secretary problem for bitcoin and spy

btc_usd.csv

main.rb

require 'csv'
require 'date'

class Simulator
  def initialize(data:, next_data_entry:)
    @data = data
    @next_data_entry = next_data_entry
  end

  def buy?
    close = next_data_entry[:close]
    close < floor ? 1 : 0 
  end

  private

  def floor
    @floor ||= data.min
  end
end

class Fund
  def initialize(increment:)
    @increment = increment.to_f
    @total = 0.0
  end

  def inc
    @total += @increment 
  end
  
  def payout
    tmp = @total
    @total = 0.0
    tmp
  end
  
  def empty?
    @total == 0.0
  end
end

class Secretary
  attr_reader :data, :window

  def initialize(window:, data:)
    @window = window
    @data = data
    @new_data = []
  end

  def run
    start_index = 0
    end_index = window

    fund = Fund.new(increment: 1000.0)
    total = 0.0
    
    while data.size > end_index
      window = data[start_index...end_index].map { |candidate| candidate[:close] }
      sim = Simulator.new(data: window, next_data_entry: data[end_index])
      
      close = data[end_index][:close]

      if start_index % 14 == 0
        fund.inc
      end

      if !fund.empty?
        total += fund.payout / close
        fund = 0
      end

      date = data[end_index][:date]
      # new_data << [ date, close, buy ]

      start_index += 1
      end_index += 1
    end

    total
  end
  
  private

  attr_accessor :new_data
end

data = CSV.read("spy.csv", headers: true).map do |element|
  close = element["Close/Last"].to_f
  date = element["Date"]
  { close: close, date: date }
end

data = CSV.read("btcusd.csv", headers: true).map do |element|
  close = element["Close"].to_f
  date_str = element["Unix Timestamp"]
  date = DateTime.strptime(date_str,'%s')
  { close: close, date: date }
end


result = (1...365)
  .map { |num| [num, Secretary.new(window: num, data: data).run] }
  .sort { |a, b| a.last <=> b.last }
pp result

# CSV.open("result.csv", "w") do |csv|
#   csv << ["date", "close", "buy"]
#   new_data.each do |row|
#     csv << row
#   end
# end

spy.csv