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C00ldudeNoonanC00ldudeNoonan
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linting and formatting
1 parent ccdd676 commit a7b779e

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Lines changed: 543 additions & 513 deletions

‎.sqlfluff‎

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[sqlfluff]
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dialect = duckdb
3+
templater = dbt
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# Allow longer lines for complex SQL (default is 80)
5+
max_line_length = 120
6+
7+
[sqlfluff:templater:dbt]
8+
project_dir = dbt_project
9+
profiles_dir = dbt_project
10+
profile = econ_database
11+
12+
[sqlfluff:rules:layout.long_lines]
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# Ignore long lines in comments and certain clauses
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ignore_comment_lines = True
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ignore_comment_clauses = True
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‎dbt_project/.sqlfluff‎

Lines changed: 2 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -1,9 +1,6 @@
11
[sqlfluff]
22
dialect = duckdb
3-
templater = dbt
3+
# Note: templater setting must be in root .sqlfluff file, not in subdirectories
44

5-
[sqlfluff:templater:dbt]
6-
project_dir = .
7-
profiles_dir = .
8-
profile = econ_database
5+
# Additional SQLFluff rules can be specified here if needed
96

‎dbt_project/models/analysis/leading_econ_return_indicator.sql‎

Lines changed: 148 additions & 110 deletions
Original file line numberDiff line numberDiff line change
@@ -7,132 +7,170 @@
77

88
-- Analysis of Economic Data Rate of Change vs Future Stock Returns
99
WITH economic_changes AS (
10-
SELECT
11-
bha.symbol,
12-
bha.month_date,
13-
bha.series_name,
14-
bha.category,
15-
fsm.category as economic_category,
16-
bha.value as current_econ_value,
17-
bha.monthly_avg_close,
18-
bha.pct_change_q1_forward,
19-
bha.pct_change_q2_forward,
20-
bha.pct_change_q3_forward,
21-
22-
-- Calculate month-over-month change in economic data
23-
LAG(bha.value, 1) OVER (PARTITION BY bha.symbol, bha.series_name ORDER BY bha.month_date) as prev_econ_value,
24-
25-
-- Calculate rate of change (month-over-month %)
26-
CASE
27-
WHEN LAG(bha.value, 1) OVER (PARTITION BY bha.symbol, bha.series_name ORDER BY bha.month_date) IS NOT NULL
28-
AND LAG(bha.value, 1) OVER (PARTITION BY bha.symbol, bha.series_name ORDER BY bha.month_date) != 0
29-
THEN ((bha.value - LAG(bha.value, 1) OVER (PARTITION BY bha.symbol, bha.series_name ORDER BY bha.month_date)) /
30-
LAG(bha.value, 1) OVER (PARTITION BY bha.symbol, bha.series_name ORDER BY bha.month_date)) * 100
31-
ELSE NULL
32-
END as econ_mom_change_pct,
33-
34-
-- Calculate 3-month rolling average of economic change
35-
AVG(bha.value) OVER (
36-
PARTITION BY bha.symbol, bha.series_name
37-
ORDER BY bha.month_date
38-
ROWS BETWEEN 2 PRECEDING AND CURRENT ROW
39-
) as econ_3mo_avg
40-
41-
FROM {{ ref('base_historical_analysis') }} bha
42-
LEFT JOIN {{ ref('fred_series_mapping') }} fsm
43-
ON bha.series_name = fsm.series_name
44-
WHERE bha.value IS NOT NULL
10+
SELECT
11+
bha.symbol,
12+
bha.month_date,
13+
bha.series_name,
14+
bha.category,
15+
fsm.category AS economic_category,
16+
bha.value AS current_econ_value,
17+
bha.monthly_avg_close,
18+
bha.pct_change_q1_forward,
19+
bha.pct_change_q2_forward,
20+
bha.pct_change_q3_forward,
21+
22+
-- Calculate month-over-month change in economic data
23+
LAG(bha.value, 1)
24+
OVER (
25+
PARTITION BY bha.symbol, bha.series_name ORDER BY bha.month_date
26+
)
27+
AS prev_econ_value,
28+
29+
-- Calculate rate of change (month-over-month %)
30+
CASE
31+
WHEN
32+
LAG(bha.value, 1)
33+
OVER (
34+
PARTITION BY bha.symbol, bha.series_name
35+
ORDER BY bha.month_date
36+
)
37+
IS NOT NULL
38+
AND LAG(bha.value, 1)
39+
OVER (
40+
PARTITION BY bha.symbol, bha.series_name
41+
ORDER BY bha.month_date
42+
)
43+
!= 0
44+
THEN (
45+
(
46+
bha.value
47+
- LAG(bha.value, 1)
48+
OVER (
49+
PARTITION BY bha.symbol, bha.series_name
50+
ORDER BY bha.month_date
51+
)
52+
)
53+
/ LAG(bha.value, 1)
54+
OVER (
55+
PARTITION BY bha.symbol, bha.series_name
56+
ORDER BY bha.month_date
57+
)
58+
) * 100
59+
END AS econ_mom_change_pct,
60+
61+
-- Calculate 3-month rolling average of economic change
62+
AVG(bha.value) OVER (
63+
PARTITION BY bha.symbol, bha.series_name
64+
ORDER BY bha.month_date
65+
ROWS BETWEEN 2 PRECEDING AND CURRENT ROW
66+
) AS econ_3mo_avg
67+
68+
FROM {{ ref('base_historical_analysis') }} AS bha
69+
LEFT JOIN {{ ref('fred_series_mapping') }} AS fsm
70+
ON bha.series_name = fsm.series_name
71+
WHERE bha.value IS NOT NULL
4572
),
4673

