2e:null 2f:["$","title",null,{"children":"호기심 해결 in 주식시장: CNN Fear & Greed Index 약식 투자전략 검증도구 | Humble Data Miner | Observable"}] 34:T902,--- ### 간단한 투자전략 분석도구 * 권장되는 사용법 * S&P 500 지수 투자를 고려한 날을 투자 시작일로 설정 * 시장의 무위험 이자율을 설정하여 투자 휴지기의 명목자산 상승을 반영 * 선호하는 형태의 FGI값 이동평균 윈도우를 설정 * FGI 1일 이동평균: 직전의 FGI값만 고려 → 매일매일 진폭이 큰 FGI 곡선 * FGI 3일 이동평균: 지난 3일간의 FGI값 평균 → 약간 매끈해진 FGI 곡선 * FGI 5일 이동평균: 지난 5일간의 FGI값 평균 → 매끈해진 FGI 곡선 * 오른쪽의 수익률 결과표를 바탕으로 FGI 매수, 매도 기준점을 설정 * 왼쪽의 차트를 이용해 투자의 경과 확인 * FGI 기준에 따른 투자시 총자산의 변화: **검은색 실선**으로 표시 * FGI 기준에 따른 매수,매도 가능기간: 각각 연두색, 분홍색배경으로 표시 * FGI 기준에 따른 매수,매도 시점: 각각 녹색, 빨강색 점으로 표시 * 왼쪽의 차트에서 왼쪽 화살표(◀)로 표시된 결과 수익률을 확인 * Baseline 투자수익율: 첫날 1만큼 사서 현재까지 보유했을때 자산 * FGI 기준에 따른 투자수익율: 1만큼의 고정자산에서 시작해 기준에 따라 매수,매도했을때 고정+변동자산의 합. Baseline보다는 잘해야? 35:T68f,viewof threshold = { const height = 80; const fearslider = d3_slider.sliderBottom() .min(d3.min(fears)) .max(d3.max(fears)) .marks(fears) .width(300) .value(25) .fill("#eee") .on("onchange", () => svg.dispatch("input")); const greedslider = d3_slider.sliderBottom() .min(d3.min(greeds)) .max(d3.max(greeds)) .marks(greeds) .width(300) .value(75) .fill("#eee") .on("onchange", () => svg.dispatch("input")); const svg = d3.create("svg") .attr("viewBox", [0, 0, width, height]) .attr("width", width) .attr("height", height); const thresfear = svg.append("g") .attr("class","thresfear") .attr("transform",`translate(40,40)`) .call(fearslider); const fcolor = d3.color(d3.schemeCategory10[2]); fcolor.opacity = 0.7; thresfear.selectAll("line.track-fill").attr("stroke",fcolor); const thresgreed = svg.append("g") .attr("class","thresgreed") .attr("transform",`translate(380,40)`) .call(greedslider); const gcolor = d3.color(d3.schemeCategory10[3]); gcolor.opacity = 0.7; thresgreed.selectAll("line.track-inset").attr("stroke",gcolor); svg.append("text") .attr("text-anchor","middle").attr("dominant-baseline","hanging") .attr("x","190").attr("y",10).attr("dy",4).text("(공포상태)FGI 매수기준값"); svg.append("text") .attr("text-anchor","middle").attr("dominant-baseline","hanging") .attr("x","530").attr("y",10).attr("dy",4).text("(탐욕상태)FGI 매도기준값"); return Object.defineProperty( svg.node(), "value", {get: () => [fearslider.value(),greedslider.value()]} ); }36:T18b6,{ const height = 300; const margin = {left:48, right:40, top:20, bottom: 20}; const aheight = height-margin.top-margin.bottom; // split area into two; line-graph and scatter-plot const dates = fgi_spx_mixed_data.map(x=>x.date); const fgi = fgi_spx_mixed_data.map(x=>x.fgi); const sp500 = fgi_spx_mixed_data.map(x=>x.spx); const ps = height; const gw = width-ps; // graph-width const data = processed_data[threshold]; const ext_x = d3.extent(dates); ext_x[1] = ext_x[1].setDate(ext_x[1].getDate()+1); const stat_y2 = {min:d3.min(sp500),max:d3.max(sp500),init:sp500[0]}; const ext_y2 = [Math.min(stat_y2.min,d3.min(data.assets,d=>d.sum)*stat_y2.init), Math.max(stat_y2.max, d3.max(data.assets,d=>d.sum)*stat_y2.init)]; const svg = d3.create("svg").attr("viewBox", [0, 0, width, height]); const x = d3.scaleTime().domain(d3.extent(dates)).range([margin.left, gw-margin.right]); //x-axis of date-time const y1 = d3.scaleLinear().domain([0,100]).range([height-margin.bottom,margin.top]); // y-axis of fgi score const y2 = d3.scaleLinear().domain(ext_y2).range([height-margin.bottom, margin.top]); // y-axis of sp500 index const rectheight = height-margin.bottom-margin.top; const