├── README.md ├── archive.ics.uci.edu └── ml │ └── machine-learning-databases │ └── iris │ └── iris.data ├── data.xls ├── data ├── 8.5-8.9工作报告 │ ├── donchian_high_mtx.csv │ └── donchian_low_mtx.csv ├── AAPL.csv ├── MSFT.csv ├── data.csv ├── datanew.csv ├── direction_mtx_data.xls ├── donchian_high_mtx.csv ├── donchian_low_mtx.csv ├── heat_map.xls ├── macro_data.xls ├── matrix_data.xls ├── test.xls ├── trend.csv └── 宏观经济数据.xls ├── direc_mat_compare.py ├── direction_mtx.csv ├── hash_search.py ├── image_search ├── 0result.jpg ├── 100result.jpg ├── 101result.jpg ├── 102result.jpg ├── 103result.jpg ├── 104result.jpg ├── 105result.jpg ├── 106result.jpg ├── 107result.jpg ├── 108result.jpg ├── 109result.jpg ├── 10result.jpg ├── 110result.jpg ├── 111result.jpg ├── 112result.jpg ├── 113result.jpg ├── 114result.jpg ├── 115result.jpg ├── 116result.jpg ├── 117result.jpg ├── 118result.jpg ├── 119result.jpg ├── 11result.jpg ├── 120result.jpg ├── 121result.jpg ├── 122result.jpg ├── 123result.jpg ├── 124result.jpg ├── 125result.jpg ├── 12result.jpg ├── 13result.jpg ├── 14result.jpg ├── 15result.jpg ├── 16result.jpg ├── 17result.jpg ├── 18result.jpg ├── 19result.jpg ├── 1result.jpg ├── 20result.jpg ├── 21result.jpg ├── 22result.jpg ├── 23result.jpg ├── 24result.jpg ├── 25result.jpg ├── 26result.jpg ├── 27result.jpg ├── 28result.jpg ├── 29result.jpg ├── 2result.jpg ├── 30result.jpg ├── 31result.jpg ├── 32result.jpg ├── 33result.jpg ├── 34result.jpg ├── 35result.jpg ├── 36result.jpg ├── 37result.jpg ├── 38result.jpg ├── 39result.jpg ├── 3result.jpg ├── 40result.jpg ├── 41result.jpg ├── 42result.jpg ├── 43result.jpg ├── 44result.jpg ├── 45result.jpg ├── 46result.jpg ├── 47result.jpg ├── 48result.jpg ├── 49result.jpg ├── 4result.jpg ├── 50result.jpg ├── 51result.jpg ├── 52result.jpg ├── 53result.jpg ├── 54result.jpg ├── 55result.jpg ├── 56result.jpg ├── 57result.jpg ├── 58result.jpg ├── 59result.jpg ├── 5result.jpg ├── 60result.jpg ├── 61result.jpg ├── 62result.jpg ├── 63result.jpg ├── 64result.jpg ├── 65result.jpg ├── 66result.jpg ├── 67result.jpg ├── 68result.jpg ├── 69result.jpg ├── 6result.jpg ├── 70result.jpg ├── 71result.jpg ├── 72result.jpg ├── 73result.jpg ├── 74result.jpg ├── 75result.jpg ├── 76result.jpg ├── 77result.jpg ├── 78result.jpg ├── 79result.jpg ├── 7result.jpg ├── 80result.jpg ├── 81result.jpg ├── 82result.jpg ├── 83result.jpg ├── 84result.jpg ├── 85result.jpg ├── 86result.jpg ├── 87result.jpg ├── 88result.jpg ├── 89result.jpg ├── 8result.jpg ├── 90result.jpg ├── 91result.jpg ├── 92result.jpg ├── 93result.jpg ├── 94result.jpg ├── 95result.jpg ├── 96result.jpg ├── 97result.jpg ├── 98result.jpg ├── 99result.jpg ├── 9result.jpg ├── cost.jpg ├── cpi.png ├── cycle.csv ├── direction_mtx_data.xls ├── fai.png ├── hash_search.py ├── headmap_process.py ├── heat_map.xls ├── iir.png ├── m1.png ├── m2.png ├── object.jpg ├── pc.png ├── pmi.png ├── pmim.png ├── ppi.png ├── pr.png └── result_pic │ ├── 0result.jpg │ ├── 100result.jpg │ ├── 101result.jpg │ ├── 102result.jpg │ ├── 103result.jpg │ ├── 104result.jpg │ ├── 105result.jpg │ ├── 106result.jpg │ ├── 107result.jpg │ ├── 108result.jpg │ ├── 109result.jpg │ ├── 10result.jpg │ ├── 110result.jpg │ ├── 111result.jpg │ ├── 112result.jpg │ ├── 113result.jpg │ ├── 114result.jpg │ ├── 115result.jpg │ ├── 116result.jpg │ ├── 117result.jpg │ ├── 118result.jpg │ ├── 119result.jpg │ ├── 11result.jpg │ ├── 120result.jpg │ ├── 121result.jpg │ ├── 122result.jpg │ ├── 123result.jpg │ ├── 124result.jpg │ ├── 125result.jpg │ ├── 12result.jpg │ ├── 13result.jpg │ ├── 14result.jpg │ ├── 15result.jpg │ ├── 16result.jpg │ ├── 17result.jpg │ ├── 18result.jpg │ ├── 19result.jpg │ ├── 1result.jpg │ ├── 20result.jpg │ ├── 21result.jpg │ ├── 22result.jpg │ ├── 23result.jpg │ ├── 24result.jpg │ ├── 25result.jpg │ ├── 26result.jpg │ ├── 27result.jpg │ ├── 28result.jpg │ ├── 29result.jpg │ ├── 2result.jpg │ ├── 30result.jpg │ ├── 31result.jpg │ ├── 32result.jpg │ ├── 33result.jpg │ ├── 34result.jpg │ ├── 35result.jpg │ ├── 36result.jpg │ ├── 37result.jpg │ ├── 38result.jpg │ ├── 39result.jpg │ ├── 3result.jpg │ ├── 40result.jpg │ ├── 41result.jpg │ ├── 42result.jpg │ ├── 43result.jpg │ ├── 44result.jpg │ ├── 45result.jpg │ ├── 46result.jpg │ ├── 47result.jpg │ ├── 48result.jpg │ ├── 49result.jpg │ ├── 4result.jpg │ ├── 50result.jpg │ ├── 51result.jpg │ ├── 52result.jpg │ ├── 53result.jpg │ ├── 54result.jpg │ ├── 55result.jpg │ ├── 56result.jpg │ ├── 57result.jpg │ ├── 58result.jpg │ ├── 59result.jpg │ ├── 5result.jpg │ ├── 60result.jpg │ ├── 61result.jpg │ ├── 62result.jpg │ ├── 63result.jpg │ ├── 64result.jpg │ ├── 65result.jpg │ ├── 66result.jpg │ ├── 67result.jpg │ ├── 68result.jpg │ ├── 69result.jpg │ ├── 6result.jpg │ ├── 70result.jpg │ ├── 71result.jpg │ ├── 72result.jpg │ ├── 73result.jpg │ ├── 74result.jpg │ ├── 75result.jpg │ ├── 76result.jpg │ ├── 77result.jpg │ ├── 78result.jpg │ ├── 79result.jpg │ ├── 7result.jpg │ ├── 80result.jpg │ ├── 81result.jpg │ ├── 82result.jpg │ ├── 83result.jpg │ ├── 84result.jpg │ ├── 85result.jpg │ ├── 86result.jpg │ ├── 87result.jpg │ ├── 88result.jpg │ ├── 89result.jpg │ ├── 8result.jpg │ ├── 90result.jpg │ ├── 91result.jpg │ ├── 92result.jpg │ ├── 93result.jpg │ ├── 94result.jpg │ ├── 95result.jpg │ ├── 96result.jpg │ ├── 97result.jpg │ ├── 98result.jpg │ ├── 99result.jpg │ ├── 9result.jpg │ ├── hash_search.py │ └── object.jpg ├── mts.py ├── mts_s_data.py ├── mtx_trend_bb.py ├── mtx_trend_bb_l.py ├── pic ├── 18.png ├── 18data.png ├── C+I.png ├── result.png ├── trend.png ├── 原始数据01矩阵.png ├── 时间序列分解图.png └── 时间序列数据方法验证.png └── trend.csv /README.md: -------------------------------------------------------------------------------- 1 | # MultivariateTimeSeriesSimilarity 2 | 3 | 多维时间序列相似度的对比 4 | 5 | ## Data 6 | 使用2005-2019年的宏观经济指标构成多维时间序列，十个经济指标分别是： 7 | 8 | 工业增加值:当月同比 9 | CPI:当月同比 10 | PPI:全部工业品:当月同比 11 | M1:同比 12 | M2:同比 13 | 固定资产投资完成额:累计同比 14 | PMI 15 | PMI:原材料库存 16 | 公共财政收入:当月同比 17 | 公共财政支出:当月同比 18 | 19 | 20 | ## 数据清洗 21 | 22 | - 数据调频 23 | - 用前后均值填补空缺值 24 | 25 | 26 | ## 模型1 27 | 基本思路： 28 | 29 | 通过pca降维将十维的时间序列降为1维，通过DTW算法做时间序列上的相似度对比 30 | 31 | 32 | - 将原始数据使用STL的算法进行时间序列的分解，可分解为trend，seasonal和residual，将residual（c + i）抽取进行分析 33 | - 时间序列分解图 34 | 35 | ![时间序列分解图](./pic/时间序列分解图.png) 36 | 37 | - Cycle 38 | 39 | ![](./pic/C+I.png) 40 | 41 | - 以18个月最近数据为目标数据进行历史搜索匹配，结果如图 42 | 43 | ![](./pic/18.png) 44 | ![](./pic/18data.png) 45 | 46 | + **2018.1 - 2019.6 历史最相似 2008.5 - 2009.10** 47 | 48 | 49 | 50 | ## 模型2 51 | 52 | 在该模型中更加注重指标数据变化的方向，基本思路是先将时间序列分解，从分解中提取trend项，再通过改造的唐奇安通道方法将trend数据构造出数据的方向矩阵，从而进行历史最相似搜索 53 | 54 | - 使用STL的算法进行时间序列的分解，将trend项抽取进行数据分析,trend数据如图 55 | 56 | ![](./pic/trend.png) 57 | 58 | - 该模型里的唐奇安通道规则： 59 | 60 | 当日数据创前n日新高，设今日变动方向为1，当日数据创前n日新低，设今日变动方向为-1，其他情况设变动方向为0 61 | 62 | 根据该方法创立数据的方向矩阵 63 | 64 | - 根据样本长度分割数据矩阵，并计算矩阵的F-范式做矩阵间的相似度对比 65 | - 原始数据01矩阵图 66 | 67 | ![](./pic/原始数据01矩阵.png) 68 | 69 | - 将模型做较直观的结果可视化处理，根据结果将原始数据指标分别画出折线图，可直观做相似度比较 70 | 71 | - 以18个月最近数据为目标数据进行历史搜索匹配，结果如图： 72 | 73 | ``` 74 | 蓝线代表目标对比数据，黄线代表最相似时段数据，绿线代表最不相似时段数据， 75 | 从该算法结果可看出搜索到的最相似矩阵的大部分指标的时间序列形态与目标序列相似， 76 | 效果比第一个模型更好 77 | ``` 78 | 79 | ![](./pic/result.png) 80 | 81 | 82 | - 结果： 83 | 84 | the object data period is 2018-01-31 00:00:00 to 2019-06-30 00:00:00 85 | the most similar time period is 2011-05-31 00:00:00 to 2012-10-31 00:00:00 86 | the most unsimilar time period is 2009-02-28 00:00:00 to 2010-07-31 00:00:00 87 | 88 | ## 改进 89 | - PCA的降维方法改进 90 | - 搜索匹配不同长度中的最佳长度 91 | - DTW算法优化 92 | - 模型3:图片相似度的搜寻 93 | 94 | 95 | 96 | -------------------------------------------------------------------------------- /archive.ics.uci.edu/ml/machine-learning-databases/iris/iris.data: -------------------------------------------------------------------------------- 1 | 5.1,3.5,1.4,0.2,Iris-setosa 2 | 4.9,3.0,1.4,0.2,Iris-setosa 3 | 4.7,3.2,1.3,0.2,Iris-setosa 4 | 4.6,3.1,1.5,0.2,Iris-setosa 5 | 5.0,3.6,1.4,0.2,Iris-setosa 6 | 5.4,3.9,1.7,0.4,Iris-setosa 7 | 4.6,3.4,1.4,0.3,Iris-setosa 8 | 5.0,3.4,1.5,0.2,Iris-setosa 9 | 4.4,2.9,1.4,0.2,Iris-setosa 10 | 4.9,3.1,1.5,0.1,Iris-setosa 11 | 5.4,3.7,1.5,0.2,Iris-setosa 12 | 4.8,3.4,1.6,0.2,Iris-setosa 13 | 4.8,3.0,1.4,0.1,Iris-setosa 14 | 4.3,3.0,1.1,0.1,Iris-setosa 15 | 5.8,4.0,1.2,0.2,Iris-setosa 16 | 5.7,4.4,1.5,0.4,Iris-setosa 17 | 5.4,3.9,1.3,0.4,Iris-setosa 18 | 5.1,3.5,1.4,0.3,Iris-setosa 19 | 5.7,3.8,1.7,0.3,Iris-setosa 20 | 5.1,3.8,1.5,0.3,Iris-setosa 21 | 5.4,3.4,1.7,0.2,Iris-setosa 22 | 5.1,3.7,1.5,0.4,Iris-setosa 23 | 4.6,3.6,1.0,0.2,Iris-setosa 24 | 5.1,3.3,1.7,0.5,Iris-setosa 25 | 4.8,3.4,1.9,0.2,Iris-setosa 26 | 5.0,3.0,1.6,0.2,Iris-setosa 27 | 5.0,3.4,1.6,0.4,Iris-setosa 28 | 5.2,3.5,1.5,0.2,Iris-setosa 29 | 5.2,3.4,1.4,0.2,Iris-setosa 30 | 4.7,3.2,1.6,0.2,Iris-setosa 31 | 4.8,3.1,1.6,0.2,Iris-setosa 32 | 5.4,3.4,1.5,0.4,Iris-setosa 33 | 5.2,4.1,1.5,0.1,Iris-setosa 34 | 5.5,4.2,1.4,0.2,Iris-setosa 35 | 4.9,3.1,1.5,0.1,Iris-setosa 36 | 5.0,3.2,1.2,0.2,Iris-setosa 37 | 5.5,3.5,1.3,0.2,Iris-setosa 38 | 4.9,3.1,1.5,0.1,Iris-setosa 39 | 4.4,3.0,1.3,0.2,Iris-setosa 40 | 5.1,3.4,1.5,0.2,Iris-setosa 41 | 5.0,3.5,1.3,0.3,Iris-setosa 42 | 4.5,2.3,1.3,0.3,Iris-setosa 43 | 4.4,3.2,1.3,0.2,Iris-setosa 44 | 5.0,3.5,1.6,0.6,Iris-setosa 45 | 5.1,3.8,1.9,0.4,Iris-setosa 46 | 4.8,3.0,1.4,0.3,Iris-setosa 47 | 5.1,3.8,1.6,0.2,Iris-setosa 48 | 4.6,3.2,1.4,0.2,Iris-setosa 49 | 5.3,3.7,1.5,0.2,Iris-setosa 50 | 5.0,3.3,1.4,0.2,Iris-setosa 51 | 7.0,3.2,4.7,1.4,Iris-versicolor 52 | 6.4,3.2,4.5,1.5,Iris-versicolor 53 | 6.9,3.1,4.9,1.5,Iris-versicolor 54 | 5.5,2.3,4.0,1.3,Iris-versicolor 55 | 6.5,2.8,4.6,1.5,Iris-versicolor 56 | 5.7,2.8,4.5,1.3,Iris-versicolor 57 | 6.3,3.3,4.7,1.6,Iris-versicolor 58 | 4.9,2.4,3.3,1.0,Iris-versicolor 59 | 6.6,2.9,4.6,1.3,Iris-versicolor 60 | 5.2,2.7,3.9,1.4,Iris-versicolor 61 | 5.0,2.0,3.5,1.0,Iris-versicolor 62 | 5.9,3.0,4.2,1.5,Iris-versicolor 63 | 6.0,2.2,4.0,1.0,Iris-versicolor 64 | 6.1,2.9,4.7,1.4,Iris-versicolor 65 | 5.6,2.9,3.6,1.3,Iris-versicolor 66 | 6.7,3.1,4.4,1.4,Iris-versicolor 67 | 5.6,3.0,4.5,1.5,Iris-versicolor 68 | 5.8,2.7,4.1,1.0,Iris-versicolor 69 | 6.2,2.2,4.5,1.5,Iris-versicolor 70 | 5.6,2.5,3.9,1.1,Iris-versicolor 71 | 5.9,3.2,4.8,1.8,Iris-versicolor 72 | 6.1,2.8,4.0,1.3,Iris-versicolor 73 | 6.3,2.5,4.9,1.5,Iris-versicolor 74 | 6.1,2.8,4.7,1.2,Iris-versicolor 75 | 6.4,2.9,4.3,1.3,Iris-versicolor 76 | 6.6,3.0,4.4,1.4,Iris-versicolor 77 | 6.8,2.8,4.8,1.4,Iris-versicolor 78 | 6.7,3.0,5.0,1.7,Iris-versicolor 79 | 6.0,2.9,4.5,1.5,Iris-versicolor 80 | 5.7,2.6,3.5,1.0,Iris-versicolor 81 | 5.5,2.4,3.8,1.1,Iris-versicolor 82 | 5.5,2.4,3.7,1.0,Iris-versicolor 83 | 5.8,2.7,3.9,1.2,Iris-versicolor 84 | 6.0,2.7,5.1,1.6,Iris-versicolor 85 | 5.4,3.0,4.5,1.5,Iris-versicolor 86 | 6.0,3.4,4.5,1.6,Iris-versicolor 87 | 6.7,3.1,4.7,1.5,Iris-versicolor 88 | 6.3,2.3,4.4,1.3,Iris-versicolor 89 | 5.6,3.0,4.1,1.3,Iris-versicolor 90 | 5.5,2.5,4.0,1.3,Iris-versicolor 91 | 5.5,2.6,4.4,1.2,Iris-versicolor 