJI', '2012-09-24', 13577.85, 13601.9, 13521.68, 13558.92, 1203700, 13558.92);
INSERT INTO #p
VALUES
('DJI', '2012-09-21', 13597.24, 13647.1, 13571.53, 13579.47, 4296100, 13579.47);
INSERT INTO #p
VALUES
('DJI', '2012-09-20', 13575.17, 13599.02, 13503, 13596.93, 1179100, 13596.93);
INSERT INTO #p
VALUES
('DJI', '2012-09-19', 13565.41, 13626.48, 13556.74, 13577.96, 1162100, 13577.96);
INSERT INTO #p
VALUES
('DJI', '2012-09-18', 13552.33, 13582.12, 13517.81, 13564.64, 1207200, 13564.64);
INSERT INTO #p
VALUES
('DJI', '2012-09-17', 13588.57, 13593.15, 13526.67, 13553.1, 1280200, 13553.1);
INSERT INTO #p
VALUES
('DJI', '2012-09-14', 13540.4, 13653.24, 13533.94, 13593.37, 1851600, 13593.37);
INSERT INTO #p
VALUES
('DJI', '2012-09-13', 13329.71, 13573.33, 13325.11, 13539.86, 1517700, 13539.86);
INSERT INTO #p
VALUES
('DJI', '2012-09-12', 13321.62, 13373.62, 13317.52, 13333.35, 1115200, 13333.35);
INSERT INTO #p
VALUES
('DJI', '2012-09-11', 13254.6, 13354.34, 13253.21, 13323.36, 1049200, 13323.36);
INSERT INTO #p
VALUES
('DJI', '2012-09-10', 13308.56, 13324.1, 13251.39, 13254.29, 1238100, 13254.29);
INSERT INTO #p
VALUES
('DJI', '2012-09-07', 13289.53, 13320.27, 13266.22, 13306.64, 1422100, 13306.64);
INSERT INTO #p
VALUES
('DJI', '2012-09-06', 13045.23, 13294.13, 13045.08, 13292, 1286500, 13292);
INSERT INTO #p
VALUES
('DJI', '2012-09-05', 13036.09, 13095.91, 13018.74, 13047.48, 925500, 13047.48);
INSERT INTO #p
VALUES
('DJI', '2012-09-04', 13092.15, 13092.39, 12977.09, 13035.94, 1039200, 13035.94);
INSERT INTO #p
VALUES
('DJI', '2012-08-31', 13002.72, 13151.87, 13002.64, 13090.84, 1197800, 13090.84);
INSERT INTO #p
VALUES
('DJI', '2012-08-30', 13101.29, 13101.37, 12978.91, 13000.71, 899800, 13000.71);
INSERT INTO #p
VALUES
('DJI', '2012-08-29', 13103.46, 13144.81, 13081.27, 13107.48, 915300, 13107.48);
INSERT INTO #p
VALUES
('DJI', '2012-08-28', 13122.74, 13147.32, 13081.12, 13102.99, 816300, 13102.99);
INSERT INTO #p
VALUES
('DJI', '2012-08-27', 13157.74, 13176.17, 13115.46, 13124.67, 960700, 13124.67);
INSERT INTO #p
VALUES
('DJI', '2012-08-24', 13052.82, 13175.51, 13027.2, 13157.97, 880300, 13157.97);
INSERT INTO #p
VALUES
('IXIC', '2012-10-26', 2986.05, 2999.14, 2961.16, 2987.95, 1839700000, 2987.95);
INSERT INTO #p
VALUES
('IXIC', '2012-10-25', 3005.04, 3007.71, 2975.98, 2986.12, 1922660000, 2986.12);
INSERT INTO #p
VALUES
