import { ConditionOptions, QuoteSummary } from '../types.js';
import yahooFinance from 'yahoo-finance2';
import _ from 'lodash';
import { BreakoutDetector } from '../strategy/BreakoutDetector.js';
export class Conditions {
/**
* Check if the stock average price is within the threshold
* @param movingAverages
* @param threshold
*/
checkDeviationsWithin(
movingAverages: { days: number; averagePrice: number }[],
threshold = 0.1
): boolean {
const calculateAverage = (values: number[]): number => {
const sum = values.reduce((acc, value) => acc + value, 0);
return sum / values.length;
};
const calculateDeviation = (value: number, average: number): number => {
return Math.abs(value - average) / average;
};
// Calculate the average price of all moving averages
const averagePrice = calculateAverage(
movingAverages.map(ma => ma.averagePrice)
);
// Calculate the deviation of each moving average from the average price
const deviations = movingAverages.map(ma => ({
days: ma.days,
deviation: calculateDeviation(ma.averagePrice, averagePrice),
}));
return deviations.every(dev => dev.deviation < threshold);
}
/**
* Check if the stock is close to its high less than 40% away
* @param quoteSummary
* @param thresholdPercentage
*/
isCloseToHighest(
quoteSummary: QuoteSummary,
thresholdPercentage: number = 0.4
): boolean {
if (
quoteSummary.price.regularMarketPrice <
quoteSummary.price.regularMarketOpen
)
return false;
return (
1 -
(quoteSummary.price.regularMarketPrice -
quoteSummary.price.regularMarketOpen) /
(quoteSummary.price.regularMarketDayHigh -
quoteSummary.price.regularMarketOpen) <
thresholdPercentage
);
}
/**
* Check if the stock price is higher than the target price
* @param quoteSummary
* @param targetPrice
* @param thresholdPercentage
*/
isCloseHigherThan(
quoteSummary: QuoteSummary,
targetPrice: number,
thresholdPercentage: number = 0.2
): boolean {
return (
quoteSummary.price.regularMarketPrice > targetPrice ||
Math.abs(quoteSummary.price.regularMarketPrice - targetPrice) /
targetPrice <
thresholdPercentage
);
}
/**
* check turn over rate bigger than 3%
* @param quoteSummary
* @param thresholdLow
* @param thresholdHigh
*/
turnOverRateFilter(
quoteSummary: QuoteSummary,
thresholdLow: number,
thresholdHigh?: number
): boolean {
if (thresholdHigh) {
return (
quoteSummary.summaryDetail.turnoverRate > thresholdLow &&
quoteSummary.summaryDetail.turnoverRate < thresholdHigh
);
} else {
return quoteSummary.summaryDetail.turnoverRate > thresholdLow;
}
}
/**
* check volume ratio between 3 and 10
* @param quoteSummary
* @param thresholdLow
* @param thresholdHigh
*/
volumeRatioFilter(
quoteSummary: QuoteSummary,
thresholdLow: number,
thresholdHigh?: number
): boolean {
if (thresholdHigh) {
return (
quoteSummary.summaryDetail.volumeRatio > thresholdLow &&
quoteSummary.summaryDetail.volumeRatio < thresholdHigh
);
} else {
return quoteSummary.summaryDetail.volumeRatio > thresholdLow;
}
}
volumeBiggerThan(quoteSummary: QuoteSummary, threshold: number): boolean {
return quoteSummary.summaryDetail.volume > threshold;
}
sharesOutstandingSmallerThan(
quoteSummary: QuoteSummary,
threshold: number
): boolean {
return quoteSummary.summaryDetail.sharesOutstanding <= threshold;
}
isBullish(quoteSummary: QuoteSummary): boolean {
return (
quoteSummary.price.fiftyDayAverage >
quoteSummary.price.twoHundredDayAverage &&
quoteSummary.price.regularMarketPrice > quoteSummary.price.fiftyDayAverage
);
}
async isHigherThanLast120DaysHighest(
quoteSummary: QuoteSummary
): Promise<boolean> {
const queryOptions = {
period1: new Date(Date.now() - 120 * 24 * 60 * 60 * 1000),
interval: '1d',
} as any;
const symbol = quoteSummary.symbol;
const chartResult = (await yahooFinance.chart(symbol, queryOptions)) as any;
if (!chartResult || !chartResult.quotes) {
console.error('No data found for symbol:', symbol);
return false;
}
const historicalHighPrices = chartResult.quotes.map(quote => quote.high);
const currentPrice = chartResult.meta.regularMarketPrice;
const highestHistoricalPrice = Math.max(...historicalHighPrices);
return currentPrice >= highestHistoricalPrice;
}
async getMovingAverage(symbol: string, movingAverages: number[]) {
const queryMovingAverage = async (days: number) => {
const today = new Date();
const startDate = new Date();
startDate.setDate(today.getDate() - days - 30); // 为了保险多取30天的数据
const queryOptions = {
period1: startDate,
period2: today,
interval: '1d' as const,
};
try {
const result = await yahooFinance.chart(symbol, queryOptions);
if (result && result.quotes && result.quotes.length > 0) {
const quotes = result.quotes.slice(-days); // 取最近days天的数据
if (quotes.length < days) {
console.log(
