/// <summary> /// 估算未来的期权价格 /// </summary> /// <param name="days"></param> /// <param name="code"></param> /// <param name="etfPrice"></param> /// <returns></returns> private double computeFuturePrice(int days, string code, double etfPrice) { double price = 0; var option = OptionUtilities.getOptionByCode(optionList, code); int x = Convert.ToInt32(optionPrice[code].duration - days); int y = Convert.ToInt32(Math.Round(1000 * Math.Log(option.strike / etfPrice), 0) + 500); double vol = volSurface[x, y]; price = ImpliedVolatilityUtilities.ComputeOptionPrice(option.strike, (optionPrice[code].duration - days) / 252.0, riskFreeRate, 0, option.optionType, vol, etfPrice); return(price); }
/// <summary> /// 以收益损失比给期权组合打分 /// </summary> /// <param name="code1"></param> /// <param name="code2"></param> /// <param name="days"></param> /// <param name="upperPrice"></param> /// <param name="lowerPrice"></param> /// <param name="up"></param> /// <param name="low"></param> /// <returns></returns> private double computeMarkOfPairs(string code1, string code2, int days, double upperPrice, double lowerPrice, ref double up, ref double low) { double marks = -100; double initialValue = optionPrice[code1].lastPrice - optionPrice[code2].lastPrice; double upperValue = computeFuturePrice(days, code1, upperPrice) - computeFuturePrice(days, code2, upperPrice); double lowerValue = computeFuturePrice(days, code1, lowerPrice) - computeFuturePrice(days, code2, lowerPrice); var option2 = OptionUtilities.getOptionByCode(optionList, code2); double margin = OptionMargin.ComputeOpenMargin(etfPrice, optionPrice[code2].lastPrice, option2.strike, option2.optionType, 1, etfPrice) + (upperPrice - lowerPrice) / 2; double capitalOccupied = margin - initialValue; up = (upperValue - initialValue) / capitalOccupied; low = (lowerValue - initialValue) / capitalOccupied; marks = up / low; return(marks); }
private void displayPairs() { foreach (var item in pairs) { var option1 = OptionUtilities.getOptionByCode(optionList, item.option1); var option2 = OptionUtilities.getOptionByCode(optionList, item.option2); var price1 = optionPrice[option1.optionCode]; var price2 = optionPrice[option2.optionCode]; double delta = price1.delta - price2.delta; double gamma = price1.gamma - price2.gamma; double vega = price1.vega - price2.vega; double theta = price1.theta - price2.theta; Console.WriteLine("代码:{0}, 名称:{1}, 价格:{2} ask:{3} bid:{4}, 波动率:{5}", option1.optionCode, option1.optionName, optionPrice[option1.optionCode].lastPrice, optionPrice[option1.optionCode].ask, optionPrice[option1.optionCode].bid, price1.impv); Console.WriteLine("代码:{0}, 名称:{1}, 价格:{2} ask:{3} bid:{4}, 波动率:{5}", option2.optionCode, option2.optionName, optionPrice[option2.optionCode].lastPrice, optionPrice[option2.optionCode].ask, optionPrice[option2.optionCode].bid, price2.impv); Console.WriteLine("mark:{0}, delta:{1}, gamma:{2}, vega:{3}, theta:{4}, profit:{5}, loss:{6}", item.mark, delta, gamma, vega, theta, item.profit, item.loss); Console.WriteLine("=============================================="); } }
public void compute() { log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate)); var repo = Platforms.container.Resolve <OptionInfoRepository>(); optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1); Caches.put("OptionInfo", optionInfoList); //初始化头寸信息 SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >(); //初始化(宽)跨式组合信息 SortedDictionary <DateTime, List <StranglePair> > pairs = new SortedDictionary <DateTime, List <StranglePair> >(); //初始化Account信息 BasicAccount myAccount = new BasicAccount(); myAccount.initialAssets = initialCapital; myAccount.totalAssets = initialCapital; myAccount.freeCash = myAccount.totalAssets; //记录历史账户信息 List <BasicAccount> accountHistory = new List <BasicAccount>(); List <double> benchmark = new List <double>(); //50ETF的日线数据准备,从回测期开始之前100个交易开始取 int number = 100; List <StockDaily> dailyData = new List <StockDaily>(); dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate); var closePrice = dailyData.Select(x => x.close).ToArray(); //按交易日回测 for (int day = 0; day < tradeDays.Count(); day++) { benchmark.Add(closePrice[day + number]); double lastETFPrice = dailyData[number + day - 1].close; var today = tradeDays[day]; //获取当日上市的期权合约列表 var optionInfoList2 = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today); //初始化信号的数据结构 Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>(); //获取今日日内50ETF数据 var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]); //初始化行情信息,将50ETF的价格放入dataToday Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >(); dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList()); //记录今日账户信息 myAccount.time = today; //获取今日期权的到期日期 var dateStructure = OptionUtilities.getDurationStructure(optionInfoList2, tradeDays[day]); //选定到日期在40个交易日至60个交易日的合约 double duration = 0; for (int i = 0; i < dateStructure.Count(); i++) { if (dateStructure[i] >= 40 && dateStructure[i] <= 80) { duration = dateStructure[i]; break; } } for (int index = 0; index < 234; index++) //遍历日内的逐个分钟(不包括最后5分钟) { signal = new Dictionary <string, MinuteSignal>(); DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index); double etfPriceNow = etfData[index].open; //策略思路,当前没有持仓的时候开仓,如果有持仓就判断需不需要止盈或者换月 if (pairs.Count == 0 || (pairs.Count > 0 && pairs.Last().Value.Last().closePrice != 0)) //没有持仓则开仓,简单的在开盘1分钟的时候开仓 { signal = new Dictionary <string, MinuteSignal>(); //今日没有合适的期权合约 if (duration == 0) { continue; } openStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index, duration); } StranglePair pair = pairs.Last().Value.Last(); double durationNow = DateUtils.GetSpanOfTradeDays(today, pair.endDate); //如果有持仓,通过以下手段记录每日分钟信息 if ((pairs.Count > 0 && pairs.Last().Value.Last().closePrice == 0) && (dataToday.ContainsKey(pair.callCode) == false || dataToday.ContainsKey(pair.putCode) == false)) { tradeAssistant(ref dataToday, ref signal, pair.callCode, 0, today, now, index); tradeAssistant(ref dataToday, ref signal, pair.putCode, 0, today, now, index); var callInfo = OptionUtilities.getOptionByCode(optionInfoList2, pair.callCode); if (today.AddDays(1) >= callInfo.modifiedDate && !