('IXIC', '2012-10-24', 3011.82, 3012.95, 2978.73, 2981.7, 1967000000, 2981.7);
INSERT INTO #p
VALUES
('IXIC', '2012-10-23', 2989.44, 3006.59, 2974.07, 2990.46, 1830840000, 2990.46);
INSERT INTO #p
VALUES
('IXIC', '2012-10-22', 3005.92, 3020.61, 2995.78, 3016.96, 1654130000, 3016.96);
INSERT INTO #p
VALUES
('IXIC', '2012-10-19', 3066.56, 3066.56, 3000.27, 3005.62, 2225580000, 3005.62);
INSERT INTO #p
VALUES
('IXIC', '2012-10-18', 3097.77, 3102.56, 3065.24, 3072.87, 2043290000, 3072.87);
INSERT INTO #p
VALUES
('IXIC', '2012-10-17', 3091.38, 3112.45, 3088.05, 3104.12, 1770920000, 3104.12);
INSERT INTO #p
VALUES
('IXIC', '2012-10-16', 3073.21, 3102.97, 3070.25, 3101.17, 1736930000, 3101.17);
INSERT INTO #p
VALUES
('IXIC', '2012-10-15', 3053.21, 3066.31, 3037.27, 3064.18, 1563440000, 3064.18);
INSERT INTO #p
VALUES
('IXIC', '2012-10-12', 3049.08, 3061.77, 3039.58, 3044.11, 1524840000, 3044.11);
INSERT INTO #p
VALUES
('IXIC', '2012-10-11', 3075.89, 3078.08, 3047.14, 3049.41, 1595020000, 3049.41);
INSERT INTO #p
VALUES
('IXIC', '2012-10-10', 3066.25, 3071.57, 3046.78, 3051.78, 1788970000, 3051.78);
INSERT INTO #p
VALUES
('IXIC', '2012-10-09', 3108.01, 3108.01, 3062.52, 3065.02, 1645740000, 3065.02);
INSERT INTO #p
VALUES
('IXIC', '2012-10-08', 3121.33, 3125.49, 3107.57, 3112.35, 1186260000, 3112.35);
INSERT INTO #p
VALUES
('IXIC', '2012-10-05', 3161.21, 3171.46, 3130.76, 3136.19, 1607940000, 3136.19);
INSERT INTO #p
VALUES
('IXIC', '2012-10-04', 3142.38, 3153.48, 3132.56, 3149.46, 1585190000, 3149.46);
INSERT INTO #p
VALUES
('IXIC', '2012-10-03', 3130.85, 3142.36, 3115.04, 3135.23, 1704050000, 3135.23);
INSERT INTO #p
VALUES
('IXIC', '2012-10-02', 3127.73, 3131.64, 3101.64, 3120.04, 1609570000, 3120.04);
INSERT INTO #p
VALUES
('IXIC', '2012-10-01', 3130.31, 3146.99, 3103.89, 3113.53, 1758170000, 3113.53);
INSERT INTO #p
VALUES
('IXIC', '2012-09-28', 3125.31, 3132.51, 3109.91, 3116.23, 1864640000, 3116.23);
INSERT INTO #p
VALUES
('IXIC', '2012-09-27', 3105.87, 3142.02, 3098.46, 3136.6, 1691800000, 3136.6);
INSERT INTO #p
VALUES
('IXIC', '2012-09-26', 3113.4, 3114.54, 3080.28, 3093.7, 1738010000, 3093.7);
INSERT INTO #p
VALUES
('IXIC', '2012-09-25', 3170.37, 3176.3, 3117.73, 3117.73, 1975470000, 3117.73);
INSERT INTO #p
VALUES
('IXIC', '2012-09-24', 3155.35, 3167.74, 3150.71, 3160.78, 1704860000, 3160.78);
INSERT INTO #p
VALUES
('IXIC', '2012-09-21', 3194.86, 3196.93, 3178.09, 3179.96, 2526250000, 3179.96);