92 | 6.1,3.0,4.6,1.4,Iris-versicolor 93 | 5.8,2.6,4.0,1.2,Iris-versicolor 94 | 5.0,2.3,3.3,1.0,Iris-versicolor 95 | 5.6,2.7,4.2,1.3,Iris-versicolor 96 | 5.7,3.0,4.2,1.2,Iris-versicolor 97 | 5.7,2.9,4.2,1.3,Iris-versicolor 98 | 6.2,2.9,4.3,1.3,Iris-versicolor 99 | 5.1,2.5,3.0,1.1,Iris-versicolor 100 | 5.7,2.8,4.1,1.3,Iris-versicolor 101 | 6.3,3.3,6.0,2.5,Iris-virginica 102 | 5.8,2.7,5.1,1.9,Iris-virginica 103 | 7.1,3.0,5.9,2.1,Iris-virginica 104 | 6.3,2.9,5.6,1.8,Iris-virginica 105 | 6.5,3.0,5.8,2.2,Iris-virginica 106 | 7.6,3.0,6.6,2.1,Iris-virginica 107 | 4.9,2.5,4.5,1.7,Iris-virginica 108 | 7.3,2.9,6.3,1.8,Iris-virginica 109 | 6.7,2.5,5.8,1.8,Iris-virginica 110 | 7.2,3.6,6.1,2.5,Iris-virginica 111 | 6.5,3.2,5.1,2.0,Iris-virginica 112 | 6.4,2.7,5.3,1.9,Iris-virginica 113 | 6.8,3.0,5.5,2.1,Iris-virginica 114 | 5.7,2.5,5.0,2.0,Iris-virginica 115 | 5.8,2.8,5.1,2.4,Iris-virginica 116 | 6.4,3.2,5.3,2.3,Iris-virginica 117 | 6.5,3.0,5.5,1.8,Iris-virginica 118 | 7.7,3.8,6.7,2.2,Iris-virginica 119 | 7.7,2.6,6.9,2.3,Iris-virginica 120 | 6.0,2.2,5.0,1.5,Iris-virginica 121 | 6.9,3.2,5.7,2.3,Iris-virginica 122 | 5.6,2.8,4.9,2.0,Iris-virginica 123 | 7.7,2.8,6.7,2.0,Iris-virginica 124 | 6.3,2.7,4.9,1.8,Iris-virginica 125 | 6.7,3.3,5.7,2.1,Iris-virginica 126 | 7.2,3.2,6.0,1.8,Iris-virginica 127 | 6.2,2.8,4.8,1.8,Iris-virginica 128 | 6.1,3.0,4.9,1.8,Iris-virginica 129 | 6.4,2.8,5.6,2.1,Iris-virginica 130 | 7.2,3.0,5.8,1.6,Iris-virginica 131 | 7.4,2.8,6.1,1.9,Iris-virginica 132 | 7.9,3.8,6.4,2.0,Iris-virginica 133 | 6.4,2.8,5.6,2.2,Iris-virginica 134 | 6.3,2.8,5.1,1.5,Iris-virginica 135 | 6.1,2.6,5.6,1.4,Iris-virginica 136 | 7.7,3.0,6.1,2.3,Iris-virginica 137 | 6.3,3.4,5.6,2.4,Iris-virginica 138 | 6.4,3.1,5.5,1.8,Iris-virginica 139 | 6.0,3.0,4.8,1.8,Iris-virginica 140 | 6.9,3.1,5.4,2.1,Iris-virginica 141 | 6.7,3.1,5.6,2.4,Iris-virginica 142 | 6.9,3.1,5.1,2.3,Iris-virginica 143 | 5.8,2.7,5.1,1.9,Iris-virginica 144 | 6.8,3.2,5.9,2.3,Iris-virginica 145 | 6.7,3.3,5.7,2.5,Iris-virginica 146 | 6.7,3.0,5.2,2.3,Iris-virginica 147 | 6.3,2.5,5.0,1.9,Iris-virginica 148 | 6.5,3.0,5.2,2.0,Iris-virginica 149 | 6.2,3.4,5.4,2.3,Iris-virginica 150 | 5.9,3.0,5.1,1.8,Iris-virginica 151 | 152 | -------------------------------------------------------------------------------- /data.xls: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/data.xls -------------------------------------------------------------------------------- /data/8.5-8.9工作报告/donchian_high_mtx.csv: -------------------------------------------------------------------------------- 1 | date,iir,cpi,ppi,m1,m2,fai,pmi,pmim,pr,pc 2 | 2005/1/31,,,,,,,,,, 3 | 2005/2/28,,,,,,,,,, 4 | 2005/3/31,,,,,,,,,, 5 | 2005/4/30,16,3.9,5.78,10.6,14.1,25.7,57.9,48.4,14.9,23.1 6 | 2005/5/31,16.6,2.7,5.9,10.4,14.6,26.4,57.9,48.4,14.9,23.1 7 | 2005/6/30,16.8,1.8,5.9,11.25,15.67,27.1,56.7,48.4,22.1,15.9 8 | 2005/7/31,16.8,1.8,5.9,11.25,16.3,27.2,52.9,45.2,22.1,15.9 9 | 2005/8/31,16.8,1.8,5.3,11.5,17.34,27.4,52.6,44.3,23.4,22.1 10 | 2005/9/30,16.5,1.8,5.3,11.64,17.92,27.7,55.1,48,25,22.1 11 | 2005/10/31,16.5,1.3,5.3,12.08,17.99,27.7,55.1,48,30.9,22.1 12 | 2005/11/30,16.6,1.3,4.5,12.7,18.3,27.8,55.1,48,30.9,25.9 13 | 2005/12/31,16.6,1.6,4,12.7,18.3,27.8,54.3,48.1,42.5,25.9 14 | 2006/1/31,16.6,1.9,3.2,12.7,19.21,27.8,54.3,48.1,42.5,43.2 15 | 2006/2/28,20.1,1.9,3.2,12.4,19.21,27.2,54.3,48.1,42.5,43.2 16 | 2006/3/31,20.1,1.9,3.05,12.7,19.21,29.8,55.3,48.9,24.7,43.2 17 | 2006/4/30,20.1,1.2,3.01,12.7,18.9,29.8,58.1,48.9,30.3,14.8 18 | 2006/5/31,17.9,1.4,2.49,14.01,19.1,30.3,58.1,48.9,30.3,14.8 19 | 2006/6/30,19.5,1.5,3.52,14.01,19.1,31.3,58.1,47.9,30.3,20.4 20 | 2006/7/31,19.5,1.5,3.58,15.3,19.1,31.3,54.8,46.8,36.3,20.4 21 | 2006/8/31,19.5,1.5,3.58,15.6,18.43,31.3,54.1,46.8,36.3,20.4 22 | 2006/9/30,16.7,1.5,3.58,15.7,18.4,30.5,57,50.1,36.3,19.1 23 | 2006/10/31,16.1,1.5,3.5,16.3,17.9,29.1,57,50.1,31.1,22.1 24 | 2006/11/30,16.1,1.9,3.5,16.8,17.1,28.2,57,50.1,28.7,22.1 25 | 2006/12/31,14.9,2.8,3.1,17.48,17.1,26.8,55.3,49.5,28.7,25.66 26 | 2007/1/31,24.71,2.8,3.3,20.21,16.94,26.6,55.3,50.6,34.2,25.66 27 | 2007/2/28,24.71,2.8,3.3,21,17.8,24.3,55.1,50.6,34.2,63.09 28 | 2007/3/31,24.71,3.3,3.3,21,17.8,25.3,56.1,50.8,34.2,63.09 29 | 2007/4/30,17.6,3.3,2.9,21,17.8,25.5,58.6,50.8,36.57,63.09 30 | 2007/5/31,18.1,3.4,2.9,20,17.3,25.9,58.6,50.8,36.57,34.89 31 | 2007/6/30,19.4,4.4,2.9,20.92,17.1,26.7,58.6,50.3,36.57,34.89 32 | 2007/7/31,19.4,5.6,2.8,20.92,18.5,26.7,55.7,50.4,34.21,34.89 33 | 2007/8/31,19.4,6.5,2.6,22.8,18.5,26.7,54.5,50.4,30.2,31.55 34 | 2007/9/30,18.9,6.5,2.7,22.8,18.5,26.7,56.1,50.4,42.22,31.55 35 | 2007/10/31,18.9,6.5,3.2,22.8,18.47,26.9,56.1,50.3,42.22,33.31 36 | 2007/11/30,18.9,6.9,4.55,22.21,18.47,26.9,56.1,50.4,47.07,33.31 37 | 2007/12/31,17.9,6.9,5.43,22.21,18.47,26.9,55.4,50.7,47.07,33.31 38 | 2008/1/31,17.4,7.1,6.1,21.67,18.94,26.8,55.4,50.7,47.07,61.1 39 | 2008/2/29,17.4,8.7,6.62,21.01,18.94,25.8,55.3,50.7,42.4,61.1 40 | 2008/3/31,17.8,8.7,7.95,20.72,18.94,25.9,58.4,50.8,42.4,61.1 41 | 2008/4/30,17.8,8.7,8.12,19.2,17.48,25.9,59.2,51.2,36.55,32.55 42 | 2008/5/31,17.8,8.5,8.22,19.05,18.07,25.9,59.2,51.2,52.6,37.73 43 | 2008/6/30,16,8.5,8.84,19.05,18.07,26.8,59.2,51.2,52.6,37.73 44 | 2008/7/31,16,7.7,10.03,17.93,18.07,27.3,53.3,48.1,52.6,40.9 45 | 2008/8/31,16,7.1,10.06,14.19,17.37,27.4,52,48,30.71,40.9 46 | 2008/9/30,14.7,6.3,10.06,13.96,16.35,27.6,51.2,48,16.5,40.9 47 | 2008/10/31,12.8,4.9,10.06,11.48,16,27.6,51.2,47.5,10.084,17.773 48 | 2008/11/30,11.4,4.6,9.13,9.43,15.29,27.6,51.2,47.5,3.1,16.5 49 | 2008/12/31,8.2,4,6.59,9.06,17.82,27.2,44.6,42.6,3.3,30.8 50 | 2009/1/31,5.7,2.4,1.99,9.06,18.79,26.8,45.3,43.9,3.3,32.49 51 | 2009/2/28,11,1.2,-1.14,10.87,20.48,26.6,49,45.6,3.3,42.02 52 | 2009/3/31,11,1,-3.35,17.04,25.51,28.6,52.4,47.5,-0.3,42.02 53 | 2009/4/30,11,-1.2,-4.47,17.48,25.89,30.5,53.5,47.5,-0.3,42.02 54 | 2009/5/31,8.9,-1.2,-6,18.69,25.89,32.9,53.5,47.5,4.8,31.4 55 | 2009/6/30,10.7,-1.4,-6.6,24.79,28.46,33.6,53.5,47.4,19.6,24.5 56 | 2009/7/31,10.8,-1.4,-7.2,26.37,28.46,33.6,53.3,48.1,19.6,21.5 57 | 2009/8/31,12.3,-1.2,-7.8,27.72,28.53,33.6,54,48.8,36.1,21.5 58 | 2009/9/30,13.9,-0.8,-6.99,29.51,29.31,33.3,54.3,48.8,36.1,32.9 59 | 2009/10/31,16.1,-0.5,-5.85,32.03,29.42,33.3,55.2,49,36.1,32.9 60 | 2009/11/30,19.2,0.6,-2.08,34.63,29.74,33.3,55.2,51.4,33,32.9 61 | 2009/12/31,19.2,1.9,1.7,34.63,29.74,33.1,56.6,51.4,55.8,20.9 62 | 2010/1/31,29.2,1.9,4.32,38.96,29.74,32.1,56.6,52.2,55.8,20.9 63 | 2010/2/28,29.2,2.7,5.39,38.96,27.68,30.4,56.6,52.2,55.8,29.66 64 | 2010/3/31,29.2,2.7,5.91,38.96,25.98,28.5,55.8,52.2,41.2,29.66 65 | 2010/4/30,18.1,2.8,6.81,34.99,25.52,26.6,55.7,51.5,36.8,29.66 66 | 2010/5/31,18.1,3.1,7.13,31.25,22.5,26.4,55.7,51.5,36.8,25.6 67 | 2010/6/30,17.8,3.1,7.13,31.25,21.48,26.1,55.7,51.5,34.4,26.8 68 | 2010/7/31,16.5,3.3,7.13,29.9,21,25.9,53.9,51,20.5,26.8 69 | 2010/8/31,13.9,3.5,6.41,24.56,19.2,25.5,52.1,49.4,16.2,35.4 70 | 2010/9/30,13.9,3.6,4.84,22.9,19.2,24.9,53.8,49.1,16.2,35.4 71 | 2010/10/31,13.9,4.4,5.04,22.1,19.3,24.8,54.7,49.5,14.8,38.5 72 | 2010/11/30,13.3,5.1,6.06,22.1,19.5,24.9,55.2,49.7,16.1,66.9 73 | 2010/12/31,13.5,5.1,6.06,22.1,19.72,24.9,55.2,50.8,23.7,66.9 74 | 2011/1/31,13.5,5.1,6.6,22.1,19.72,24.9,55.2,52,32.8,84.92 75 | 2011/2/28,14.9,4.944,7.23,21.19,19.72,24.9,53.9,52,41.5,84.92 76 | 2011/3/31,14.9,5.383,7.31,15,17.2,25,53.4,52,41.5,84.92 77 | 2011/4/30,14.9,5.383,7.31,15,16.6,25.4,53.4,52,41.5,31 78 | 2011/5/31,14.8,5.515,7.31,15,16.6,25.8,53.4,52,34,42.9 79 | 2011/6/30,15.1,6.355,7.12,13.1,15.9,25.8,52.9,52,34,42.9 80 | 2011/7/31,15.1,6.451,7.54,13.1,15.9,25.8,52,49.5,34,42.9 81 | 2011/8/31,15.1,6.451,7.54,13.1,15.9,25.6,50.9,48.8,34.3,33.1 82 | 2011/9/30,14,6.451,7.54,11.6,14.7,25.4,51.2,49,34.3,25.9 83 | 2011/10/31,13.8,6.151,7.25,11.2,13.5,25,51.2,49,34.3,25.9 84 | 2011/11/30,13.8,6.067,6.52,8.9,13,24.9,51.2,49,17.3,24.5 85 | 2011/12/31,13.2,5.495,5,8.4,13.6,24.9,50.4,48.5,16.9,24.5 86 | 2012/1/31,12.8,4.5,2.72,7.9,13.6,24.5,50.5,49.7,12.31,11.08 87 | 2012/2/29,21.3,4.5,1.69,7.9,13.6,23.8,51,49.7,14.42,69.27 88 | 2012/3/31,21.3,4.5,0.73,4.4,13.4,22.65,53.1,49.7,18.7,69.27 89 | 2012/4/30,21.3,3.6,0.03,4.4,13.4,21.5,53.3,49.5,18.7,69.27 90 | 2012/5/31,11.9,3.6,-0.32,4.4,13.4,20.9,53.3,49.5,18.7,34.7 91 | 2012/6/30,9.6,3.4,-0.7,4.7,13.6,20.4,53.3,48.5,13.1,17.7 92 | 2012/7/31,9.6,3,-1.4,4.7,13.9,20.4,50.4,48.5,13.1,37.1 93 | 2012/8/31,9.5,2.2,-2.08,4.7,13.9,20.4,50.2,48.5,9.8,37.1 94 | 2012/9/30,9.2,2,-2.87,7.3,14.8,20.5,50.1,48.5,11.9,37.1 95 | 2012/10/31,9.6,2,-2.76,7.3,14.8,20.7,50.2,47.3,13.7,16.6 96 | 2012/11/30,10.1,2,-2.2,7.3,14.8,20.7,50.6,47.9,21.9,16.6 97 | 2012/12/31,10.3,2.5,-1.94,6.5,14.1,20.7,50.6,47.9,29.17,6.7 98 | 2013/1/31,17.7,2.5,-1.64,15.3,15.9,20.9,50.6,50.1,29.17,19.1 99 | 2013/2/28,17.7,3.2198,-1.63,15.3,15.9,21.2,50.6,50.1,29.17,19.1 100 | 2013/3/31,17.7,3.2198,-1.63,15.3,15.9,21.2,50.9,50.1,9.55,19.1 101 | 2013/4/30,9.3,3.2198,-1.63,11.9,16.1,21.2,50.9,49.5,9.55,18 102 | 2013/5/31,9.3,2.3861,-1.92,11.9,16.1,20.9,50.9,47.6,6.2,18 103 | 2013/6/30,9.3,2.6684,-2.62,11.9,16.1,20.6,50.8,47.6,12.1,18 104 | 2013/7/31,9.7,2.6741,-2.27,11.3,15.8,20.4,50.8,47.6,12.1,12 105 | 2013/8/31,10.4,2.6741,-1.62,9.9,14.7,20.3,51,48,12.1,6.51 106 | 2013/9/30,10.4,3.0519,-1.34,9.9,14.7,20.3,51.1,48.5,13.4,10.08 107 | 2013/10/31,10.4,3.2058,-1.34,9.9,14.7,20.3,51.4,48.6,16.2,21.94 108 | 2013/11/30,10.3,3.2058,-1.34,9.4,14.3,20.2,51.4,48.6,16.2,21.94 109 | 2013/12/31,10.3,3.2058,-1.36,9.4,14.3,20.1,51.4,48.6,16.2,21.94 110 | 2014/1/31,10,3.018,-1.36,9.4,14.2,19.9,51.4,47.8,15.9,21.35 111 | 2014/2/28,9.7,2.4987,-1.36,9.3,13.6,19.6,51,47.8,14.28,21.35 112 | 2014/3/31,8.8,2.4861,-1.64,6.9,13.3,18.75,50.5,47.8,13.03,22.2644 113 | 2014/4/30,8.8,2.3848,-2,6.9,13.3,17.9,50.4,48.1,9.19,22.2644 114 | 2014/5/31,8.8,2.4773,-1.4464,5.7,13.4,17.6,50.8,48.1,9.19,24.59 115 | 2014/6/30,9.2,2.4773,-1.1092,8.9,14.7,17.3,51,48.1,9.19,26.0865 116 | 2014/7/31,9.2,2.4773,-0.8688,8.9,14.7,17.3,51.7,49,8.7588,26.0865 117 | 2014/8/31,9.2,2.3361,-0.8688,8.9,14.7,17.3,51.7,49,8.7588,26.0865 118 | 2014/9/30,9,2.2852,-0.8688,6.7,13.5,17,51.7,49,6.8613,9.639 119 | 2014/10/31,8,1.9909,-1.2038,5.7,12.9,16.5,51.1,48.8,9.4,9.0953 120 | 2014/11/30,8,1.6275,-1.7996,4.8,12.9,16.1,51.1,48.8,9.4,9.0953 121 | 2014/12/31,7.9,1.6011,-2.2428,3.2,12.6,15.9,50.8,48.4,13.3,1.23 122 | 2015/1/31,9.6,1.5056,-2.6928,10.6,12.3,15.8,50.3,47.7,13.3,1.23 123 | 2015/2/28,9.6,1.5056,-3.3152,10.6,12.5,15.7,50.1,48.2,13.3,55.1826 124 | 2015/3/31,9.6,1.4311,-4.3202,10.6,12.5,14.8,50.1,48.2,5.8141,55.1826 125 | 2015/4/30,5.9,1.5091,-4.5603,5.6,12.5,13.9,50.1,48.2,8.1789,55.1826 126 | 2015/5/31,6.1,1.5091,-4.5603,4.7,11.6,13.5,50.2,48.2,8.1789,33.2067 127 | 2015/6/30,6.8,1.5091,-4.5725,4.7,11.8,12,50.2,48.7,13.9231,33.2067 128 | 2015/7/31,6.8,1.6473,-4.607,6.6,13.3,11.4,50.2,48.7,13.9231,24.1433 129 | 2015/8/31,6.8,1.9554,-4.8135,9.3,13.3,11.4,50.2,48.7,13.9231,25.8712 