From 0ba0d3702d3bd99c86c7d93bca0e521c4c795b59 Mon Sep 17 00:00:00 2001
From: Sik Yoon <younxxxx@gmail.com>
Date: Thu, 6 Jun 2024 02:19:03 +0900
Subject: [PATCH] Implement linear regression

---
 src/strategy_team/mod.rs                      |  1 +
 .../indicators/linear_regression.rs           | 80 +++++++++++++++++++
 src/value_estimation_team/indicators/mod.rs   |  1 +
 3 files changed, 82 insertions(+)
 create mode 100644 src/value_estimation_team/indicators/linear_regression.rs

diff --git a/src/strategy_team/mod.rs b/src/strategy_team/mod.rs
index 429c13a..fdd9bb4 100644
--- a/src/strategy_team/mod.rs
+++ b/src/strategy_team/mod.rs
@@ -37,6 +37,7 @@ use crate::value_estimation_team::indicators::tema::{tema, TemaData};
 use crate::value_estimation_team::indicators::wiliams_percent_r::{
     wiliams_percent_r, WiliamsPercentR,
 };
+use crate::value_estimation_team::indicators::linear_regression::{LrData, linear_regression};
 use crate::future::Position;
 use futures::future::try_join_all;
 use reqwest::{Client, ClientBuilder};
diff --git a/src/value_estimation_team/indicators/linear_regression.rs b/src/value_estimation_team/indicators/linear_regression.rs
new file mode 100644
index 0000000..03b70ba
--- /dev/null
+++ b/src/value_estimation_team/indicators/linear_regression.rs
@@ -0,0 +1,80 @@
+#![allow(unused)]
+#![allow(warnings)]
+
+use super::HashMap;
+use crate::database_control::*;
+use crate::strategy_team::FilteredDataValue;
+use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
+use futures::future::try_join_all;
+use serde::Deserialize;
+use sqlx::FromRow;
+use std::sync::Arc;
+use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};
+
+#[derive(Clone, Debug)]
+pub struct LrData {
+    pub lr_value: f64,  // linear regression value
+    pub close_time: i64,
+}
+impl LrData {
+    fn new() -> LrData {
+        let a = LrData {
+            lr_value: 0.0,
+            close_time: 0,
+        };
+        a
+    }
+}
+
+// Binance MA (closeprice)
+pub async fn linear_regression(
+    length: usize,
+    offset: usize,
+    input_rt_data: &HashMap<String, Vec<RealtimePriceData>>,
+    filtered_symbols: &HashMap<String, FilteredDataValue>,
+) -> Result<HashMap<String, Vec<LrData>>, Box<dyn std::error::Error + Send + Sync>> {
+    if filtered_symbols.is_empty() {
+        Err("Err")?;
+    }
+
+    let mut lr_data_wrapper: HashMap<String, Vec<LrData>> = HashMap::new();
+    let mut lr_data_wrapper_arc = Arc::new(Mutex::new(lr_data_wrapper));
+
+    let mut task_vec = Vec::new();
+    for (symbol, filtered_data) in filtered_symbols {
+        if let Some(vec) = input_rt_data.get(symbol) {
+            let lr_data_wrapper_arc_c = Arc::clone(&lr_data_wrapper_arc);
+            let symbol_c = symbol.clone();
+            let rt_price_data = vec.clone();
+            if rt_price_data.len() >= length {
+                task_vec.push(tokio::spawn(async move {
+                    // Calculate prediction of linear regression
+                    let mut lr_data_vec: Vec<LrData> = Vec::new();
+                    
+                    for window in rt_price_data.windows(length) {
+                        let mut lr_data = LrData::new();
+                        let x: Vec<f64> = (0..length).map(|x| x as f64).collect();
+                        let y: Vec<f64> = window.iter().map(|x| x.close_price).collect();
+                
+                        let x_mean: f64 = x.iter().sum::<f64>() / x.len() as f64;
+                        let y_mean: f64 = y.iter().sum::<f64>() / y.len() as f64;
+                
+                        let numerator: f64 = x.iter().zip(y.iter()).map(|(x_i, y_i)| (x_i - x_mean) * (y_i - y_mean)).sum();
+                        let denominator: f64 = x.iter().map(|x_i| (x_i - x_mean).powi(2)).sum();
+                
+                        let slope = numerator / denominator;
+                        let intercept = y_mean - slope * x_mean;
+                
+                        let linreg = intercept + slope * (length as f64 - 1.0 - offset as f64);
+                        lr_data.lr_value = linreg;
+                        lr_data.close_time = window.last().unwrap().close_time;
+                        lr_data_vec.push(lr_data.clone());
+                    }
+                }));
+            }
+        }
+    }
+    try_join_all(task_vec).await?;
+    let a = lr_data_wrapper_arc.lock().await.to_owned();
+    Ok(a)
+}
diff --git a/src/value_estimation_team/indicators/mod.rs b/src/value_estimation_team/indicators/mod.rs
index ba2252e..019e1ff 100644
--- a/src/value_estimation_team/indicators/mod.rs
+++ b/src/value_estimation_team/indicators/mod.rs
@@ -10,6 +10,7 @@ pub mod stoch_rsi;
 pub mod supertrend;
 pub mod tema;
 pub mod wiliams_percent_r;
+pub mod linear_regression;
 
 use crate::strategy_team::FilteredDataValue;
 use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;