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kavg_state.go
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kavg_state.go
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package main
import (
"fmt"
log "github.com/cihub/seelog"
"gonum.org/v1/plot"
)
type Rect struct {
left float64
top float64
right float64
bottom float64
FlagLeft int
FlagRight int
DistLeft int
DistRight int
}
func (r *Rect) isRising() bool {
if r.left == -1 && r.right == 1 {
return true
} else if r.left == 1 && r.right == -1 {
return false
} else {
log.Errorf("bad value")
panic("bad value")
}
return false
}
func (r *Rect) Height() float64 {
return r.top - r.bottom
}
func (r *Rect) Width() float64 {
return r.right - r.left
}
type avgContext struct {
State string
Action string
Sell_stop Rect
Buy_stop Rect
profit float64
buy float64
sell float64
tmpTop float64
tmpBottom float64
}
func (ac *avgContext) Show() string {
s := "State : " + ac.State + " "
s += "Action: " + ac.Action + " "
if ac.Action == ACTION_BUY {
s += fmt.Sprintf(" (%d, %.2f)->(%d, %.2f) b:%.3f s:%.3f profit:%.3f",
int(ac.Buy_stop.left),
ac.Buy_stop.top,
int(ac.Buy_stop.right),
ac.Buy_stop.bottom,
ac.buy,
ac.sell,
ac.profit)
} else if ac.Action == ACTION_SELL {
s += fmt.Sprintf(" (%d, %.2f)->(%d, %.2f) b:%.3f s:%.3f profit:%.3f",
int(ac.Sell_stop.left),
ac.Sell_stop.top,
int(ac.Sell_stop.right),
ac.Sell_stop.bottom,
ac.buy,
ac.sell,
ac.profit)
} else {
s += " Invalid Stop"
}
return s
}
// 初始化
func isValidInit(ac *avgContext, stock *Stock) (ret bool, revert bool, modify bool) {
//get pre arr
arr, _ := GetAllRect(stock)
if len(arr) <= 0 {
return false, false, false
}
curIndex := len(stock.dataClose) - 1
//简单根据高低点来尽快买入、卖出: 注意MinMax的计算方法
preMin := findPreIndex(stock.dataMinMax, curIndex-1, -1)
preMax := findPreIndex(stock.dataMinMax, curIndex-1, 1)
if preMin == -1 || preMax == -1 {
return false, false, false
}
if preMin < preMax {
ac.State = STATE_NEW_HIGH
ac.Action = ACTION_BUY
ac.Buy_stop = arr[0]
ac.buy = stock.dataClose[curIndex]
ac.profit = 0
return true, true, true
} else {
ac.State = STATE_NEW_LOW
ac.Action = ACTION_SELL
ac.Sell_stop = arr[0]
ac.sell = stock.dataClose[curIndex]
ac.profit = 0
return true, true, true
}
return true, false, false
}
//count how many wave there are
func countWave(ac *avgContext, arr []Rect) (count int) {
count = 0
for i := len(arr) - 1; i >= 0; i-- {
if arr[i].DistLeft <= i {
break
}
count += 1
}
return count
}
//r: dst stop rectangle
func moveComplexAdvanceBuy(ac *avgContext, arr []Rect, r Rect, y float64) {
ac.Buy_stop = r
count := countWave(ac, arr)
L := ac.Buy_stop.Height()
l := r.bottom - ac.Buy_stop.bottom
diff := L - l
if diff <= 0 {
log.Errorf("impossible")
// nothing to move
return
}
step := ((y-ac.Buy_stop.top)/L + float64(count/3)) * (diff / 3)
if step >= 0.9*diff {
step = 0.9 * diff
}
if step < 0 {
step = 0
}
expand := diff - step
ac.Buy_stop.bottom -= expand
}
func moveComplexAdvanceSell(ac *avgContext, arr []Rect, r Rect, y float64) {
ac.Sell_stop = r
count := countWave(ac, arr)
L := ac.Sell_stop.Height()
l := r.top - ac.Sell_stop.bottom
diff := L - l
if diff < 0 {
log.Errorf("impossible")
// nothing to move
