Michael Chus
20309d1f0e
Renamed module path git.mchus.pro/mchus/quoteforge → git.mchus.pro/mchus/priceforge, renamed package quoteforge → priceforge, moved binary from cmd/qfs to cmd/pfs.
122 lines
2.5 KiB
Go
122 lines
2.5 KiB
Go
package pricing
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import (
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"math"
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"sort"
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"time"
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"git.mchus.pro/mchus/priceforge/internal/repository"
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)
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// CalculateMedian returns the median of prices
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func CalculateMedian(prices []float64) float64 {
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if len(prices) == 0 {
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return 0
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}
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sorted := make([]float64, len(prices))
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copy(sorted, prices)
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sort.Float64s(sorted)
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n := len(sorted)
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if n%2 == 0 {
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return (sorted[n/2-1] + sorted[n/2]) / 2
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}
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return sorted[n/2]
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}
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// CalculateAverage returns the arithmetic mean of prices
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func CalculateAverage(prices []float64) float64 {
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if len(prices) == 0 {
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return 0
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}
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var sum float64
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for _, p := range prices {
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sum += p
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}
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return sum / float64(len(prices))
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}
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// CalculateWeightedMedian calculates median with exponential decay weights
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// More recent prices have higher weight
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func CalculateWeightedMedian(points []repository.PricePoint, decayDays int) float64 {
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if len(points) == 0 {
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return 0
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}
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type weightedPrice struct {
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price float64
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weight float64
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}
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now := time.Now()
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weighted := make([]weightedPrice, len(points))
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var totalWeight float64
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for i, p := range points {
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daysSince := now.Sub(p.Date).Hours() / 24
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// weight = e^(-days / decay_days)
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weight := math.Exp(-daysSince / float64(decayDays))
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weighted[i] = weightedPrice{price: p.Price, weight: weight}
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totalWeight += weight
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}
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// Sort by price
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sort.Slice(weighted, func(i, j int) bool {
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return weighted[i].price < weighted[j].price
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})
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// Find weighted median
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targetWeight := totalWeight / 2
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var cumulativeWeight float64
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for _, wp := range weighted {
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cumulativeWeight += wp.weight
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if cumulativeWeight >= targetWeight {
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return wp.price
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}
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}
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return weighted[len(weighted)-1].price
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}
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// CalculatePercentile calculates the nth percentile of prices
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func CalculatePercentile(prices []float64, percentile float64) float64 {
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if len(prices) == 0 {
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return 0
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}
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sorted := make([]float64, len(prices))
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copy(sorted, prices)
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sort.Float64s(sorted)
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index := (percentile / 100) * float64(len(sorted)-1)
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lower := int(math.Floor(index))
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upper := int(math.Ceil(index))
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if lower == upper {
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return sorted[lower]
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}
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fraction := index - float64(lower)
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return sorted[lower]*(1-fraction) + sorted[upper]*fraction
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}
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// CalculateStdDev calculates standard deviation
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func CalculateStdDev(prices []float64) float64 {
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if len(prices) < 2 {
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return 0
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}
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mean := CalculateAverage(prices)
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var sumSquares float64
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for _, p := range prices {
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diff := p - mean
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sumSquares += diff * diff
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}
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return math.Sqrt(sumSquares / float64(len(prices)-1))
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}
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