130 | 2015/9/30,6.1,1.9554,-5.3692,11.4,13.3,11.2,50,48.4,12.5401,26.9022 131 | 2015/10/31,6.1,1.9554,-5.9,14,13.5,10.9,49.8,48.3,9.4328,36.1425 132 | 2015/11/30,6.2,1.5956,-5.9,15.7,13.7,10.3,49.8,47.5,11.3984,36.1425 133 | 2015/12/31,6.2,1.6,-5.9,15.7,13.7,10.2,49.8,47.6,14.1972,36.1425 134 | 2016/1/31,6.2,1.8,-5.3,18.6,14,10.2,49.7,47.6,14.1972,25.95 135 | 2016/2/29,5.9,2.3,-4.9,18.6,14,10.2,49.7,48,14.1972,24.3 136 | 2016/3/31,6.8,2.301391,-4.3,22.1,14,10.7,50.2,48.2,7.6757,24.3 137 | 2016/4/30,6.8,2.327865,-3.4,22.9,13.4,10.7,50.2,48.2,14.9668,20.3434 138 | 2016/5/31,6.8,2.327865,-2.8,23.7,13.4,10.7,50.2,48.2,14.9668,20.3434 139 | 2016/6/30,6.2,2.327865,-2.6,24.6,12.8,10.5,50.1,47.6,14.9668,20.3192 140 | 2016/7/31,6.2,2.038999,-1.7,25.4,11.8,9.6,50.1,47.6,7.6996,20.3192 141 | 2016/8/31,6.3,1.879503,-0.8,25.4,11.8,9,50.4,47.6,3.6549,20.3192 142 | 2016/9/30,6.3,1.920226,0.1,25.4,11.5,8.2,50.4,47.6,3.6549,11.4472 143 | 2016/10/31,6.3,2.095947,1.2,25.3,11.6,8.3,51.2,48.1,6.4018,11.4472 144 | 2016/11/30,6.2,2.252258,3.3,24.7,11.6,8.3,51.7,48.4,6.4018,12.4114 145 | 2016/12/31,6.2,2.252258,5.5,23.9,11.6,8.3,51.7,48.4,6.4018,12.4114 146 | 2017/1/31,6.2,2.549055,6.9,22.7,11.4,8.5,51.7,48.4,17.7,37.5 147 | 2017/2/28,10.322581,2.549055,7.8,21.4,11.3,8.9,51.6,48.6,17.7,37.5 148 | 2017/3/31,10.322581,2.549055,7.8,21.4,10.7,9.2,51.8,48.6,17.7,37.5 149 | 2017/4/30,10.322581,1.2,7.8,21.4,10.4,9.2,51.8,48.6,12.1732,25.4314 150 | 2017/5/31,7.6,1.5,7.6,18.8,10.1,9.2,51.8,48.5,12.1732,25.4314 151 | 2017/6/30,7.6,1.5,6.4,18.5,9.8,8.9,51.7,48.6,8.9,19.3447 152 | 2017/7/31,7.6,1.5,5.5,17,9.1,8.6,51.7,48.6,11.1,19.3447 153 | 2017/8/31,7.6,1.8,6.3,15.3,9.1,8.6,51.7,48.6,11.1,19.3447 154 | 2017/9/30,6.6,1.8,6.9,15.3,9,8.3,52.4,48.9,11.1,5.6998 155 | 2017/10/31,6.6,1.9,6.9,14,9,7.8,52.4,48.9,9.2,3.246 156 | 2017/11/30,6.6,1.9,6.9,14,9.1,7.5,52.4,48.9,9.2,2.0681 157 | 2017/12/31,6.2,1.9,6.9,13,9.1,7.3,51.8,48.6,5.4,8.0319 158 | 2018/1/31,15.434501,1.8,5.8,15,9.1,7.55,51.8,48.8,16.4871,8.0319 159 | 2018/2/28,15.434501,2.9,4.9,15,8.8,7.9,51.6,49.3,16.4871,47.6913 160 | 2018/3/31,15.434501,2.9,4.3,15,8.8,7.9,51.5,49.6,16.4871,47.6913 161 | 2018/4/30,7,2.9,3.7,8.5,8.8,7.9,51.5,49.6,15.001,47.6913 162 | 2018/5/31,7,2.1,4.1,7.2,8.3,7.5,51.9,49.6,10.0614,7.7741 163 | 2018/6/30,7,1.9,4.7,7.2,8.3,7,51.9,49.6,10.0614,7.7741 164 | 2018/7/31,6.8,2.1,4.7,6.6,8.5,6.1,51.9,49.6,9.6913,6.9625 165 | 2018/8/31,6.1,2.3,4.7,6.6,8.5,6,51.5,48.9,6.1019,6.9625 166 | 2018/9/30,6.1,2.5,4.6,5.1,8.5,5.5,51.3,48.9,6.1019,11.7038 167 | 2018/10/31,6.1,2.5,4.1,4,8.3,5.7,51.3,48.7,3.9838,11.7038 168 | 2018/11/30,5.9,2.5,3.6,4,8.3,5.9,50.8,47.8,1.9597,11.7038 169 | 2018/12/31,5.9,2.5,3.3,2.7,8.1,5.9,50.2,47.4,1.8502,22.6574 170 | 2019/1/31,6.797753,2.2,2.7,1.5,8.4,6,50,48.1,2.5651,22.6574 171 | 2019/2/28,6.797753,1.9,0.9,2,8.4,6.1,49.5,48.1,3.28,22.6574 172 | 2019/3/31,8.5,2.3,0.4,4.6,8.6,6.3,50.5,48.4,3.9949,20.24106667 173 | 2019/4/30,8.5,2.5,0.9,4.6,8.6,6.3,50.5,48.4,3.9949,17.82473333 174 | 2019/5/31,8.5,2.7,0.9,4.6,8.6,6.3,50.5,48.4,3.9949,15.9398 175 | 2019/6/30,6.3,2.7,0.9,4.4,8.5,6.1,50.1,48.2,2.8261,15.9398 -------------------------------------------------------------------------------- /data/8.5-8.9工作报告/donchian_low_mtx.csv: -------------------------------------------------------------------------------- 1 | date,iir,cpi,ppi,m1,m2,fai,pmi,pmim,pr,pc 2 | 2005/1/31,,,,,,,,,, 3 | 2005/2/28,,,,,,,,,, 4 | 2005/3/31,,,,,,,,,, 5 | 2005/4/30,7.6,1.8,5.38,9.9,13.9,24.5,54.5,47.7,2.5,8.1 6 | 2005/5/31,15.1,1.8,5.6,9.9,14,25.3,52.9,45.2,9.4,13.4 7 | 2005/6/30,16,1.6,5.2,10,14.1,25.7,51.7,44.2,14,13.4 8 | 2005/7/31,16.1,1.6,5.2,10.4,14.6,26.4,51.1,43.7,14,14.3 9 | 2005/8/31,16,1.3,5.2,11,15.67,27.1,51.1,43.7,18.6,14.3 10 | 2005/9/30,16,0.9,4.5,11,16.3,27.2,51.1,43.7,18.6,15.7 11 | 2005/10/31,16,0.9,4,11.5,17.34,27.4,52.6,44.3,23.4,14.1 12 | 2005/11/30,16.1,0.9,3.2,11.64,17.92,27.6,54.1,45.5,22.3,14.1 13 | 2005/12/31,16.1,1.2,3.2,11.78,17.57,27.2,54.1,45.5,22.3,14.1 14 | 2006/1/31,12.6,1.3,3.05,10.63,17.57,26.9,52.1,46.4,22.3,24.82 15 | 2006/2/28,12.6,0.9,3.01,10.63,17.57,26.6,52.1,45.7,17.5,5.9 16 | 2006/3/31,12.6,0.8,2.49,10.63,18.8,26.6,52.1,45.7,14.8,5.9 17 | 2006/4/30,16.6,0.8,1.87,12.4,18.8,26.6,52.1,45.7,14.8,5.9 18 | 2006/5/31,16.6,0.8,1.87,12.5,18.8,29.6,54.8,45.6,14.8,8.6 19 | 2006/6/30,16.6,1.2,1.87,12.5,18.43,29.6,54.1,45.6,18.4,8.6 20 | 2006/7/31,16.7,1,2.43,13.9,18.4,30.3,52.4,45.6,18.4,8.6 21 | 2006/8/31,15.7,1,3.4,13.9,17.9,29.1,52.4,45.1,18.4,7.9 22 | 2006/9/30,15.7,1,3.4,15.3,16.83,28.2,52.4,45.1,22.3,7.9 23 | 2006/10/31,14.7,1.3,2.9,15.6,16.83,26.8,53.1,45.1,22.3,7.9 24 | 2006/11/30,14.7,1.4,2.78,15.7,16.8,26.6,54.7,47.8,19.8,18.7 25 | 2006/12/31,14.7,1.4,2.78,16.3,16.8,24.3,54.7,47.8,19.8,18.7 26 | 2007/1/31,14.7,1.9,2.78,16.8,15.93,23.85,54.8,48.8,19.8,-16 27 | 2007/2/28,12.6,2.2,2.6,17.48,15.93,23.4,53.1,47.4,20.16,-16 28 | 2007/3/31,12.6,2.2,2.6,19.8,15.93,23.4,53.1,47.4,20.16,-16 29 | 2007/4/30,12.6,2.7,2.6,19.8,17.1,23.4,53.1,47.4,20.16,14.78 30 | 2007/5/31,17.4,3,2.7,19.28,16.74,25.3,55.7,49.1,22.38,14.78 31 | 2007/6/30,17.4,3,2.49,19.28,16.74,25.5,54.5,49.1,30.2,18.03 32 | 2007/7/31,18,3.4,2.4,19.28,16.74,25.9,53.3,49.1,28.9,28.19 33 | 2007/8/31,17.5,4.4,2.4,20.9,17.06,26.6,53.3,49.1,28.9,28.19 34 | 2007/9/30,17.5,5.6,2.4,20.9,18.1,26.4,53.3,48.4,28.9,28.19 35 | 2007/10/31,17.5,6.2,2.6,22.07,18.1,26.4,53.2,48.4,29.66,29.39 36 | 2007/11/30,17.3,6.2,2.7,21.67,18.45,26.4,53.2,48.4,40.69,19.15 37 | 2007/12/31,17.3,6.5,3.2,21.01,16.72,25.8,53.2,48.5,-2.9,17.44 38 | 2008/1/31,15.4,6.5,4.55,20.72,16.72,25.05,53,49.2,-2.9,17.44 39 | 2008/2/29,15.4,6.5,5.43,19.2,16.72,24.3,53,45.1,-2.9,5.47 40 | 2008/3/31,15.4,7.1,6.1,18.25,16.29,24.3,53,45.1,24.67,5.47 41 | 2008/4/30,15.4,8.3,6.62,18.25,16.29,24.3,53.4,45.1,17.02,5.47 42 | 2008/5/31,15.7,7.7,7.95,17.93,16.29,25.6,53.3,48.1,17.02,26.64 43 | 2008/6/30,15.7,7.1,8.12,14.19,16.94,25.6,52,47.8,17.02,17.46 44 | 2008/7/31,14.7,6.3,8.22,13.96,16.35,25.6,48.4,47.8,16.5,17.46 45 | 2008/8/31,12.8,4.9,8.84,11.48,16,26.8,48.4,46.8,10.084,17.46 46 | 2008/9/30,11.4,4.6,9.13,9.43,15.29,27.3,48.4,46.8,3.1,11.6 47 | 2008/10/31,8.2,4,6.59,8.85,15.02,27.2,44.6,42.6,-0.3,11.6 48 | 2008/11/30,5.4,2.4,1.99,6.8,14.8,26.8,38.8,39.5,-3.1,11.6 49 | 2008/12/31,5.4,1.2,-1.14,6.8,14.8,26.6,38.8,39.5,-3.1,16.4 50 | 2009/1/31,-2.93,1,-3.35,6.68,14.8,26.55,38.8,39.5,-17.1,16.5 51 | 2009/2/28,-2.93,-1.6,-4.47,6.68,17.82,26.5,41.2,40.6,-17.1,30.8 52 | 2009/3/31,-2.93,-1.6,-6,6.68,18.79,26.5,45.3,43.9,-17.1,31.4 53 | 2009/4/30,7.3,-1.6,-6.6,10.87,20.48,26.5,49,45.6,-13.6,24.5 54 | 2009/5/31,7.3,-1.5,-7.2,17.04,25.51,28.6,52.4,46.1,-13.6,14.5 55 | 2009/6/30,7.3,-1.7,-7.8,17.48,25.74,30.5,53.1,46.1,-13.6,14.5 56 | 2009/7/31,8.9,-1.8,-8.2,18.69,25.74,32.9,53.1,46.1,4.8,9.3 57 | 2009/8/31,10.7,-1.8,-8.2,24.79,28.42,32.9,53.2,47.4,10.2,9.3 58 | 2009/9/30,10.8,-1.8,-8.2,26.37,28.42,32.9,53.3,47.9,10.2,9.3 59 | 2009/10/31,12.3,-1.2,-7.86,27.72,28.53,33,54,47.9,28.4,13 60 | 2009/11/30,13.9,-0.8,-6.99,29.51,29.31,32.1,54.3,47.9,28.4,13 61 | 2009/12/31,16.1,-0.5,-5.85,32.03,27.68,30.4,55.2,49,28.4,13 62 | 2010/1/31,18.5,0.6,-2.08,32.35,25.98,28.5,55.2,51.4,32.6,-13.2 63 | 2010/2/28,12.8,1.5,1.7,32.35,25.52,26.6,52,48.1,20.4,-13.2 64 | 2010/3/31,12.8,1.5,4.32,29.94,22.5,26.4,52,48.1,20.4,-13.2 65 | 2010/4/30,12.8,2.4,5.39,29.94,21.48,26.1,52,48.1,20.4,9.8 66 | 2010/5/31,16.5,2.4,5.91,29.9,21,25.9,53.9,50.6,20.5,9.8 67 | 2010/6/30,13.7,2.8,6.41,24.56,18.46,25.5,52.1,49.4,14.7,9.8 68 | 2010/7/31,13.4,2.9,4.84,22.9,17.6,24.9,51.2,47.8,14.7,16.6 69 | 2010/8/31,13.4,2.9,4.32,21.9,17.6,24.8,51.2,47.3,7.3,16.6 70 | 2010/9/30,13.3,3.3,4.32,20.87,17.6,24.5,51.2,47.3,7.3,16.6 71 | 2010/10/31,13.1,3.5,4.32,20.87,18.96,24.4,51.7,47.3,7.3,28.8 72 | 2010/11/30,13.1,3.6,4.33,20.87,18.96,24.4,53.8,49.1,12.1,28.8 73 | 2010/12/31,13.1,4.4,5.04,21.19,19.3,24.4,53.9,49.5,14.8,-10.4 74 | 2011/1/31,13.3,4.6,5.93,13.6,17.2,24.5,52.9,49.7,16.1,-10.4 75 | 2011/2/28,13.3,4.6,5.93,13.6,15.7,24.5,52.2,49.5,23.7,-17.52 76 | 2011/3/31,13.3,4.9,6.6,13.6,15.7,24.7,52.2,49.5,26.7,-17.52 77 | 2011/4/30,13.4,4.944,6.82,12.9,15.3,24.9,52.2,49.5,26.7,-17.52 78 | 2011/5/31,13.3,5.344,6.79,12.7,15.1,25,52,49.5,26.7,27.8 79 | 2011/6/30,13.3,5.344,6.79,12.7,15.1,25.4,50.9,48.5,27.2,31 80 | 2011/7/31,13.3,5.515,6.79,11.6,14.7,25.4,50.7,47.6,26.7,19.6 81 | 2011/8/31,13.5,6.151,7.12,11.2,13.5,25,50.7,47.6,26.7,19.6 82 | 2011/9/30,13.5,6.067,6.52,8.9,13,24.9,50.7,47.6,17.3,18.3 83 | 2011/10/31,13.2,5.495,5,8.4,12.9,24.9,50.4,48.5,16.9,18.3 84 | 2011/11/30,12.4,4.225,2.72,7.8,12.7,24.5,49,46.7,10.6,7.5 85 | 2011/12/31,12.4,4.07,1.69,7.8,12.7,23.8,49,46.7,1.44,7.5 86 | 2012/1/31,2.8,4.07,0.73,3.1,12.4,22.65,49,46.7,1.44,7.5 87 | 2012/2/29,2.8,3.2,0.03,3.1,12.4,21.5,50.3,48.3,1.44,9.64 88 | 2012/3/31,2.8,3.2,-0.32,3.1,12.4,20.9,50.5,48.8,12.31,9.64 89 | 2012/4/30,9.3,3.2,-0.7,3.1,12.8,20.2,51,48.5,6.9,8 90 | 2012/5/31,9.3,3,-1.4,3.1,12.8,20.1,50.4,45.1,6.9,8 91 | 2012/6/30,9.3,2.2,-2.08,3.1,12.8,20.1,50.2,45.1,6.9,8 92 | 2012/7/31,9.2,1.8,-2.87,3.5,13.2,20.1,50.1,45.1,8.2,10.8 93 | 2012/8/31,8.9,1.8,-3.48,4.5,13.5,20.2,49.2,45.1,4.2,11.7 94 | 2012/9/30,8.9,1.8,-3.55,4.5,13.5,20.2,49.2,45.1,4.2,11.7 95 | 2012/10/31,8.9,1.7,-3.55,4.5,13.5,20.2,49.2,45.1,4.2,6.7 96 | 2012/11/30,9.2,1.7,-3.55,5.5,13.9,20.5,49.8,47,11.9,6.7 97 | 2012/12/31,9.6,1.7,-2.76,5.5,13.8,20.6,50.2,47.3,13.7,4.22 98 | 2013/1/31,10.1,2,-2.2,5.5,13.8,20.6,50.4,47.3,5.8,4.22 99 | 2013/2/28,2.2,2.0305,-1.94,6.5,13.8,20.6,50.1,47.3,5.8,4.22 100 | 2013/3/31,2.2,2.0305,-1.92,9.5,15.2,20.9,50.1,47.5,5.8,7.2 101 | 2013/4/30,2.2,2.0696,-2.62,9.5,15.2,20.6,50.1,47.5,6.1,7.2 102 | 2013/5/31,8.9,2.0696,-2.87,11.3,15.7,20.4,50.6,47.5,6.1,7.2 103 | 2013/6/30,8.9,2.0981,-2.87,9.1,14,20.1,50.1,47.4,6.1,3 104 | 2013/7/31,8.9,2.0981,-2.87,9.1,14,20.1,50.1,47.4,6.2,-1.82 105 | 2013/8/31,8.9,2.5666,-2.7,9.1,14,20.1,50.1,47.4,9.2,-1.82 106 | 2013/9/30,9.7,2.5666,-2.27,8.9,14.2,20.1,50.3,47.6,9.2,-1.82 107 | 2013/10/31,10.2,2.5666,-1.62,8.9,14.2,20.1,51,48,9.2,6.51 108 | 2013/11/30,10,3.018,-1.51,8.9,14.2,19.9,51.1,47.8,13.4,4.09 109 | 2013/12/31,9.7,2.4987,-1.51,8.9,13.6,19.6,51,47.6,14.28,4.09 110 | 2014/1/31,8.5,2.4861,-1.64,1.2,13.2,18.75,50.5,47.6,13.03,4.09 111 | 2014/2/28,8.5,1.9511,-2,1.2,13.2,17.9,50.2,47.4,8.1833,-10.6522 112 | 2014/3/31,8.5,1.9511,-2.3019,1.2,12.1,17.6,50.2,47.4,5.1569,-10.6522 113 | 2014/4/30,8.7,1.8014,-2.3019,5.4,12.1,17.3,50.2,47.4,5.1569,-10.6522 114 | 2014/5/31,8.7,1.8014,-2.3019,5.4,12.1,17.2,50.3,47.8,5.1569,1.09 115 | 2014/6/30,8.7,1.8014,-2.0042,5.5,13.2,17.2,50.4,48,7.23,1.09 116 | 2014/7/31,8.8,2.2852,-1.4464,5.7,13.4,17,50.8,48,6.8613,9.639 117 | 2014/8/31,6.9,1.9909,-1.2038,5.7,12.8,16.5,51,48,6.0664,6.2042 118 | 2014/9/30,6.9,1.6275,-1.7996,4.8,12.8,16.1,51.1,48.6,6.0664,6.2042 119 | 2014/10/31,6.9,1.6011,-2.2428,3.2,12.6,15.9,50.8,48.4,6.0664,-5.7 