SQL Server RunningVOLATILITY Function

Updated 2023-11-14 15:47:50.397000

Description

Use the scalar function RunningVOLATILITY to calculate the historical volatility based upon price or valuation data from column values in an ordered resultant table, without the need for a self-join. The volatility is calculated for each value from the first value in the set to the last value in the set. If the column values are presented to the functions out of order, an error message will be generated.

The historic volatility is calculated as the sample standard deviation of the natural logarithm of the returns multiplied by the square of the scaling factor supplied to the function.

Syntax

SELECT [westclintech].[wct].[RunningVOLATILITY](
  <@Price, float,>
 ,<@Scale, float,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>)

Arguments

@Price

the price passed into the function. Generally, price is the end-of-day price for the security, commodity, currency, or index for which the volatility is being calculated. @Price is an expression of type float or of a type that can be implicitly converted to float.

@Scale

the scaling factor used in the calculation. @Scale 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 RunningVOLATILITY calculation. @Id allows you to specify multiple moving sums 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.

To calculate the moving volatility over a window in a dataset or partition, use the MovingVOLATILITY function.

If @RowNum is equal to 1, RunningVOLATILITY is equal to NULL.

@RowNum must be in ascending order.

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 calculate the running volatility from the 2013-09-30 to 2013-12-27.

SELECT ticker,
       tdate,
       CAST(price as money) as price,
       wct.RunningVOLATILITY(   price,                              --@Price
                                252,                                --@Scale
                                ROW_NUMBER() OVER (ORDER BY tdate), --@RowNum
                                NULL                                --@Id
                            ) as VOL
FROM
(
    VALUES
        ('IBM', '2013-12-27', 185.08),
        ('IBM', '2013-12-26', 185.35),
        ('IBM', '2013-12-24', 183.22),
        ('IBM', '2013-12-23', 182.23),
        ('IBM', '2013-12-20', 180.02),
        ('IBM', '2013-12-19', 180.22),
        ('IBM', '2013-12-18', 178.7),
        ('IBM', '2013-12-17', 175.76),
        ('IBM', '2013-12-16', 177.85),
        ('IBM', '2013-12-13', 172.8),
        ('IBM', '2013-12-12', 173.37),
        ('IBM', '2013-12-11', 175.2),
        ('IBM', '2013-12-10', 177.12),
        ('IBM', '2013-12-09', 177.46),
        ('IBM', '2013-12-06', 177.67),
        ('IBM', '2013-12-05', 176.08),
        ('IBM', '2013-12-04', 175.74),
        ('IBM', '2013-12-03', 176.08),
        ('IBM', '2013-12-02', 177.48),
        ('IBM', '2013-11-29', 179.68),
        ('IBM', '2013-11-27', 178.97),
        ('IBM', '2013-11-26', 177.31),
        ('IBM', '2013-11-25', 178.94),
        ('IBM', '2013-11-22', 181.3),
        ('IBM', '2013-11-21', 184.13),
        ('IBM', '2013-11-20', 185.19),
        ('IBM', '2013-11-19', 185.25),
        ('IBM', '2013-11-18', 184.47),
        ('IBM', '2013-11-15', 183.19),
        ('IBM', '2013-11-14', 182.21),
        ('IBM', '2013-11-13', 183.55),
        ('IBM', '2013-11-12', 183.07),
        ('IBM', '2013-11-11', 182.88),
        ('IBM', '2013-11-08', 179.99),
        ('IBM', '2013-11-07', 180),
        ('IBM', '2013-11-06', 179.19),
        ('IBM', '2013-11-05', 176.9),
        ('IBM', '2013-11-04', 179.31),
        ('IBM', '2013-11-01', 178.27),
        ('IBM', '2013-10-31', 178.25),
        ('IBM', '2013-10-30', 179.19),
        ('IBM', '2013-10-29', 181.15),
        ('IBM', '2013-10-28', 176.4),
        ('IBM', '2013-10-25', 175.91),
        ('IBM', '2013-10-24', 176.85),
        ('IBM', '2013-10-23', 174.83),
        ('IBM', '2013-10-22', 174.04),
        ('IBM', '2013-10-21', 171.94),
        ('IBM', '2013-10-18', 172.85),
        ('IBM', '2013-10-17', 173.9),
        ('IBM', '2013-10-16', 185.73),
        ('IBM', '2013-10-15', 183.67),
        ('IBM', '2013-10-14', 185.97),
        ('IBM', '2013-10-11', 185.17),
        ('IBM', '2013-10-10', 183.78),
        ('IBM', '2013-10-09', 180.35),
        ('IBM', '2013-10-08', 177.77),
        ('IBM', '2013-10-07', 181.04),
        ('IBM', '2013-10-04', 183.12),
        ('IBM', '2013-10-03', 182.88),
        ('IBM', '2013-10-02', 183.97),
        ('IBM', '2013-10-01', 185.38),
        ('IBM', '2013-09-30', 184.19)
) n (ticker, tdate, price);