return
}
step := ((ac.Buy_stop.bottom-y)/L + float64(count/3)) * (diff / 3)
if step >= 0.9*diff {
step = 0.9 * diff
}
if step < 0 {
step = 0
}
expand := diff - step
ac.Sell_stop.top += expand
}
func restrictStop(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
//latest 3
size := len(arr)
if size < 3 {
return false, false, false
}
//sell
if arr[size-1].FlagLeft == 1 &&
arr[size-1].top < arr[size-3].top+arr[size-3].Height()*0.1 &&
arr[size-1].bottom < arr[size-3].bottom {
change := ac.Action == STATE_NEW_LOW
revert := ac.State == ACTION_SELL
if ac.Action != ACTION_SELL {
ac.sell = arr[size-1].bottom
ac.profit += ac.sell - ac.buy
}
ac.State = STATE_NEW_LOW
ac.Action = ACTION_SELL
moveComplexAdvanceSell(ac, arr, arr[size-1], curValue)
//ac.Sell_stop = arr[size-1]
return true, revert, change
}
//buy
if arr[size-1].FlagLeft == -1 &&
arr[size-1].top > arr[size-3].top &&
arr[size-1].bottom >= arr[size-3].bottom-arr[size-3].Height()*0.1 {
change := ac.Action == STATE_NEW_HIGH
revert := ac.State == ACTION_BUY
if ac.Action != ACTION_BUY {
ac.buy = arr[size-1].top
ac.profit += ac.buy - ac.sell
}
ac.State = STATE_NEW_HIGH
ac.Action = ACTION_BUY
//ac.Buy_stop = arr[size-1]
moveComplexAdvanceBuy(ac, arr, arr[size-1], curValue)
return true, revert, change
}
return false, false, false
}
func action_High_Buy(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
// quick change
size := len(arr)
ret, revert, modify = restrictStop(ac, arr, curValue)
if ret {
return ret, revert, modify
}
// keep rising top
if arr[size-1].top > ac.Buy_stop.top {
ac.Buy_stop.top = arr[size-1].top
return true, false, false
}
// normal change
if curValue < ac.Buy_stop.bottom {
//new low
if arr[size-1].top < ac.Buy_stop.top {
ac.State = STATE_NEW_LOW
ac.Action = ACTION_SELL
ac.Sell_stop = ac.Buy_stop
ac.sell = curValue
ac.profit += ac.sell - ac.buy
} else {
//new high new low
ac.State = STATE_NEW_HIGH__NEW_LOW_0
ac.Action = ACTION_SELL
ac.Sell_stop = ac.Buy_stop
ac.sell = curValue
ac.profit += ac.sell - ac.buy
}
return true, true, true
}
return true, false, false
}
func action_Low_Sell(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
// quick change
size := len(arr)
ret, revert, modify = restrictStop(ac, arr, curValue)
if ret {
return ret, revert, modify
}
// keep fall bottom
if arr[size-1].bottom < ac.Sell_stop.bottom {
ac.Sell_stop.bottom = arr[size-1].bottom
return true, false, false
}
// new low new high
if curValue > ac.Sell_stop.top {
ac.State = STATE_NEW_LOW__NEW_HIGH_0
ac.Action = ACTION_BUY
ac.Buy_stop = ac.Sell_stop
ac.tmpTop = ac.Buy_stop.top
ac.buy = curValue
ac.profit += ac.sell - ac.buy
return true, true, true
}
return true, false, false
}
func action_Low_High_0_Buy(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
// quick change
size := len(arr)
ret, revert, modify = restrictStop(ac, arr, curValue)
if ret {
return ret, revert, modify
}
// keep rising top
if arr[size-1].top > ac.Buy_stop.top {
ac.Buy_stop.top = arr[size-1].top
return true, false, false
}
// normal change
if curValue < ac.Buy_stop.bottom {
// too low
// "A"
ac.State = STATE_NEW_LOW
ac.Action = ACTION_SELL
ac.Buy_stop.bottom = ac.Sell_stop.bottom
