import h5py
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
 
#空最弱,多最强策略
 
history=None
with h5py.File('coin_history_5min_6_20170815_20181204.h5', 'r') as f:
    history = f['history'][:]
    history= np.moveaxis(history, 0, -1)
    #btc,eth, xrp, etc, ltc,dash
    #coinxlenght*close high low open
 
offset=5*12
 
EMPTY=0
LONG=1
SHORT=2
 
 
def reset_action():
    global prev_coin, prev_price, prev_action
    prev_coin = -1
    prev_price = -1
    prev_action = EMPTY
    prev_index = -1
 
 
reset_action()
 
portfolio=3000
 
 
def calc_delta(max, current, max_idx, current_idx):
    delta_y = (max - current) / max * 100
 
    return delta_y
 
win_long_count=0
win_short_count=0
lose_long_count=0
lose_short_count=0
long_count=0
short_count=0
bias_threshold=[50,50,50,50,50,50]
 
def calc_reward(reward):
    global  win_long_count, win_short_count, lose_long_count,lose_short_count, portfolio
    if (reward > 3 ) :
        # 止盈
        #print(" 止盈 {}".format(reward))
        portfolio = portfolio * (1 + reward / 100) * 0.997
        if (prev_action==LONG):
            win_long_count += 1
        else:
            win_short_count+=1
        reset_action()
    elif reward < -1.5:
        # 止损
        portfolio = portfolio * (1 + reward / 100) * 0.997
        if (prev_action==LONG):
            lose_long_count += 1
        else:
            lose_short_count+=1
        reset_action()
 
for i in range(0, history.shape[1]-offset):
 
    uplist=[]
    downlist=[]
    #for i in range(0,200):
    max_up=0
    max_down=0
    up_coin=0
    down_coin=0
    total_up=0
    total_down=0
 
    for coin in range(0, history.shape[0]):
        data = history[coin, i:offset+i, :]
        low=np.min(data[:, 2])
        low_idx=np.argmin(data[:,2])
        high=np.max(data[:,1])
        high_idx=np.argmax(data[:,1])
        close=data[-1,0]
        #计算上升斜率
        rate=calc_delta(close, low, low_idx, offset-1)
        assert rate >=0
        total_up+=rate
        if rate>max_up:
            max_up=rate
            up_coin=coin
        #计算下降斜率
        rate= calc_delta(close, high, high_idx,offset-1)
        assert rate<=0
        if rate<max_down:
            max_down=rate
            down_coin=coin
        total_down+=rate
    avg_up=total_up/history.shape[0]
    avg_down=total_down/history.shape[0]
 
    for coin in range(0, history.shape[0]):
        data = history[coin, i:offset+i, :]
        low=np.min(data[:, 2])
        low_idx=np.argmin(data[:,2])
        high=np.max(data[:,1])
        high_idx=np.argmax(data[:,1])
        close=data[-1,0]
        #计算上升斜率
        rate=calc_delta(close, low, low_idx, offset-1)
        assert rate >=0
 
        #上升趋势检查
        if coin==up_coin and max_up>avg_up+3 and avg_up>0 and prev_action==EMPTY:
            #上升趋势,多
            prev_action=LONG
            prev_coin=coin
            prev_price=close
            prev_index=i+offset-1
            long_count+=1
 
        #计算下降斜率
        rate= calc_delta(close, high, high_idx,offset-1)
 
        assert rate<=0
 
        # 下降趋势检查
        if coin==down_coin and rate < avg_down-3 and avg_down <0 and prev_action == EMPTY:
            # 下降趋势,空
            prev_action = SHORT
            prev_coin = coin
            prev_price = close
            prev_index = i + offset - 1
            short_count+=1
 
        #止盈,止损检查
        if prev_coin==coin:
            if prev_action==LONG:
                reward=(close-prev_price)/prev_price*100
                calc_reward(reward)
            elif prev_action==SHORT:
                reward=(prev_price-close)/prev_price*100
                calc_reward(reward)
 
    if i % 10000==0 or i==history.shape[1]-offset-1:
        print("offset {} win:{}, {} lose:{},{} long:{} short:{} portfolio:{}".format(
            i, win_long_count, win_short_count,lose_long_count,lose_short_count,long_count, short_count, portfolio))
 
print("统计结束")