This produces the following result.

In this example, we calculate the running volatility for multiple securities.

SELECT ticker,
       tdate,
       CAST(price as money) as price,
       wct.RunningVOLATILITY(   price,                                           
                 --@Price
                                252,                                             
                                          --@Scale
                                ROW_NUMBER() OVER (PARTITION BY ticker ORDER BY 
                                          ticker, tdate), --@RowNum
                                NULL                                             
                                          --@Id
                            ) as VOL
FROM
(
    VALUES
        ('IBM', '2013-12-27', 185.08),
        ('IBM', '2013-12-26', 185.35),
        ('IBM', '2013-12-24', 183.22),
        ('IBM', '2013-12-23', 182.23),
        ('IBM', '2013-12-20', 180.02),
        ('IBM', '2013-12-19', 180.22),
        ('IBM', '2013-12-18', 178.7),
        ('IBM', '2013-12-17', 175.76),
        ('IBM', '2013-12-16', 177.85),
        ('IBM', '2013-12-13', 172.8),
        ('IBM', '2013-12-12', 173.37),
        ('IBM', '2013-12-11', 175.2),
        ('IBM', '2013-12-10', 177.12),
        ('IBM', '2013-12-09', 177.46),
        ('IBM', '2013-12-06', 177.67),
        ('IBM', '2013-12-05', 176.08),
        ('IBM', '2013-12-04', 175.74),
        ('IBM', '2013-12-03', 176.08),
        ('IBM', '2013-12-02', 177.48),
        ('IBM', '2013-11-29', 179.68),
        ('IBM', '2013-11-27', 178.97),
        ('IBM', '2013-11-26', 177.31),
        ('IBM', '2013-11-25', 178.94),
        ('IBM', '2013-11-22', 181.3),
        ('IBM', '2013-11-21', 184.13),
        ('IBM', '2013-11-20', 185.19),
        ('IBM', '2013-11-19', 185.25),
        ('IBM', '2013-11-18', 184.47),
        ('IBM', '2013-11-15', 183.19),
        ('IBM', '2013-11-14', 182.21),
        ('IBM', '2013-11-13', 183.55),
        ('IBM', '2013-11-12', 183.07),
        ('IBM', '2013-11-11', 182.88),
        ('IBM', '2013-11-08', 179.99),
        ('IBM', '2013-11-07', 180),
        ('IBM', '2013-11-06', 179.19),
        ('IBM', '2013-11-05', 176.9),
        ('IBM', '2013-11-04', 179.31),
        ('IBM', '2013-11-01', 178.27),
        ('IBM', '2013-10-31', 178.25),
        ('IBM', '2013-10-30', 179.19),
        ('IBM', '2013-10-29', 181.15),
        ('IBM', '2013-10-28', 176.4),
        ('IBM', '2013-10-25', 175.91),
        ('IBM', '2013-10-24', 176.85),
        ('IBM', '2013-10-23', 174.83),
        ('IBM', '2013-10-22', 174.04),
        ('IBM', '2013-10-21', 171.94),
        ('IBM', '2013-10-18', 172.85),
        ('IBM', '2013-10-17', 173.9),
        ('IBM', '2013-10-16', 185.73),
        ('IBM', '2013-10-15', 183.67),
        ('IBM', '2013-10-14', 185.97),
        ('IBM', '2013-10-11', 185.17),
        ('IBM', '2013-10-10', 183.78),
        ('IBM', '2013-10-09', 180.35),
        ('IBM', '2013-10-08', 177.77),
        ('IBM', '2013-10-07', 181.04),
        ('IBM', '2013-10-04', 183.12),
        ('IBM', '2013-10-03', 182.88),
        ('IBM', '2013-10-02', 183.97),
        ('IBM', '2013-10-01', 185.38),
        ('IBM', '2013-09-30', 184.19),
        ('FB', '2013-12-27', 55.44),
