data-daq/service-calc/src/main/java/com/simuwang/calc/CompetitionIndicatorCalcService.java

package com.simuwang.calc;

import cn.hutool.core.collection.CollUtil;
import com.smppw.common.pojo.dto.CompoundRet;
import com.smppw.utils.BigDecimalUtils;
import org.springframework.stereotype.Service;

import java.math.BigDecimal;
import java.util.List;

@Service
public class CompetitionIndicatorCalcService {

    private static final BigDecimal INDICATOR_MAX_VALUE = new BigDecimal(999999999);

    /**
     * 计算年化收益率
     * 年化收益是用月年化
     *
     * @param intervalReturn 区间收益率
     * @param monthsBetween  区间内的月份
     * @return 年化收益率
     */
    public BigDecimal calcRetA(BigDecimal intervalReturn, Integer monthsBetween) {
        if (intervalReturn != null) {
            double ret = Double.parseDouble(String.valueOf(intervalReturn));
            double retA = Math.pow(1 + ret, 12.0 / monthsBetween) - 1;
            return BigDecimal.valueOf(retA);
        }
        return null;
    }

    /**
     * 计算周胜率
     * 周收益 > 0 ? 1: 0
     *
     * @param fundRetList 基金周收益率
     * @return 周胜率(平均周胜率)
     */
    public BigDecimal calcWinRate(List<CompoundRet> fundRetList) {
        if (CollUtil.isEmpty(fundRetList) || fundRetList.size() == 1) {
            return null;
        }
        // 第一周的收益率为null
        double winWeekCount = (double) fundRetList.stream().map(CompoundRet::getRetOfFund).filter(e -> e != null && e.compareTo(0.0) > 0).count();
        return BigDecimal.valueOf(winWeekCount / (fundRetList.size() - 1));
    }

    /**
     * 计算超额胜率
     * 基金周收益 > 基准周收益 ? 1: 0
     *
     * @param fundRetList 基金周收益率和基准的周收益率
     * @return 超额胜率(平均超额胜率)
     */
    public BigDecimal calcExcessWinRate(List<CompoundRet> fundRetList) {
        if (CollUtil.isEmpty(fundRetList) || fundRetList.size() == 1) {
            return null;
        }
        double winWeekCount = 0d;
        for (CompoundRet compoundRet : fundRetList) {
            Double retOfFund = compoundRet.getRetOfFund();
            Double retOfBmk = compoundRet.getRetOfBmk();
            if (retOfFund == null || retOfBmk == null) {
                continue;
            }
            if (retOfFund.compareTo(retOfBmk) > 0) {
                winWeekCount++;
            }
        }
        return BigDecimal.valueOf(winWeekCount / (fundRetList.size() - 1));
    }

    public BigDecimal calcCalMarRatio(BigDecimal retA, BigDecimal maxDrawDown) {
        if (retA == null || maxDrawDown == null) {
            return null;
        }
        if (maxDrawDown.compareTo(BigDecimal.ZERO) == 0) {
            return INDICATOR_MAX_VALUE;
        }
        return BigDecimalUtils.divide(retA, maxDrawDown);
    }
}