INSERT INTO #p
VALUES
('IXIC', '2012-09-20', 3166.84, 3178.45, 3156.46, 3175.96, 1809130000, 3175.96);
INSERT INTO #p
VALUES
('IXIC', '2012-09-19', 3179.04, 3189.35, 3170.29, 3182.62, 1850920000, 3182.62);
INSERT INTO #p
VALUES
('IXIC', '2012-09-18', 3173.62, 3179.37, 3169.41, 3177.8, 1707200000, 3177.8);
INSERT INTO #p
VALUES
('IXIC', '2012-09-17', 3183.4, 3183.4, 3168.63, 3178.67, 1485390000, 3178.67);
INSERT INTO #p
VALUES
('IXIC', '2012-09-14', 3166.24, 3195.67, 3164.26, 3183.95, 1984720000, 3183.95);
INSERT INTO #p
VALUES
('IXIC', '2012-09-13', 3117.66, 3167.63, 3112.62, 3155.83, 1870050000, 3155.83);
INSERT INTO #p
VALUES
('IXIC', '2012-09-12', 3115.33, 3120.12, 3098.82, 3114.31, 1689140000, 3114.31);
INSERT INTO #p
VALUES
('IXIC', '2012-09-11', 3105.02, 3117.86, 3099.1, 3104.53, 1586250000, 3104.53);
INSERT INTO #p
VALUES
('IXIC', '2012-09-10', 3131.34, 3133.89, 3102.76, 3104.02, 1575370000, 3104.02);
INSERT INTO #p
VALUES
('IXIC', '2012-09-07', 3133.22, 3139.61, 3128.17, 3136.42, 1740640000, 3136.42);
INSERT INTO #p
VALUES
('IXIC', '2012-09-06', 3087.94, 3135.81, 3087.67, 3135.81, 1918900000, 3135.81);
INSERT INTO #p
VALUES
('IXIC', '2012-09-05', 3072.58, 3082.75, 3062.54, 3069.27, 1495030000, 3069.27);
INSERT INTO #p
VALUES
('IXIC', '2012-09-04', 3063.25, 3082.26, 3040.24, 3075.06, 1505960000, 3075.06);
INSERT INTO #p
VALUES
('IXIC', '2012-08-31', 3069.64, 3078.52, 3040.59, 3066.96, 1394760000, 3066.96);
INSERT INTO #p
VALUES
('IXIC', '2012-08-30', 3066.73, 3067.54, 3045.92, 3048.71, 1216640000, 3048.71);
INSERT INTO #p
VALUES
('IXIC', '2012-08-29', 3078.05, 3087.24, 3067.62, 3081.19, 1282900000, 3081.19);
INSERT INTO #p
VALUES
('IXIC', '2012-08-28', 3069.4, 3083.19, 3063.65, 3077.14, 1364740000, 3077.14);
INSERT INTO #p
VALUES
('IXIC', '2012-08-27', 3083.62, 3085.81, 3068.13, 3073.19, 1383530000, 3073.19);
INSERT INTO #p
VALUES
('IXIC', '2012-08-24', 3045.22, 3076.8, 3042.22, 3069.79, 1349740000, 3069.79);
--Calculate the INTERCEPT for DJI
SELECT ticker,
cast(convert(varchar, date_trade, 106) as char(11)) as [trade date],
price_close as [Closing Price],
wct.RunningINTERCEPT(price_close, convert(float, date_trade), ROW_NUMBER()
over (ORDER BY date_trade ASC), NULL) as [INTERCEPT]
FROM #p
WHERE ticker = 'DJI'
ORDER BY date_trade ASC;
--Clean up
DROP TABLE #p;
This produces the following result.
