data_analysis/十面埋伏分析.js

const logger = require("./utils/logger");
const NumKit = require('./utils/num-kit')
const TimeKit = require('./utils/time-kit')
const fs = require('fs').promises;

async function readData() {
  let data = await fs.readFile('./data/k_lines.json', 'utf8')

  return JSON.parse(data)
}

let realCountMap = {}
function getRealDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
  let realDragonMap = {}
  for (let symbol in kLinesMap) {
    let kLines = kLinesMap[symbol]

    let index = kLines.length - (FIRST_FEW_DAYS + 1)
    let kLine = kLines[index]
    let prevKline = kLines[index - 1]

    // 开盘第一天不计算
    if (!kLine || !prevKline) continue

    let rate = 100 * (kLine.Close - kLine.Open) / kLine.Open
    if (rate > BUY_LIMIT_RATE) {
      kLine.Rate = rate
      kLine.Profit = rate - BUY_LIMIT_RATE
      realDragonMap[symbol] = kLine

      if (!realCountMap[symbol]) {
        realCountMap[symbol] = 1
      } else {
        realCountMap[symbol] += 1
      }
    }
  }

  return realDragonMap
}

let fakeCountMap = {}
function getFakeDragonMap(kLinesMap, FIRST_FEW_DAYS, BUY_LIMIT_RATE) {
  let fakeDragonMap = {}
  for (let symbol in kLinesMap) {
    let kLines = kLinesMap[symbol]
    let index = kLines.length - (FIRST_FEW_DAYS + 1)
    let kLine = kLines[index]
    let prevKline = kLines[index - 1]

    // 开盘第一天不计算
    if (!kLine || (!prevKline)) continue

    let rate = 100 * (kLine.Close - kLine.Open) / kLine.Open
    let maxRate = 100 * (kLine.High - kLine.Open) / kLine.Open
    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
      fakeDragonMap[symbol] = kLine

      if (!fakeCountMap[symbol]) {
        fakeCountMap[symbol] = 1
      } else {
        fakeCountMap[symbol] += 1
      }
    }
  }

  return fakeDragonMap
}

async function main() {
  let kLinesMap = await readData()

  const FIRST_FEW_DAYS = 1            // 第几天的数据，0表示今天，1表示昨天，2表示前天，以此类推
  const BUY_LIMIT_RATE = 2.5          // 从什么比例入场
  const BAKE_TEST_DAYS = 150          // 一共回测多少天

  let totalProfit = 0
  for (let i = FIRST_FEW_DAYS; i < BAKE_TEST_DAYS; i++) {
    // 真龙榜
    let realDragonProfit = 0
    let realDragonMap = getRealDragonMap(kLinesMap, i, 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("----------------真龙榜数据定量分析----------------")
    // dragonAnalysis(realDragonMap)
    // 假龙榜
    let fakeDragonProfit = 0
    let fakeDragonMap = getFakeDragonMap(kLinesMap, i, 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("----------------假龙榜数据定量分析----------------")
    // dragonAnalysis(fakeDragonMap, fakeCountMap)

    realDragonProfit = NumKit.getSubFloat(realDragonProfit, 2)
    fakeDragonProfit = NumKit.getSubFloat(fakeDragonProfit, 2)
    let realLength = Object.keys(realDragonMap).length
    let fakeLength = Object.keys(fakeDragonMap).length
    let realRate = NumKit.getSubFloat(realLength / (realLength + fakeLength), 2)
    let fakeRate = NumKit.getSubFloat(1 - realRate, 2)
    let expRealProfit = NumKit.getSubFloat(realRate * realDragonProfit, 2)
    let expFakeProfit = NumKit.getSubFloat(fakeRate * fakeDragonProfit, 2)
    let synProfit = NumKit.getSubFloat(expFakeProfit + expRealProfit, 2)
    let avgProfit = NumKit.getSubFloat(synProfit / (realLength + fakeLength), 2)

    let index = kLinesMap['BTC_USDT'].length - (i + 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}, ${realLength + fakeLength}只)，真龙榜(${realLength}只)利润${realDragonProfit}%`
      + `，假龙榜(${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}%`
    )

    totalProfit += avgProfit
    totalProfit = NumKit.getSubFloat(totalProfit, 2)
  }

  let dayProfit = NumKit.getSubFloat(totalProfit / BAKE_TEST_DAYS, 2)
  logger.info(`利润期望值总和：${totalProfit}%，平均日化${dayProfit}%。`)
  for (let symbol in fakeCountMap) {
    logger.info(`${symbol} 真${realCountMap[symbol]}，假${fakeCountMap[symbol]}`)
  }
}

main().catch((error) => {
  logger.error(error.stack);
  process.exitCode = 1;
})