/// <summary>
/// VAR0:=(2*CLOSE+HIGH+LOW)/4;
/// B:=XMA((VAR0-LLV(LOW,30))/(HHV(HIGH,30)-LLV(LOW,30))*100,12);
/// 主力做多资金:EMA(B,3),LINETHICK2,COLORWHITE;
/// </summary>
/// <param name="kline"></param>
/// <param name="begin"></param>
/// <param name="end"></param>
/// <param name="param"></param>
/// <returns></returns>
public static TimeSeries <ITimeSeriesItem <double> > indicator_fund_main1(this KLine kline, int begin = 0, int end = 0, PropertyDescriptorCollection param = null)
{
TimeSeries <ITimeSeriesItem <double> > close = kline.Select <double>("CLOSE", begin, end);
TimeSeries <ITimeSeriesItem <double> > open = kline.Select <double>("OPEN", begin, end);
TimeSeries <ITimeSeriesItem <double> > high = kline.Select <double>("HIGH", begin, end);
TimeSeries <ITimeSeriesItem <double> > low = kline.Select <double>("LOW", begin, end);
TimeSeries <ITimeSeriesItem <double> > VAR0 = (close * 2.0 + open + low) / 4;
TimeSeries <ITimeSeriesItem <double> > t1 = VAR0 - low.LLV(30);
TimeSeries <ITimeSeriesItem <double> > t2 = high.HHV(30) - low.LLV(30);
TimeSeries <ITimeSeriesItem <double> > t3 = (t1 / t2) * 100;
TimeSeries <ITimeSeriesItem <double> > B = t3.XMA(12);
TimeSeries <ITimeSeriesItem <double> > results = B.EMA(3);
return(results);
}
/// <summary>
/// VAR0:=(2*CLOSE+HIGH+LOW)/4;
/// B:=XMA((VAR0-LLV(LOW,30))/(HHV(HIGH,30)-LLV(LOW,30))*100,12);
/// 主力做多资金:EMA(B,3),LINETHICK2,COLORWHITE;
/// </summary>
/// <param name="kline"></param>
/// <param name="begin"></param>
/// <param name="end"></param>
/// <param name="param"></param>
/// <returns></returns>
public static TimeSeries <ITimeSeriesItem <List <double> > > executeIndicator(this KLine kline, int begin = 0, int end = 0, PropertyDescriptorCollection param = null)
{
TimeSeries <ITimeSeriesItem <double> > close = kline.Select <double>("CLOSE", begin, end);
TimeSeries <ITimeSeriesItem <double> > open = kline.Select <double>("OPEN", begin, end);
TimeSeries <ITimeSeriesItem <double> > high = kline.Select <double>("HIGH", begin, end);
TimeSeries <ITimeSeriesItem <double> > low = kline.Select <double>("LOW", begin, end);
TimeSeries <ITimeSeriesItem <double> > VAR0 = (close * 2.0 + high + low) / 4;
TimeSeries <ITimeSeriesItem <double> > t1 = VAR0 - low.LLV(20);
TimeSeries <ITimeSeriesItem <double> > t2 = high.HHV(20) - low.LLV(20);
TimeSeries <ITimeSeriesItem <double> > t3 = (t1 / t2) * 100;
//TimeSeries<ITimeSeriesItem<double>> B = t3.XMA(12);
TimeSeries <ITimeSeriesItem <double> > B = t3.EMA(12);
TimeSeries <ITimeSeriesItem <double> > mainforces = B.EMA(3);
TimeSeries <ITimeSeriesItem <double> > retailInverstors = mainforces.EMA(30);
TimeSeries <ITimeSeriesItem <List <double> > > results = new TimeSeries <ITimeSeriesItem <List <double> > >();
foreach (ITimeSeriesItem <double> mainforce in mainforces)
{
TimeSeriesItem <List <double> > r = new TimeSeriesItem <List <double> >();
r.Value = new List <double>(new double[2] {
0, 0
});
r.Date = mainforce.Date;
r.Value[0] = mainforce.Value;
ITimeSeriesItem <double> retailInverstor = retailInverstors[r.Date];
r.Value[1] = retailInverstor == null ? 0 : retailInverstor.Value;
results.Add(r);
