public void compute()
{
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//标记当日跨式组合多空信号。1表示多头，0表示无信号，-1表示空头。
double orignalSignal = 0;
Straddle holdingStatus = new Straddle();
//统计历史波动率分位数,从回测期开始前一天，统计到最后一天
double[][] fractile = new double[backTestingDuration + 1][];
fractile = computeRollingFractile(startIndex - 1, etfDailyData.Count() - 1, 100);
//统计隐含波动率
computeImpv();
//统计隐含波动率和历史波动率之差 epsilon=max[E(IV-HV),0]
computeEpsilon();
//按时间遍历，2015年02月09日50ETF期权上市开始,2月10日开始昨日收盘的隐含波动率数据。
for (int i = startIndex + 1; i < startIndex + backTestingDuration; i++)
{
DateTime today = etfDailyData[i].time;
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//若当日发生50ETF分红派息，myAccount要加上分红的钱,并且需要调整持有头寸的strike
if (today == timeOf50ETFDividend2016 && positions.Count > 0 && positions.Last().Value.ContainsKey("510050.SH"))
{
//50ETF的头寸中记入分红
positions.Last().Value["510050.SH"].totalCashFlow += positions.Last().Value["510050.SH"].volume * bonusOf50ETFDividend2016;
//期权持仓行权价调整
foreach (var item in optionInfoList)
{
if (item.optionCode == holdingStatus.callCode)
{
holdingStatus.strike = item.strike;
holdingStatus.callPosition *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPosition *= item.contractMultiplier / standardContractMultiplier;
}
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double fractile90Yesterday = fractile[i - 1][9]; //昨日历史波动率90分位数
double fractile70Yesterday = fractile[i - 1][7]; //昨日历史波动率70分位数
double fractile50Yesterday = fractile[i - 1][5]; //昨日历史波动率50分位数
double fractile30Yesterday = fractile[i - 1][3]; //昨日历史波动率30分位数
double volYesterday = etfVol[i - 1]; //昨日历史波动率
double impvYesterday = optionVol[i - 1]; //昨日隐含波动率
//获取当日ATM期权合约代码
double etfPrice = etfDailyData[i].close;
double duration;
//获取当日期限结构,选取当月合约,若当日合约到日期小于等于3天，直接开仓下月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
// double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
//double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
//整合当日分钟线数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", today);
dataToday.Add("510050.SH", etfData.Cast <KLine>().ToList());
dataToday.Add(callATM.optionCode, callPrice.Cast <KLine>().ToList());
dataToday.Add(putATM.optionCode, putPrice.Cast <KLine>().ToList());
//策略信号处理
//信号1
//orignalSignal = 0;
//if (volYesterday >= fractile70Yesterday)
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//else if (impvYesterday < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (impvYesterday - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile50Yesterday)
{
//买入跨式期权
orignalSignal = 1;
}
else if (impvYesterday - volYesterday > epsilon[i - 1])
{
//卖出跨式期权
orignalSignal = -1;
}
//指定平仓时间为开盘第一个分钟。
int openIndex = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
Console.WriteLine("time: {0}, 昨日历史波动率: {1}, 历史波动率70分位数: {2}, 昨日隐含波动率: {3}", now, volYesterday.ToString("N"), fractile70Yesterday.ToString("N"), optionVol[i - 1].ToString("N"));
//如果有持仓先判断持仓状态和信号方向是否相同，如果不同先平仓
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
if (holdingStatus.callPosition * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new Straddle();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new Straddle();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPosition == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = optionVolume;
holdingStatus.putPosition = optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].open;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].open;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