120 | 2014/11/30,7.2,1.4393,-2.6928,3.2,12.3,15.8,50.3,47.7,6.3159,-5.7 121 | 2014/12/31,7.2,1.4393,-3.3152,3.2,12.2,15.7,50.1,47.5,9.0735,-5.7 122 | 2015/1/31,7.2,0.7638,-4.3202,3.2,10.8,14.8,49.8,47.3,5,-19.9 123 | 2015/2/28,3.6,0.7638,-4.7976,3.2,10.8,13.9,49.8,47.3,0.2645,-19.9 124 | 2015/3/31,3.6,0.7638,-4.7976,2.9,10.8,13.5,49.8,47.3,0.2645,-19.9 125 | 2015/4/30,3.6,1.3758,-4.7976,2.9,10.1,12,49.9,48,0.2645,4.3719 126 | 2015/5/31,5.6,1.2308,-4.607,2.9,10.1,11.4,50.1,48,5.0147,2.6139 127 | 2015/6/30,5.9,1.2308,-4.8135,3.7,10.1,11.4,50.1,48.2,5.0147,2.6139 128 | 2015/7/31,6,1.2308,-5.3692,4.3,10.8,11.2,50,48.2,5.0147,2.6139 129 | 2015/8/31,6,1.3909,-5.9227,4.3,11.8,10.9,49.7,48.3,6.1715,13.8727 130 | 2015/9/30,5.7,1.5956,-5.945,6.6,13.1,10.3,49.7,47.5,6.1715,24.1433 131 | 2015/10/31,5.6,1.2674,-5.945,9.3,13.1,10.2,49.7,47.2,6.1715,25.8712 132 | 2015/11/30,5.6,1.2674,-5.945,11.4,13.1,10.2,49.6,47.1,8.6963,25.95 133 | 2015/12/31,5.6,1.2674,-5.9,14,13.3,10,49.6,47.1,8.6963,0.7513 134 | 2016/1/31,5.865724,1.4856,-5.9,15.2,13.3,10,49.4,46.8,5.8,0.7513 135 | 2016/2/29,4.906937,1.6,-5.9,15.2,13.3,10,49,46.8,5.8,0.7513 136 | 2016/3/31,4.906937,1.8,-5.3,17.4,13.3,10.1,49,46.8,5.8,2.8687 137 | 2016/4/30,4.906937,2.3,-4.9,17.4,12.8,10.2,49,47.4,7.4154,2.8687 138 | 2016/5/31,6,2.038999,-4.3,22.1,11.8,9.6,50.1,47.4,7.6757,4.5859 139 | 2016/6/30,6,1.879503,-3.4,22.9,11.8,9,50,47,1.9486,4.5859 140 | 2016/7/31,6,1.765113,-2.8,23.7,10.2,8.1,49.9,47,1.9486,0.282 141 | 2016/8/31,6,1.339773,-2.6,24.6,10.2,8.1,49.9,47,1.9486,0.282 142 | 2016/9/30,6,1.339773,-1.7,24.7,10.2,8.1,49.9,47.3,2.3029,0.282 143 | 2016/10/31,6.1,1.339773,-0.8,23.9,11.4,8.1,50.4,47.4,2.3029,-12.3996 144 | 2016/11/30,6.1,1.920226,0.1,22.7,11.4,8.2,50.4,47.4,3.0302,-12.3996 145 | 2016/12/31,6,2.076545,1.2,21.4,11.3,8.1,51.2,48,-7.9816,-13.867 146 | 2017/1/31,2.93725,2.076545,3.3,14.5,10.7,8.1,51.3,48,-7.9816,-13.867 147 | 2017/2/28,2.93725,0.8,5.5,14.5,10.4,8.1,51.3,48,-7.9816,-13.867 148 | 2017/3/31,2.93725,0.8,6.9,14.5,10.1,8.5,51.3,48,10.0494,-1.0133 149 | 2017/4/30,6.5,0.8,6.4,18.5,9.8,8.9,51.2,48.3,7.8,-1.0133 150 | 2017/5/31,6.5,0.9,5.5,17,9.1,8.6,51.2,48.3,3.7,4.0139 151 | 2017/6/30,6.5,1.2,5.5,15,9.1,8.6,51.2,48.3,3.7,4.0139 152 | 2017/7/31,6.4,1.4,5.5,15,8.9,8.3,51.2,48.5,3.7,5.6998 153 | 2017/8/31,6,1.4,5.5,14,8.6,7.8,51.4,48.3,7.2,3.246 154 | 2017/9/30,6,1.4,5.5,14,8.6,7.5,51.4,48.3,7.2,2.0681 155 | 2017/10/31,6,1.6,6.3,13,8.6,7.3,51.6,48.3,5.4,-5.8954 156 | 2017/11/30,6.1,1.6,5.8,12.7,8.9,7.2,51.6,48.4,-1.4,-8.2944 157 | 2017/12/31,6.1,1.7,4.9,11.8,8.1,7.2,51.6,48,-4.2702,-8.2944 158 | 2018/1/31,6.1,1.5,4.3,11.8,8.1,7.2,51.3,48,-4.2702,-8.2944 159 | 2018/2/28,-2.119883,1.5,3.7,8.5,8.1,7.2,50.3,48,-4.2702,-7.4213 160 | 2018/3/31,-2.119883,1.5,3.1,7.1,8.2,7.5,50.3,48.8,8.368,-7.4213 161 | 2018/4/30,-2.119883,1.8,3.1,7.1,8.2,7,50.3,49.3,8.368,4.168 162 | 2018/5/31,6,1.8,3.1,6,8.2,6.1,51.4,49.5,8.368,0.5198 163 | 2018/6/30,6,1.8,3.4,6,8,6,51.4,48.8,3.4998,0.5198 164 | 2018/7/31,6,1.8,4.1,5.1,8,5.5,51.2,48.8,3.4998,0.5198 165 | 2018/8/31,6,1.9,4.1,3.9,8,5.3,51.2,48.7,3.4998,3.3221 166 | 2018/9/30,5.8,2.1,3.6,3.9,8.2,5.3,50.8,47.8,1.9597,3.3221 167 | 2018/10/31,5.8,2.3,3.3,2.7,8,5.3,50.2,47.2,-3.1237,3.3431 168 | 2018/11/30,5.4,2.2,2.7,1.5,8,5.4,50,47.2,-5.3625,-0.815 169 | 2018/12/31,5.4,1.9,0.9,1.5,8,5.7,49.4,47.1,-5.3625,-0.815 170 | 2019/1/31,5.4,1.7,0.1,0.4,8,5.9,49.4,47.1,-5.3625,-0.815 171 | 2019/2/28,3.360717,1.5,0.1,0.4,8,5.9,49.2,46.3,1.8502,17.82473333 172 | 2019/3/31,3.360717,1.5,0.1,0.4,8,6,49.2,46.3,2.5651,15.4084 173 | 2019/4/30,3.360717,1.5,0.1,2,8,6.1,49.2,46.3,2.8261,15.4084 174 | 2019/5/31,5,2.3,0.4,2.9,8.5,5.6,49.4,47.2,-2.05954,2.078085 175 | 2019/6/30,5,2.5,0,2.9,8.5,5.6,49.4,47.2,-2.05954,2.078085 -------------------------------------------------------------------------------- /data/direction_mtx_data.xls: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/data/direction_mtx_data.xls -------------------------------------------------------------------------------- /data/donchian_high_mtx.csv: -------------------------------------------------------------------------------- 1 | date,iir,cpi,ppi,m1,m2,fai,pmi,pmim,pr,pc 2 | 2006/1/31,,,,,,,,,, 3 | 2006/2/28,,,,,,,,,, 4 | 2006/3/31,,,,,,,,,, 5 | 2006/4/30,16.5,1.691666667,4.59375,11.61083333,17.41666667,27.44583333,53.825,46.30416667,23.2,19.82666667 6 | 2006/5/31,16.57916667,1.4875,4.365416667,11.86541667,17.80416667,27.77083333,53.70416667,46.29583333,24.23333333,19.38916667 7 | 2006/6/30,16.74583333,1.383333333,4.072916667,12.12625,18.10666667,28.10833333,53.88333333,46.40833333,24.47083333,19.09333333 8 | 2006/7/31,16.88333333,1.341666667,3.765416667,12.41583333,18.30916667,28.42083333,54.0375,46.6375,25.05416667,18.9225 9 | 2006/8/31,16.89583333,1.320833333,3.550833333,12.76583333,18.42,28.62916667,54.1125,46.8,26.1125,18.9225 10 | 2006/9/30,16.89583333,1.283333333,3.413333333,13.10583333,18.42,28.72083333,54.2125,46.92083333,26.32083333,18.9225 11 | 2006/10/31,16.89583333,1.308333333,3.266666667,13.45083333,18.42,28.72083333,54.31666667,47.10416667,26.32083333,18.21 12 | 2006/11/30,16.86666667,1.341666667,3.145833333,13.7975,18.39791667,28.72083333,54.39166667,47.3,26.32083333,18.04333333 13 | 2006/12/31,16.79166667,1.416666667,3.058333333,14.20583333,18.31541667,28.70833333,54.4625,47.45833333,26.11666667,18.04333333 14 | 2007/1/31,16.94625,1.479166667,2.995,14.8425,18.21583333,28.625,54.60833333,47.65,25.92083333,18.04333333 15 | 2007/2/28,17.13833333,1.566666667,2.979583333,15.6,18.12708333,28.45416667,54.775,47.85416667,24.90833333,17.77833333 16 | 2007/3/31,17.13833333,1.745833333,2.979583333,16.25416667,17.96416667,28.20625,54.85,48.00416667,25.32916667,17.645 17 | 2007/4/30,17.13833333,1.925,3.01625,16.8625,17.78583333,27.94583333,54.90416667,48.18333333,25.90625,17.78708333 18 | 2007/5/31,16.88416667,2.083333333,3.074583333,17.39458333,17.68166667,27.625,54.9625,48.42916667,26.61791667,19.02541667 19 | 2007/6/30,16.88833333,2.2875,3.074583333,17.90666667,17.54416667,27.26666667,55.01666667,48.67916667,27.56,20.58125 20 | 2007/7/31,16.93833333,2.6,3.074583333,18.4325,17.37083333,26.9125,55.07083333,48.93333333,27.74333333,21.68291667 21 | 2007/8/31,17.0675,3.008333333,3.047083333,18.96583333,17.21541667,26.5375,55.14583333,49.3,27.74333333,23.30958333 22 | 2007/9/30,17.25916667,3.420833333,2.955,19.53125,17.25083333,26.18333333,55.14583333,49.44583333,28.145,24.72375 23 | 2007/10/31,17.50916667,3.829166667,2.8725,20.04291667,17.37541667,25.92083333,55.14583333,49.44583333,29.47458333,25.61958333 24 | 2007/11/30,17.7425,4.25,2.87125,20.49208333,17.50125,25.74583333,55.14583333,49.5,31.11041667,26.10541667 25 | 2007/12/31,17.955,4.6125,3.042083333,20.84208333,17.56083333,25.75833333,55.04583333,49.61666667,31.26333333,26.10541667 26 | 2008/1/31,17.955,4.970833333,3.255833333,21.01041667,17.67708333,25.87083333,55.0125,49.61666667,31.26333333,28.65166667 27 | 2008/2/29,17.955,5.425,3.54,21.01041667,17.78916667,25.95833333,55.0125,49.61666667,31.64625,29.46333333 28 | 2008/3/31,17.67958333,5.883333333,3.92625,21.01041667,17.78916667,26.02083333,54.97916667,49.60833333,32.42458333,29.46333333 29 | 2008/4/30,17.53333333,6.320833333,4.3625,20.95666667,17.78916667,26.05416667,55.1,49.45416667,32.42458333,29.46333333 30 | 2008/5/31,17.53333333,6.729166667,4.805833333,20.81708333,17.73375,26.05416667,55.1,49.39583333,32.42458333,29.37916667 31 | 2008/6/30,17.47083333,7.020833333,5.29625,20.71291667,17.80208333,26.05416667,55.1,49.39583333,32.44458333,29.37916667 32 | 2008/7/31,17.3125,7.1625,5.87875,20.61708333,17.80208333,26.075,55.025,49.39166667,32.44458333,29.37916667 33 | 2008/8/31,17.08333333,7.1625,6.5075,20.28041667,17.80208333,26.13333333,54.82083333,49.29583333,32.44458333,28.91458333 34 | 2008/9/30,16.80416667,7.1625,7.08625,19.71083333,17.72541667,26.2125,54.5125,49.14166667,31.94916667,28.86125 35 | 2008/10/31,16.47083333,7.125,7.495416667,18.95,17.54833333,26.275,54.075,48.89583333,30.61683333,28.81679167 36 | 2008/11/30,15.9625,6.991666667,7.53,17.95166667,17.32916667,26.2875,53.6375,48.7125,28.17116667,27.5015 37 | 2008/12/31,15.24583333,6.820833333,7.53,16.86833333,17.05375,26.32083333,53.075,48.42916667,24.83325,26.05566667 38 | 2009/1/31,14.34583333,6.529166667,7.53,15.69208333,16.75791667,26.41666667,52.025,47.72916667,21.03491667,25.68691667 39 | 2009/2/28,13.3625,6.120833333,7.149583333,14.57458333,16.81,26.57083333,50.74583333,46.85416667,19.20283333,25.68691667 40 | 2009/3/31,12.11125,5.645833333,6.482083333,13.49166667,17.31916667,26.775,49.8375,46.2125,16.982,26.85733333 41 | 2009/4/30,11.16416667,4.9625,5.62625,12.55958333,18.07625,27.0875,49.33333333,46.0125,12.92991667,26.85733333 42 | 2009/5/31,10.585,4.1375,4.582916667,12.16208333,18.76875,27.59166667,48.9,45.89583333,10.31658333,26.85733333 43 | 2009/6/30,9.839166667,3.325,3.388333333,12.48583333,19.55041667,28.17916667,48.4125,45.57916667,8.000333333,26.72025 44 | 2009/7/31,9.193333333,2.529166667,2.1325,13.44458333,20.51541667,28.69583333,48.4625,45.31666667,4.732833333,25.66316667 45 | 2009/8/31,8.676666667,1.783333333,0.796666667,14.63833333,21.54041667,29.1625,48.9,45.29166667,2.374333333,24.86358333 46 | 2009/9/30,8.293333333,1.079166667,-0.65625,16.15166667,22.64666667,29.63333333,49.2625,45.39166667,4.704166667,23.71525 47 | 2009/10/31,8.626666667,0.4875,-2.1625,17.95416667,23.83083333,30.11666667,49.83333333,45.675,7.145833333,24.00083333 48 | 2009/11/30,9.530833333,0.008333333,-3.580833333,20.07958333,25.05333333,30.58333333,50.95833333,46.4375,9.829166667,24.0425 49 | 2009/12/31,10.63916667,-0.404166667,-4.770833333,22.20958333,26.08666667,30.9625,52.28333333,47.38333333,13.50416667,24.0425 50 | 2010/1/31,12.51125,-0.6625,-5.072083333,24.525,26.79708333,31.20208333,53.3625,48.17916667,18.12083333,24.0425 51 | 2010/2/28,13.925,-0.4625,-4.341666667,26.875,27.30666667,31.2875,53.925,48.62916667,21.45,23.655 52 | 2010/3/31,14.40833333,-0.133333333,-3.434583333,28.4175,27.39125,31.2875,54.1625,48.8625,23.89583333,21.18041667 53 | 2010/4/30,15.25416667,0.195833333,-2.379583333,29.52875,27.39125,31.2875,54.36666667,49.18333333,27.44166667,18.76166667 54 | 2010/5/31,16.00833333,0.5625,-1.22375,30.56958333,27.39125,31.2,54.49166667,49.57916667,30.09583333,17.70083333 55 | 2010/6/30,16.45,0.941666667,-0.034583333,31.02708333,27.08208333,30.925,54.49166667,49.86666667,30.54583333,17.07583333 56 | 2010/7/31,16.68333333,1.345833333,1.100833333,31.02708333,26.70083333,30.45,54.49166667,49.9375,30.59166667,17.60083333 57 | 2010/8/31,16.85833333,1.754166667,2.151666667,31.02708333,26.08666667,29.82083333,54.47916667,49.9375,30.59166667,18.655 58 | 2010/9/30,16.9,2.133333333,3.130833333,30.87291667,25.21916667,29.15,54.34583333,49.9375,30.59166667,19.23416667 59 | 2010/10/31,16.9,2.520833333,4.05625,30.48583333,24.37958333,28.475,54.1625,49.92083333,29.64166667,20.12583333 