| ticker | trade date | Closing Price | INTERCEPT |
|---|---|---|---|
| DJI | 24 Aug 2012 | 13157.97 | NULL |
| DJI | 27 Aug 2012 | 13124.67 | 469845.270435983 |
| DJI | 28 Aug 2012 | 13102.99 | 553556.67002926 |
| DJI | 29 Aug 2012 | 13107.48 | 471489.717612114 |
| DJI | 30 Aug 2012 | 13000.71 | 886730.362595414 |
| DJI | 31 Aug 2012 | 13090.84 | 643747.834434902 |
| DJI | 04 Sep 2012 | 13035.94 | 496716.219783845 |
| DJI | 05 Sep 2012 | 13047.48 | 409829.67629724 |
| DJI | 06 Sep 2012 | 13292.00 | -44403.3721036542 |
| DJI | 07 Sep 2012 | 13306.64 | -295181.00258685 |
| DJI | 10 Sep 2012 | 13254.29 | -365672.255742923 |
| DJI | 11 Sep 2012 | 13323.36 | -460440.019848391 |
| DJI | 12 Sep 2012 | 13333.35 | -514552.22568212 |
| DJI | 13 Sep 2012 | 13539.86 | -683767.404199407 |
| DJI | 14 Sep 2012 | 13593.37 | -820060.033074282 |
| DJI | 17 Sep 2012 | 13553.10 | -866205.43529188 |
| DJI | 18 Sep 2012 | 13564.64 | -891149.563633173 |
| DJI | 19 Sep 2012 | 13577.96 | -904407.788062262 |
| DJI | 20 Sep 2012 | 13596.93 | -912586.371088695 |
| DJI | 21 Sep 2012 | 13579.47 | -904107.707349092 |
| DJI | 24 Sep 2012 | 13558.92 | -865001.306359731 |
| DJI | 25 Sep 2012 | 13457.55 | -796843.112479794 |
| DJI | 26 Sep 2012 | 13413.51 | -727242.787132865 |
| DJI | 27 Sep 2012 | 13485.97 | -688260.220234556 |
| DJI | 28 Sep 2012 | 13437.13 | -641695.775840377 |
| DJI | 01 Oct 2012 | 13515.11 | -608651.28756516 |
| DJI | 02 Oct 2012 | 13482.36 | -572532.852580269 |
| DJI | 03 Oct 2012 | 13494.61 | -543666.0996033 |
| DJI | 04 Oct 2012 | 13575.36 | -533112.319923992 |
| DJI | 05 Oct 2012 | 13610.15 | -528266.52520419 |
| DJI | 08 Oct 2012 | 13583.65 | -512421.166296604 |
| DJI | 09 Oct 2012 | 13473.53 | -479867.015023091 |
| DJI | 10 Oct 2012 | 13344.97 | -432278.517487333 |
| DJI | 11 Oct 2012 | 13326.39 | -388812.392385628 |
| DJI | 12 Oct 2012 | 13328.85 | -351505.520000139 |
| DJI | 15 Oct 2012 | 13424.23 | -326855.07786557 |
| DJI | 16 Oct 2012 | 13551.78 | -320977.559708114 |
| DJI | 17 Oct 2012 | 13557.00 | -315715.159740371 |
| DJI | 18 Oct 2012 | 13548.94 | -309532.33622574 |
| DJI | 19 Oct 2012 | 13343.51 | -282622.573028647 |
| DJI | 22 Oct 2012 | 13345.89 | -256077.921588017 |
| DJI | 23 Oct 2012 | 13102.53 | -209617.30814369 |
| DJI | 24 Oct 2012 | 13077.34 | -167074.626377353 |
| DJI | 25 Oct 2012 | 13103.68 | -132248.726298971 |
| DJI | 26 Oct 2012 | 13107.21 | -102001.494866316 |
Notice that in the previous example that the interval between dates is unequal because there are no prices for the weekends and holidays. Additionally, since we start so far away from the origin, the intercept value is misleading. To eliminate both problems, we can use the RANK function which will have the effect of equally spacing the x-values and starting almost at the point of origin.