        ('FB', '2013-12-26', 57.73),
        ('FB', '2013-12-24', 57.96),
        ('FB', '2013-12-23', 57.77),
        ('FB', '2013-12-20', 55.12),
        ('FB', '2013-12-19', 55.05),
        ('FB', '2013-12-18', 55.57),
        ('FB', '2013-12-17', 54.86),
        ('FB', '2013-12-16', 53.81),
        ('FB', '2013-12-13', 53.32),
        ('FB', '2013-12-12', 51.83),
        ('FB', '2013-12-11', 49.38),
        ('FB', '2013-12-10', 50.25),
        ('FB', '2013-12-09', 48.84),
        ('FB', '2013-12-06', 47.94),
        ('FB', '2013-12-05', 48.34),
        ('FB', '2013-12-04', 48.62),
        ('FB', '2013-12-03', 46.73),
        ('FB', '2013-12-02', 47.06),
        ('FB', '2013-11-29', 47.01),
        ('FB', '2013-11-27', 46.49),
        ('FB', '2013-11-26', 45.89),
        ('FB', '2013-11-25', 44.82),
        ('FB', '2013-11-22', 46.23),
        ('FB', '2013-11-21', 46.7),
        ('FB', '2013-11-20', 46.43),
        ('FB', '2013-11-19', 46.36),
        ('FB', '2013-11-18', 45.83),
        ('FB', '2013-11-15', 49.01),
        ('FB', '2013-11-14', 48.99),
        ('FB', '2013-11-13', 48.71),
        ('FB', '2013-11-12', 46.61),
        ('FB', '2013-11-11', 46.2),
        ('FB', '2013-11-08', 47.53),
        ('FB', '2013-11-07', 47.56),
        ('FB', '2013-11-06', 49.12),
        ('FB', '2013-11-05', 50.11),
        ('FB', '2013-11-04', 48.22),
        ('FB', '2013-11-01', 49.75),
        ('FB', '2013-10-31', 50.21),
        ('FB', '2013-10-30', 49.01),
        ('FB', '2013-10-29', 49.4),
        ('FB', '2013-10-28', 50.23),
        ('FB', '2013-10-25', 51.95),
        ('FB', '2013-10-24', 52.45),
        ('FB', '2013-10-23', 51.9),
        ('FB', '2013-10-22', 52.68),
        ('FB', '2013-10-21', 53.85),
        ('FB', '2013-10-18', 54.22),
        ('FB', '2013-10-17', 52.21),
        ('FB', '2013-10-16', 51.14),
        ('FB', '2013-10-15', 49.5),
        ('FB', '2013-10-14', 49.51),
        ('FB', '2013-10-11', 49.11),
        ('FB', '2013-10-10', 49.05),
        ('FB', '2013-10-09', 46.77),
        ('FB', '2013-10-08', 47.14),
        ('FB', '2013-10-07', 50.52),
        ('FB', '2013-10-04', 51.04),
        ('FB', '2013-10-03', 49.18),
        ('FB', '2013-10-02', 50.28),
        ('FB', '2013-10-01', 50.42),
        ('FB', '2013-09-30', 50.23),
        ('ORCL', '2013-12-27', 37.98),
        ('ORCL', '2013-12-26', 37.69),
        ('ORCL', '2013-12-24', 37.32),
        ('ORCL', '2013-12-23', 36.93),
        ('ORCL', '2013-12-20', 36.37),
        ('ORCL', '2013-12-19', 36.6),
        ('ORCL', '2013-12-18', 34.6),
        ('ORCL', '2013-12-17', 33.63),
        ('ORCL', '2013-12-16', 33.54),
        ('ORCL', '2013-12-13', 33.23),
        ('ORCL', '2013-12-12', 33.6),
        ('ORCL', '2013-12-11', 34.56),
        ('ORCL', '2013-12-10', 34.8),
        ('ORCL', '2013-12-09', 35.6),
        ('ORCL', '2013-12-06', 35.48),
        ('ORCL', '2013-12-05', 34.85),
        ('ORCL', '2013-12-04', 35.07),
        ('ORCL', '2013-12-03', 35.07),
        ('ORCL', '2013-12-02', 35.08),
        ('ORCL', '2013-11-29', 35.29),
        ('ORCL', '2013-11-27', 35.29),
        ('ORCL', '2013-11-26', 34.93),
        ('ORCL', '2013-11-25', 34.78),
        ('ORCL', '2013-11-22', 34.83),