60 | 2010/11/30,16.9,2.9125,4.849166667,29.88333333,23.55958333,27.76666667,54.04583333,49.92083333,27.57083333,23.105 61 | 2010/12/31,16.75,3.2125,5.364583333,29.10958333,22.70666667,27.0375,54.00416667,49.92083333,26.13333333,23.87583333 62 | 2011/1/31,16.37916667,3.466666667,5.635833333,28.17375,21.85833333,26.375,53.98333333,49.87083333,24.87916667,26.81833333 63 | 2011/2/28,15.925,3.701833333,5.8075,27.18666667,21.1,25.82916667,53.87083333,49.79166667,22.85416667,28.94083333 64 | 2011/3/31,15.05416667,3.919625,5.9425,25.665,20.4025,25.425,53.6375,49.89166667,22.15416667,28.94083333 65 | 2011/4/30,14.47916667,4.149916667,6.00125,23.75458333,19.6275,25.19583333,53.525,49.95416667,22.15416667,28.94083333 66 | 2011/5/31,14.42916667,4.356541667,6.00125,22.27833333,18.9725,25.06666667,53.4625,49.95416667,22.15416667,30.25416667 67 | 2011/6/30,14.10833333,4.601125,6.002916667,20.89125,18.46916667,24.97916667,53.275,49.95416667,22.79583333,31.2375 68 | 2011/7/31,13.8,4.876375,6.145,19.41,17.96583333,24.97083333,53.07916667,49.9125,23.77083333,31.625 69 | 2011/8/31,13.80833333,5.118125,6.379583333,18.21583333,17.61333333,25,52.95,49.82083333,25.33333333,31.625 70 | 2011/9/30,13.8125,5.331375,6.592916667,17.2675,17.38583333,25.025,52.87916667,49.87916667,26.675,31.625 71 | 2011/10/31,13.8375,5.479791667,6.6825,16.35083333,17.0275,25.0625,52.825,49.87916667,26.97916667,31.35416667 72 | 2011/11/30,13.8375,5.488958333,6.6825,15.40625,16.54166667,25.06666667,52.68333333,49.87916667,26.97916667,30.52083333 73 | 2011/12/31,13.8375,5.488958333,6.6825,14.33666667,16.02666667,25.06666667,52.39583333,49.83333333,26.97916667,29.5 74 | 2012/1/31,13.80416667,5.488958333,6.541666667,13.17,15.47666667,25.06666667,51.95833333,49.66666667,26.8375,26.44166667 75 | 2012/2/29,13.7375,5.430416667,6.225833333,12.02041667,14.93833333,25.02083333,51.55,49.4375,25.68083333,24.86166667 76 | 2012/3/31,13.27083333,5.391666667,5.804583333,11.02916667,14.48333333,24.90625,51.3,49.2375,23.89958333,27.00333333 77 | 2012/4/30,13.24583333,5.302333333,5.26,10.16666667,14.17083333,24.67916667,51.15,49.1125,21.9175,27.00333333 78 | 2012/5/31,13.24583333,5.155375,4.642083333,9.3,13.925,24.36666667,51.09166667,48.99583333,20.45583333,27.00333333 79 | 2012/6/30,12.95416667,5.000083333,4.010833333,8.45,13.6875,23.97916667,51.09166667,48.7625,19.27666667,26.3325 80 | 2012/7/31,12.62916667,4.814291667,3.35625,7.658333333,13.50416667,23.525,51.04166667,48.43333333,17.56,24.03666667 81 | 2012/8/31,12.24166667,4.536375,2.631666667,6.925,13.32916667,23.07083333,50.94583333,48.2625,15.9475,22.2825 82 | 2012/9/30,11.80833333,4.169458333,1.814583333,6.283333333,13.24166667,22.64583333,50.89166667,48.2625,14.435,22.2825 83 | 2012/10/31,11.41666667,3.802708333,0.93375,5.7125,13.36666667,22.2375,50.79583333,48.14583333,12.41,22.2825 84 | 2012/11/30,11.03333333,3.456125,0.067083333,5.366666667,13.46666667,21.85416667,50.66666667,47.90833333,10.93083333,21.62 85 | 2012/12/31,10.69166667,3.124375,-0.675833333,5.204166667,13.525,21.49583333,50.7375,47.78333333,12.53625,20.8075 86 | 2013/1/31,10.7625,2.873541667,-1.204166667,5.308333333,13.67916667,21.1625,50.74583333,47.78333333,13.42041667,20.0325 87 | 2013/2/28,10.7625,2.715416667,-1.560416667,6.033333333,13.91666667,20.87083333,50.74583333,47.80416667,13.42041667,19.82166667 88 | 2013/3/31,10.7625,2.547104167,-1.810416667,6.5625,14.10416667,20.66458333,50.74583333,47.80416667,13.42041667,19.82166667 89 | 2013/4/30,10.5875,2.445033333,-1.978333333,7.241666667,14.3375,20.58333333,50.70416667,47.80416667,12.94625,17.83708333 90 | 2013/5/31,9.666666667,2.382091667,-2.114166667,7.933333333,14.58333333,20.6125,50.575,47.75,12.21833333,14.3125 91 | 2013/6/30,9.541666667,2.276079167,-2.260833333,8.441666667,14.70833333,20.6125,50.37083333,47.75833333,11.66,14.05 92 | 2013/7/31,9.525,2.234129167,-2.402083333,8.8375,14.75,20.6125,50.29166667,47.75833333,11.36,14.05 93 | 2013/8/31,9.5625,2.294158333,-2.3875,9.275,14.825,20.6125,50.375,47.77083333,11.685,13.4875 94 | 2013/9/30,9.666666667,2.3657625,-2.217916667,9.566666667,14.85,20.5875,50.50416667,47.95416667,11.95583333,11.25333333 95 | 2013/10/31,9.7375,2.4765,-2.07375,9.75,14.85,20.57916667,50.60833333,48.07083333,12.1225,9.415416667 96 | 2013/11/30,9.7625,2.581658333,-1.989166667,10.02916667,14.85416667,20.57083333,50.69166667,48.12083333,12.1225,9.817083333 97 | 2013/12/31,9.7625,2.624020833,-1.9325,10.30833333,14.85833333,20.53333333,50.74166667,48.12916667,12.1225,10.37916667 98 | 2014/1/31,9.7625,2.64295,-1.908333333,10.30833333,14.85833333,20.475,50.7625,48.12916667,11.97666667,11.14375 99 | 2014/2/28,9.733333333,2.64295,-1.908333333,10.30833333,14.85833333,20.4,50.77083333,48.12916667,11.10625,11.14375 100 | 2014/3/31,9.4875,2.64295,-1.908333333,9.8375,14.7375,20.26875,50.77083333,48.04583333,11.0313875,11.14375 101 | 2014/4/30,9.4875,2.609070833,-1.92375,9.141666667,14.54583333,20.04166667,50.77083333,47.8625,11.0313875,10.28615833 102 | 2014/5/31,9.4875,2.569341667,-1.860358333,8.7625,14.31666667,19.76666667,50.75,47.86666667,11.19626667,9.9625 103 | 2014/6/30,9.458333333,2.5581125,-1.734758333,8.225,14.04583333,19.49166667,50.74583333,47.90833333,11.19626667,11.19212083 104 | 2014/7/31,9.416666667,2.551504167,-1.610091667,7.725,13.825,19.22083333,50.84166667,47.99166667,11.19626667,12.63151667 105 | 2014/8/31,9.4125,2.551504167,-1.534366667,7.483333333,13.75416667,18.97083333,50.90416667,48.075,11.09996667,13.09623333 106 | 2014/9/30,9.395833333,2.521454167,-1.534366667,7.35,13.74166667,18.725,50.90833333,48.1125,10.78830417,13.09623333 107 | 2014/10/31,9.220833333,2.4812625,-1.534366667,7.05,13.62083333,18.4375,50.90833333,48.11666667,10.48529167,13.09623333 108 | 2014/11/30,8.983333333,2.397925,-1.536175,6.704166667,13.4875,18.10833333,50.90833333,48.11666667,10.05955417,13.0424625 109 | 2014/12/31,8.783333333,2.2717125,-1.585858333,6.295833333,13.3625,17.7625,50.88333333,48.11666667,9.48105,11.84976667 110 | 2015/1/31,8.558333333,2.139070833,-1.669425,5.8,13.2125,17.41666667,50.8125,48.10416667,8.913279167,10.56094583 111 | 2015/2/28,8.366666667,2.0319125,-1.803925,5.7625,13.075,17.08333333,50.72916667,48.09583333,8.588008333,9.628375 112 | 2015/3/31,8.3375,1.918770833,-1.997066667,5.7625,12.91666667,16.75625,50.6625,48.125,8.212591667,10.13617083 113 | 2015/4/30,8.166666667,1.825341667,-2.225308333,5.7625,12.78333333,16.425,50.62083333,48.1375,7.548058333,10.72884583 114 | 2015/5/31,7.816666667,1.761633333,-2.435975,5.604166667,12.72916667,16.0875,50.6,48.15,7.245491667,11.15137083 115 | 2015/6/30,7.566666667,1.7074125,-2.6370875,5.425,12.57916667,15.69583333,50.57916667,48.1875,7.230745833,11.15137083 116 | 2015/7/31,7.3375,1.643295833,-2.875791667,5.308333333,12.34166667,15.23333333,50.54166667,48.19166667,7.670983333,11.15137083 117 | 2015/8/31,7.125,1.551975,-3.161829167,5.075,12.1125,14.74583333,50.48333333,48.19166667,7.911979167,11.24603333 118 | 2015/9/30,6.9,1.4860125,-3.503691667,5.45,12.025,14.25833333,50.37916667,48.19166667,8.046229167,12.80744583 119 | 2015/10/31,6.741666667,1.457954167,-3.887829167,6.175,12.07083333,13.78333333,50.25,48.15416667,8.146779167,15.2928375 120 | 2015/11/30,6.6125,1.455145833,-4.257175,7.145833333,12.16666667,13.30833333,50.1375,48.0875,8.214329167,18.0842625 121 | 2015/12/31,6.429166667,1.4399125,-4.582283333,8.166666667,12.27083333,12.82916667,50.04166667,47.98333333,8.348583333,19.11230417 122 | 2016/1/31,6.3,1.480908333,-4.8683,9,12.45,12.35833333,49.97083333,47.90833333,8.4193,20.934025 123 | 2016/2/29,6.175,1.5602875,-5.109633333,9.825,12.61666667,11.8875,49.925,47.8875,8.7505875,20.934025 124 | 2016/3/31,5.939388417,1.635057958,-5.258158333,11.11666667,12.725,11.45416667,49.89166667,47.87083333,9.126108333,20.934025 125 | 2016/4/30,5.993555083,1.707739458,-5.236970833,12.71666667,12.9125,11.10416667,49.8375,47.84166667,9.486504167,20.59594583 126 | 2016/5/31,5.993555083,1.775529625,-5.112825,14.30833333,13.06666667,10.83333333,49.80833333,47.84166667,9.881204167,19.08167917 127 | 2016/6/30,5.993555083,1.829563042,-4.945304167,15.94583333,13.10833333,10.65416667,49.80833333,47.81666667,9.881204167,18.89637083 128 | 2016/7/31,5.993555083,1.854830375,-4.700191667,17.575,13.10833333,10.51666667,49.80416667,47.75833333,9.881204167,18.89637083 129 | 2016/8/31,5.964388417,1.854830375,-4.3338625,19.025,13.10833333,10.34166667,49.80416667,47.6625,9.4941375,18.89637083 130 | 2016/9/30,5.97272175,1.854830375,-3.868541667,20.24583333,12.97916667,10.1125,49.85833333,47.54583333,8.624983333,18.17075417 131 | 2016/10/31,6.01022175,1.870011958,-3.320833333,21.2125,12.77083333,9.866666667,49.94166667,47.47083333,8.093575,16.53434583 132 | 2016/11/30,6.031055083,1.936478833,-2.641666667,21.91666667,12.625,9.6625,50.0875,47.5625,7.665608333,15.2482 133 | 2016/12/31,6.03522175,1.988278958,-1.783333333,22.46666667,12.47916667,9.495833333,50.24583333,47.63333333,7.303229167,12.58165417 134 | 2017/1/31,6.03522175,2.039345625,-0.8,22.55416667,12.30416667,9.3375,50.39583333,47.7,6.884416667,9.994958333 135 | 2017/2/28,6.03522175,2.039345625,0.2375,22.55416667,12.125,9.179166667,50.58333333,47.775,5.814391667,9.150908333 136 | 2017/3/31,6.279985917,2.039345625,1.2625,22.57916667,11.90416667,9.033333333,50.75833333,47.80416667,6.1115375,9.201158333 137 | 2017/4/30,6.334152583,2.00805625,2.166666667,22.57916667,11.64583333,8.9125,50.87083333,47.84583333,6.1115375,9.389325 138 | 2017/5/31,6.37581925,1.887164958,2.920833333,22.57916667,11.3875,8.795833333,50.9625,47.92083333,6.1115375,9.389325 139 | 2017/6/30,6.454985917,1.781779292,3.604166667,22.25833333,11.125,8.666666667,51.07916667,48.025,6.000316667,9.389325 140 | 2017/7/31,6.529985917,1.712326625,4.241666667,21.79583333,10.8875,8.558333333,51.2125,48.14166667,6.257895833,9.015666667 141 | 2017/8/31,6.534152583,1.674055708,4.8375,21.11666667,10.6625,8.5,51.32916667,48.22083333,6.772154167,8.810375 142 | 2017/9/30,6.542485917,1.6528265,5.416666667,20.29583333,10.49583333,8.491666667,51.46666667,48.3125,7.233275,8.810375 143 | 2017/10/31,6.567485917,1.6528265,5.9375,19.40416667,10.325,8.4875,51.56666667,48.39583333,7.448608333,8.7355875 144 | 2017/11/30,6.567485917,1.6528265,6.279166667,18.4875,10.10416667,8.445833333,51.5875,48.41666667,7.448608333,8.0442625 145 | 2017/12/31,6.571652583,1.631319292,6.358333333,17.5875,9.8875,8.375,51.6,48.41666667,7.448608333,7.924475 146 | 2018/1/31,7.100704708,1.600144083,6.358333333,16.71666667,9.679166667,8.2875,51.60833333,48.45,7.245495833,7.382454167 147 | 2018/2/28,7.1029875,1.565610625,6.358333333,15.9,9.45,8.204166667,51.60833333,48.5125,7.401275,7.382454167 148 | 2018/3/31,7.1029875,1.691666667,6.225,15.52083333,9.229166667,8.127083333,51.60833333,48.59583333,7.449041667,7.724208333 149 | 2018/4/30,7.1029875,1.766666667,5.945833333,15.00416667,9.075,8.045833333,51.55416667,48.7,7.449041667,7.724208333 