statisticC可能是个因子

十面埋伏分析.js

@@ -10,12 +10,12 @@ async function readData() {
 }
 
 let realCountMap = {}
-function getRealDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
+function getRealDragonMap(kLinesMap, dayCount, BUY_LIMIT_RATE) {
   let realDragonMap = {}
   for (let symbol in kLinesMap) {
     let kLines = kLinesMap[symbol]
 
-    let index = kLines.length - (FIRST_FEW_DAYS + 1)
+    let index = kLines.length - (dayCount + 1)
     let kLine = kLines[index]
     let prevKline = kLines[index - 1]
 
@@ -25,7 +25,7 @@ function getRealDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
     let rate = 100 * (kLine.Close - kLine.Open) / kLine.Open
     if (rate > BUY_LIMIT_RATE) {
       kLine.Rate = rate
-      kLine.Profit = rate - BUY_LIMIT_RATE
+      kLine.Profit = NumKit.getSubFloat(rate - BUY_LIMIT_RATE, 2)
       realDragonMap[symbol] = kLine
 
       if (!realCountMap[symbol]) {
@@ -41,11 +41,11 @@ function getRealDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
 }
 
 let fakeCountMap = {}
-function getFakeDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
+function getFakeDragonMap(kLinesMap, dayCount, BUY_LIMIT_RATE) {
   let fakeDragonMap = {}
   for (let symbol in kLinesMap) {
     let kLines = kLinesMap[symbol]
-    let index = kLines.length - (FIRST_FEW_DAYS + 1)
+    let index = kLines.length - (dayCount + 1)
     let kLine = kLines[index]
     let prevKline = kLines[index - 1]
 
@@ -57,7 +57,8 @@ function getFakeDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
     if (maxRate > BUY_LIMIT_RATE && rate < BUY_LIMIT_RATE) {
       kLine.Rate = rate
       kLine.MaxRate = maxRate
-      kLine.Profit = rate > 0 ? rate - BUY_LIMIT_RATE : -BUY_LIMIT_RATE
+      // kLine.Profit = NumKit.getSubFloat(rate > 0 ? rate - BUY_LIMIT_RATE : -BUY_LIMIT_RATE, 2)
+      kLine.Profit = NumKit.getSubFloat(rate - BUY_LIMIT_RATE, 2)
       fakeDragonMap[symbol] = kLine
 
       if (!fakeCountMap[symbol]) {
@@ -72,24 +73,71 @@ function getFakeDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
   return fakeDragonMap
 }
 
-// 统计单日涨幅大于5%的有多少根k线
-// function statisticA(kLines, start, end) {
-//   let count = 0
-//
-//   for (let i = start >= 0 ? start : 0; i <= end; i++) {
-//     let kLine = kLines[i]
-//     let upRate = NumKit.getSubFloat(100 * (kLine.Close - kLine.Open) / kLine.Open, 2)
-//
-//     if (upRate > 5) {
-//       count += 1
-//     }
-//   }
-//
-//   return count
-// }
-
-function dragonAnalysis(dragonMap) {
-  
+// 统计过去7日累计涨幅，跟这个无关
+function statisticA(kLines, index) {
+  let startK = kLines[index - 7]
+  let endK = kLines[index - 1]
+
+  if (!startK || !endK) {
+    return 0
+  }
+
+  return NumKit.getSubFloat(100 * (endK.Close - startK.Open) / startK.Open, 2)
+}
+
+// 过去30天的平均振幅，跟这个无关
+function statisticB(kLines, index) {
+  let kCount = 0
+  let totalRiseAndFall = 0
+  for (let i = index - 1; i >= index - 30; i--) {
+    let kLine = kLines[i]
+
+    if (!kLines[i - 1]) break
+
+    kCount += 1
+    totalRiseAndFall += (100 * (kLine.High - kLine.Low) / kLine.Low)
+  }
+
+  if (kCount === 0) {
+    return 0
+  }
+
+  return NumKit.getSubFloat(totalRiseAndFall / kCount, 2)
+}
+
+// 过去30天的平均（High - Close），跟这个可能有关系
+// TODO 将最近一个月的所有二维数据（y为盈利，x为平均（High - Close），进行二维化展开分析）
+function statisticC(kLines, index) {
+  let kCount = 0
+  let totalRiseAndFall = 0
+  for (let i = index - 1; i >= index - 30; i--) {
+    let kLine = kLines[i]
+
+    if (!kLines[i - 1]) break
+
+    kCount += 1
+    totalRiseAndFall += (100 * (kLine.High - kLine.Close) / kLine.Close)
+  }
+
+  if (kCount === 0) {
+    return 0
+  }
+
+  return NumKit.getSubFloat(totalRiseAndFall / kCount, 2)
+}
+
+function dragonAnalysis(kLinesMap, dragonMap, dayCount) {
+  for (let symbol in dragonMap) {
+    let kLines = kLinesMap[symbol]
+    let index = kLines.length - (dayCount + 1)
+
+    logger.info(
+      `${symbol}的分析(${dragonMap[symbol].Profit}%)`
+      // + `前7日累计涨幅${statisticA(kLines, index)}%。`
+      // + `前30日平均振幅${statisticB(kLines, index)}%。`
+      + `前30日平均(High - Close)${statisticC(kLines, index)}%。`
+    )
+  }
 }
 