frect = svg.append("g").attr("fill",d3.schemeCategory10[2]).attr("opacity",0.4) .selectAll("rect") .data(data.frs) .join("rect") .attr("x",d=>x(d[0])).attr("y",margin.top) .attr("width",d=>x(d[1])-x(d[0])+1).attr("height",rectheight); const grect = svg.append("g").attr("fill",d3.schemeCategory10[3]).attr("opacity",0.4) .selectAll("rect") .data(data.grs) .join("rect").attr("x",d=>x(d[0])).attr("y",margin.top) .attr("width",d=>x(d[1])-x(d[0])+1).attr("height",rectheight); const line_fgi = d3.line().defined(d=>!isNaN(d.wsfgi)).x(d=>x(d.date)).y(d=>y1(d.wsfgi)); const p_fgi = svg.append("g").append("path") .attr("stroke",d3.schemeCategory10[0]).attr("stroke-opacity",0.7).attr("fill","none") .attr("d",line_fgi(fgi_spx_mixed_data)); const line_sp500 = d3.line().x(d=>x(d.date)).y(d=>y2(d.spx)); const p_sp500 = svg.append("g").append("path") .attr("stroke",d3.schemeCategory10[1]).attr("stroke-opacity",0.75).attr("fill","none") .attr("d",line_sp500(fgi_spx_mixed_data)); const line_asset = d3.line().x(d=>x(d.d)).y(d=>y2(d.sum*sp500[0])); const p_asset = svg.append("g").append("path") .attr("stroke","black").attr("stroke-opacity",0.75).attr("fill","none") .attr("d",line_asset(data.assets)); const p_event = svg.append("g").selectAll("circle") .data(data.events) .join("circle") .attr("cx",d=>x(d.d)).attr("cy",d=>y2(d.sum*stat_y2.init)).attr("r",3) .attr("fill",d=>d.type=="B"?d3.schemeCategory10[2]:d3.schemeCategory10[3]) .attr("stroke","black"); svg.append("g").attr("transform", `translate(0,${height-margin.bottom})`).call(d3.axisBottom(x).tickFormat(d=>`${d.getFullYear()}.${d.getMonth()+1}.${d.getDate()}`)); svg.append("g").attr("transform", `translate(${margin.left},0)`).call(d3.axisLeft(y1).tickFormat(x=>`${x.toFixed(0)}`)); svg.append("g").attr("transform", `translate(${gw-margin.right},0)`).call(d3.axisRight(y2).tickFormat(x=>`${x.toFixed(0)}`)); svg.append("text") .attr("x",x(dates.slice(-1)[0])).attr("y",y2(sp500.slice(-1)[0])).attr("dx",2) .attr("dominant-baseline","middle").attr("text-anchor","start") .attr("font-size","small") .text(`◀x${(sp500.slice(-1)[0]/sp500[0]).toFixed(2)}`); svg.append("text") .attr("x",x(dates.slice(-1)[0])).attr("y",y2(stat_y2.init*data.assets.slice(-1)[0].sum)).attr("dx",2) .attr("dominant-baseline","middle").attr("text-anchor","start") .attr("font-size","small") .text(`◀x${data.assets.slice(-1)[0].sum.toFixed(2)}`); svg.append("text") .attr("x",x(dates[0])).attr("y",y2(sp500[0])).attr("dx",-2) .attr("dominant-baseline","middle").attr("text-anchor","end") .attr("font-size","small") .text(`x${(1.0).toFixed(2)}▶`); const pdim = {rows:fears.length+1,cols:greeds.length+1}; const psize = {width:ps/pdim.cols,height:ps/pdim.rows}; const matplot = svg.append("g").attr("transform",`translate(${gw-2},-2)`); const capext = [1.0, d3.max(Object.values(processed_data),d=>d.assets.slice(-1)[0].sum)]; for(let r = 0; r < pdim.rows; r++) { for(let c = 0; c < pdim.cols; c++) { if(r == 0 && c == 0) continue; if(r == 0) { matplot.append("text").attr("x",psize.width*(c+0.5)).attr("y",psize.height*(r+0.5)) .attr("dominant-baseline","middle").attr("text-anchor","middle").text(greeds[c-1]); } else if(c == 0) { matplot.append("text").attr("x",psize.width*(c+0.5)).attr("y",psize.height*(r+0.5)) .attr("dominant-baseline","middle").attr("text-anchor","middle").text(fears[fears.length-r]); } else { const f = fears[fears.length-r]; const g = greeds[c-1]; const key = [f,g]; const curitem = processed_data[key]; const cap = curitem.assets[curitem.assets.length-1].sum; const colorratio = (cap-capext[0])/(capext[1]-capext[0]); const fillcolor = d3.interpolateGreens(colorratio); matplot.append("rect") .attr("x",psize.width*c).attr("y",psize.height*r).attr("width",psize.width).attr("height",psize.height) .attr("fill",fillcolor).attr("stroke","black"); matplot.append("text").attr("class","capital") .attr("x",psize.width*(c+0.5)).attr("y",psize.height*(r+0.5)) .attr("dominant-baseline","middle").attr("text-anchor","middle") .attr("font-size","small").attr("fill","white").text(cap.toFixed(2)); } } } matplot.append("rect") .attr("x",psize.width*(greeds.findIndex(d=>d==threshold[1])+1)) .attr("y",psize.height*(fears.length-fears.findIndex(d=>d==threshold[0]))) .attr("width",psize.width).attr("height",psize.height) .attr("fill","none").attr("stroke","red").attr("stroke-width",4); function drag(e) { if(e.type == "start" || e.type == "drag") { const sel_i = d3.bisector(d=>d.d).left(data.assets,x.invert(e.x)); if (0 <= sel_i && sel_i < data.assets.length) { // update ticker? } } } svg.call(d3.drag().on('drag', drag).on('start', drag).on('end', drag)); return svg.node(); }37:T920,processed_data = { const processed = {}; const series = fgi_spx_mixed_data; series.forEach((d,i)=>{ d.wsfgi = d3.sum(d3.range(fgi_mean_average_days).map(past=>(i-past)>=0?series[i-past].fgi:50))/fgi_mean_average_days; }); fears.forEach(f=>{ greeds.forEach(g=>{ const fis = series.map((d,i)=>[d,i]).filter(d=>d[0].wsfgi<=f); const gis = series.map((d,i)=>[d,i]).filter(d=>d[0].wsfgi>=g); const fmap = Object.fromEntries(fis.map(d=>[d[0].dstr,d[0]])); const gmap = Object.fromEntries(gis.map(d=>[d[0].dstr,d[0]])); const series_index_inv = Object.fromEntries(series.map((d,i)=>[d.dstr, i])) let fixed = 1.0; let variable = 0.0; const assets = []; const events = []; for(let curdate = new Date(series[0].date); curdate <= series[series.length-1].date; curdate.setDate(curdate.getDate()+1)) { const dstr = curdate.toISOString().split("T")[0]; if(series_index_inv.hasOwnProperty(dstr)) { const i = series_index_inv[dstr]; const mult = i>0? series[i].spx/series[i-1].spx : 1; variable *= mult; } if(fmap.hasOwnProperty(dstr) && fixed > 0) { const buy = fixed; fixed -= buy; variable += buy; events.push({type:"B",amount:buy,d:new Date(curdate),sum:fixed+variable}); } else if(gmap.hasOwnProperty(dstr) && variable > 0) { const sell = variable; variable -= sell; fixed += sell; events.push({type:"S",amount:sell,d:new Date(curdate),sum:fixed+variable}); } assets.push({d:new Date(curdate),f:fixed,v:variable,sum:fixed+variable}); fixed+=fixed*(risk_free_interest/365); } function partition(arr) { return arr.reduce((acc, cur) => { if (acc.length == 0 || acc.slice(-1)[0].slice(-1)[0][1] != cur[1]-1) { acc.push([]); } acc.slice(-1)[0].push(cur); return acc; }, []); } processed[[f,g]] = { frs:partition(fis).map(arr=>[arr[0][0].date,arr.slice(-1)[0][0].date]), grs:partition(gis).map(arr=>[arr[0][0].date,arr.slice(-1)[0][0].date]), assets:assets, events:events }; }) }); return processed; }38:[] 32:{"id":"d916fd6f7cc54213","slug":"cnn-fear-and-greed-index-simple-strategy-validation-tool","title":"호기심 해결 in 주식시장: CNN Fear & Greed Index 약식 투자전략 