SELECT ticker,
cast(convert(varchar, date_trade, 106) as char(11)) as [trade date],
price_close as [Closing Price],
wct.RunningINTERCEPT(
price_close,
RANK() over (ORDER BY date_trade ASC),
ROW_NUMBER() over (ORDER BY date_trade ASC),
NULL
) as [INTERCEPT]
FROM #p
WHERE ticker = 'DJI'
ORDER BY date_trade ASC;
This produces the following result.
| ticker | trade date | Closing Price | INTERCEPT |
|---|---|---|---|
| DJI | 24 Aug 2012 | 13157.97 | NULL |
| DJI | 27 Aug 2012 | 13124.67 | 13191.27 |
| DJI | 28 Aug 2012 | 13102.99 | 13183.5233333333 |
| DJI | 29 Aug 2012 | 13107.48 | 13166.565 |
| DJI | 30 Aug 2012 | 13000.71 | 13198.277 |
| DJI | 31 Aug 2012 | 13090.84 | 13167.7473333333 |
| DJI | 04 Sep 2012 | 13035.94 | 13165.2328571429 |
| DJI | 05 Sep 2012 | 13047.48 | 13156.3832142857 |
| DJI | 06 Sep 2012 | 13292.00 | 13093.8580555555 |
| DJI | 07 Sep 2012 | 13306.64 | 13056.4286666667 |
| DJI | 10 Sep 2012 | 13254.29 | 13045.9969090909 |
| DJI | 11 Sep 2012 | 13323.36 | 13030.5286363636 |
| DJI | 12 Sep 2012 | 13333.35 | 13021.8388461538 |
| DJI | 13 Sep 2012 | 13539.86 | 12989.4581318681 |
| DJI | 14 Sep 2012 | 13593.37 | 12963.5111428571 |
| DJI | 17 Sep 2012 | 13553.10 | 12954.11725 |
| DJI | 18 Sep 2012 | 13564.64 | 12949.91125 |
| DJI | 19 Sep 2012 | 13577.96 | 12949.1502614379 |
| DJI | 20 Sep 2012 | 13596.93 | 12950.2254385965 |
| DJI | 21 Sep 2012 | 13579.47 | 12956.2409473684 |
| DJI | 24 Sep 2012 | 13558.92 | 12966.0641904762 |
| DJI | 25 Sep 2012 | 13457.55 | 12985.9258441558 |
| DJI | 26 Sep 2012 | 13413.51 | 13008.1054940711 |
| DJI | 27 Sep 2012 | 13485.97 | 13022.0994202899 |
| DJI | 28 Sep 2012 | 13437.13 | 13039.3544 |
| DJI | 01 Oct 2012 | 13515.11 | 13049.2333230769 |
| DJI | 02 Oct 2012 | 13482.36 | 13061.4300569801 |
| DJI | 03 Oct 2012 | 13494.61 | 13072.1552380952 |
| DJI | 04 Oct 2012 | 13575.36 | 13076.8990640394 |
| DJI | 05 Oct 2012 | 13610.15 | 13079.8478390804 |
| DJI | 08 Oct 2012 | 13583.65 | 13085.2725806452 |
| DJI | 09 Oct 2012 | 13473.53 | 13097.9174596774 |
| DJI | 10 Oct 2012 | 13344.97 | 13117.5564772727 |
| DJI | 11 Oct 2012 | 13326.39 | 13136.418342246 |
| DJI | 12 Oct 2012 | 13328.85 | 13153.3349747899 |
| DJI | 15 Oct 2012 | 13424.23 | 13163.3785396825 |
| DJI | 16 Oct 2012 | 13551.78 | 13165.8484684685 |
| DJI | 17 Oct 2012 | 13557.00 | 13168.3361593172 |
| DJI | 18 Oct 2012 | 13548.94 | 13171.5099055331 |
| DJI | 19 Oct 2012 | 13343.51 | 13185.1257307692 |
| DJI | 22 Oct 2012 | 13345.89 | 13197.5068414634 |
| DJI | 23 Oct 2012 | 13102.53 | 13220.4840882695 |
| DJI | 24 Oct 2012 | 13077.34 | 13242.3903654485 |
| DJI | 25 Oct 2012 | 13103.68 | 13260.9565750529 |
| DJI | 26 Oct 2012 | 13107.21 | 13277.5754545455 |
In this example, we calculate the intercept for each of the three indices and compare them side-by-side.