        ('ORCL', '2013-11-21', 34.94),
        ('ORCL', '2013-11-20', 34.75),
        ('ORCL', '2013-11-19', 34.76),
        ('ORCL', '2013-11-18', 34.93),
        ('ORCL', '2013-11-15', 34.92),
        ('ORCL', '2013-11-14', 34.38),
        ('ORCL', '2013-11-13', 35),
        ('ORCL', '2013-11-12', 34.7),
        ('ORCL', '2013-11-11', 34.37),
        ('ORCL', '2013-11-08', 34.35),
        ('ORCL', '2013-11-07', 34),
        ('ORCL', '2013-11-06', 34.07),
        ('ORCL', '2013-11-05', 33.5),
        ('ORCL', '2013-11-04', 33.71),
        ('ORCL', '2013-11-01', 33.53),
        ('ORCL', '2013-10-31', 33.5),
        ('ORCL', '2013-10-30', 33.53),
        ('ORCL', '2013-10-29', 33.71),
        ('ORCL', '2013-10-28', 33.14),
        ('ORCL', '2013-10-25', 33.15),
        ('ORCL', '2013-10-24', 33.07),
        ('ORCL', '2013-10-23', 32.7),
        ('ORCL', '2013-10-22', 32.9),
        ('ORCL', '2013-10-21', 32.95),
        ('ORCL', '2013-10-18', 32.9),
        ('ORCL', '2013-10-17', 32.87),
        ('ORCL', '2013-10-16', 33.02),
        ('ORCL', '2013-10-15', 32.75),
        ('ORCL', '2013-10-14', 33.28),
        ('ORCL', '2013-10-11', 33.26),
        ('ORCL', '2013-10-10', 32.99),
        ('ORCL', '2013-10-09', 32.19),
        ('ORCL', '2013-10-08', 32.37),
        ('ORCL', '2013-10-07', 32.84),
        ('ORCL', '2013-10-04', 33.21),
        ('ORCL', '2013-10-03', 33.12),
        ('ORCL', '2013-10-02', 33.56),
        ('ORCL', '2013-10-01', 33.38),
        ('ORCL', '2013-09-30', 33.05),
        ('MSFT', '2013-12-27', 37.29),
        ('MSFT', '2013-12-26', 37.44),
        ('MSFT', '2013-12-24', 37.08),
        ('MSFT', '2013-12-23', 36.62),
        ('MSFT', '2013-12-20', 36.8),
        ('MSFT', '2013-12-19', 36.25),
        ('MSFT', '2013-12-18', 36.58),
        ('MSFT', '2013-12-17', 36.52),
        ('MSFT', '2013-12-16', 36.89),
        ('MSFT', '2013-12-13', 36.69),
        ('MSFT', '2013-12-12', 37.22),
        ('MSFT', '2013-12-11', 37.61),
        ('MSFT', '2013-12-10', 38.11),
        ('MSFT', '2013-12-09', 38.71),
        ('MSFT', '2013-12-06', 38.36),
        ('MSFT', '2013-12-05', 38),
        ('MSFT', '2013-12-04', 38.94),
        ('MSFT', '2013-12-03', 38.31),
        ('MSFT', '2013-12-02', 38.45),
        ('MSFT', '2013-11-29', 38.13),
        ('MSFT', '2013-11-27', 37.6),
        ('MSFT', '2013-11-26', 37.35),
        ('MSFT', '2013-11-25', 37.64),
        ('MSFT', '2013-11-22', 37.57),
        ('MSFT', '2013-11-21', 37.4),
        ('MSFT', '2013-11-20', 37.08),
        ('MSFT', '2013-11-19', 36.74),
        ('MSFT', '2013-11-18', 36.92),
        ('MSFT', '2013-11-15', 37.56),
        ('MSFT', '2013-11-14', 37.73),
        ('MSFT', '2013-11-13', 37.87),
        ('MSFT', '2013-11-12', 37.08),
        ('MSFT', '2013-11-11', 37.31),
        ('MSFT', '2013-11-08', 37.5),
        ('MSFT', '2013-11-07', 37.22),
        ('MSFT', '2013-11-06', 37.89),
        ('MSFT', '2013-11-05', 36.36),
        ('MSFT', '2013-11-04', 35.67),
        ('MSFT', '2013-11-01', 35.26),
        ('MSFT', '2013-10-31', 35.14),
        ('MSFT', '2013-10-30', 35.27),
        ('MSFT', '2013-10-29', 35.25),
        ('MSFT', '2013-10-28', 35.3),
        ('MSFT', '2013-10-25', 35.46),
        ('MSFT', '2013-10-24', 33.47),