}
return(results);
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
/// <summary>
/// DIF:EMA(CLOSE,SHORT)-EMA(CLOSE,LONG);
/// DEA:EMA(DIF, MID);
/// MACD:(DIF-DEA)*2,COLORSTICK;
/// 其中SHORT = 12,LONG = 26,MID = 9
/// </summary>
/// <param name="kline"></param>
/// <returns></returns>
public static MACD Create(KLine kline)
{
if (kline == null)
{
return(null);
}
int p_short = 12, p_long = 26, p_mid = 9;
TimeSeries <ITimeSeriesItem <double> > CLOSE = kline.Select <double>("close");
TimeSeries <ITimeSeriesItem <double> > DIF = CLOSE.EMA(p_short) - CLOSE.EMA(p_long);
TimeSeries <ITimeSeriesItem <double> > DEA = DIF.EMA(p_mid);
TimeSeries <ITimeSeriesItem <double> > MACD = (DIF - DEA) * 2;
MACD macd = new MACD(kline.Code, kline.TimeUnit);
double prevDif = 0, prevdea = 0;
for (int i = 0; i < kline.Count; i++)
{
DateTime d = kline[i].Date;
MACDItem item = new MACDItem();
item.Date = d;
ITimeSeriesItem <double> difItem = DIF[d];
if (difItem == null)
{
continue;
}
item.DIF = difItem.Value;
if (prevDif == 0)
{
prevDif = difItem.Value;
}
ITimeSeriesItem <double> deaItem = DEA[d];
if (deaItem == null)
{
continue;
}
item.DEA = deaItem.Value;
if (prevdea == 0)
{
prevdea = deaItem.Value;
}
ITimeSeriesItem <double> macdItem = MACD[d];
if (macdItem == null)
{
continue;
}
item.MACD = macdItem.Value;
if (prevDif < prevdea && difItem.Value > deaItem.Value)
{
item.CROSS = difItem.Value - deaItem.Value;//金叉点
}
else if (prevDif > prevdea && difItem.Value < deaItem.Value)
{
item.CROSS = difItem.Value - deaItem.Value;//死叉点
}
macd.Add(item);
prevDif = difItem.Value;
prevdea = deaItem.Value;
}
return(macd);
}
/// <summary>
/// 买线:EMA(CLOSE,3),COLORRED,LINETHICK1;
/// 卖线:EMA(SLOPE(CLOSE,21)*20+CLOSE,42),COLORBLUE,LINETHICK2;
/// </summary>
/// <param name="kline"></param>
/// <returns></returns>
public static TradingLine indicator_trading_stereo1(this KLine kline, int begin = 0, int end = 0)
{
TimeSeries <ITimeSeriesItem <double> > close = kline.Select <double>("close", begin, end);
TimeSeries <ITimeSeriesItem <double> > buyLine = close.EMA(3);
TimeSeries <ITimeSeriesItem <double> > sellLine = (close.SLOPE(21) * 20 + close).EMA(42);
TimeSeries <ITimeSeriesItem <char> > buysellPoints = new TimeSeries <ITimeSeriesItem <char> >();
int buy_gt_sell = 1, sell_gt_buy = 2; //买大于卖为1，卖大于买为2
int state = 0; //前一个状态
for (int i = 0; i < buyLine.Count; i++)
{
ITimeSeriesItem <double> buyItem = buyLine[i];
ITimeSeriesItem <double> sellItem = sellLine[buyItem.Date];
if (sellItem == null)
{
continue;
}
double t = buyItem.Value - sellItem.Value;
if (t == 0)
{
continue;
}
if (state == 0)
{
state = t > 0 ? buy_gt_sell : sell_gt_buy;
continue;
}
int cs = t > 0 ? buy_gt_sell : sell_gt_buy;
if (cs == state)
{
continue;
}
if (state == buy_gt_sell)
{
TimeSeriesItem <char> v = new TimeSeriesItem <char>()
{
Date = buyItem.Date,
Value = 'S'
};
buysellPoints.Add(v);
}
else if (state == sell_gt_buy)
{
TimeSeriesItem <char> v = new TimeSeriesItem <char>()
{
Date = buyItem.Date,
Value = 'B'
};
buysellPoints.Add(v);
}
state = cs;
}
return(new TradingLine()
{
buyLine = buyLine,
sellLine = sellLine,
buysellPoints = buysellPoints
});
}