else if (orignalSignal == -1) //做空跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = -optionVolume;
holdingStatus.putPosition = -optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].open;
holdingStatus.straddlePrice_open = callPrice[openIndex].open + putPrice[openIndex].open;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: openIndex);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
double delta = 0;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
if (today >= timeOf50ETFDividend2016)
{
benchmark.Add(etfData[thisIndex].close + bonusOf50ETFDividend2016);
}
else
{
benchmark.Add(etfData[thisIndex].close);
}
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
//计算期权delta值，并用50ETF对冲
var positionLast = positions.Last().Value;
delta = computeOptionDelta(positionLast, holdingStatus, today, dataToday, thisIndex);
double etfChangeVolume = Math.Round(-delta - holdingStatus.etfPosition);
MinuteSignal openSignalETF = new MinuteSignal()
{
code = "510050.SH", volume = etfChangeVolume, time = thisTime, tradingVarieties = "stock", price = dataToday["510050.SH"][thisIndex].open, minuteIndex = thisIndex
};
signal = new Dictionary <string, MinuteSignal>();
signal.Add("510050.SH", openSignalETF);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: thisTime, nowIndex: thisIndex);
holdingStatus.etfPosition += etfChangeVolume;
// AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, thisTime, thisIndex, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
//在控制台上数据每日持仓信息
if (holdingStatus.callPosition != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}, delta: {7}, etfVolume: {8}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate, delta, holdingStatus.etfPosition);
}
//Console.WriteLine("time: {0}, total: {1}, cash: {2}, option: {3}, margin: {4}", thisTime, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
public void compute()
{
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//基准衡量
List <double> benchmark = new List <double>();
//持仓量
double positionVolume = 0;
//最大收入值
double maxIncome = 0;
//螺纹钢的日线数据准备，从回测期开始之前10个交易开始取
int number = 10;
double k1 = 0.2;
double k2 = -0.1;
List <FuturesDaily> dailyData = new List <FuturesDaily>();
dailyData = Platforms.container.Resolve <FuturesDailyDataService>().fetchFromLocalCsvOrWindAndSave(underlying, startDate, endDate);
List <double> highList = new List <double>();
List <double> closeList = new List <double>();
List <double> lowList = new List <double>();
List <double> buyLineList = new List <double>();
List <double> sellLineList = new List <double>();
List <double> rangeList = new List <double>();
for (int i = 0; i < dailyData.Count; i++)
{
if (highList.Count == number)
{
highList.RemoveAt(0);
closeList.RemoveAt(0);
lowList.RemoveAt(0);
}
highList.Add(dailyData[i].high);
closeList.Add(dailyData[i].close);
lowList.Add(dailyData[i].low);
//N日High的最高价HH
double hightestHigh = highList.Max();
//N日Close的最高价HC
double hightestClose = closeList.Max();
//N日Close的最低价LC
double lowestClose = closeList.Min();
//N日Low的最低价LL
double open = dailyData[i].open;
double lowestLow = lowList.Min();
double range = Math.Max(hightestHigh - lowestClose, hightestClose - lowestLow);
double buyLine = open + k1 * range;
double sellLine = open + k2 * range;
rangeList.Add(range);
buyLineList.Add(buyLine);
sellLineList.Add(sellLine);
}
//第一层循环：所有交易日循环一遍...