        ('MSFT', '2013-10-23', 33.51),
        ('MSFT', '2013-10-22', 34.32),
        ('MSFT', '2013-10-21', 34.73),
        ('MSFT', '2013-10-18', 34.7),
        ('MSFT', '2013-10-17', 34.66),
        ('MSFT', '2013-10-16', 34.38),
        ('MSFT', '2013-10-15', 34.23),
        ('MSFT', '2013-10-14', 34.19),
        ('MSFT', '2013-10-11', 33.87),
        ('MSFT', '2013-10-10', 33.51),
        ('MSFT', '2013-10-09', 32.82),
        ('MSFT', '2013-10-08', 32.76),
        ('MSFT', '2013-10-07', 33.05),
        ('MSFT', '2013-10-04', 33.62),
        ('MSFT', '2013-10-03', 33.61),
        ('MSFT', '2013-10-02', 33.66),
        ('MSFT', '2013-10-01', 33.33),
        ('MSFT', '2013-09-30', 33.03),
        ('AAPL', '2013-12-27', 560.09),
        ('AAPL', '2013-12-26', 563.9),
        ('AAPL', '2013-12-24', 567.67),
        ('AAPL', '2013-12-23', 570.09),
        ('AAPL', '2013-12-20', 549.02),
        ('AAPL', '2013-12-19', 544.46),
        ('AAPL', '2013-12-18', 550.77),
        ('AAPL', '2013-12-17', 554.99),
        ('AAPL', '2013-12-16', 557.5),
        ('AAPL', '2013-12-13', 554.43),
        ('AAPL', '2013-12-12', 560.54),
        ('AAPL', '2013-12-11', 561.36),
        ('AAPL', '2013-12-10', 565.55),
        ('AAPL', '2013-12-09', 566.43),
        ('AAPL', '2013-12-06', 560.02),
        ('AAPL', '2013-12-05', 567.9),
        ('AAPL', '2013-12-04', 565),
        ('AAPL', '2013-12-03', 566.32),
        ('AAPL', '2013-12-02', 551.23),
        ('AAPL', '2013-11-29', 556.07),
        ('AAPL', '2013-11-27', 545.96),
        ('AAPL', '2013-11-26', 533.4),
        ('AAPL', '2013-11-25', 523.74),
        ('AAPL', '2013-11-22', 519.8),
        ('AAPL', '2013-11-21', 521.14),
        ('AAPL', '2013-11-20', 515),
        ('AAPL', '2013-11-19', 519.55),
        ('AAPL', '2013-11-18', 518.63),
        ('AAPL', '2013-11-15', 524.99),
        ('AAPL', '2013-11-14', 528.16),
        ('AAPL', '2013-11-13', 520.63),
        ('AAPL', '2013-11-12', 520.01),
        ('AAPL', '2013-11-11', 519.05),
        ('AAPL', '2013-11-08', 520.56),
        ('AAPL', '2013-11-07', 512.49),
        ('AAPL', '2013-11-06', 520.92),
        ('AAPL', '2013-11-05', 522.4),
        ('AAPL', '2013-11-04', 523.69),
        ('AAPL', '2013-11-01', 517.01),
        ('AAPL', '2013-10-31', 519.67),
        ('AAPL', '2013-10-30', 521.85),
        ('AAPL', '2013-10-29', 513.68),
        ('AAPL', '2013-10-28', 526.8),
        ('AAPL', '2013-10-25', 522.91),
        ('AAPL', '2013-10-24', 528.82),
        ('AAPL', '2013-10-23', 521.91),
        ('AAPL', '2013-10-22', 516.85),
        ('AAPL', '2013-10-21', 518.33),
        ('AAPL', '2013-10-18', 505.94),
        ('AAPL', '2013-10-17', 501.57),
        ('AAPL', '2013-10-16', 498.2),
        ('AAPL', '2013-10-15', 495.79),
        ('AAPL', '2013-10-14', 493.16),
        ('AAPL', '2013-10-11', 489.95),
        ('AAPL', '2013-10-10', 486.8),
        ('AAPL', '2013-10-09', 483.77),
        ('AAPL', '2013-10-08', 478.15),
        ('AAPL', '2013-10-07', 484.92),
        ('AAPL', '2013-10-04', 480.23),
        ('AAPL', '2013-10-03', 480.6),
        ('AAPL', '2013-10-02', 486.72),
        ('AAPL', '2013-10-01', 485.13),
        ('AAPL', '2013-09-30', 473.98)
) n (ticker, tdate, price);