ac.sell = curValue
ac.profit += ac.sell - ac.buy
return true, true, true
} else if curValue < ac.tmpTop {
//"BC"
ac.State = STATE_NEW_LOW__NEW_HIGH_1
ac.Action = ACTION_SELL
ac.Sell_stop = ac.Buy_stop
ac.sell = curValue
ac.profit += ac.sell - ac.buy
return true, true, true
}
return true, false, false
}
func action_Low_High_1_Sell(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
// quick change
size := len(arr)
ret, revert, modify = restrictStop(ac, arr, curValue)
if ret {
return ret, revert, modify
}
// keep fall bottom
if arr[size-1].bottom < ac.Sell_stop.bottom {
ac.Sell_stop.bottom = arr[size-1].bottom
}
if curValue < ac.tmpBottom {
//"A"
ac.State = STATE_NEW_LOW
//keep sell & keep sell stop
return true, false, true
} else if curValue > ac.Sell_stop.top {
//"BC"
//in fact, no "C"
ac.State = STATE_NEW_HIGH
ac.Action = ACTION_BUY
ac.Buy_stop = ac.Sell_stop
ac.buy = curValue
ac.profit += ac.sell - ac.buy
return true, true, true
}
return true, false, false
}
func action_High_Low_0_Sell(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
// quick change
size := len(arr)
ret, revert, modify = restrictStop(ac, arr, curValue)
if ret {
return ret, revert, modify
}
// keep fall bottom
if arr[size-1].bottom < ac.Sell_stop.bottom {
ac.Sell_stop.bottom = arr[size-1].bottom
}
// normal change
if curValue > ac.Sell_stop.top {
// too high
// "A"
ac.State = STATE_NEW_HIGH
ac.Action = ACTION_BUY
ac.Buy_stop = ac.Sell_stop
ac.buy = curValue
ac.profit += ac.sell - curValue
return true, true, true
} else if curValue > ac.tmpBottom {
//"BC"
// in fact, no "C"
ac.State = STATE_NEW_HIGH__NEW_LOW_1
ac.Action = ACTION_BUY
ac.Buy_stop.top = ac.Sell_stop.top
ac.buy = curValue
ac.profit += ac.sell - curValue
return true, true, true
}
return true, false, false
}
func action_High_Low_1_Buy(ac *avgContext, arr []Rect, curValue float64) (ret bool, revert bool, modify bool) {
// quick change
size := len(arr)
ret, revert, modify = restrictStop(ac, arr, curValue)
if ret {
return ret, revert, modify
}
// keep rising top
if arr[size-1].top > ac.Buy_stop.top {
ac.Buy_stop.top = arr[size-1].top
}
// normal change
if curValue > ac.Sell_stop.top {
// too high
// "A"
ac.State = STATE_NEW_HIGH
// keep buy & keep stop
return true, false, false
} else if curValue < ac.Sell_stop.bottom {
//"BC"
// in fact, no "C"
ac.State = STATE_NEW_LOW
ac.Action = ACTION_SELL
ac.Sell_stop = ac.Buy_stop
ac.sell = curValue
ac.profit += ac.sell - ac.buy
return true, true, true
}
return true, false, false
}
func forwardState(ac *avgContext, stock *Stock) (ret bool, revert bool, modify bool, arr []Rect) {
//get pre arr
arr, _ = GetAllRect(stock)
if len(arr) <= 0 {
return false, false, false, arr
}
ret, revert, modify = true, false, false
curValue := stock.dataClose[len(stock.dataClose)-1]
//注意这里是状态转换:波动不管,不得不动的时候,状态才变换
if ac.State == STATE_NEW_HIGH && ac.Action == ACTION_BUY {
ret, revert, modify = action_High_Buy(ac, arr, curValue)
} else if ac.State == STATE_NEW_HIGH && ac.Action == ACTION_SELL {
log.Errorf("STATE_NEW_HIGH + sell impossible...")
} else if ac.State == STATE_NEW_LOW && ac.Action == ACTION_BUY {
log.Errorf("STATE_NEW_LOW + buy impossible...")
