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