FQuantToolBox/CalculateStockXRD.m at master · faruto/FQuantToolBox · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
function [StockDataXRD, adjFactor] = CalculateStockXRD(StockData, XRD_Data, AdjFlag, AlgoFlag)
% by LiYang_faruto
% Email:farutoliyang@foxmail.com
% 2014/12/12
% 涨跌幅前后复权算法
% 经典前后复权算法
% 等比复权算法
% StockData:日期 开 高 低 收
% AdjFlag 1:前复权价格生成 2:后复权价格生成
% % % 待完成 待完善 2014.12.09
% 除权价=(除权前一日收盘价+配股价X配股比率-每股派息)/(1+配股比率+送股比率)
% 除权因子=除权前一日收盘价/除权价
% AlgoFlag 如果 1 == AlgoFlag 此时要求输入的StockData的最后一列为复权因子
% 1 涨跌幅前后复权算法
% 2 经典前后复权算法
%% 输入输出预处理
if nargin < 4 || isempty(AlgoFlag)
    AlgoFlag = 1;
end
if nargin < 3 || isempty(AdjFlag)
    AdjFlag = 1;
end

Date = StockData(:,1);

StockDataXRD = [];
adjFactor = [];

StockDataXRD = StockData;
StockDataXRD(:,1) = StockData(:,1);
%% 前复权价格生成
if 1 == AdjFlag
    % 涨跌幅前后复权算法
    % % 次数输入的StockData的数据最好从上市日开始
    if 1 == AlgoFlag
        if size(StockData,2) > 5
            BackwardAdjFactor = StockData(:,end);
            ForwardAdjFactor = BackwardAdjFactor/BackwardAdjFactor(end,1);

            for i = 2:5
                StockDataXRD(:,i) = StockData(:,i).*ForwardAdjFactor;
            end
        else
            str = ['输入的StockData数据列数不够，至少应该为日期、开、高、低、收、复权因子'];
            disp(str);
        end
    end


    % 经典前后复权算法
    if 2 == AlgoFlag
        for i = 2:5
            Web_XRD_Data = XRD_Data;
            Stock_Data_Date = Date;
            Stock_Data_Close = StockData(:,i);
            [ XRD_Close ] = F_Stock_XRD_Processing(Web_XRD_Data,Stock_Data_Date,Stock_Data_Close);
            StockDataXRD(:,i) = XRD_Close;
        end
    end
end
%% 后复权价格生成
if 2 == AdjFlag
    % 涨跌幅前后复权算法
    if 1 == AlgoFlag
        if size(StockData,2) > 5
            BackwardAdjFactor = StockData(:,end);
            ForwardAdjFactor = BackwardAdjFactor/BackwardAdjFactor(end,1);

            for i = 2:5
                StockDataXRD(:,i) = StockData(:,i).*BackwardAdjFactor;
            end
        else
            str = ['输入的StockData数据列数不够，至少应该为日期、开、高、低、收、复权因子'];
            disp(str);
        end
    end


    % 经典前后复权算法
    if 2 == AlgoFlag


    end
end

end

%% sub function
function [ XRD_Close ] = F_Stock_XRD_Processing(Web_XRD_Data,Stock_Data_Date,Stock_Data_Close)
%% 调用格式:
%      [ XRD_Close ] = F_Stock_XRD_Processing(Web_XRD_Data,Stock_Data_Date,Stock_Data_Close)
% 输入: Web_XRD_Data → 除权除息数据
%       Stock_Data_Date → 日期数据
%       Stock_Data_Close → 价格（收盘价）数据
% 输出: XRD_Close → 前复权数据
% by Chandeman
% 校验于 2014/8/4
% 如有任何问题请联系Email: 414117285@qq.com
%% 找出除权除夕日期的位置

if ~isempty(Web_XRD_Data)

    XRD_Time = nan(length(Web_XRD_Data(:,1)),1);
    Intermediate_variable_j = length(Web_XRD_Data(:,1));

    for Intermediate_variable_i = length(Web_XRD_Data(:,1)) : -1 : 1

        if find(Web_XRD_Data(Intermediate_variable_i,1) == Stock_Data_Date(:,1))
            XRD_Time(Intermediate_variable_j,1) = ...
                find(Web_XRD_Data(Intermediate_variable_i,1) == Stock_Data_Date(:,1));
            Intermediate_variable_j = Intermediate_variable_j - 1;
        end

    end

    XRD_Time = XRD_Time(~isnan(XRD_Time));

    %% 前复权处理

    XRD_Close = nan(length(Stock_Data_Close),1);

    if ~isempty(XRD_Time)

        XRD_Data = Web_XRD_Data(end-length(XRD_Time)+1:end,:);

        for Intermediate_variable_i = length(XRD_Time) : -1 : 0

            if  Intermediate_variable_i == length(XRD_Time)
                XRD_Close(XRD_Time(Intermediate_variable_i):end) = ...
                    Stock_Data_Close(XRD_Time(Intermediate_variable_i):end);
            elseif Intermediate_variable_i == 0
                XRD_Close(1:XRD_Time(Intermediate_variable_i+1)-1) = ...
                    Stock_Data_Close(1:XRD_Time(Intermediate_variable_i+1)-1);
                for Intermediate_variable_j = 1 : length(XRD_Time)
                    XRD_Close(1:XRD_Time(Intermediate_variable_i+1)-1) = ...
                        (XRD_Close(1:XRD_Time(Intermediate_variable_i+1)-1) - XRD_Data(Intermediate_variable_j,4)/10 + XRD_Data(Intermediate_variable_j,5)/10*XRD_Data(Intermediate_variable_j,6))...
                        /(1+(XRD_Data(Intermediate_variable_j,2)+XRD_Data(Intermediate_variable_j,3)+XRD_Data(Intermediate_variable_j,5))/10);
                end
            else
                XRD_Close(XRD_Time(Intermediate_variable_i):XRD_Time(Intermediate_variable_i+1)-1) = ...
                    Stock_Data_Close(XRD_Time(Intermediate_variable_i):XRD_Time(Intermediate_variable_i+1)-1);
                for Intermediate_variable_j = Intermediate_variable_i + 1 : length(XRD_Time)
                    XRD_Close(XRD_Time(Intermediate_variable_i):XRD_Time(Intermediate_variable_i+1)-1) = ...
                        (XRD_Close(XRD_Time(Intermediate_variable_i):XRD_Time(Intermediate_variable_i+1)-1) - XRD_Data(Intermediate_variable_j,4)/10 + XRD_Data(Intermediate_variable_j,5)/10*XRD_Data(Intermediate_variable_j,6))...
                        /(1+(XRD_Data(Intermediate_variable_j,2)+XRD_Data(Intermediate_variable_j,3)+XRD_Data(Intermediate_variable_j,5))/10);
                end
            end

        end

    else
        XRD_Close = Stock_Data_Close;
    end

else
    XRD_Close = Stock_Data_Close;
end

XRD_Close = round(XRD_Close*100)/100;
end