150 | 2018/5/31,6.517884833,1.804166667,5.5875,13.97916667,8.929166667,7.933333333,51.52083333,48.79583333,7.728579167,7.724208333 151 | 2018/6/30,6.505384833,1.833333333,5.275,13.02083333,8.7875,7.783333333,51.54166667,48.85,7.753208333,6.994908333 152 | 2018/7/31,6.505384833,1.879166667,5.091666667,12.09166667,8.691666667,7.6,51.54166667,48.875,7.753208333,6.781316667 153 | 2018/8/31,6.451218167,1.929166667,5,11.28333333,8.6125,7.3875,51.54166667,48.90833333,7.753208333,5.895125 154 | 2018/9/30,6.367884833,1.9875,4.929166667,10.50833333,8.55,7.1625,51.525,48.90833333,7.319945833,5.5906375 155 | 2018/10/31,6.355384833,2.05,4.8,9.6625,8.516666667,6.941666667,51.5,48.90833333,6.977683333,6.578316667 156 | 2018/11/30,6.326218167,2.095833333,4.570833333,8.825,8.470833333,6.75,51.41666667,48.87916667,6.541995833,7.47615 157 | 2018/12/31,6.280384833,2.120833333,4.283333333,7.979166667,8.404166667,6.595833333,51.29166667,48.775,5.8851625,8.3971875 158 | 2019/1/31,6.238718167,2.133333333,4.004166667,7.083333333,8.320833333,6.475,51.15833333,48.675,5.454816667,10.15918194 159 | 2019/2/28,6.188718167,2.133333333,3.708333333,6.1875,8.275,6.366666667,50.99166667,48.59583333,5.454816667,10.15918194 160 | 2019/3/31,6.009039167,2.133333333,3.366666667,5.15,8.266666667,6.247916667,50.825,48.52916667,5.12975,10.15918194 161 | 2019/4/30,6.046539167,2.083333333,3.041666667,4.270833333,8.233333333,6.108333333,50.70416667,48.375,4.061291667,10.0998375 162 | 2019/5/31,6.046539167,2.1375,2.779166667,3.895833333,8.25,5.983333333,50.61666667,48.2,3.390704167,10.50500354 163 | 2019/6/30,6.046539167,2.208333333,2.5625,3.6125,8.279166667,5.895833333,50.52083333,48.05416667,2.907020833,10.51314454 -------------------------------------------------------------------------------- /data/donchian_low_mtx.csv: -------------------------------------------------------------------------------- 1 | date,iir,cpi,ppi,m1,m2,fai,pmi,pmim,pr,pc 2 | 2006/1/31,,,,,,,,,, 3 | 2006/2/28,,,,,,,,,, 4 | 2006/3/31,,,,,,,,,, 5 | 2006/4/30,15.72916667,1.383333333,4.072916667,11.19833333,16.6125,26.82083333,53.56666667,46.26666667,21.48333333,19.09333333 6 | 2006/5/31,16.3625,1.341666667,3.765416667,11.39,17.01666667,27.09583333,53.56666667,46.26666667,22.33333333,18.83916667 7 | 2006/6/30,16.5,1.320833333,3.550833333,11.61083333,17.41666667,27.44583333,53.56666667,46.29166667,23.2,18.78916667 8 | 2006/7/31,16.57916667,1.283333333,3.413333333,11.86541667,17.80416667,27.77083333,53.70416667,46.29166667,24.23333333,18.78916667 9 | 2006/8/31,16.74583333,1.25,3.266666667,12.12625,18.10666667,28.10833333,53.88333333,46.40833333,24.47083333,18.21 10 | 2006/9/30,16.86666667,1.25,3.145833333,12.41583333,18.30916667,28.42083333,54.0375,46.6375,25.05416667,17.6475 11 | 2006/10/31,16.79166667,1.25,3.058333333,12.76583333,18.31541667,28.62916667,54.1125,46.8,26.1125,17.6475 12 | 2006/11/30,16.6625,1.275,2.995,13.10583333,18.21583333,28.625,54.2125,46.92083333,25.92083333,17.6475 13 | 2006/12/31,16.51666667,1.308333333,2.973333333,13.45083333,18.12708333,28.45416667,54.31666667,47.10416667,24.90833333,17.77833333 14 | 2007/1/31,16.51666667,1.341666667,2.973333333,13.7975,17.96416667,28.20625,54.39166667,47.3,24.39583333,15.34666667 15 | 2007/2/28,16.51666667,1.416666667,2.972916667,14.20583333,17.78583333,27.94583333,54.4625,47.45833333,24.39583333,15.26291667 16 | 2007/3/31,16.8175,1.479166667,2.964583333,14.8425,17.68166667,27.625,54.60833333,47.65,24.39583333,15.26291667 17 | 2007/4/30,16.8175,1.566666667,2.964583333,15.6,17.54416667,27.26666667,54.775,47.85416667,24.9025,15.26291667 18 | 2007/5/31,16.8175,1.745833333,2.964583333,16.25416667,17.37083333,26.9125,54.85,48.00416667,25.32916667,17.645 19 | 2007/6/30,16.8425,1.925,3.01625,16.8625,17.21541667,26.5375,54.90416667,48.18333333,25.90625,17.78708333 20 | 2007/7/31,16.88416667,2.083333333,2.955,17.39458333,17.1625,26.18333333,54.9625,48.42916667,26.61791667,19.02541667 21 | 2007/8/31,16.88833333,2.2875,2.8725,17.90666667,17.1625,25.92083333,55.01666667,48.67916667,27.375,20.58125 22 | 2007/9/30,16.93833333,2.6,2.805833333,18.4325,17.1625,25.74583333,55.07083333,48.93333333,27.375,21.68291667 23 | 2007/10/31,17.0675,3.008333333,2.785,18.96583333,17.175,25.675,55.04583333,49.3,27.375,23.30958333 24 | 2007/11/30,17.25916667,3.420833333,2.785,19.53125,17.25083333,25.675,54.9875,49.40416667,28.145,24.72375 25 | 2007/12/31,17.50916667,3.829166667,2.785,20.04291667,17.37541667,25.675,54.9875,49.40416667,29.47458333,25.61958333 26 | 2008/1/31,17.67958333,4.25,2.87125,20.49208333,17.50125,25.6875,54.94583333,49.5,30.62166667,25.78166667 27 | 2008/2/29,17.40833333,4.6125,3.042083333,20.84208333,17.56083333,25.75833333,54.87083333,49.45416667,30.62166667,25.78166667 28 | 2008/3/31,17.40833333,4.970833333,3.255833333,20.81708333,17.67708333,25.87083333,54.87083333,49.35833333,30.62166667,27.80291667 29 | 2008/4/30,17.40833333,5.425,3.54,20.71291667,17.685,25.95833333,54.87083333,49.35833333,31.64625,27.80291667 30 | 2008/5/31,17.3125,5.883333333,3.92625,20.61708333,17.685,26.02083333,54.97916667,49.35833333,31.65708333,27.80291667 31 | 2008/6/30,17.08333333,6.320833333,4.3625,20.28041667,17.685,26.04166667,54.82083333,49.29583333,31.65708333,28.90208333 32 | 2008/7/31,16.80416667,6.729166667,4.805833333,19.71083333,17.72541667,26.04166667,54.5125,49.14166667,31.65708333,28.86125 33 | 2008/8/31,16.47083333,7.020833333,5.29625,18.95,17.54833333,26.04166667,54.075,48.89583333,30.61683333,28.81679167 34 | 2008/9/30,15.9625,6.991666667,5.87875,17.95166667,17.32916667,26.075,53.6375,48.7125,28.17116667,27.5015 35 | 2008/10/31,15.24583333,6.820833333,6.5075,16.86833333,17.05375,26.13333333,53.075,48.42916667,24.83325,26.05566667 36 | 2008/11/30,14.34583333,6.529166667,7.08625,15.69208333,16.75791667,26.2125,52.025,47.72916667,21.03491667,25.24066667 37 | 2008/12/31,13.3625,6.120833333,7.149583333,14.57458333,16.65166667,26.275,50.74583333,46.85416667,19.20283333,25.24066667 38 | 2009/1/31,12.11125,5.645833333,6.482083333,13.49166667,16.65166667,26.2875,49.8375,46.2125,16.982,25.0515 39 | 2009/2/28,11.16416667,4.9625,5.62625,12.55958333,16.65166667,26.32083333,49.33333333,46.0125,12.92991667,25.0515 40 | 2009/3/31,10.585,4.1375,4.582916667,12.16208333,16.69125,26.41666667,48.9,45.89583333,10.31658333,25.0515 41 | 2009/4/30,9.839166667,3.325,3.388333333,12.04625,16.81,26.57083333,48.4125,45.57916667,8.000333333,25.38233333 42 | 2009/5/31,9.193333333,2.529166667,2.1325,12.0125,17.31916667,26.775,48.16666667,45.31666667,4.732833333,25.66316667 43 | 2009/6/30,8.676666667,1.783333333,0.796666667,12.0125,18.07625,27.0875,48.16666667,45.21666667,2.27825,24.86358333 44 | 2009/7/31,8.293333333,1.079166667,-0.65625,12.0125,18.76875,27.59166667,48.16666667,45.20416667,1.552833333,23.71525 45 | 2009/8/31,8.11,0.4875,-2.1625,12.48583333,19.55041667,28.17916667,48.20833333,45.20416667,1.552833333,22.38304167 46 | 2009/9/30,8.11,0.008333333,-3.580833333,13.44458333,20.51541667,28.69583333,48.4625,45.20416667,1.552833333,22.38304167 47 | 2009/10/31,8.11,-0.404166667,-4.770833333,14.63833333,21.54041667,29.1625,48.9,45.29166667,2.374333333,22.38304167 48 | 2009/11/30,8.193333333,-0.666666667,-5.45875,16.15166667,22.64666667,29.63333333,49.2625,45.39166667,4.704166667,23.255 49 | 2009/12/31,8.626666667,-0.7125,-5.51,17.95416667,23.83083333,30.11666667,49.83333333,45.675,7.145833333,23.655 50 | 2010/1/31,9.530833333,-0.7125,-5.51,20.07958333,25.05333333,30.58333333,50.95833333,46.4375,9.829166667,21.18041667 51 | 2010/2/28,10.63916667,-0.7125,-5.51,22.20958333,26.08666667,30.9625,52.28333333,47.38333333,13.50416667,18.76166667 52 | 2010/3/31,12.51125,-0.6625,-5.072083333,24.525,26.79708333,31.2,53.3625,48.17916667,18.12083333,17.70083333 53 | 2010/4/30,13.925,-0.4625,-4.341666667,26.875,27.08208333,30.925,53.925,48.62916667,21.45,16.5425 54 | 2010/5/31,14.40833333,-0.133333333,-3.434583333,28.4175,26.70083333,30.45,54.1625,48.8625,23.89583333,16.3925 55 | 2010/6/30,15.25416667,0.195833333,-2.379583333,29.52875,26.08666667,29.82083333,54.36666667,49.18333333,27.44166667,16.3925 56 | 2010/7/31,16.00833333,0.5625,-1.22375,30.56958333,25.21916667,29.15,54.34583333,49.57916667,30.09583333,16.3925 57 | 2010/8/31,16.45,0.941666667,-0.034583333,30.48583333,24.37958333,28.475,54.1625,49.8625,29.64166667,17.07583333 58 | 2010/9/30,16.68333333,1.345833333,1.100833333,29.88333333,23.55958333,27.76666667,54.04583333,49.85,27.57083333,17.60083333 59 | 2010/10/31,16.75,1.754166667,2.151666667,29.10958333,22.70666667,27.0375,54.00416667,49.85,26.13333333,18.655 60 | 2010/11/30,16.37916667,2.133333333,3.130833333,28.17375,21.85833333,26.375,53.98333333,49.85,24.87916667,19.23416667 61 | 2010/12/31,15.925,2.520833333,4.05625,27.18666667,21.1,25.82916667,53.87083333,49.775,22.85416667,20.12583333 62 | 2011/1/31,15.05416667,2.9125,4.849166667,25.665,20.4025,25.425,53.6375,49.74166667,21.16666667,23.105 63 | 2011/2/28,14.47916667,3.2125,5.364583333,23.75458333,19.6275,25.19583333,53.525,49.74166667,21.16666667,23.87583333 64 | 2011/3/31,14.42916667,3.466666667,5.635833333,22.27833333,18.9725,25.06666667,53.4625,49.74166667,21.16666667,26.81833333 65 | 2011/4/30,14.10833333,3.701833333,5.8075,20.89125,18.46916667,24.97916667,53.275,49.79166667,21.43333333,27.37083333 66 | 2011/5/31,13.79166667,3.919625,5.9425,19.41,17.96583333,24.94583333,53.07916667,49.89166667,21.43333333,27.37083333 67 | 2011/6/30,13.71666667,4.149916667,5.9875,18.21583333,17.61333333,24.94583333,52.95,49.8125,21.43333333,28.65 68 | 2011/7/31,13.71666667,4.356541667,5.9875,17.2675,17.38583333,24.94583333,52.87916667,49.76666667,21.69583333,30.25416667 69 | 2011/8/31,13.71666667,4.601125,6.002916667,16.35083333,17.0275,24.94583333,52.825,49.76666667,22.79583333,31.2375 70 | 2011/9/30,13.8,4.876375,6.145,15.40625,16.54166667,24.97083333,52.68333333,49.76666667,23.77083333,30.52083333 71 | 2011/10/31,13.80833333,5.118125,6.379583333,14.33666667,16.02666667,25,52.39583333,49.82083333,25.33333333,29.5 72 | 2011/11/30,13.80416667,5.331375,6.541666667,13.17,15.47666667,25.025,51.95833333,49.66666667,26.675,26.44166667 73 | 2011/12/31,13.7375,5.430416667,6.225833333,12.02041667,14.93833333,25.02083333,51.55,49.4375,25.68083333,24.86166667 74 | 2012/1/31,13.27083333,5.391666667,5.804583333,11.02916667,14.48333333,24.90625,51.3,49.2375,23.89958333,22.62 75 | 2012/2/29,13.1,5.302333333,5.26,10.16666667,14.17083333,24.67916667,51.15,49.1125,21.9175,22.62 76 | 2012/3/31,13.1,5.155375,4.642083333,9.3,13.925,24.36666667,51.0875,48.99583333,20.45583333,22.62 77 | 2012/4/30,12.95416667,5.000083333,4.010833333,8.45,13.6875,23.97916667,51.0875,48.7625,19.27666667,23.09958333 78 | 2012/5/31,12.62916667,4.814291667,3.35625,7.658333333,13.50416667,23.525,51.04166667,48.43333333,17.56,24.03666667 79 | 