SELECT cast(convert(varchar, p1.date_trade, 106) as char(11)) as [trade date],
p1.price_close as [S&P],
p2.price_close as [DJIA],
p3.price_close as [NASDAQ],
ROUND(
wct.RunningINTERCEPT(
p1.price_close,
RANK() over (ORDER BY p1.date_trade ASC),
ROW_NUMBER() over (ORDER BY p1.date_trade
ASC),
1
),
2
) as [S&P b],
ROUND(
wct.RunningINTERCEPT(
p2.price_close,
RANK() over (ORDER BY p2.date_trade ASC),
ROW_NUMBER() over (ORDER BY p2.date_trade
ASC),
2
),
2
) as [DJIA b],
ROUND(
wct.RunningINTERCEPT(
p3.price_close,
RANK() over (ORDER BY p3.date_trade ASC),
ROW_NUMBER() over (ORDER BY p3.date_trade
ASC),
3
),
2
) as [NASDAQ b]
FROM #p p1
JOIN #p p2
ON p2.date_trade = p1.date_trade
AND p2.ticker = 'DJI'
JOIN #p p3
ON p3.date_trade = p1.date_trade
AND p3.ticker = 'IXIC'
WHERE p1.ticker = 'GSPC';
This produces the following result.
| trade date | S&P | DJIA | NASDAQ | S&P b | DJIA b | NASDAQ b |
|---|---|---|---|---|---|---|
| 24 Aug 2012 | 1411.13 | 13157.97 | 3069.79 | NULL | NULL | NULL |
| 27 Aug 2012 | 1410.44 | 13124.67 | 3073.19 | 1411.82 | 13191.3 | 3066.39 |
| 28 Aug 2012 | 1409.30 | 13102.99 | 3077.14 | 1412.12 | 13183.5 | 3066.02 |
| 29 Aug 2012 | 1410.49 | 13107.48 | 3081.19 | 1411.11 | 13166.6 | 3065.79 |
| 30 Aug 2012 | 1399.48 | 13000.71 | 3048.71 | 1415.14 | 13198.3 | 3080.25 |
| 31 Aug 2012 | 1406.58 | 13090.84 | 3066.96 | 1413.35 | 13167.8 | 3077.85 |
| 04 Sep 2012 | 1404.94 | 13035.94 | 3075.06 | 1412.64 | 13165.2 | 3073.87 |
| 05 Sep 2012 | 1403.44 | 13047.48 | 3069.27 | 1412.36 | 13156.4 | 3073.23 |
| 06 Sep 2012 | 1432.12 | 13292.00 | 3135.81 | 1405.57 | 13093.9 | 3057.96 |
| 07 Sep 2012 | 1437.92 | 13306.64 | 3136.42 | 1400.78 | 13056.4 | 3050.07 |
| 10 Sep 2012 | 1429.08 | 13254.29 | 3104.02 | 1399.93 | 13046 | 3052.36 |
| 11 Sep 2012 | 1433.56 | 13323.36 | 3104.53 | 1399.04 | 13030.5 | 3054.63 |
| 12 Sep 2012 | 1436.56 | 13333.35 | 3114.31 | 1398.4 | 13021.8 | 3055.36 |
| 13 Sep 2012 | 1459.99 | 13539.86 | 3155.83 | 1395 | 12989.5 | 3050.6 |
| 14 Sep 2012 | 1465.77 | 13593.37 | 3183.95 | 1392.33 | 12963.5 | 3044.32 |
| 17 Sep 2012 | 1461.19 | 13553.10 | 3178.67 | 1391.49 | 12954.1 | 3041.39 |
| 18 Sep 2012 | 1459.32 | 13564.64 | 3177.80 | 1391.57 | 12949.9 | 3040.23 |
