学步园

libname yu "E:\yugao\时间跨度相关\TXT";
*sh600000数据测试;
data test;
  set yu.tar(rename=(var1=date 
                  var2=open 
                  var3=high 
                  var4=low
				  var5=close
				  var6=volume
				  var7=amount));
   drop amount;
run;
*计算R参数，R(21)=C(t)/C(t-21),当i<21时,R=C(t)/C(t-i);
proc expand data=test out=test_r1 method=none;
   by id;
   convert close = lag21_close / transformout = (lag 21);
run;
data test_r2;
     set test_r1;
	 by id;
	 r=close/lag21_close;
	 if first.id then close1=close;
     retain close1;
     if r=. then r=close/close1;
     drop close1;
run;


*计算参数S(N*4.236,n,m),N窗口期，n移动平均天数，m再次移动平均天数，例如S(55，13，3)
公式：S1=(C(t)-L(T))/(H(T)-L(T)),其中t当天，T：窗口期内
     S2=MA13(S1)13天的移动平均
	 S3=MA3(S2) 3天地移动平均（最终参数）;
proc expand data=test out=test_s1 method=none;
      by id;
      convert close = h_close / transformin=(movmax 55 );
      convert close = l_close / transformin=(movmin 55 );
      run; 
data test_s2;
   set test_s1;
   s1=(close - l_close)/(h_close - l_close);
   run;
  
proc expand data=test_s2 out=test_s3 method=none;
   by id;
   convert s1=s2  / transformout=(movave 13);
   run;
proc expand data=test_s3 out=test_s4 method=none;
   by id;
   convert s2=s / transformout=(movave 3);
run;


*计算参数B(13,55,3);
*HP(t)=max(high(t),close(t-1))取最大值	；
*LP(t)=min(Low(t),close(t-1))取最小值 ；
*BULL1=((Close-open)+(open-LP)-(HP-Close))/(HP-LP)；
*BULL2=SUM13(BULL1) 13天地求和；
*BULL3=MA55(BULL2)  55天移动平均；
*BULL=MA3(BULL3)   3天移动平均(最终参数);
proc expand data=test out=test_b1 method=none;
      by id;
      convert close=lag_close / transformout=(lag 1 );
	  run;

data test_b2;
   set test_b1;
   by id;
   hp=max(of high lag_close);
   lp=min(of low lag_close);
   bull1=((close-open)+(open-lp)-(hp-close))/(hp-lp);
run;
proc expand data=test_b2 out=test_b3 method=none;
   convert bull1=bull2 / transformout=( movsum 13 );
run;
proc expand data=test_b3 out=test_b4 method=none;
   convert bull2=bull3 / transformout=( movave 55 );
run;
proc expand data=test_b4 out=test_b5 method=none;
   convert bull3=bull / transformout=( movave 3 );
run;

*计算V1,V2参数
*v(t)当天的成交量
*计算v(t)的55天移动平均:MA55(v)
*dif(t)= ABS(v(t)-MA55(v))
*m(t)=v(t)/1.618*dif(t-1);
proc expand data=test out=test_v11 method=none;
   by id;
   convert volume=v_ma55 / transformout=(movave 55);
run;
data test_v12;
   set test_v11;
   v_dif=abs(volume-v_ma55); 
   v_m=volume/(1.618*v_dif);
run;
*V2参数计算;
*计算参数V2(N*4.236,n,m),N窗口期，n移动平均天数，m再次移动平均天数，例如v2(55，13，3)
公式：v21=(C(t)-L(T))/(H(T)-L(T)),其中t当天，T：窗口期内
     v22=MA13(S1)13天的移动平均
	 v23=MA3(S2) 3天地移动平均（最终参数）;
proc expand data=test out=test_v21 method=none;
      by id;
      convert volume = h_volume / transformin=(movmax 55 );
      convert volume = l_volume / transformin=(movmin 55 );
      run; 
data test_v22;
   set test_v21;
   v21=(volume - l_volume)/(h_volume - l_volume);
   
   run;
  
proc expand data=test_v22 out=test_v23 method=none;
   by id;
   convert v21=v22  / transformout=(movave 13);
   run;
proc expand data=test_v23 out=test_v24 method=none;
   by id;
   convert v22=v2 / transformout=(movave 3);
run;