2012/6/30,12.24166667,4.536375,2.631666667,6.925,13.32916667,23.07083333,50.94583333,48.2375,15.9475,22.0575 80 | 2012/7/31,11.80833333,4.169458333,1.814583333,6.283333333,13.2,22.64583333,50.89166667,48.2375,14.435,22.0575 81 | 2012/8/31,11.41666667,3.802708333,0.93375,5.7125,13.16666667,22.2375,50.79583333,48.14583333,12.41,22.0575 82 | 2012/9/30,11.03333333,3.456125,0.067083333,5.366666667,13.16666667,21.85416667,50.66666667,47.90833333,10.93083333,21.62 83 | 2012/10/31,10.69166667,3.124375,-0.675833333,5.204166667,13.16666667,21.49583333,50.6,47.775,10.5725,20.8075 84 | 2012/11/30,10.44583333,2.873541667,-1.204166667,5.0125,13.24166667,21.1625,50.6,47.775,10.5725,20.0325 85 | 2012/12/31,10.24583333,2.715416667,-1.560416667,4.858333333,13.36666667,20.87083333,50.6,47.775,10.5725,19.71333333 86 | 2013/1/31,10.24583333,2.547104167,-1.810416667,4.858333333,13.46666667,20.66458333,50.65833333,47.75833333,10.91,19.71333333 87 | 2013/2/28,10.24583333,2.445033333,-1.978333333,4.858333333,13.525,20.57916667,50.70416667,47.75833333,12.53625,17.83708333 88 | 2013/3/31,9.666666667,2.382091667,-2.114166667,5.308333333,13.67916667,20.56666667,50.575,47.75,12.21833333,14.3125 89 | 2013/4/30,9.541666667,2.276079167,-2.260833333,6.033333333,13.91666667,20.56666667,50.37083333,47.625,11.66,13.58333333 90 | 2013/5/31,9.525,2.196254167,-2.402083333,6.5625,14.10416667,20.56666667,50.275,47.625,11.33916667,13.58333333 91 | 2013/6/30,9.483333333,2.178191667,-2.489166667,7.241666667,14.3375,20.58333333,50.275,47.625,11.1475,13.4875 92 | 2013/7/31,9.479166667,2.178191667,-2.49,7.933333333,14.58333333,20.5875,50.275,47.6875,11.1475,11.25333333 93 | 2013/8/31,9.479166667,2.178191667,-2.49,8.441666667,14.70833333,20.57916667,50.2875,47.6875,11.1475,9.415416667 94 | 2013/9/30,9.479166667,2.234129167,-2.49,8.8375,14.75,20.57083333,50.29166667,47.6875,11.36,8.9275 95 | 2013/10/31,9.5625,2.294158333,-2.3875,9.275,14.825,20.53333333,50.375,47.77083333,11.685,8.9275 96 | 2013/11/30,9.666666667,2.3657625,-2.217916667,9.566666667,14.83333333,20.475,50.50416667,47.95416667,11.95583333,8.9275 97 | 2013/12/31,9.733333333,2.4765,-2.07375,9.75,14.83333333,20.4,50.60833333,48.07083333,11.10625,9.290833333 98 | 2014/1/31,9.325,2.581658333,-1.989166667,9.8375,14.7375,20.26875,50.69166667,48.04583333,10.78708333,9.817083333 99 | 2014/2/28,9.216666667,2.609070833,-1.9325,9.141666667,14.54583333,20.04166667,50.74166667,47.8625,10.78708333,10.28615833 100 | 2014/3/31,9.216666667,2.569341667,-1.955079167,8.7625,14.31666667,19.76666667,50.75,47.7875,10.78708333,9.9625 101 | 2014/4/30,9.216666667,2.5581125,-1.955079167,8.225,14.04583333,19.49166667,50.71666667,47.7875,10.93514583,9.8856 102 | 2014/5/31,9.416666667,2.54955,-1.955079167,7.725,13.825,19.22083333,50.70833333,47.7875,10.93514583,9.7056 103 | 2014/6/30,9.4125,2.54955,-1.945333333,7.483333333,13.75416667,18.97083333,50.70833333,47.825,11.0246,9.7056 104 | 2014/7/31,9.395833333,2.521454167,-1.860358333,7.35,13.74166667,18.725,50.70833333,47.86666667,10.78830417,9.7056 105 | 2014/8/31,9.220833333,2.4812625,-1.734758333,7.05,13.62083333,18.4375,50.74583333,47.90833333,10.48529167,11.19212083 106 | 2014/9/30,8.983333333,2.397925,-1.610091667,6.704166667,13.4875,18.10833333,50.84166667,47.99166667,10.05955417,12.63151667 107 | 2014/10/31,8.783333333,2.2717125,-1.585858333,6.295833333,13.3625,17.7625,50.88333333,48.075,9.48105,11.84976667 108 | 2014/11/30,8.558333333,2.139070833,-1.669425,5.8,13.2125,17.41666667,50.8125,48.10416667,8.913279167,10.56094583 109 | 2014/12/31,8.366666667,2.0319125,-1.803925,5.2875,13.075,17.08333333,50.72916667,48.09583333,8.588008333,9.628375 110 | 2015/1/31,8.3375,1.918770833,-1.997066667,5.2875,12.91666667,16.75625,50.6625,48.07083333,8.212591667,7.114208333 111 | 2015/2/28,8.166666667,1.825341667,-2.225308333,5.2875,12.78333333,16.425,50.62083333,48.07083333,7.548058333,7.114208333 112 | 2015/3/31,7.816666667,1.761633333,-2.435975,5.425,12.72916667,16.0875,50.6,48.07083333,7.245491667,7.114208333 113 | 2015/4/30,7.566666667,1.7074125,-2.6370875,5.425,12.57916667,15.69583333,50.57916667,48.08333333,7.230745833,8.138575 114 | 2015/5/31,7.3375,1.643295833,-2.875791667,5.308333333,12.34166667,15.23333333,50.54166667,48.125,7.0963125,10.13617083 115 | 2015/6/30,7.125,1.551975,-3.161829167,5.075,12.1125,14.74583333,50.48333333,48.1375,7.0963125,9.726791667 116 | 2015/7/31,6.9,1.4860125,-3.503691667,4.879166667,11.98333333,14.25833333,50.37916667,48.15,7.0963125,9.726791667 117 | 2015/8/31,6.741666667,1.457954167,-3.887829167,4.879166667,11.98333333,13.78333333,50.25,48.15416667,7.2191875,9.726791667 118 | 2015/9/30,6.6125,1.455145833,-4.257175,4.879166667,11.98333333,13.30833333,50.1375,48.0875,7.670983333,9.822229167 119 | 2015/10/31,6.429166667,1.4399125,-4.582283333,5.025,11.99583333,12.82916667,50.04166667,47.98333333,7.911979167,11.24603333 120 | 2015/11/30,6.3,1.4279375,-4.8683,5.45,12.025,12.35833333,49.97083333,47.90833333,8.046229167,12.80744583 121 | 2015/12/31,6.175,1.4279375,-5.109633333,6.175,12.07083333,11.8875,49.925,47.8875,8.146779167,15.2928375 122 | 2016/1/31,5.936071833,1.4279375,-5.258158333,7.145833333,12.16666667,11.45416667,49.89166667,47.87083333,8.214329167,18.0842625 123 | 2016/2/29,5.834932708,1.4338,-5.30325,8.166666667,12.27083333,11.10416667,49.8375,47.84166667,8.348583333,19.11230417 124 | 2016/3/31,5.834932708,1.480908333,-5.30325,9,12.45,10.83333333,49.80416667,47.84166667,8.4193,19.08167917 125 | 2016/4/30,5.834932708,1.5602875,-5.30325,9.825,12.61666667,10.65416667,49.80416667,47.81666667,8.7505875,18.554625 126 | 2016/5/31,5.939388417,1.635057958,-5.296670833,11.11666667,12.725,10.51666667,49.80416667,47.75833333,9.126108333,17.99492917 127 | 2016/6/30,5.964388417,1.707739458,-5.236970833,12.71666667,12.9125,10.34166667,49.79166667,47.6625,9.486504167,17.99492917 128 | 2016/7/31,5.939388417,1.775529625,-5.112825,14.30833333,12.97916667,10.1125,49.77916667,47.54583333,8.624983333,17.99492917 129 | 2016/8/31,5.939388417,1.829563042,-4.945304167,15.94583333,12.77083333,9.866666667,49.77916667,47.47083333,8.093575,16.53434583 130 | 2016/9/30,5.939388417,1.821963083,-4.700191667,17.575,12.625,9.6625,49.77916667,47.4375,7.665608333,15.2482 131 | 2016/10/31,5.94772175,1.821963083,-4.3338625,19.025,12.47916667,9.495833333,49.80416667,47.4375,7.303229167,12.58165417 132 | 2016/11/30,5.97272175,1.821963083,-3.868541667,20.24583333,12.30416667,9.3375,49.85833333,47.4375,6.884416667,9.994958333 133 | 2016/12/31,6.01022175,1.870011958,-3.320833333,21.2125,12.125,9.179166667,49.94166667,47.47083333,5.637091667,8.821754167 134 | 2017/1/31,5.917368667,1.936478833,-2.641666667,21.91666667,11.90416667,9.033333333,50.0875,47.5625,5.208808333,8.762658333 135 | 2017/2/28,5.917368667,1.988278958,-1.783333333,22.46666667,11.64583333,8.9125,50.24583333,47.63333333,5.208808333,8.762658333 136 | 2017/3/31,5.917368667,1.887164958,-0.8,22.55,11.3875,8.795833333,50.39583333,47.7,5.208808333,8.762658333 137 | 2017/4/30,6.02100075,1.781779292,0.2375,22.25833333,11.125,8.666666667,50.58333333,47.775,5.814391667,9.150908333 138 | 2017/5/31,6.279985917,1.712326625,1.2625,21.79583333,10.8875,8.558333333,50.75833333,47.80416667,5.53505,9.015666667 139 | 2017/6/30,6.334152583,1.674055708,2.166666667,21.11666667,10.6625,8.5,50.87083333,47.84583333,5.53505,8.6252375 140 | 2017/7/31,6.37581925,1.643030042,2.920833333,20.29583333,10.49583333,8.491666667,50.9625,47.92083333,5.53505,8.6252375 141 | 2017/8/31,6.454985917,1.643030042,3.604166667,19.40416667,10.325,8.4875,51.07916667,48.025,5.658041667,8.6252375 142 | 2017/9/30,6.529985917,1.643030042,4.241666667,18.4875,10.10416667,8.445833333,51.2125,48.14166667,6.257895833,8.0442625 143 | 2017/10/31,6.534152583,1.631319292,4.8375,17.5875,9.8875,8.375,51.32916667,48.22083333,6.772154167,7.924475 144 | 2017/11/30,6.542485917,1.600144083,5.416666667,16.71666667,9.679166667,8.2875,51.46666667,48.3125,7.196808333,7.332741667 145 | 2017/12/31,6.567485917,1.565610625,5.9375,15.9,9.45,8.204166667,51.56666667,48.39583333,7.141391667,7.332741667 146 | 2018/1/31,6.567485917,1.510377292,6.225,15.52083333,9.229166667,8.127083333,51.5875,48.41666667,7.141391667,6.4231875 147 | 2018/2/28,6.571652583,1.510377292,5.945833333,15.00416667,9.075,8.045833333,51.55416667,48.41666667,7.141391667,6.4231875 148 | 2018/3/31,6.517884833,1.510377292,5.5875,13.97916667,8.929166667,7.933333333,51.4875,48.45,7.245495833,6.4231875 149 | 2018/4/30,6.4720515,1.554166667,5.275,13.02083333,8.7875,7.783333333,51.48333333,48.5125,7.384716667,6.580825 150 | 2018/5/31,6.4720515,1.691666667,5.091666667,12.09166667,8.691666667,7.6,51.48333333,48.59583333,7.384716667,6.781316667 151 | 2018/6/30,6.451218167,1.766666667,5,11.28333333,8.6125,7.3875,51.48333333,48.7,7.384716667,5.895125 152 | 2018/7/31,6.367884833,1.804166667,4.929166667,10.50833333,8.55,7.1625,51.52083333,48.79583333,7.319945833,5.280129167 153 | 2018/8/31,6.355384833,1.833333333,4.8,9.6625,8.516666667,6.941666667,51.5,48.85,6.977683333,5.185104167 154 | 2018/9/30,6.326218167,1.879166667,4.570833333,8.825,8.470833333,6.75,51.41666667,48.875,6.541995833,5.185104167 155 | 2018/10/31,6.280384833,1.929166667,4.283333333,7.979166667,8.404166667,6.595833333,51.29166667,48.775,5.8851625,5.185104167 156 | 2018/11/30,6.238718167,1.9875,4.004166667,7.083333333,8.320833333,6.475,51.15833333,48.675,5.364904167,5.5906375 157 | 2018/12/31,6.188718167,2.05,3.708333333,6.1875,8.275,6.366666667,50.99166667,48.59583333,5.364904167,6.578316667 158 | 2019/1/31,5.808020333,2.095833333,3.366666667,5.15,8.266666667,6.247916667,50.825,48.52916667,5.12975,7.47615 159 | 2019/2/28,5.676514167,2.083333333,3.041666667,4.270833333,8.225,6.108333333,50.70416667,48.375,4.061291667,8.3971875 160 | 2019/3/31,5.676514167,2.033333333,2.779166667,3.895833333,8.208333333,5.983333333,50.61666667,48.2,3.390704167,9.29125 161 | 2019/4/30,5.676514167,2.033333333,2.5625,3.6125,8.208333333,5.895833333,50.52083333,48.05416667,2.907020833,9.29125 162 | 2019/5/31,5.9048725,2.033333333,2.3125,3.325,8.208333333,5.8375,50.3625,47.86666667,2.115931667,9.29125 163 | 2019/6/30,5.8423725,2.070833333,1.970833333,3.125,8.233333333,5.808333333,50.17083333,47.75,1.538646542,10.0998375 -------------------------------------------------------------------------------- /data/heat_map.xls: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/data/heat_map.xls -------------------------------------------------------------------------------- /data/macro_data.xls: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/data/macro_data.xls 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-------------------------------------------------------------------------------- /direc_mat_compare.py: -------------------------------------------------------------------------------- 1 | #!