| 19 Sep 2012 | 1461.05 | 13577.96 | 3182.62 | 1391.88 | 12949.2 | 3039.69 |
| 20 Sep 2012 | 1460.26 | 13596.93 | 3175.96 | 1392.62 | 12950.2 | 3040.79 |
| 21 Sep 2012 | 1460.15 | 13579.47 | 3179.96 | 1393.58 | 12956.2 | 3041.99 |
| 24 Sep 2012 | 1456.89 | 13558.92 | 3160.78 | 1394.99 | 12966.1 | 3045.45 |
| 25 Sep 2012 | 1441.59 | 13457.55 | 3117.73 | 1397.81 | 12985.9 | 3052.71 |
| 26 Sep 2012 | 1433.32 | 13413.51 | 3093.70 | 1401.04 | 13008.1 | 3061.09 |
| 27 Sep 2012 | 1447.15 | 13485.97 | 3136.60 | 1402.71 | 13022.1 | 3064.64 |
| 28 Sep 2012 | 1440.67 | 13437.13 | 3116.23 | 1404.79 | 13039.4 | 3069.5 |
| 01 Oct 2012 | 1444.49 | 13515.11 | 3113.53 | 1406.36 | 13049.2 | 3073.98 |
| 02 Oct 2012 | 1445.75 | 13482.36 | 3120.04 | 1407.73 | 13061.4 | 3077.44 |
| 03 Oct 2012 | 1450.99 | 13494.61 | 3135.23 | 1408.63 | 13072.2 | 3079.45 |
| 04 Oct 2012 | 1461.40 | 13575.36 | 3149.46 | 1408.79 | 13076.9 | 3080.34 |
| 05 Oct 2012 | 1460.93 | 13610.15 | 3136.19 | 1409.08 | 13079.9 | 3082.15 |
| 08 Oct 2012 | 1455.88 | 13583.65 | 3112.35 | 1409.78 | 13085.3 | 3085.39 |
| 09 Oct 2012 | 1441.48 | 13473.53 | 3065.02 | 1411.38 | 13097.9 | 3091.24 |
| 10 Oct 2012 | 1432.56 | 13344.97 | 3051.78 | 1413.39 | 13117.6 | 3097.15 |
| 11 Oct 2012 | 1432.84 | 13326.39 | 3049.41 | 1415.18 | 13136.4 | 3102.43 |
| 12 Oct 2012 | 1428.59 | 13328.85 | 3044.11 | 1417.05 | 13153.3 | 3107.33 |
| 15 Oct 2012 | 1440.13 | 13424.23 | 3064.18 | 1418.08 | 13163.4 | 3110.48 |
| 16 Oct 2012 | 1454.92 | 13551.78 | 3101.17 | 1418.24 | 13165.9 | 3111.23 |
| 17 Oct 2012 | 1460.91 | 13557.00 | 3104.12 | 1418.13 | 13168.3 | 3111.72 |
| 18 Oct 2012 | 1457.34 | 13548.94 | 3072.87 | 1418.26 | 13171.5 | 3113.76 |
| 19 Oct 2012 | 1433.19 | 13343.51 | 3005.62 | 1419.64 | 13185.1 | 3118.91 |
| 22 Oct 2012 | 1433.81 | 13345.89 | 3016.96 | 1420.87 | 13197.5 | 3122.87 |
| 23 Oct 2012 | 1413.11 | 13102.53 | 2990.46 | 1422.98 | 13220.5 | 3127.6 |
| 24 Oct 2012 | 1408.75 | 13077.34 | 2981.70 | 1425.1 | 13242.4 | 3132.15 |
| 25 Oct 2012 | 1412.97 | 13103.68 | 2986.12 | 1426.81 | 13261 | 3135.93 |
| 26 Oct 2012 | 1411.94 | 13107.21 | 2987.95 | 1428.41 | 13277.6 | 3139.14 |