} else if ac.State == STATE_NEW_LOW && ac.Action == ACTION_SELL {
ret, revert, modify = action_Low_Sell(ac, arr, curValue)
} else if ac.State == STATE_NEW_HIGH__NEW_LOW_0 && ac.Action == ACTION_BUY {
log.Errorf("STATE_NEW_HIGH__NEW_LOW_0 + buy, impossible")
} else if ac.State == STATE_NEW_HIGH__NEW_LOW_0 && ac.Action == ACTION_SELL {
ret, revert, modify = action_High_Low_0_Sell(ac, arr, curValue)
} else if ac.State == STATE_NEW_HIGH__NEW_LOW_1 && ac.Action == ACTION_BUY {
ret, revert, modify = action_High_Low_1_Buy(ac, arr, curValue)
} else if ac.State == STATE_NEW_HIGH__NEW_LOW_1 && ac.Action == ACTION_SELL {
log.Errorf("STATE_NEW_HIGH__NEW_LOW_1 + sell, impossible")
} else if ac.State == STATE_NEW_LOW__NEW_HIGH_0 && ac.Action == ACTION_BUY {
ret, revert, modify = action_Low_High_0_Buy(ac, arr, curValue)
} else if ac.State == STATE_NEW_LOW__NEW_HIGH_0 && ac.Action == ACTION_SELL {
log.Errorf("STATE_NEW_HIGH__NEW_LOW_1 + sell, impossible")
} else if ac.State == STATE_NEW_LOW__NEW_HIGH_1 && ac.Action == ACTION_BUY {
log.Errorf("STATE_NEW_LOW__NEW_HIGH_1 + buy, impossible")
} else if ac.State == STATE_NEW_LOW__NEW_HIGH_1 && ac.Action == ACTION_SELL {
action_Low_High_1_Sell(ac, arr, curValue)
}
return ret, revert, modify, arr
}
func Run(ac *avgContext, p *plot.Plot, stock *Stock, filename string, pos int) bool {
if pos == 350 {
log.Errorf("350")
}
//_, st := GetAllRect(stock)
curPos := len(stock.dataClose) - 1
flagSaveFile := false
if ac.State == STATE_UNKOWN {
ok, revert, change := isValidInit(ac, stock)
if ok && revert && change {
//log.Infof("ac: %s", ac.Show())
//p.Save(vg.Length(picwidth), vg.Length(picheight), filename)
}
drawPoint(p, float64(curPos), stock.dataClose[curPos], 20, red)
if ac.Action == ACTION_BUY {
drawRectangle(p, ac.Buy_stop.left, ac.Buy_stop.top, ac.Buy_stop.right, ac.Buy_stop.bottom, blue)
} else if ac.Action == ACTION_SELL {
drawRectangle(p, ac.Sell_stop.left, ac.Sell_stop.top, ac.Sell_stop.right, ac.Sell_stop.bottom, green)
}
p.X.Label.Text = ac.State + " " + ac.Action
flagSaveFile = true
} else if ac.State != STATE_UNKOWN {
//before state change, we add 1 dot first
ac.Sell_stop.DistLeft += 1
ac.Sell_stop.DistRight += 1
ac.Buy_stop.DistLeft += 1
ac.Buy_stop.DistRight += 1
ok, revert, _, arr := forwardState(ac, stock)
for _, r := range arr {
drawRectangle(p, r.left, r.top, r.right, r.bottom, olive)
if r.FlagLeft == -1 {
drawPoint(p, r.left, r.top, 10, red)
}
if r.FlagLeft == 1 {
drawPoint(p, r.left, r.top, 15, blue)
}
}
p.X.Label.Text = ac.State + " " + ac.Action + " " + fmt.Sprintf("%s", ac.Show())
drawPoint(p, float64(curPos), stock.dataClose[curPos], 20, black)
if ac.Action == ACTION_BUY {
drawRectangle(p, ac.Buy_stop.left, ac.Buy_stop.top, ac.Buy_stop.right, ac.Buy_stop.bottom, blue)
} else if ac.Action == ACTION_SELL {
drawRectangle(p, ac.Sell_stop.left, ac.Sell_stop.top, ac.Sell_stop.right, ac.Sell_stop.bottom, green)
}
//log.Infof("pos:%d ok:%v", pos, ok)
if ok && (revert) {
if last_buy == ac.buy && last_sell == ac.sell {
} else {
log.Infof("[%d] buy: %f sell:%f lastb:%f, lasts:%f %s", pos, ac.buy, ac.sell, last_buy, last_sell, ac.Show())
last_buy = ac.buy
last_sell = ac.sell
}
flagSaveFile = true
}
} else {
log.Infof("ignore:%d", pos)
}
return flagSaveFile
}