4774
correlation_analysis AS (
48-
SELECT
49-
symbol,
50-
series_name,
51-
category,
52-
economic_category,
53-
54-
-- Basic correlation metrics between economic change and future returns
55-
COUNT(*) as observation_count,
56-
57-
-- Correlation between economic MoM change and Q1 forward returns
58-
CORR(econ_mom_change_pct, pct_change_q1_forward) as corr_econ_q1_returns,
59-
CORR(econ_mom_change_pct, pct_change_q2_forward) as corr_econ_q2_returns,
60-
CORR(econ_mom_change_pct, pct_change_q3_forward) as corr_econ_q3_returns,
61-
62-
-- Average returns when economic data is growing vs declining
63-
AVG(CASE WHEN econ_mom_change_pct > 0 THEN pct_change_q1_forward END) as avg_q1_return_when_econ_growing,
64-
AVG(CASE WHEN econ_mom_change_pct < 0 THEN pct_change_q1_forward END) as avg_q1_return_when_econ_declining,
65-
66-
-- Standard deviations
67-
STDDEV(econ_mom_change_pct) as econ_change_volatility,
68-
STDDEV(pct_change_q1_forward) as q1_return_volatility,
69-
70-
-- Economic data statistics
71-
AVG(econ_mom_change_pct) as avg_econ_change_pct,
72-
MIN(econ_mom_change_pct) as min_econ_change_pct,
73-
MAX(econ_mom_change_pct) as max_econ_change_pct
74-
75-
FROM economic_changes
76-
WHERE econ_mom_change_pct IS NOT NULL
77-
GROUP BY symbol, series_name, category, economic_category
75+
SELECT
76+
symbol,
77+
series_name,
78+
category,
79+
economic_category,
80+
81+
-- Basic correlation metrics between economic change and future returns
82+
COUNT(*) AS observation_count,
83+
84+
-- Correlation between economic MoM change and Q1 forward returns
85+
CORR(econ_mom_change_pct, pct_change_q1_forward)
86+
AS corr_econ_q1_returns,
87+
CORR(econ_mom_change_pct, pct_change_q2_forward)
88+
AS corr_econ_q2_returns,
89+
CORR(econ_mom_change_pct, pct_change_q3_forward)
90+
AS corr_econ_q3_returns,
91+
92+
-- Average returns when economic data is growing vs declining
93+
AVG(CASE WHEN econ_mom_change_pct > 0 THEN pct_change_q1_forward END)
94+
AS avg_q1_return_when_econ_growing,
95+
AVG(CASE WHEN econ_mom_change_pct < 0 THEN pct_change_q1_forward END)
96+
AS avg_q1_return_when_econ_declining,
97+
98+
-- Standard deviations
99+
STDDEV(econ_mom_change_pct) AS econ_change_volatility,
100+
STDDEV(pct_change_q1_forward) AS q1_return_volatility,
101+
102+
-- Economic data statistics
103+
AVG(econ_mom_change_pct) AS avg_econ_change_pct,
104+
MIN(econ_mom_change_pct) AS min_econ_change_pct,
105+
MAX(econ_mom_change_pct) AS max_econ_change_pct
106+
107+
FROM economic_changes
108+
WHERE econ_mom_change_pct IS NOT NULL
109+
GROUP BY symbol, series_name, category, economic_category
78110
),
79111

