drawdown.sh

#!/bin/sh

# calculate maximum drawdown.

awk '
  START {max=0;maxdrawdown=0}

  max<$3 {max=$3;print "set max",$1,max}

  {drawdown=max-$3}

  maxdrawdown<drawdown {
    maxdrawdown=drawdown
    maxdate=$1
    print "set maxdrawdown",maxdate,maxdrawdown
  }

  END {print "Max drawdown:",maxdate,maxdrawdown}
'

get225.sh

curl "http://k-db.com/futures/F102-0000?download=csv"

graph.gp

#!/usr/bin/gnuplot

set xdata time
set timefmt "%Y-%m-%d"

set ytics nomirror
set y2tics
set grid

set terminal png size 1024,768
set output "result.png"

plot 'data.txt' using 1:2:3:4:5 with candlesticks linetype -1, \
     'result.txt' using 1:3 with lines axis x1y2
set output

graph.sh

#!/bin/sh

# make graph pdf of data from stdin.

cat - >data.txt
cat data.txt | ./trade01.sh | ./sum.sh >result.txt
./graph.gp

sum.sh

#/bin/sh

# sum trade result

awk '
  BEGIN {sum=0}

#  {print $1 ":" $2 ":" $3}

  $2=="long"  {position="L";price=$3}
  $2=="short" {position="S";price=$3}

  $2=="close" && position=="L" {
    dif=$3-price
    sum=sum+dif
    print $1,dif,sum
    position=""
  }

  $2=="close" && position=="S" {
    dif=price-$3
    sum=sum+dif
    print $1,dif,sum
    position=""
  }
'

trade01.sh

#/bin/sh

# trade strategy No.01

awk '
  BEGIN {
    none=0;long=1;short=-1;position=none
    high=high1=high2=low=low1=low2=0
  }

  {
    date=$1;open=$2
    high2=high1;high1=high;high=$3
    low2=low1;low1=low;low=$4
    clos=$5
    done=0
#    print date " low: " low ", high: " high
  }

  NR==1 {clos2=clos;done=1}
  NR==2 {clos1=clos;done=1}
  NR==3 && clos1>=clos2 {
    position=long
    position_price=open
    print date " long  " open
    done=1
  }
  NR==3 && clos1<clos2 {
    position=short
    position_price=open
    print date " short " open
    done=1
  }

  done==0 && position==long && low2>low {
    print date " close " low2
    position=short
    position_price=low2
    print date " short " low2
    done=1
  }

  done==0 && position==short && high2<high {
    print date " close " high2
    position=long
    position_price=high2
    print date " long  " high2
    done=1
  }
'

unify225.sh

#!/bin/sh

# unify nikkei225 data.

# set language to compare properly with sort command.
export LC_ALL=C

sort               |
sed -n "/^[0-9]/p" |
grep -v "0,0"      |
awk -F"," '
  BEGIN {date=0}

  # same day (night time)
  $1==date && $4>high {high=$4}
  $1==date && $5<low  {low=$5}
  $1==date            {clos=$6}

  # new day (day time)
  $1!=date && 0!=date {print date,open,high,low,clos}
  $1!=date            {date=$1;open=$3;high=$4;low=$5;clos=$6}

  END {print date,open,high,low,clos}
'