R/correct_pre.R

In purplezippo/quantler: Quant Develop Tools

#' Calculate correct rate of buy and sell signal, based on stock price
#'
#' @param stock.price a one dimension vector of numeric data, which represents a
#'   time series of stock price.
#' @param strategy.b the trade signal of buy operation consists of a one
#'   dimension vector contians integer values of -1,0,1, of which '-1' equals to
#'   'sell','0' equals to 'hold' and '1' equals to 'buy'.
#' @param strategy.s the trade signal of sell operation consists of a one
#'   dimension vector contians integer values of -1,0,1, of which '-1' equals to
#'   'sell','0' equals to 'hold' and '1' equals to 'buy'.
#' @return a vector with two values represent
#'
#' @export

pre_correct <- function(stock.price = NA, strategy.b = NA, strategy.s = NA) {

  ## 作差分判断上涨样本点令为1
  dprice <- diff(stock.price)
  dprice[which(dprice > 0)] <- 1
  dprice[which(dprice < 0)] <- -1
  dprice <- c(0, dprice)
  if (length(na.omit(strategy.b)) != 0) {
    ## 上涨形态预测的正确率
    q1 <- which(strategy.b == 1)
    q2 <- which(strategy.b == -1)
    if (q2[1] <= q1[1]) {
      q2 <- q2[-1]
    }
    if (q1[length(q1)] == length(strategy.b)) {
      q1 <- q1[-length(q1)]
    } else if (length(q1) != length(q2)) {
      q2 <- c(q2, length(strategy.b))
    }

    dq <- q2 - q1 # 统计判断连续涨的个数
    k <- c()
    for (i in 1:length(q1)) {
      k[i] <- length(which(dprice[(q1[i] + 1):(q1[i] + dq[i])] == 1))
    }

    l <- c()
    for (i in 1:length(q2)) {
      l[i] <- length(which((dprice[(q2[i] + 1)] == 0) | (dprice[(q2[i] + 1)] == -1)))
    }
    pre.correct.b <- (sum(k) + sum(l)) / sum(dq + 1) # 频率
    pre.correct.b <- round(pre.correct.b, 3)
  } else {
    pre.correct.b <- 0
  }

  ## 下跌形态预测的正确率
  if (length(na.omit(strategy.s)) != 0) {
    q3 <- which(strategy.s == -1)
    q4 <- which(strategy.s == 1)
    if (q4[1] <= q3[1]) {
      q4 <- q4[-1]
    }
    if (q3[length(q3)] == length(strategy.s)) {
      q3 <- q3[-length(q3)]
    } else if (length(q3) != length(q4)) {
      q4 <- c(q4, length(strategy.s))
    }
    # 统计判断连续涨的个数
    ddq <- q4 - q3
    kk <- c()
    for (i in 1:length(q3)) {
      kk[i] <- length(which(dprice[(q3[i] + 1):(q3[i] + ddq[i])] == -1))
    }

    ll <- c()
    for (i in 1:length(q4)) {
      ll[i] <- length(which((dprice[(q4[i] + 1)] == 0) | (dprice[(q4[i] + 1)] == 1)))
    }
    pre.correct.s <- (sum(kk) + sum(ll)) / sum(ddq + 1) # 频率
    pre.correct.s <- round(pre.correct.s, 3)
  } else {
    pre.correct.s <- 0
  }
  pre.correct <- c(pre.correct.b, pre.correct.s)
  return(pre.correct)
}