for (int i = 0; i < tradeDays.Count(); i++)
{
if (i == 513)
{
double buyLine1 = buyLineList[i];
double sellLine1 = sellLineList[i];
}
DateTime today = tradeDays[i];
//从wind或本地CSV获取相应交易日的数据list
//这里不能直接去调用FreqTransferUtils.minuteToNMinutes(data, frequency),因为data.count可能为0
var dataOnlyToday = getData(today, underlying);//一个交易日里有多条分钟线数据
//将获取的数据，储存为KLine格式
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(underlying, dataOnlyToday.Cast <KLine>().ToList());
//第二层循环：只循环某当天的数据（开始的索引值为前一天数据的List.count）
for (int j = 15; j < dataOnlyToday.Count() - 30; j++)
{
DateTime now = dataOnlyToday[j].time;
# region 追踪止损判断 触发止损平仓
//追踪止损判断 触发止损平仓
if (positionVolume != 0) //头寸量不为0，额外要做的操作
{
//计算开盘价和头寸当前价的差价
double incomeNow = individualIncome(positions.Last().Value[underlying], dataOnlyToday[j].open);
//若当前收入大于最大收入值，则更新最大收入值
if (incomeNow > maxIncome)
{
maxIncome = incomeNow;
}
//若盈利回吐大于5个点 或者 最大收入大于45，则进行平仓
else if ((maxIncome - incomeNow) > lossPercent * Math.Abs(dataOnlyToday[j].open) || incomeNow < -lossPercent * Math.Abs(dataOnlyToday[j].open)) //从最高点跌下来3%，就止损
{
positionVolume = 0;
// Console.WriteLine("追踪止损！平仓价格: {0}", dataOnlyToday[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
maxIncome = 0;
}
}
#endregion
var price = dataOnlyToday[j].open;
//价格向上突破上轨
if (price > buyLineList[i])
{
//如果持有空仓，则先平仓
if (positionVolume == -1)
{
positionVolume = 0;
//Console.WriteLine("追踪止损！平仓价格: {0}", dataOnlyToday[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
}
//如果没有仓位，则直接多仓
if (positionVolume == 0)
{
double volume = 1;
//长头寸信号
MinuteSignal longSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = dataOnlyToday[j].open, minuteIndex = j
};
//signal保存长头寸longSignal信号
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
signal.Add(underlying, longSignal);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: longSignal.minuteIndex);
//Console.WriteLine("做多期货！多头开仓价格: {0}", dataOnlyToday[j].open);
//头寸量叠加
positionVolume += volume;
}
}
//价格向下突破下轨
if (price < sellLineList[i])
{
//如果持有多仓，则先平仓
if (positionVolume == 1)
{
positionVolume = 0;
// Console.WriteLine("追踪止损！平仓价格: {0}", dataOnlyToday[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
}
//如果没有仓位，则直接空仓
if (positionVolume == 0)
{
double volume = -1;
MinuteSignal shortSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = dataOnlyToday[j].open, minuteIndex = j
};
// Console.WriteLine("做空期货！空头开仓价格: {0}", dataOnlyToday[j].open);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
signal.Add(underlying, shortSignal);
positionVolume += volume;
//分钟级交易
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: shortSignal.minuteIndex);
}
}
}
int closeIndex = dataOnlyToday.Count() - 1;
if (positionVolume != 0)
{
positionVolume = 0;
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, dataOnlyToday[closeIndex].time, closeIndex, slipPoint);
// Console.WriteLine("{2} 每日收盘前强制平仓，平仓价格:{0},账户价值:{1}", dataOnlyToday[closeIndex].open, myAccount.totalAssets, today);
}
if (dataOnlyToday.Count > 0)
{
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, dataOnlyToday.Last().time, dataOnlyToday.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(dataOnlyToday.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = dataOnlyToday.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = dataOnlyToday.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = dataOnlyToday.Last().close
});
}
}
}
public void compute()
{
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//基准衡量
List <double> benchmark = new List <double>();
//持仓量
double positionVolume = 0;
//最大收入值
double maxIncome = 0;
//第一层循环：所有交易日循环一遍...