검증도구","thumbnail":"e8c96027494c49a7b881b390c2e38e070f6dd2b228110bd69c945460ec844c6e","access_level":"public","create_time":"$D2024-08-04T17:10:36.345Z","update_time":"$D2024-08-09T06:52:42.477Z","view_time":null,"first_public_time":"$D2024-08-08T09:54:41.238Z","has_unpublished_edits":null,"fork":false,"stars":0,"starred":false,"owner":{"type":"team","id":"50faa4da52a9ff9b","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":"starter_2024"},"version":430,"publish_version":null,"role":null,"authored":false,"authors":[{"type":"individual","id":"4e2fc41e06361cc3","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":null}],"members":[{"type":"individual","id":"4e2fc41e06361cc3","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":null,"role":"editor"},{"type":"team","id":"50faa4da52a9ff9b","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":"starter_2024","role":"editor"}],"comments":[],"custom_thumbnail":true,"trashed":false,"lapsed":null,"subscribed":null,"forks":0,"collection":{"id":"ffed4a92f8068ba7","slug":"myth-buster-in-person","title":"Myth Buster in Person","owner":{"id":"50faa4da52a9ff9b","login":"humble-data-miner","name":"Humble Data Miner"}},"type":"notebook","body":{"title":"호기심 해결 in 주식시장: CNN Fear & Greed Index 약식 투자전략 검증도구","cells":[{"id":0,"value":"# 호기심 해결 in 주식시장:
CNN Fear & Greed Index 약식 투자전략 검증도구","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","output":"","database":"$undefined"},{"id":93,"value":"---\n### 기본적인 배경지식\n* [호기심 해결 in 주식시장: CNN Fear & Greed Index 기본편](https://observablehq.com/@humble-data-miner/cnn-fear-and-greed-index-review)을 참고하세요\n\n### ⚠️ 차트와 분석결과는 보조도구로만 참고하세요\n\n* 제한된 기간의 데이터셋: ${full_dates[0].toISOString().split(\"T\")[0]} 이후의 CNN FGI 데이터\n* 제한된 형태의 데이터셋: FGI, S&P500이외의 다른 지표의 배제\n* 일부 결과 도출 논리의 오류 가능성\n\n### 🔄 매일 데이터를 갱신가능한 웹페이지\n* 새로고침(F5)을 누르면 최신 FGI, S&P500 데이터로 갱신합니다","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","output":"","database":"$undefined"},{"id":330,"value":"$34","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","output":"","database":"$undefined"},{"id":247,"value":"viewof start_date = Inputs.date({label: \"투자 시작일 (기준점)\", value: full_dates[0], min: full_dates[0], max: full_dates[full_dates.length-1]})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":124,"value":"viewof risk_free_interest = Inputs.range([0.00, 0.05], {value: 0.03, step: 0.001, label: \"보유현금 이자율\"})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":220,"value":"viewof fgi_mean_average_days = Inputs.range([1, 5], {value: 1, step: 1, label: \"FGI 이동평균 (일)\",format:d=>d})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":141,"value":"$35","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":166,"value":"$36","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":333,"value":"### 결과 해석\n* 용어 정리\n * 쉽게 매수: 웬만한 공포상태(예를들면 40이하)일때 매수\n * 어렵게 매수: 극심한 공포상태(예를들면 10이하)일때 매수\n * 쉽게 매도: 웬만한 탐욕상태(예를들면 60이상)일때 매도\n * 어렵게 매도: 극심한 탐욕상태(예를들면 85이상)일때 매도\n* 수익률 결과 사분면을 기준으로한 특성 정리\n * 좌상단 사분면(쉽게 매수, 쉽게 매도)\n * 빈번한 거래, 공포와 탐욕이 번갈아 나타낼때 유리\n * S&P 500 지수를 추종하며 추가이익을 내는 형태\n * 우상단 사분면(쉽게 매수, 어렵게 매도)\n * 매도기회가 거의 없는 장기투자형\n * 빈번한 매수시점 중에 저가 매수시점을 선택하는것이 중요\n * 우하단 사분면(어렵게 매수, 어렵게 매도)\n * 매수,매도기회가 거의 없는 장기투자형\n * 희귀한 매수시점에 의존, 기다리는 동안 다른 자산에 투자 요망\n * 좌하단 사분면(어렵게 매수, 쉽게 매도)\n * S&P500지수가 우상향한다는 가정하에 최악의 선택\n * 희귀한 기회에 사서 작은 수익에 거의 바로 파는 형태","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","output":"","database":"$undefined"},{"id":429,"value":"---\n## 부연설명 