`Error: Not enough data for ${days}-day moving average.`
);
return null;
}
const validPrices = quotes
.map(q => (typeof q.adjclose === 'number' ? q.adjclose : q.close))
.filter(v => typeof v === 'number' && !Number.isNaN(v));
if (validPrices.length === 0) {
console.log(
`Error: Not enough valid price points for ${days}-day moving average.`
);
return null;
}
const sum = validPrices.reduce((acc, p) => acc + p, 0);
return sum / validPrices.length;
} else {
console.log('Error: No data found or quotes is empty.');
}
} catch (error) {
console.error('Error fetching data:', error);
return null;
}
};
return await Promise.all(
movingAverages.map(async days => {
return {
days: days,
averagePrice: await queryMovingAverage(days),
};
})
);
}
async checkConditions(
quoteSummary: QuoteSummary,
options: Partial<ConditionOptions>
) {
const breakoutDetected = new BreakoutDetector();
if (options.bullish && !this.isBullish(quoteSummary)) {
console.log(`Stock is not bullish for ${quoteSummary.symbol}`);
return null;
}
if (options.shouldHigherThanAveragePriceDays) {
const movingPriceAverages = await this.getMovingAverage(
quoteSummary.symbol,
options.shouldHigherThanAveragePriceDays
);
const validMAs = movingPriceAverages.filter(
ma => typeof ma.averagePrice === 'number' && !Number.isNaN(ma.averagePrice)
);
if (validMAs.length === 0) {
console.log(`No valid moving average values for ${quoteSummary.symbol}`);
return null;
}
const averagePrice =
validMAs.reduce((acc, ma) => acc + (ma.averagePrice as number), 0) /
validMAs.length;
if (!this.isCloseHigherThan(quoteSummary, averagePrice)) {
console.log(
`Price ${quoteSummary.price.regularMarketPrice} is not higher than ${options.shouldHigherThanAveragePriceDays.join(',')} average price ${averagePrice.toFixed(2)} for ${quoteSummary.symbol}`
);
return null;
}
if (
options.priceDeviationWithin &&
!this.checkDeviationsWithin(validMAs, options.priceDeviationWithin)
) {
console.log(
`Price average deviation is too big for ${quoteSummary.symbol}`
);
return null;
}
}
if (
options.closeToHighestWithin &&
!this.isCloseToHighest(quoteSummary, options.closeToHighestWithin)
) {
console.log(
`Price is not close to the highest for ${quoteSummary.symbol}`
);
return null;
}
if (
options.turnOverRateRange &&
!this.turnOverRateFilter(
quoteSummary,
options.turnOverRateRange[0],
options.turnOverRateRange[1]
)
) {
console.log(
`Turn over is not in the range for ${quoteSummary.symbol}`,
quoteSummary.summaryDetail.turnoverRate
);
return null;
}
if (
options.volumeRatioRange &&
!this.volumeRatioFilter(
quoteSummary,
options.volumeRatioRange[0],
options.volumeRatioRange[1]
)
) {
console.log(
`Volume ratio is not in the range for ${quoteSummary.symbol}`,
quoteSummary.summaryDetail.volumeRatio
);
return null;
}
if (
options.minVolume &&
!this.volumeBiggerThan(quoteSummary, options.minVolume)
) {
console.log(`Volume is too low for ${quoteSummary.symbol}`);
return null;
}
if (
options.higherThanLast120DaysHighest &&
!(await this.isHigherThanLast120DaysHighest(quoteSummary))
) {
console.log(
`Price is not higher than the highest in past 120 days for ${quoteSummary.symbol}`
);
return null;
}
if (
options.maxSharesOutstanding &&
!this.sharesOutstandingSmallerThan(
quoteSummary,
options.maxSharesOutstanding
)
) {
console.log(`Shares outstanding is too big for ${quoteSummary.symbol}`);
return null;
}
if (options.breakout) {
const supportResistanceResult = await breakoutDetected.run(
quoteSummary.symbol
);
if (supportResistanceResult.breakSignals.length === 0) {
console.log(`No breakout detected for ${quoteSummary.symbol}`);
return null;
}
const latestBreakSignal =
supportResistanceResult.breakSignals[
supportResistanceResult.breakSignals.length - 1
];
if (latestBreakSignal.type !== 'resistance_break') {
console.log(`Not a valid breakout for ${quoteSummary.symbol}`);
return null;
}
// check if the breakout is today??
// const today = new Date();
// const lastBreakSignalDate = latestBreakSignal.time;
// if (today.getDate() !== lastBreakSignalDate.getDate()) {
// console.log(`Breakout is not today for ${quoteSummary.symbol}`);
// return null;
// }
quoteSummary.breakSignal = latestBreakSignal;
}
return quoteSummary;
}
async goThroughConditions(
options: ConditionOptions,
quotesSummaries: QuoteSummary[]
) {
const sortedQuotesSummaries: QuoteSummary[] = _.uniqWith(
quotesSummaries,
(a, b) => a.stockCode === b.stockCode
);
console.log('Total stocks to check:', sortedQuotesSummaries.length);
const resolvedSummaries = await Promise.all(
sortedQuotesSummaries.map(async quoteSummary => {
return await this.checkConditions(quoteSummary, options);
})
);
return resolvedSummaries.filter(quoteSummary => !!quoteSummary);
}
}
