80 lines
3.1 KiB
TypeScript
80 lines
3.1 KiB
TypeScript
/**
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* 分析投资数据并计算关键指标
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* @param fundAmounts 资金量数组，每15分钟记录一次
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* @returns 投资分析结果
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*/
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export function analyzeInvestment(fundAmounts: number[]): {
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maxDrawdown: number; // 最大回撤 (百分比)
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maxDrawdownPeriod: [number, number]; // 最大回撤区间 [开始索引, 结束索引]
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volatility: number; // 波动率 (标准差)
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averageReturn: number; // 平均收益率 (百分比)
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cumulativeReturn: number; // 累计收益率 (百分比)
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winRate: number; // 盈利率 (百分比)
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sharpeRatio: number; // 夏普比率 (假设无风险利率为0)
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} {
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if (fundAmounts.length < 2) {
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throw new Error("需要至少两个数据点来计算投资指标");
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}
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// 计算每个时间点的收益率
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const returns: number[] = [];
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for (let i = 1; i < fundAmounts.length; i++) {
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const returnRate = (fundAmounts[i] - fundAmounts[i - 1]) / fundAmounts[i - 1];
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returns.push(returnRate);
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}
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// 计算最大回撤
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let maxDrawdown = 0;
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let peak = fundAmounts[0];
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let maxDrawdownStartIndex = 0;
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let maxDrawdownEndIndex = 0;
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let currentPeakIndex = 0;
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for (let i = 1; i < fundAmounts.length; i++) {
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if (fundAmounts[i] > peak) {
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peak = fundAmounts[i];
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currentPeakIndex = i;
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}
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const drawdown = (peak - fundAmounts[i]) / peak;
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if (drawdown > maxDrawdown) {
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maxDrawdown = drawdown;
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maxDrawdownStartIndex = currentPeakIndex;
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maxDrawdownEndIndex = i;
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}
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}
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// 计算波动率 (收益率的标准差)
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const avgReturn = returns.reduce((sum, r) => sum + r, 0) / returns.length;
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const variance = returns.reduce((sum, r) => sum + Math.pow(r - avgReturn, 2), 0) / returns.length;
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const volatility = Math.sqrt(variance);
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// 计算累计收益率
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const cumulativeReturn = (fundAmounts[fundAmounts.length - 1] - fundAmounts[0]) / fundAmounts[0];
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// 计算盈利率 (正收益率的比例)
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const winCount = returns.filter(r => r > 0).length;
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const winRate = (winCount / returns.length) * 100;
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// 计算夏普比率 (假设无风险利率为5%)
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const riskFreeRate = 0.05; // 无风险利率5%
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const annualizedReturn = avgReturn * (250 * 16) - riskFreeRate; // 调整为年化收益率减去无风险利率
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const annualizedVolatility = volatility * Math.sqrt(250 * 16);
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const sharpeRatio = annualizedVolatility === 0 ? 0 : annualizedReturn / annualizedVolatility;
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return {
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maxDrawdown: maxDrawdown * 100, // 转换为百分比
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maxDrawdownPeriod: [maxDrawdownStartIndex, maxDrawdownEndIndex],
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volatility: volatility * 100, // 转换为百分比
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averageReturn: avgReturn * 100, // 转换为百分比
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cumulativeReturn: cumulativeReturn * 100, // 转换为百分比
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winRate,
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sharpeRatio
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};
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}
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// 使用示例:
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// const fundAmounts = [10000, 8844.4, 9200, 9100, 9500, 9300, 9200, 8800, 9000, 9400];
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// const analysis = analyzeInvestment(fundAmounts);
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// console.log(analysis);
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