(today.AddDays(-10000) > callInfo.modifiedDate)) { closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index); } } //检查每一个跨式或者宽跨式组合,看看需不需要调整 if (durationNow < 10 && etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion) //不用调仓直接平仓 { closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index); } else if (durationNow < 20 && !(etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion)) //跨期调仓 { //先进行平仓,然后开仓 closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);//平仓 signal = new Dictionary <string, MinuteSignal>(); StranglePair newPair = new StranglePair(); if (etfPriceNow > pair.callStrike + motion) { OptionInfo call = getOptionCode(duration, etfPriceNow, "认购", today); OptionInfo put = getOptionCode(duration, pair.putStrike, "认沽", today); if (call.strike != 0 && put.strike != 0) //开仓 { newPair = new StranglePair() { callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = today, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open }; modifyStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, ref newPair, today, index); } } else if (etfPriceNow < pair.putStrike - motion) { OptionInfo call = getOptionCode(duration, pair.callStrike, "认购", today); OptionInfo put = getOptionCode(duration, etfPriceNow, "认沽", today); if (call.strike != 0 && put.strike != 0) //开仓 { newPair = new StranglePair() { callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = today, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open }; modifyStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, ref newPair, today, index); } } } else if (durationNow >= 20 && !(etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion)) //不跨期调仓 { if (etfPriceNow > pair.callStrike + motion) { //认购期权向上移仓 OptionInfo call = getOptionCode(durationNow, etfPriceNow, "认购", today); if (call.strike != 0) { tradeAssistant(ref dataToday, ref signal, pair.putCode, 0, today, now, index); tradeAssistant(ref dataToday, ref signal, pair.callCode, -pair.callPosition, today, now, index); tradeAssistant(ref dataToday, ref signal, call.optionCode, call.contractMultiplier, today, now, index); pair.closeDate = now; pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open; StranglePair newPair = new StranglePair() { callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = pair.putCode, putStrike = pair.putStrike, putPosition = pair.putPosition, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = now, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[pair.putCode][index].open }; pairs.Last().Value.Add(newPair); MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); } } else if (etfPriceNow < pair.putStrike - motion) { //认沽期权向下移仓 OptionInfo put = getOptionCode(durationNow, etfPriceNow, "认沽", today); if (put.strike != 0) { tradeAssistant(ref dataToday, ref signal, pair.callCode, 0, today, now, index); tradeAssistant(ref dataToday, ref signal, pair.putCode, -pair.putPosition, today, now, index); tradeAssistant(ref dataToday, ref signal, put.optionCode, put.contractMultiplier, today, now, index); pair.closeDate = now; pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open; StranglePair newPair = new StranglePair() { callCode = pair.callCode, callStrike = pair.callStrike, callPosition = pair.callPosition, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = put.endDate, etfPrice = etfPriceNow, modifiedDate = now, strangleOpenPrice = dataToday[pair.callCode][index].open + dataToday[put.optionCode][index].open }; pairs.Last().Value.Add(newPair); MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); } } } } if (etfData.Count > 0) { //更新当日属性信息 AccountOperator.Minute.maoheng.AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, etfData.Last().time, etfData.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(etfData.Last().close); if (netValue.Count() == 0) { netValue.Add(new NetValue { time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close }); } else { var netValueLast = netValue.Last(); netValue.Add(new NetValue { time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = etfData.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close }); } } } //策略绩效统计及输出 PerformanceStatisics myStgStats = new PerformanceStatisics(); myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions); //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: "strangle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_")); //记录持仓变化 var positionStatus = OptionRecordUtil.Transfer(positions); RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "strangle", 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: "strangle", 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(); //maoheng 画图 //Application.Run(new PLChart(line, datestr)); //cuixun 画图 //绘制图形的标题 string formTitle = this.startDate.ToShortDateString() + "--" + this.endDate.ToShortDateString() + " " + this.targetVariety + " 净值曲线" + "\r\n" + "\r\n" + "净利润:" + myStgStats.netProfit + " " + "夏普率:" + myStgStats.anualSharpe + " " + "最大回撤:" + myStgStats.maxDrawDown + "\r\n" + "\r\n"; //生成图像 PLChart plc = new PLChart(line, datestr, formTitle: formTitle); //运行图像 //Application.Run(plc); plc.LoadForm(); //保存图像 plc.SaveZed(GetType().FullName, this.targetVariety, this.startDate, this.endDate, myStgStats.netProfit.ToString(), myStgStats.anualSharpe.ToString(), myStgStats.maxDrawDown.ToString()); }
