modify scripts
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oscarz
147
shell/stat.sql
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147
shell/stat.sql
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-- 更新 hs_index 表中的code
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UPDATE hs_index SET code = CONCAT('SZ.' , code_inner) WHERE exchange_eng LIKE 'Shenzhen%'
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UPDATE hs_index SET code = CONCAT('SH.' , code_inner) WHERE exchange_eng LIKE 'Shanghai%'
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-- 沪深300独有代码
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SELECT * FROM hs_index hi WHERE code_inner not in (SELECT code_inner from hs_index hi2 WHERE index_code='000510')
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-- 上证A510独有代码
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SELECT * FROM hs_index hi WHERE code_inner not in (SELECT code_inner from hs_index hi2 WHERE index_code='000300')
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-- 共同的代码
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SELECT * FROM hs_index hi WHERE index_code='000510' and code_inner in (SELECT code_inner from hs_index hi2 WHERE index_code='000300')
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-- 校验使用复权因子计算出的前复权价格，与直接从接口读取的前复权价格的差异
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select a.code, a.time_key, a.close, b.qfq_close, a.close - b.qfq_close as diff
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from stockdb.sp500_qfq_his_202410 a, stockdb.sp500_ajust_kline_202410 b
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WHERE a.code = b.code and a.time_key = b.time_key
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-- 校验使用复权因子计算出的前复权价格，与直接从接口读取的前复权价格的差异
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select a.code, a.time_key, a.close, b.qfq_close, a.close - b.qfq_close as diff
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from stockdb.hs300_qfq_his a, stockdb.hs300_ajust_kline_202410 b
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WHERE a.code = b.code and a.time_key = b.time_key
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-- 统计 year_diff = 10000 的所有记录中， win_rate 在不同区间的分布情况，给出每个区间的 行数，以及占整体的比例
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WITH filtered_data AS (
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SELECT win_rate
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FROM hs300_5years_yield_stats_2410
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WHERE year_diff = 10000
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)
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SELECT
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CASE
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WHEN win_rate >= 0.99995 THEN '100%'
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WHEN win_rate >= 0.9 AND win_rate < 0.99995 THEN '90%～100%'
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WHEN win_rate >= 0.5 AND win_rate < 0.9 THEN '50% ~ 90%'
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WHEN win_rate >= 0.2 AND win_rate < 0.5 THEN '20% ~ 50%'
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ELSE '20% 以下'
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END AS win_rate_range,
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ROUND(COUNT(*) / (SELECT COUNT(*) FROM filtered_data) * 100, 2) AS percentage,
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COUNT(*) AS count
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FROM filtered_data
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GROUP BY win_rate_range
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ORDER BY
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CASE win_rate_range
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WHEN '100%' THEN 1
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WHEN '90%～100%' THEN 2
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WHEN '50% ~ 90%' THEN 3
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WHEN '20% ~ 50%' THEN 4
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ELSE 5
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END;
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;
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-- annual_median_yield_rate 代表了投资的年化回报率的中位数，我们想要统计在 year_diff = 10000 的所有记录中，中位数的分布情况。
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-- 首先把所有记录按照中位数降序排列，然后把所有记录的条数分成10等份，我们要输出的是 每一个等份下面，中位数的区间，以及等份的记录条数。
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WITH ranked_data AS (
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SELECT
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annual_median_yield_rate,
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NTILE(10) OVER (ORDER BY annual_median_yield_rate DESC) AS tile_rank
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FROM sp500_5years_yield_stats_2410
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WHERE year_diff = 10000
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)
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SELECT
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MAX(annual_median_yield_rate) AS max_yield_rate,
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MIN(annual_median_yield_rate) AS min_yield_rate,
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COUNT(*) AS record_count
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FROM ranked_data
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GROUP BY tile_rank
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ORDER BY tile_rank;
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-- max_deficit_days 是买入即亏损的最大时长。我们统计在 year_diff = 10000 的所有记录中，按照之前定义的胜率分布下，每一个胜率分布区间内，max_deficit_days 的最大值，最小值，和平均值。
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WITH filtered_data AS (
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SELECT win_rate, max_deficit_days
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FROM sp500_5years_yield_stats_2410
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WHERE year_diff = 10000
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)
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SELECT
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CASE
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WHEN win_rate >= 0.99995 THEN '100%'
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WHEN win_rate >= 0.9 AND win_rate < 0.99995 THEN '90%～100%'
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WHEN win_rate >= 0.5 AND win_rate < 0.9 THEN '50% ~ 90%'
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WHEN win_rate >= 0.2 AND win_rate < 0.5 THEN '20% ~ 50%'
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ELSE '20% 以下'
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END AS win_rate_range,
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MAX(max_deficit_days) AS max_deficit,
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MIN(max_deficit_days) AS min_deficit,
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ROUND(AVG(max_deficit_days), 2) AS avg_deficit
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FROM filtered_data
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GROUP BY win_rate_range
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ORDER BY
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CASE win_rate_range
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WHEN '100%' THEN 1
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WHEN '90%～100%' THEN 2
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WHEN '50% ~ 90%' THEN 3
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WHEN '20% ~ 50%' THEN 4
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ELSE 5
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END;
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-- 提取 year_diff = 10000 的所有记录中，win_rate >= 0.99995 的所有记录的 code, name, max_yield_rate, median_yield_rate, annual_max_yield_rate, annual_median_yield_rate, max_deficit_days
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SELECT
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code,
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name,
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max_yield_rate,
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median_yield_rate,
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annual_max_yield_rate,
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annual_median_yield_rate,
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max_deficit_days
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FROM hs300_5years_yield_stats_2410
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WHERE year_diff = 10000
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AND win_rate >= 0.99995;
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-- 对每个不同的 code，统计不同 year_diff （year_diff != 10000）下的最大 annual_median_yield_rate 对应的 year_diff ，我们就得到了 code , 最优 year_diff 的结果；然后对 year_diff 进行分组统计对应的行数，以及占总行数的比例。
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WITH best_year_diff_per_code AS (
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SELECT code,
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year_diff,
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annual_median_yield_rate,
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RANK() OVER (PARTITION BY code ORDER BY annual_median_yield_rate DESC) AS rank_by_yield
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FROM sp500_5years_yield_stats_2410
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WHERE year_diff != 10000
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)
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SELECT
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year_diff,
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ROUND(COUNT(*) / (SELECT COUNT(*) FROM best_year_diff_per_code WHERE rank_by_yield = 1) * 100, 2) AS percentage,
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COUNT(*) AS record_count
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FROM best_year_diff_per_code
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WHERE rank_by_yield = 1
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GROUP BY year_diff
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ORDER BY year_diff;
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-- 对每个不同的 code，统计不同 year_diff （year_diff != 10000）下的最大 annual_median_yield_rate 对应的 year_diff ，我们就得到了 code , 最优 year_diff 的结果；输出这个结果。
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WITH best_year_diff_per_code AS (
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SELECT
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code,
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year_diff,
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annual_median_yield_rate,
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RANK() OVER (PARTITION BY code ORDER BY annual_median_yield_rate DESC) AS rank_by_yield
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FROM sp500_5years_yield_stats_2410
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WHERE year_diff != 10000
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)
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SELECT
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code,
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year_diff AS best_year_diff,
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annual_median_yield_rate AS max_annual_median_yield_rate
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FROM best_year_diff_per_code
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WHERE rank_by_yield = 1
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ORDER BY code;
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