This produces the following result.

In this example, we use the same data as in the previous example, except that the data are no longer in 3^rd normal form. The closing prices for each of the 5 tickers are now stored in colums with each each date containing a 5 columns, one for each ticker. We can use the @Id variable to calculate the 5 running volatilities in a single select.

SELECT tdate,
       wct.RunningVOLATILITY(AAPL, 252, ROW_NUMBER() OVER (ORDER BY tdate), 0) as 
                 AAPL,
       wct.RunningVOLATILITY(FB, 252, ROW_NUMBER() OVER (ORDER BY tdate), 1) as 
                 FB,
       wct.RunningVOLATILITY(IBM, 252, ROW_NUMBER() OVER (ORDER BY tdate), 2) as 
                 IBM,
       wct.RunningVOLATILITY(MSFT, 252, ROW_NUMBER() OVER (ORDER BY tdate), 3) as 
                 MSFT,
       wct.RunningVOLATILITY(ORCL, 252, ROW_NUMBER() OVER (ORDER BY tdate), 4) as 
                 ORCL
FROM
(
    VALUES
        ('2013-09-30', 473.98, 50.23, 184.19, 33.03, 33.05),
        ('2013-10-01', 485.13, 50.42, 185.38, 33.33, 33.38),
        ('2013-10-02', 486.72, 50.28, 183.97, 33.66, 33.56),
        ('2013-10-03', 480.6, 49.18, 182.88, 33.61, 33.12),
        ('2013-10-04', 480.23, 51.04, 183.12, 33.62, 33.21),
        ('2013-10-07', 484.92, 50.52, 181.04, 33.05, 32.84),
        ('2013-10-08', 478.15, 47.14, 177.77, 32.76, 32.37),
        ('2013-10-09', 483.77, 46.77, 180.35, 32.82, 32.19),
        ('2013-10-10', 486.8, 49.05, 183.78, 33.51, 32.99),
        ('2013-10-11', 489.95, 49.11, 185.17, 33.87, 33.26),
        ('2013-10-14', 493.16, 49.51, 185.97, 34.19, 33.28),
        ('2013-10-15', 495.79, 49.5, 183.67, 34.23, 32.75),
        ('2013-10-16', 498.2, 51.14, 185.73, 34.38, 33.02),
        ('2013-10-17', 501.57, 52.21, 173.9, 34.66, 32.87),
        ('2013-10-18', 505.94, 54.22, 172.85, 34.7, 32.9),
        ('2013-10-21', 518.33, 53.85, 171.94, 34.73, 32.95),
        ('2013-10-22', 516.85, 52.68, 174.04, 34.32, 32.9),
        ('2013-10-23', 521.91, 51.9, 174.83, 33.51, 32.7),
        ('2013-10-24', 528.82, 52.45, 176.85, 33.47, 33.07),
        ('2013-10-25', 522.91, 51.95, 175.91, 35.46, 33.15),
        ('2013-10-28', 526.8, 50.23, 176.4, 35.3, 33.14),
        ('2013-10-29', 513.68, 49.4, 181.15, 35.25, 33.71),
        ('2013-10-30', 521.85, 49.01, 179.19, 35.27, 33.53),
        ('2013-10-31', 519.67, 50.21, 178.25, 35.14, 33.5),