80112
detailed_monthly_view AS (
81-
SELECT
113+
SELECT
114+
symbol,
115+
month_date,
116+
series_name,
117+
category,
118+
economic_category,
119+
econ_mom_change_pct,
120+
pct_change_q1_forward,
121+
pct_change_q2_forward,
122+
pct_change_q3_forward,
123+
124+
-- Quintile ranking of economic changes
125+
NTILE(5)
126+
OVER (PARTITION BY symbol, series_name ORDER BY econ_mom_change_pct)
127+
AS econ_change_quintile,
128+
129+
-- Lead/lag analysis - how does economic data relate to past and future returns
130+
LAG(pct_change_q1_forward, 1)
131+
OVER (PARTITION BY symbol ORDER BY month_date)
132+
AS prev_month_q1_return,
133+
LEAD(pct_change_q1_forward, 1)
134+
OVER (PARTITION BY symbol ORDER BY month_date)
135+
AS next_month_q1_return
136+
137+
FROM economic_changes
138+
WHERE econ_mom_change_pct IS NOT NULL
139+
)
140+
141+
-- Main Results: Show correlations and key insights
142+
SELECT
143+
'Correlation Analysis' AS analysis_type,
82144
symbol,
83-
month_date,
84145
series_name,
85146
category,
86147
economic_category,
87-
econ_mom_change_pct,
88-
pct_change_q1_forward,
89-
pct_change_q2_forward,
90-
pct_change_q3_forward,
91-
92-
-- Quintile ranking of economic changes
93-
NTILE(5) OVER (PARTITION BY symbol, series_name ORDER BY econ_mom_change_pct) as econ_change_quintile,
94-
95-
-- Lead/lag analysis - how does economic data relate to past and future returns
96-
LAG(pct_change_q1_forward, 1) OVER (PARTITION BY symbol ORDER BY month_date) as prev_month_q1_return,
97-
LEAD(pct_change_q1_forward, 1) OVER (PARTITION BY symbol ORDER BY month_date) as next_month_q1_return
98-
99-
FROM economic_changes
100-
WHERE econ_mom_change_pct IS NOT NULL
101-
)
102-
103-
-- Main Results: Show correlations and key insights
104-
SELECT
105-
'Correlation Analysis' as analysis_type,
106-
symbol,
107-
series_name,
108-
category,
109-
economic_category,
110-
observation_count,
111-
ROUND(corr_econ_q1_returns, 4) as correlation_econ_vs_q1_returns,
112-
ROUND(corr_econ_q2_returns, 4) as correlation_econ_vs_q2_returns,
113-
ROUND(corr_econ_q3_returns, 4) as correlation_econ_vs_q3_returns,
114-
ROUND(avg_q1_return_when_econ_growing, 2) as avg_q1_return_econ_up,
115-
ROUND(avg_q1_return_when_econ_declining, 2) as avg_q1_return_econ_down,
116-
ROUND(avg_q1_return_when_econ_declining, 2) as return_difference
148+
observation_count,
149+
ROUND(corr_econ_q1_returns, 4) AS correlation_econ_vs_q1_returns,
150+
ROUND(corr_econ_q2_returns, 4) AS correlation_econ_vs_q2_returns,
151+
ROUND(corr_econ_q3_returns, 4) AS correlation_econ_vs_q3_returns,
152+
ROUND(avg_q1_return_when_econ_growing, 2) AS avg_q1_return_econ_up,
153+
ROUND(avg_q1_return_when_econ_declining, 2) AS avg_q1_return_econ_down,
154+
ROUND(avg_q1_return_when_econ_declining, 2) AS return_difference
117155
FROM correlation_analysis
118156
WHERE observation_count >= 10 -- Filter for meaningful sample sizes
119157

