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113 lines
2.0 KiB
113 lines
2.0 KiB
FUNCTION
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execStrategy ( alloc , mavgday , mavgmonth , px ) {
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buySignal := mavgday > mavgmonth ;
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f := a + b ;
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alloc * prd (
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CASE maxs ( buySignal )
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WHEN TRUE THEN
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CASE buySignal
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WHEN TRUE THEN 1 / px
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ELSE px
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END
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ELSE 1
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END )
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}
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FUNCTION covariance (x , y ) {
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xmean := avg (x) ;
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ymean := avg (y) ;
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avg (( x - xmean ) * (y - ymean ))
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}
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FUNCTION sd ( x) {
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sqrt ( covariance (x , x) )
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}
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FUNCTION pairCorr (x , y ) {
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covariance (x , y ) / ( sd (x) * sd (y ))
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}
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<k>
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`
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p:5
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q:2
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phi:(p+1)?1.
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theta:q?1.
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"p q phi theta"
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p
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q
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phi
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theta
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l:()
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e:()
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`
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L1:10?20
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Le1:10?2.
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L2:3?20
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Le2:3?2.
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"L1 Le1 L2 Le2"
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L1
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Le1
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L2
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Le2
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`
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"Add L1, then predict"
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l:l,L1
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e:e,Le1
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predict:(phi(0)) + (sum ({[x](phi(x+1)) * (l(((#l)-1)-x))}[!p])) - (sum ({[x](theta(x)) * (e(((#e)-1)-x))}[!q]))
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predict
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`
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"Add L2, then predict"
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l:l,L2
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e:e,Le2
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predict:(phi(0)) + (sum ({[x](phi(x+1)) * (l(((#l)-1)-x))}[!p])) - (sum ({[x](theta(x)) * (e(((#e)-1)-x))}[!q]))
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predict
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</k>
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WITH
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Target (Id , TradeDate , ClosePrice ) AS
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( SELECT
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Id , TradeDate , ClosePrice
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FROM price
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WHERE Id IN stock10 AND
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TradeDate >= startYear10 AND
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TradeDate <= startYear10 + 365 * 10),
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weekly (Id , bucket , name , low , high , mean ) AS
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( SELECT
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Id ,
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timeBucket ,
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" weekly " ,
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min ( ClosePrice ) ,
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max ( ClosePrice ) ,
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avg ( ClosePrice )
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FROM Target
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GROUP BY Id , getWeek ( TradeDate ) as
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timeBucket ),
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monthly ( Id , bucket , name , low , high , mean ) AS
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( SELECT
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Id ,
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timeBucket ,
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" monthly " ,
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min ( ClosePrice ) ,
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max ( ClosePrice ) ,
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avg ( ClosePrice )
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FROM Target
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GROUP BY Id , getMonth ( TradeDate ) as
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timeBucket ),
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yearly (Id , bucket , name , low , high , mean ) AS
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( SELECT
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Id ,
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timeBucket ,
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" yearly " ,
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min ( ClosePrice ) ,
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max ( ClosePrice ) ,
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avg ( ClosePrice )
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FROM Target
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GROUP BY Id , getYear ( TradeDate ) as
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timeBucket )
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SELECT
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Id , bucket , name , low , high , mean
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FROM
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CONCATENATE ( weekly , monthly , yearly )
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ASSUMING ASC Id , ASC name , ASC bucket
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