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>(); 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; StraddlePair holdingStatus = new StraddlePair(); //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.callCodeFront) { holdingStatus.strike = item.strike; holdingStatus.callPositionFront *= item.contractMultiplier / standardContractMultiplier; holdingStatus.putPositionFront *= item.contractMultiplier / standardContractMultiplier; holdingStatus.callPositionNext *= item.contractMultiplier / standardContractMultiplier; holdingStatus.putPositionNext *= 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; //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 durationFront = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0]; double durationNext = dateStructure[0] <= 3 ? dateStructure[2] : dateStructure[1]; StraddlePairCode myPair = getStraddlePairCode(optionInfoList, durationFront, durationNext, etfPrice, today); var callATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeFront); var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today); var putATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeFront); var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today); var callATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeNext); var callPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATMNext.optionCode, today); var putATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeNext); var putPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATMNext.optionCode, today); //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()); dataToday.Add(callATMNext.optionCode, callPriceNext.Cast <KLine>().ToList()); dataToday.Add(putATMNext.optionCode, putPriceNext.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.callPositionFront != 0) { if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false) { var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today); dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList()); } if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false) { var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today); dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList()); } if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false) { var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today); dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList()); } if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false) { var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today); dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.Cast <KLine>().ToList()); } if (holdingStatus.callPositionFront * 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 StraddlePair(); } 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 StraddlePair(); } } //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.callPositionFront == 0 && orignalSignal != 0) //无仓位有信号,开仓 { if (orignalSignal == 1) //做多跨式期权 { MinuteSignal openSignalCallFront = new MinuteSignal() { code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex }; MinuteSignal openSignalPutFront = new MinuteSignal() { code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex }; MinuteSignal openSignalCallNext = new MinuteSignal() { code = callATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex }; MinuteSignal openSignalPutNext = new MinuteSignal() { code = putATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex }; Console.WriteLine("做多跨式期权!"); signal.Add(callATM.optionCode, openSignalCallFront); signal.Add(putATM.optionCode, openSignalPutFront); signal.Add(callATMNext.optionCode, openSignalCallNext); signal.Add(putATMNext.optionCode, openSignalPutNext); //变更持仓状态 holdingStatus = new StraddlePair { callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = optionVolume, putPositionFront = optionVolume, callPositionNext = -optionVolume, putPositionNext = -optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = callPrice[openIndex].open + putPrice[openIndex].open - callPriceNext[openIndex].open - putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate }; } 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 }; MinuteSignal openSignalCallNext = new MinuteSignal() { code = callATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex }; MinuteSignal openSignalPutNext = new MinuteSignal() { code = putATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex }; Console.WriteLine("做空跨式期权!"); signal.Add(callATM.optionCode, openSignalCall); signal.Add(putATM.optionCode, openSignalPut); signal.Add(callATMNext.optionCode, openSignalCallNext); signal.Add(putATMNext.optionCode, openSignalPutNext); //变更持仓状态 holdingStatus = new StraddlePair { callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = -optionVolume, putPositionFront = -optionVolume, callPositionNext = optionVolume, putPositionNext = optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = -callPrice[openIndex].open - putPrice[openIndex].open + callPriceNext[openIndex].open + putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate }; } 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.callPositionFront != 0) { if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false) { var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today); dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList()); } if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false) { var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today); dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList()); } if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false) { var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today); dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList()); } if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false) { var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today); dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.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); //holdingStatus.etfPosition += etfChangeVolume; // AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday); } //更新当日属性信息 AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, thisTime, data: dataToday, nowIndex: thisIndex); //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.callPositionFront != 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.callPositionFront, dataToday[holdingStatus.callCodeFront][thisIndex].close, dataToday[holdingStatus.putCodeFront][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)); }