for (int i = 0; i < tradeDays.Count(); i++)
{
DateTime today = tradeDays[i];
//找到当日参数
FiveParameterPairs pair = parameters[today];
frequency = pair.frequency;
numbers = pair.numbers;
longER = pair.longER;
shortER = pair.shortER;
lossPercent = pair.lossPercent;
//从wind或本地CSV获取相应交易日的数据list
//这里不能直接去调用FreqTransferUtils.minuteToNMinutes(data, frequency),因为data.count可能为0
var dataOnlyToday = getData(today, underlying); //一个交易日里有多条分钟线数据
var data = getData(DateUtils.PreviousTradeDay(today, 3), underlying); //前3交易日的分钟线频率数据list
data.AddRange(getData(DateUtils.PreviousTradeDay(today, 2), underlying));
data.AddRange(getData(DateUtils.PreviousTradeDay(today, 1), underlying));
int indexStart = data.Count();
if (indexStart == 0) //前一天没数据
{
indexStart = numbers;
}
//将当天的数据add到前一天的数据之后
data.AddRange(dataOnlyToday);
#region 20170118更新
//将data转换成FuturesMinute分钟线频率
//data= FreqTransferUtils.minuteToNMinutes(data, frequency);
#endregion
//将获取的数据，储存为KLine格式
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(underlying, data.Cast <KLine>().ToList());
//第二层循环：只循环某当天的数据（开始的索引值为前一天数据的List.count）
#region 第二层循环
//这里减1：最后一个周期只平仓，不开仓
for (int j = indexStart; j < data.Count() - 1; j++)
{
DateTime now = data[j].time;
double[] prices = new double[numbers];
for (int k = j - numbers; k < j; k++)
{
//导入收盘价
prices[k - (j - numbers)] = data[k].close;
}
//计算出ER值
double ER = computeER(prices);
# region 追踪止损判断 触发止损平仓
//追踪止损判断 触发止损平仓
if (positionVolume != 0) //头寸量不为0，额外要做的操作
{
//计算开盘价和头寸当前价的差价
double incomeNow = individualIncome(positions.Last().Value[underlying], data[j].open);
//若当前收入大于最大收入值，则更新最大收入值
if (incomeNow > maxIncome)
{
maxIncome = incomeNow;
}
//若盈利回吐大于5个点 或者 最大收入大于45，则进行平仓
//&& ((positionVolume>0 && ER<longLevel) || (positionVolume<0 && ER>shortLevel))
else if ((maxIncome - incomeNow) > lossPercent * Math.Abs(data[j].open) || incomeNow < -lossPercent * Math.Abs(data[j].open)) //从最高点跌下来3%，就止损
{
positionVolume = 0;
Console.WriteLine("追踪止损！平仓价格: {0}", data[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
maxIncome = 0;
}
//if (positionVolume>0 && ER<0 && incomeNow<-10)
//{
// positionVolume = 0;
// Console.WriteLine("信号止损！平仓价格: {0}", data[j].open);
// MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
// maxIncome = 0;
//}
//else if (positionVolume < 0 && ER >0 && incomeNow < -10)
//{
// positionVolume = 0;
// Console.WriteLine("信号止损！平仓价格: {0}", data[j].open);
// MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
// maxIncome = 0;
//}
}
#endregion
if (ER >= longER && positionVolume == 0) //多头信号,无头寸，则开多仓
{
double volume = 1;
//长头寸信号
MinuteSignal longSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = data[j].open, minuteIndex = j
};
//signal保存长头寸longSignal信号
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
signal.Add(underlying, longSignal);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: longSignal.minuteIndex);
Console.WriteLine("做多期货！多头开仓价格: {0}", data[j].open);
//头寸量叠加
positionVolume += volume;
//单笔最大收益重置
maxIncome = 0;
}
else if (ER <= shortER && positionVolume == 0) //空头信号，无头寸，则开空仓
{
double volume = -1;
maxIncome = 0;
MinuteSignal shortSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = data[j].open, minuteIndex = j
};
Console.WriteLine("做空期货！空头开仓价格: {0}", data[j].open);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
signal.Add(underlying, shortSignal);
positionVolume += volume;
//分钟级交易
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: shortSignal.minuteIndex);
}
}
#endregion
int closeIndex = data.Count() - 1;
if (positionVolume != 0)
{
positionVolume = 0;
maxIncome = 0;
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, data[closeIndex].time, closeIndex, slipPoint);
Console.WriteLine("{2} 每日收盘前强制平仓，平仓价格:{0},账户价值:{1}", data[closeIndex].open, myAccount.totalAssets, today);
}
if (data.Count > 0)
{
//更新当日属性信息
AccountOperator.Minute.maoheng.AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, data.Last().time, data.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(data.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = data.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = data.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = data.Last().close
});
}
}
}
