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comparison src/fx/fx.go @ 31:a55c5a0cbd04

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add fx.
author pyon@macmini
date Sun, 12 May 2019 20:51:18 +0900
parents
children 90659c7171ed
comparison
equal deleted inserted replaced
30:a273d4792e48 31:a55c5a0cbd04
1 package main
2
3 import (
4 "bytes"
5 "encoding/csv"
6 "fmt"
7 "io"
8 "io/ioutil"
9 "log"
10 "math"
11 "strconv"
12 "strings"
13 )
14
15 const debug = false
16
17 func main() {
18 n, m := 20, 14
19 var x, xl, xh []float64
20 var date []string
21
22 // Read Exchange-data
23 content, err := ioutil.ReadFile("/Users/takayuki/Downloads/USDJPY.csv")
24 if err != nil {
25 log.Fatal(err)
26 }
27
28 r := csv.NewReader(bytes.NewReader(content))
29 for {
30 record, err := r.Read()
31 if err == io.EOF {
32 break
33 }
34 if err != nil {
35 log.Fatal(err)
36 }
37
38 f, err := strconv.ParseFloat(record[4], 64)
39 if err != nil {
40 continue
41 }
42 x = append(x, f)
43
44 f, err = strconv.ParseFloat(record[3], 64)
45 xl = append(xl, f)
46
47 f, err = strconv.ParseFloat(record[2], 64)
48 xh = append(xh, f)
49
50 date = append(date, strings.ReplaceAll(record[0], "/", "-"))
51 }
52
53 // Calc Moving-Average
54 xa := make([]float64, len(x))
55 for i := n; i < len(x); i++ {
56 for j := 0; j < n; j++ {
57 xa[i] += x[i-j]
58 }
59 xa[i] /= float64(n)
60 }
61
62 // Calc Variance & SD
63 v := make([]float64, len(x))
64 sd := make([]float64, len(x))
65 for i := n; i < len(x); i++ {
66 // variance
67 for j := 0; j < n; j++ {
68 v[i] += (x[i-j] - xa[i-j]) * (x[i-j] - xa[i-j])
69 }
70 v[i] /= float64(n)
71
72 // standard deviation
73 sd[i] = math.Sqrt(v[i])
74 }
75
76 // Calc Bollinger-Bands
77 bb1 := make([]float64, len(x))
78 bb2 := make([]float64, len(x))
79 for i := n * 2; i < len(x); i++ {
80 bb1[i], bb2[i] = x[i] - sd[i], x[i] + sd[i]
81 }
82
83 // Calc RSI
84 rsi := make([]float64, len(x))
85 for i := m; i < len(x); i++ {
86 var ru, rd float64
87 for j := 0; j < m; j++ {
88 z := x[i-j-1] - x[i-j]
89 if z > 0 {
90 ru += z
91 } else {
92 rd += -z
93 }
94 }
95 rsi[i] = rd / (rd + ru) * 100
96 }
97
98 // Make Graph
99 // [chart.svg]
100 w, h := 800, 600
101
102 term := 200
103 min, max := 200.0, 1.0
104 for i := len(x) - term; i < len(x); i++ {
105 min = math.Min(min, x[i])
106 max = math.Max(max, x[i])
107 min = math.Min(min, bb1[i])
108 max = math.Max(max, bb2[i])
109 }
110 sx := float64(w) / float64(term)
111 sy := float64(h) / (max - min)
112
113 svg := fmt.Sprintf("<svg xmlns='http://www.w3.org/2000/svg' width='%d' height='%d'>\n", w, h)
114 for y := int(min); y < int(max) + 1; y++ {
115 svg += make_line(h, 0, float64(y), w, float64(y), min, 1.0, sy, "gray", 0.2)
116 svg += make_label(h, 10, y, min, 1.0, sy, fmt.Sprintf("%d", y))
117 }
118 for i, j, lm := len(x) - term, 0, ""; i < len(x); i, j = i + 1, j + 1 {
119 if !strings.EqualFold(lm, date[i][5:7]) {
120 svg += make_line(h, j, 0.0, j, float64(h), 0, sx, 1.0, "gray", 0.2)
121 svg += make_label(h, j, 20, 0, sx, 1.0, date[i][0:7])
122 lm = date[i][5:7]
123 }
124 }
125