/usr/bin/env python2 2 | # -*- coding: utf-8 -*- 3 | """ 4 | Created on Tue Aug 6 11:28:52 2019 5 | 6 | @author: linjunqi 7 | """ 8 | 9 | import numpy as np 10 | import pandas as pd 11 | import matplotlib.pyplot as plt 12 | 13 | roll_len = 6 14 | index_num = 10 15 | def mtx_similar(arr1,arr2): 16 | ''' 17 | 将矩阵展平成向量，计算向量的乘积除以模长。 18 | 注意有展平操作。 19 | :param arr1:矩阵1 20 | :param arr2:矩阵2 21 | :return:实际是夹角的余弦值，ret = (cos+1)/2 22 | ''' 23 | arr1 = np.array(arr1) 24 | arr2 = np.array(arr2) 25 | farr1 = arr1.ravel() 26 | farr2 = arr2.ravel() 27 | len1 = len(farr1) 28 | len2 = len(farr2) 29 | if len1 > len2: 30 | farr1 = farr1[:len2] 31 | else: 32 | farr2 = farr2[:len1] 33 | 34 | numer = np.sum(farr1 * farr2) 35 | denom = np.sqrt(np.sum(farr1**2) * np.sum(farr2**2)) 36 | similar = numer / denom 37 | return (similar+1) / 2 38 | 39 | 40 | 41 | data = pd.read_excel('./data/matrix_data.xls') 42 | data.columns = ['date','iir', 'cpi', 'ppi','m1','m2','fai','pmi','pmim','pr','pc'] 43 | data['date'] = pd.to_datetime(data['date']) 44 | data.set_index("date", inplace=True) 45 | 46 | 47 | obj_data = data[-roll_len:] 48 | lev_data = data[:-roll_len] 49 | 50 | result = [] 51 | min_index = 0 52 | 53 | for i in range(len(lev_data)): 54 | block_mtx = np.zeros(shape=[roll_len, index_num]) 55 | if i+roll_len 3: 36 | print "Usage: %s image.jpg [dir]" % sys.argv[0] 37 | else: 38 | im, wd = sys.argv[1], '.' if len(sys.argv) < 3 else sys.argv[2] 39 | h = avhash(im) 40 | 41 | os.chdir(wd) 42 | images = [] 43 | for ext in EXTS: 44 | images.extend(glob.glob('*.%s' % ext)) 45 | 46 | seq = [] 47 | prog = int(len(images) > 50 and sys.stdout.isatty()) 48 | for f in images: 49 | seq.append((f, hamming(avhash(f), h))) 50 | if prog: 51 | perc = 100. * prog / len(images) 52 | x = int(2 * perc / 5) 53 | print '\rCalculating... [' + '#' * x + ' ' * (40 - x) + ']', 54 | print '%.2f%%' % perc, '(%d/%d)' % (prog, len(images)), 55 | sys.stdout.flush() 56 | prog += 1 57 | 58 | if prog: print 59 | for f, ham in sorted(seq, key=lambda i: i[1]): 60 | print "%d\t%s" % (ham, f) -------------------------------------------------------------------------------- /image_search/0result.jpg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/image_search/0result.jpg -------------------------------------------------------------------------------- /image_search/100result.jpg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/image_search/100result.jpg -------------------------------------------------------------------------------- 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not isinstance(im, Image.Image): 20 | im = Image.open(im) 21 | im = im.resize((8, 8), Image.ANTIALIAS).convert('L') 22 | avg = reduce(lambda x, y: x + y, im.getdata()) / 64. 23 | return reduce(lambda x, (y, z): x | (z << y), 24 | enumerate(map(lambda i: 0 if i < avg else 1, im.getdata())), 25 | 0) 26 | 27 | def hamming(h1, h2): 28 | h, d = 0, h1 ^ h2 29 | while d: 30 | h += 1 31 | d &= d - 1 32 | return h 33 | 34 | if __name__ == '__main__': 35 | if len(sys.argv) <= 1 or len(sys.argv) > 3: 36 | print "Usage: %s image.jpg [dir]" % sys.argv[0] 37 | else: 38 | im, wd = sys.argv[1], '.' if len(sys.argv) < 3 else sys.argv[2] 39 | h = avhash(im) 40 | 41 | os.chdir(wd) 42 | images = [] 43 | for ext in EXTS: 44 | images.extend(glob.glob('*.%s' % ext)) 45 | 46 | seq = [] 47 | prog = int(len(images) > 50 and sys.stdout.isatty()) 48 | for f in images: 49 | seq.append((f, hamming(avhash(f), h))) 50 | if prog: 51 | perc = 100. * prog / len(images) 52 | x = int(2 * perc / 5) 53 | print '\rCalculating... [' + '#' * x + ' ' * (40 - x) + ']', 54 | print '%.2f%%' % perc, '(%d/%d)' % (prog, len(images)), 55 | sys.stdout.flush() 56 | prog += 1 57 | 58 | if prog: print 59 | for f, ham in sorted(seq, key=lambda i: i[1]): 60 | print "%d\t%s" % (ham, f) -------------------------------------------------------------------------------- /image_search/headmap_process.py: -------------------------------------------------------------------------------- 1 | #!/usr/bin/env python2 2 | # -*- coding: utf-8 -*- 3 | """ 4 | Created on Thu Aug 8 10:51:16 2019 5 | 6 | @author: linjunqi 7 | """ 8 | 9 | import matplotlib.pyplot as plt 10 | import seaborn as sns 11 | import numpy as np 12 | import pandas as pd 13 | import statsmodels.api as sm 14 | 15 | import PIL.Image as Image 16 | import os 17 | 18 | import sys 19 | reload(sys) 20 | sys.setdefaultencoding( "utf-8" ) 21 | 22 | 23 | 24 | IMAGES_PATH = '/Users/linjunqi/Desktop/MTS/image_search/' # 图片集地址 25 | IMAGES_FORMAT = ['.PNG','.png'] # 图片格式 26 | IMAGE_SIZE = 256 # 每张小图片的大小 27 | IMAGE_ROW = 2 # 图片间隔，也就是合并成一张图后，一共有几行 28 | IMAGE_COLUMN = 5 # 图片间隔，也就是合并成一张图后，一共有几列 29 | IMAGE_SAVE_PATH = '/Users/linjunqi/Desktop/MTS/image_search/' # 图片转换后的地址 30 | 31 | 32 | roll_len = 18 33 | index_num = 10 34 | 35 | data = pd.read_excel('./heat_map.xls') 36 | data.columns = ['date','iir', 'cpi', 'ppi','m1','m2','fai','pmi','pmim','pr','pc'] 37 | 38 | data['date'] = pd.to_datetime(data['date']) 39 | data.set_index("date", inplace=True) 40 | 41 | res = sm.tsa.seasonal_decompose(data,two_sided=False) 42 | 43 | 44 | cycle = res.resid[12:] 45 | 46 | #cycle.plot() 47 | #cycle.to_csv('cycle.csv') 48 | length = len(cycle) 49 | ind = np.arange(length) 50 | cycle = cycle.set_index(ind) 51 | 52 | obj_data = cycle[-roll_len:] 53 | lev_data = cycle[:-roll_len] 54 | 55 | 56 | result = [] 57 | 58 | def image_compose(i): 59 | to_image = Image.new('RGB', (IMAGE_COLUMN * IMAGE_SIZE, IMAGE_ROW * IMAGE_SIZE)) #创建一个新图 60 | for y in range(1, IMAGE_ROW + 1): 61 | for x in range(1, IMAGE_COLUMN + 1): 62 | from_image = Image.open(IMAGES_PATH + image_names[IMAGE_COLUMN * (y - 1) + x - 1]) 63 | to_image.paste(from_image, ((x - 1) * IMAGE_SIZE, (y - 1) * IMAGE_SIZE)) 64 | pic_name = str(i) + 'result.jpg' 65 | return to_image.save(pic_name) # 保存新图 66 | 67 | #for i in range(len(lev_data)): 68 | # if i+roll_len 3: 36 | print "Usage: %s image.jpg [dir]" % sys.argv[0] 37 | else: 38 | im, wd = sys.argv[1], '.' if len(sys.argv) < 3 else sys.argv[2] 39 | h = avhash(im) 40 | 41 | os.chdir(wd) 42 | images = [] 43 | for ext in EXTS: 44 | images.extend(glob.glob('*.%s' % ext)) 45 | 46 | seq = [] 47 | prog = int(len(images) > 50 and sys.stdout.isatty()) 48 | for f in images: 49 | seq.append((f, hamming(avhash(f), h))) 50 | if prog: 51 | perc = 100. * prog / len(images) 52 | x = int(2 * perc / 5) 53 | print '\rCalculating... [' + '#' * x + ' ' * (40 - x) + ']', 54 | print '%.2f%%' % perc, '(%d/%d)' % (prog, len(images)), 55 | sys.stdout.flush() 56 | prog += 1 57 | 58 | if prog: print 59 | for f, ham in sorted(seq, key=lambda i: i[1]): 60 | print "%d\t%s" % (ham, f) -------------------------------------------------------------------------------- /image_search/result_pic/object.jpg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JunqiLin/MultivariateTimeSeriesSimilarity/d5c7aa7fd8f08cd21b173d0e41885be4e97725ed/image_search/result_pic/object.jpg -------------------------------------------------------------------------------- /mts.py: -------------------------------------------------------------------------------- 1 | #!/usr/bin/env python2 2 | # -*- coding: utf-8 -*- 3 | """ 4 | Created on Sun Jul 28 23:13:24 2019 5 | 6 | @author: linjunqi 7 | """ 8 | 9 | import pandas as pd 10 | import numpy as np 11 | from sklearn.decomposition import PCA 12 | import matplotlib.pyplot as plt 13 | obj_len = 30 14 | que_len = 30 15 | gap = 1 16 | total = 5000 17 | diff = 500 18 | INFF = 10000 19 | index_list = [] 20 | distance_list = [] 21 | total_distance_list = [] 22 | #dtw算法有待改进，以可以处理周期性序列，算法复杂度可能可以改进 23 | #指标可以改进 24 | #pca降纬的方法可以改进 25 | def DTW(s1, s2): 26 | l1 = len(s1) 27 | l2 = len(s2) 28 | paths = np.full((l1 + 1, l2 + 1), np.inf) 29 | paths[0, 0] = 0 30 | for i in range(l1): 31 | for j in range(l2): 32 | d = s1[i] - s2[j] 33 | cost = d ** 2 34 | paths[i + 1, j + 1] = cost + min(paths[i, j + 1], paths[i + 1, j], paths[i, j]) 35 | 36 | paths = np.sqrt(paths) 37 | s = paths[l1, l2] 38 | return s, paths.T 39 | 40 | 41 | def process_data(data, que_len, gap): 42 | bgn = 0 43 | end = que_len 44 | p_data = [] 45 | while end=0 and pos+1 len2: 36 | # farr1 = farr1[:len2] 37 | # else: 38 | # farr2 = farr2[:len1] 39 | # 40 | # numer = np.sum(farr1 * farr2) 41 | # denom = np.sqrt(np.sum(farr1**2) * np.sum(farr2**2)) 42 | # similar = numer / denom 43 | # return (similar+1) / 2 44 | 45 | 46 | 47 | data = pd.read_excel('./data/direction_mtx_data.xls') 48 | data.columns = ['date','iir', 'cpi', 'ppi','m1','m2','fai','pmi','pmim','pr','pc'] 49 | data['date'] = pd.to_datetime(data['date']) 50 | data.set_index("date", inplace=True) 51 | 52 | 53 | colname = ['iir', 'cpi', 'ppi','m1','m2','fai','pmi','pmim','pr','pc'] 54 | 55 | donchian_high_mtx = pd.DataFrame(columns=colname) 56 | donchian_low_mtx = pd.DataFrame(columns = colname) 57 | 58 | 59 | # 60 | res = sm.tsa.seasonal_decompose(data,two_sided=False) 61 | res.plot() 62 | trend_data = res.trend 63 | trend_data = trend_data[12:] 64 | #trend_data.plot() 65 | 66 | #test = np.array([1,4,2,2]).astype(np.double) 67 | 68 | def donchian(data, n , array = False): 69 | up = talib.MAX(data, n) 70 | down = talib.MIN(data, n) 71 | 72 | if array: 73 | return up, down 74 | return up[-1],down[-1] 75 | 76 | def df_donchian(df_data, n ,high_mtx, low_mtx, array = False): 77 | 78 | for index, row in df_data.iteritems(): 79 | up,down = donchian(row,n,True) 80 | high_mtx[index] = up 81 | low_mtx[index] = down 82 | # print("up is %s"%(up)) 83 | # print("down is %s"%(down)) 84 | return high_mtx, low_mtx 85 | 86 | donchian_high_mtx, donchian_low_mtx = df_donchian(trend_data,3,donchian_high_mtx, donchian_low_mtx) 87 | 88 | trend_data.to_csv('trend.csv') 89 | donchian_high_mtx.to_csv('donchian_high_mtx.csv') 90 | donchian_low_mtx.to_csv('donchian_low_mtx.csv') 91 | 92 | 93 | #donchian_high_mtx = donchian_high_mtx[2:] 94 | #donchian_high_mtx[1:] = donchian_high_mtx[:-1] 95 | #donchian_low_mtx = donchian_low_mtx[2:] 96 | #data = np.array(data) 97 | #data = np.reshape(data,[-1]) 98 | 99 | #donchian_high_mtx = np.array(donchian_high_mtx) 100 | #donchian_low_mtx = np.array(donchian_low_mtx) 101 | #donchian_high_mtx = np.reshape(donchian_high_mtx, [-1]) 102 | #donchian_low_mtx = np.reshape(donchian_low_mtx, [-1]) 103 | # 104 | # 105 | #direc_result = np.empty(data.shape) 106 | # 107 | #direc_result = np.where(donchian_high_mtx - data <0,1,0) 108 | 109 | #a = np.array([1,3,2,5,2]) 110 | #b = np.array([4,2,3,1,7]) 111 | #c = np.array([4,2,5,1,3]) 112 | # 113 | #d = b-a 114 | #e = np.where(d>0,1,0) 115 | #print(e) 116 | 117 | #a = donchian(test, 2, True) 118 | #print(a) 119 | 120 | #obj_data = data[-roll_len:] 121 | #lev_data = data[:-roll_len] 122 | # 123 | #result = [] 124 | #min_index = 0 125 | # 126 | #for i in range(len(lev_data)): 127 | # block_mtx = np.zeros(shape=[roll_len, index_num]) 128 | # if i+roll_lendonchian_high_data 61 | direc_result[mask] = 1 62 | mask = data