        ('2013-11-01', 517.01, 49.75, 178.27, 35.26, 33.53),
        ('2013-11-04', 523.69, 48.22, 179.31, 35.67, 33.71),
        ('2013-11-05', 522.4, 50.11, 176.9, 36.36, 33.5),
        ('2013-11-06', 520.92, 49.12, 179.19, 37.89, 34.07),
        ('2013-11-07', 512.49, 47.56, 180, 37.22, 34),
        ('2013-11-08', 520.56, 47.53, 179.99, 37.5, 34.35),
        ('2013-11-11', 519.05, 46.2, 182.88, 37.31, 34.37),
        ('2013-11-12', 520.01, 46.61, 183.07, 37.08, 34.7),
        ('2013-11-13', 520.63, 48.71, 183.55, 37.87, 35),
        ('2013-11-14', 528.16, 48.99, 182.21, 37.73, 34.38),
        ('2013-11-15', 524.99, 49.01, 183.19, 37.56, 34.92),
        ('2013-11-18', 518.63, 45.83, 184.47, 36.92, 34.93),
        ('2013-11-19', 519.55, 46.36, 185.25, 36.74, 34.76),
        ('2013-11-20', 515, 46.43, 185.19, 37.08, 34.75),
        ('2013-11-21', 521.14, 46.7, 184.13, 37.4, 34.94),
        ('2013-11-22', 519.8, 46.23, 181.3, 37.57, 34.83),
        ('2013-11-25', 523.74, 44.82, 178.94, 37.64, 34.78),
        ('2013-11-26', 533.4, 45.89, 177.31, 37.35, 34.93),
        ('2013-11-27', 545.96, 46.49, 178.97, 37.6, 35.29),
        ('2013-11-29', 556.07, 47.01, 179.68, 38.13, 35.29),
        ('2013-12-02', 551.23, 47.06, 177.48, 38.45, 35.08),
        ('2013-12-03', 566.32, 46.73, 176.08, 38.31, 35.07),
        ('2013-12-04', 565, 48.62, 175.74, 38.94, 35.07),
        ('2013-12-05', 567.9, 48.34, 176.08, 38, 34.85),
        ('2013-12-06', 560.02, 47.94, 177.67, 38.36, 35.48),
        ('2013-12-09', 566.43, 48.84, 177.46, 38.71, 35.6),
        ('2013-12-10', 565.55, 50.25, 177.12, 38.11, 34.8),
        ('2013-12-11', 561.36, 49.38, 175.2, 37.61, 34.56),
        ('2013-12-12', 560.54, 51.83, 173.37, 37.22, 33.6),
        ('2013-12-13', 554.43, 53.32, 172.8, 36.69, 33.23),
        ('2013-12-16', 557.5, 53.81, 177.85, 36.89, 33.54),
        ('2013-12-17', 554.99, 54.86, 175.76, 36.52, 33.63),
        ('2013-12-18', 550.77, 55.57, 178.7, 36.58, 34.6),
        ('2013-12-19', 544.46, 55.05, 180.22, 36.25, 36.6),
        ('2013-12-20', 549.02, 55.12, 180.02, 36.8, 36.37),
        ('2013-12-23', 570.09, 57.77, 182.23, 36.62, 36.93),
        ('2013-12-24', 567.67, 57.96, 183.22, 37.08, 37.32),
        ('2013-12-26', 563.9, 57.73, 185.35, 37.44, 37.69),
        ('2013-12-27', 560.09, 55.44, 185.08, 37.29, 37.98)
) n (tdate, AAPL, FB, IBM, MSFT, ORCL);

This produces the following result.