120158
UNION ALL
121159

122160
-- Quintile Analysis: Performance by economic data change quintiles
123-
SELECT
124-
'Quintile Analysis' as analysis_type,
125-
symbol,
126-
series_name,
127-
category,
128-
economic_category,
129-
NULL as observation_count,
130-
econ_change_quintile as correlation_econ_vs_q1_returns,
131-
NULL as correlation_econ_vs_q2_returns,
132-
NULL as correlation_econ_vs_q3_returns,
133-
ROUND(AVG(pct_change_q1_forward), 2) as avg_q1_return_econ_up,
134-
COUNT(*) as avg_q1_return_econ_down,
135-
ROUND(AVG(econ_mom_change_pct), 2) as return_difference
161+
SELECT
162+
'Quintile Analysis' AS analysis_type,
163+
symbol,
164+
series_name,
165+
category,
166+
economic_category,
167+
NULL AS observation_count,
168+
econ_change_quintile AS correlation_econ_vs_q1_returns,
169+
NULL AS correlation_econ_vs_q2_returns,
170+
NULL AS correlation_econ_vs_q3_returns,
171+
ROUND(AVG(pct_change_q1_forward), 2) AS avg_q1_return_econ_up,
172+
COUNT(*) AS avg_q1_return_econ_down,
173+
ROUND(AVG(econ_mom_change_pct), 2) AS return_difference
136174
FROM detailed_monthly_view
137175
GROUP BY symbol, series_name, category, economic_category, econ_change_quintile
138176
HAVING COUNT(*) >= 3

‎dbt_project/models/commodities/agriculture_commodities_analysis_return.sql‎

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Original file line numberDiff line numberDiff line change
@@ -109,4 +109,3 @@ SELECT
109109
) AS pct_change_q4_forward
110110
FROM with_forward_quarters
111111
ORDER BY commodity_name, commodity_unit, month_date
112-

‎dbt_project/models/commodities/agriculture_commodities_summary.sql‎

Lines changed: 18 additions & 14 deletions
Original file line numberDiff line numberDiff line change
@@ -15,10 +15,11 @@ WITH base_data AS (
1515
) AS price_change,
1616
-- Calculate percentage changes
1717
CASE
18-
WHEN LAG(price) OVER (
19-
PARTITION BY commodity_name
20-
ORDER BY date
21-
) > 0
18+
WHEN
19+
LAG(price) OVER (
20+
PARTITION BY commodity_name
21+
ORDER BY date
22+
) > 0
2223
THEN (
2324
(price - LAG(price) OVER (
2425
PARTITION BY commodity_name
@@ -32,9 +33,10 @@ WITH base_data AS (
3233
* 100
3334
END AS pct_change
3435
FROM {{ ref('stg_agriculture_commodities') }}
35-
WHERE price IS NOT NULL
36-
AND date IS NOT NULL
37-
AND price > 0
36+
WHERE
37+
price IS NOT NULL
38+
AND date IS NOT NULL
39+
AND price > 0
3840
),
3941

4042
-- Define date boundaries for different periods
@@ -60,8 +62,9 @@ filtered_data AS (
6062
END AS time_period
6163
FROM base_data AS bd
6264
CROSS JOIN date_boundaries AS db
63-
WHERE bd.trade_date >= db.five_years_ago
64-
AND bd.price_change IS NOT NULL
65+
WHERE
66+
bd.trade_date >= db.five_years_ago
67+
AND bd.price_change IS NOT NULL
6568
),
6669

6770
-- Get first and last prices for each period
@@ -138,11 +141,13 @@ combined_results AS (
138141
ep.period_end_price
139142
FROM aggregated_results AS ar
140143
LEFT JOIN start_prices AS sp
141-
ON ar.commodity_name = sp.commodity_name
142-
AND ar.time_period = sp.time_period
144+
ON
145+
ar.commodity_name = sp.commodity_name
146+
AND ar.time_period = sp.time_period
143147
LEFT JOIN end_prices AS ep
144-
ON ar.commodity_name = ep.commodity_name
145-
AND ar.time_period = ep.time_period
148+
ON
149+
ar.commodity_name = ep.commodity_name
150+
AND ar.time_period = ep.time_period
146151
),
147152

148153
-- Calculate final metrics
@@ -188,4 +193,3 @@ SELECT
188193
ROUND(period_end_price, 2) AS period_end_price
189194
FROM final_metrics
190195
ORDER BY time_period, commodity_name
191-

‎dbt_project/models/commodities/energy_commodities_analysis_return.sql‎

Lines changed: 0 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -109,4 +109,3 @@ SELECT
109109
) AS pct_change_q4_forward
110110
FROM with_forward_quarters
111111
ORDER BY commodity_name, commodity_unit, month_date
112-

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