 async function main() {
@@ -100,25 +148,25 @@ async function main() {
   const BAKE_TEST_DAYS = 1            // 一共回测多少天
 
   let totalProfit = 0
-  for (let i = FIRST_FEW_DAYS; i < FIRST_FEW_DAYS + BAKE_TEST_DAYS; i++) {
+  for (let day_count = FIRST_FEW_DAYS; day_count < FIRST_FEW_DAYS + BAKE_TEST_DAYS; day_count++) {
     // 赚钱榜
     let realDragonProfit = 0
-    let realDragonMap = getRealDragonMap(kLinesMap, i, BUY_LIMIT_RATE)
+    let realDragonMap = getRealDragonMap(kLinesMap, day_count, BUY_LIMIT_RATE)
     for (let symbol in realDragonMap) {
       realDragonProfit += realDragonMap[symbol].Profit
       // logger.info(realDragonMap[symbol].Symbol, realDragonMap[symbol].Profit, realDragonMap[symbol].Rate)
     }
     logger.info("----------------赚钱榜数据分析----------------")
-    dragonAnalysis(realDragonMap)
+    dragonAnalysis(kLinesMap, realDragonMap, day_count)
     // 亏钱榜
     let fakeDragonProfit = 0
-    let fakeDragonMap = getFakeDragonMap(kLinesMap, i, BUY_LIMIT_RATE)
+    let fakeDragonMap = getFakeDragonMap(kLinesMap, day_count, BUY_LIMIT_RATE)
     for (let symbol in fakeDragonMap) {
       fakeDragonProfit += fakeDragonMap[symbol].Profit
       // logger.info(fakeDragonMap[symbol].Symbol, fakeDragonMap[symbol].Profit, fakeDragonMap[symbol].MaxRate, fakeDragonMap[symbol].Rate)
     }
     logger.info("----------------亏钱榜数据分析----------------")
-    dragonAnalysis(fakeDragonMap)
+    dragonAnalysis(kLinesMap, fakeDragonMap, day_count)
 
     realDragonProfit = NumKit.getSubFloat(realDragonProfit, 2)
     fakeDragonProfit = NumKit.getSubFloat(fakeDragonProfit, 2)
@@ -131,14 +179,14 @@ async function main() {
     let synProfit = NumKit.getSubFloat(expFakeProfit + expRealProfit, 2)
     let avgProfit = NumKit.getSubFloat(synProfit / (realLength + fakeLength), 2)
 
-    let index = kLinesMap['BTC_USDT'].length - (i + 1)
+    let index = kLinesMap['BTC_USDT'].length - (day_count + 1)
     let btcK = kLinesMap['BTC_USDT'][index]
     let dateStr = TimeKit.getDateByMillisecond(btcK.Time)
     let btcUpRate = NumKit.getSubFloat(100 * (btcK.Close - btcK.Open) / btcK.Open, 2)
 
-    logger.info(`${i}日(${dateStr}, ${realLength + fakeLength}只)，赚钱榜(${realLength}只)利润${realDragonProfit}%`
+    logger.info(`${day_count}日(${dateStr}, ${realLength + fakeLength}只)，赚钱榜(${realLength}只)利润${realDragonProfit}%`
       + `，亏钱榜(${fakeLength}只)利润${fakeDragonProfit}%`
-      + `，真龙期望利润${expRealProfit}%，假龙期望利润${expFakeProfit}%，综合利润${synProfit}%，平均每只利润${avgProfit}%，BTC涨幅${btcUpRate}%`
+      + `，赚钱榜期望利润${expRealProfit}%，亏钱榜期望利润${expFakeProfit}%，综合利润${synProfit}%，平均每只利润${avgProfit}%，BTC涨幅${btcUpRate}%`
     )
 
     totalProfit += avgProfit