126 for i, j := len(x) - term, 1; i < len(x); i, j = i + 1, j + 1 {
127 svg += make_line(h, j-1, x[i-1], j, x[i], min, sx, sy, "black", 1.5)
128 svg += make_line(h, j-1, xa[i-1], j, xa[i], min, sx, sy, "green", 0.7)
129 svg += make_line(h, j-1, bb1[i-1], j, bb1[i], min, sx, sy, "red", 0.2)
130 svg += make_line(h, j-1, bb2[i-1], j, bb2[i], min, sx, sy, "blue", 0.2)
131 }
132 svg += fmt.Sprint("</svg>\n")
133 if err := ioutil.WriteFile("chart.svg", []byte(svg), 0644); err != nil {
134 log.Fatal(err)
135 }
136
137 // [rsi.svg]
138 w, h = w, 150
139 sy = float64(h) / 100
140 svg = fmt.Sprintf("<svg xmlns='http://www.w3.org/2000/svg' width='%d' height='%d'>\n", w, h)
141 svg += make_line(h, 0, 30.0, w, 30.0, 0, 1.0, sy, "gray", 0.2)
142 svg += make_label(h, 10, 30, 0, 1.0, sy, fmt.Sprintf("30%%"))
143 svg += make_line(h, 0, 50.0, w, 50.0, 0, 1.0, sy, "gray", 0.2)
144 svg += make_label(h, 10, 50, 0, 1.0, sy, fmt.Sprintf("50%%"))
145 svg += make_line(h, 0, 70.0, w, 70.0, 0, 1.0, sy, "gray", 0.2)
146 svg += make_label(h, 10, 70, 0, 1.0, sy, fmt.Sprintf("70%%"))
147
148 for i, j, lm := len(x) - term, 0, ""; i < len(x); i, j = i + 1, j + 1 {
149 if !strings.EqualFold(lm, date[i][5:7]) {
150 svg += make_line(h, j, 0.0, j, float64(h), 0, sx, 1.0, "gray", 0.2)
151 svg += make_label(h, j, 20, 0, sx, 1.0, date[i][0:7])
152 lm = date[i][5:7]
153 }
154 }
155
156 for i, j := len(x) - term, 1; i < len(x); i, j = i + 1, j + 1 {
157 svg += make_line(h, j-1, rsi[i-1], j, rsi[i], 0, sx, sy, "black", 1.5)
158 }
159 svg += fmt.Sprint("</svg>\n")
160 if err := ioutil.WriteFile("rsi.svg", []byte(svg), 0644); err != nil {
161 log.Fatal(err)
162 }
163
164 // Make Html
165 html := "<html><body>"
166 html += "<h2>Daily Chart</h2>"
167 html += "<img src='chart.svg' />"
168 html += "<h2>RSI</h2>"
169 html += "<img src='rsi.svg' />"
170 html += "</body><html>"
171 if err := ioutil.WriteFile("fx.html", []byte(html), 0644); err != nil {
172 log.Fatal(err)
173 }
174
175 // Print Data
176 if false {
177 fmt.Println("[j] n x bb1 bb2 rsi | n x bb1 bb2")
178 fmt.Println("---")
179 for i, j := len(x) - term, 0; i < len(x); i++ {
180 fmt.Printf("[%04d] %04d %5.2f %5.2f %5.2f %3.1f | ", j, i, x[i], bb1[i], bb2[i], rsi[i])
181 fmt.Printf("%04.0f %5.2f %5.2f %5.2f ", float64(i) * sx, (x[i] - min) * sy, (bb1[i] - min) * sy, (bb2[i] - min) * sy)
182 fmt.Println()
183 j++
184 }
185 fmt.Println("---")
186 fmt.Printf("min=%5.2f max=%5.2f\n", min, max)
187 }
188 }
189
190 func make_line(h, x1 int, y1 float64, x2 int, y2 float64, os, sx, sy float64, c string, sw float64) string {
191 x1, y1 = int(float64(x1) * sx), (y1 - os) * sy
192 x2, y2 = int(float64(x2) * sx), (y2 - os) * sy
193 y1, y2 = float64(h) - y1, float64(h) - y2
194 return fmt.Sprintf("<line x1='%d' y1='%d' x2='%d' y2='%d' stroke='%s' stroke-width='%0.1f' />\n", x1, int(y1), x2, int(y2), c, sw)
195 }
196
197 func make_label(h, x, y int, os, sx, sy float64, label string) string {
198 x = int(float64(x) * sx)
199 y = int((float64(y) - os) * sy)
200 y = h - y
201 return fmt.Sprintf("<text x='%d' y='%d'>%s</text>", x, y, label)
202 }
203