동영상\n\n","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","output":"","database":"$undefined"},{"id":5,"value":"---\n## Appendix","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","output":"","database":"$undefined"},{"id":24,"value":"raw_fgi_data = await fetch_cnn_fgi_history()","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":54,"value":"raw_spx_data = await fetch_spx_history(filt_fgi_data[0].t,filt_fgi_data[filt_fgi_data.length-1].t);","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":39,"value":"filt_fgi_data = {\n const series = raw_fgi_data.fear_and_greed_historical.data.map(d=>({t:d.x,x:new Date(d.x),y:d.y,r:d.rating}));\n let invalid = -1;\n series.forEach((d,i)=>{\n if(i>1) {\n if(series[i].y==50 && series[i-1].y==50 && series[i-2].y==50)\n invalid = i;\n }\n }); \n return series.slice(invalid+1).filter(d=>0({t:ts[i]*1000,x:new Date(ts[i]*1000),cls:cls[i]}));\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":243,"value":"full_dates = {\n const date_fgi_map = Object.fromEntries(filt_fgi_data.map(d=>[d.x.toISOString().split(\"T\")[0],d.y]));\n const date_spx_map = Object.fromEntries(filt_spx_data.map(d=>[d.x.toISOString().split(\"T\")[0],d.cls]));\n const dates = [...new Set(Object.keys(date_fgi_map)).intersection(new Set(Object.keys(date_spx_map)))].map(d=>new Date(d));\n return dates;\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":71,"value":"fgi_spx_mixed_data = {\n const date_fgi_map = Object.fromEntries(filt_fgi_data.map(d=>[d.x.toISOString().split(\"T\")[0],d.y]));\n const date_spx_map = Object.fromEntries(filt_spx_data.map(d=>[d.x.toISOString().split(\"T\")[0],d.cls]));\n const dates = [...new Set(Object.keys(date_fgi_map)).intersection(new Set(Object.keys(date_spx_map)))];\n return dates.slice(dates.findIndex(d=>new Date(d)>=start_date))\n .map(d=>({date:new Date(d),dstr:d,fgi:date_fgi_map[d],spx:date_spx_map[d]}));\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":116,"value":"$37","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":118,"value":"fears = d3.range(5,50,5)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":120,"value":"greeds = d3.range(55,100,5)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":20,"value":"function fetch_cnn_fgi_history() {\n const url = `https://production.dataviz.cnn.io/index/fearandgreed/graphdata/2020-07-14`;\n return fetchp(url)\n .then(response => {\n if (!response.ok) { throw new Error(response.status); }\n return response.json();\n });\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":51,"value":"function fetch_spx_history(p1,p2) {\n const url = `https://query1.finance.yahoo.com/v8/finance/chart/%5ESPX?events=capitalGain%7Cdiv%7Csplit&formatted=true&includeAdjustedClose=true&interval=1d&period1=${p1/1000}&period2=${p2/1000+60*60*24}&symbol=%5ESPX&userYfid=true&lang=en-US®ion=US`;\n return fetchp(url)\n .then(response => {\n if (!response.ok) { throw new Error(response.status); }\n return response.json();\n });\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":10,"value":"import {fetchp} from '@tomlarkworthy/fetchp'","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":143,"value":"d3_slider=require(\"d3-simple-slider\")","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":7,"value":"html`\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"}],"files":"$W38","stdlib":"1","titling":"auto"}} 33:"$32:body"