/// <summary>
/// 读取文件
/// </summary>
/// <param name="filename"></param>
/// <returns></returns>
public static TradeRecords Load(String filename)
{
String[] lines = System.IO.File.ReadAllLines(filename);
if (lines == null || lines.Length <= 0)
{
return(new TradeRecords());
}
TradeRecords records = new TradeRecords();
foreach (String line in lines)
{
TradeBout bout = TradeBout.Parse(line);
if (bout != null)
{
records.bouts.Add(bout);
}
}
return(records);
}
/// <summary> /// 判断指定的回合是否要在d这天卖出 /// </summary> /// <param name="code"></param> /// <param name="bout"></param> /// <param name="d"></param> /// <param name="strategyParam"></param> /// <param name="backtestParam"></param> /// <returns>是否进入择机卖出</returns> public abstract bool DoSell(String code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out String reason);
/// <summary>
/// 执行卖出操作
/// </summary>
/// <param name="tradeRecord"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public virtual void Execute(TradeRecords tradeRecord, Properties strategyParam, BacktestParameter backtestParam)
{
#region 1初始化行情库
if (tradeRecord == null)
{
return;
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return;
}
#endregion
#region 2 取得策略参数
int p_maxbuynum = strategyParam.Get <int>("maxbuynum", 0);
double p_maxprofilt = strategyParam.Get <double>("maxprofilt");
int p_maxholddays = strategyParam.Get <int>("maxholddays");
double p_stoploss = strategyParam.Get <double>("stoploss");
int p_choosedays = strategyParam.Get <int>("choosedays");
double p_chooseprofilt = strategyParam.Get <double>("chooseprofilt");
double p_addholdprofilt = strategyParam.Get <double>("addholdprofilt");
double p_addholdamount = strategyParam.Get <double>("addholdamount");
#endregion
String code = tradeRecord.Code;
List <TradeBout> bouts = tradeRecord.Bouts;
#region 3 遍历每一个买入回合
for (int i = 0; i < bouts.Count; i++)
{
#region 3.1 取得该回合的行情数据
TradeBout bout = bouts[i];
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
continue;
}
if (bout.Completed)
{
continue; //跳过已完成的
}
KLine kline = ds.DayKLine;
if (kline == null)
{
continue;
}
bool chooseToSell = false;//择机卖出状态，是指持仓价值较低
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
if (bIndex < 0)
{
continue;
}
KLineItem klineItemDay = kline[bIndex];
DateTime d = klineItemDay.Date;
#endregion
#region 3.2 如果超过了最大持仓数限制，该回合跳过
if (p_maxbuynum > 0)
{
//计算当前回合的买入日期这天有多少持仓
int count = 0;
bouts.ForEach(x => { if (x.Completed && bout.BuyInfo.TradeDate.Date >= x.BuyInfo.TradeDate.Date && bout.BuyInfo.TradeDate.Date < x.SellInfo.TradeDate.Date)
{
count++;
}
});
if (count > p_maxbuynum)
{
continue;
}
}
#endregion
#region 3.3 寻找卖点
String reason = "";
for (int index = bIndex + 1; index < kline.Count; index++)
{
klineItemDay = kline[index];
d = klineItemDay.Date;
#region A 计算以当日最高价和收盘价卖出的盈利
double diff = klineItemDay.HIGH - bout.BuyInfo.TradePrice;
double percentHigh = diff / bout.BuyInfo.TradePrice;
diff = klineItemDay.CLOSE - bout.BuyInfo.TradePrice;
double percentClose = diff / bout.BuyInfo.TradePrice;
#endregion
#region B 盈利超过预定
if (p_maxprofilt > 0 && percentHigh >= p_maxprofilt) //盈利超过预定
{
double price = bout.BuyInfo.TradePrice * (1 + p_maxprofilt);
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "盈利>=" + p_maxprofilt.ToString("F2"));
break;
}
#endregion
#region C 择机卖出状态
if (chooseToSell)
{
for (int t = 0; t < p_choosedays; t++)
{
index += t;
if (index >= kline.Count)
{
break;
}
double percent = (kline[index].HIGH - bout.BuyInfo.TradePrice) / bout.BuyInfo.TradePrice;
if (percent >= p_chooseprofilt)
{
double price = bout.BuyInfo.TradePrice * (1 + p_chooseprofilt);
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, kline[index].Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, (reason == "" ? "" : reason + ",并") + "在第" + (t + 1).ToString() + "天择机卖出");
break;
}
}
if (!bout.Completed)
{
if (index >= kline.Count)
{
return;
}
double price = kline[index].CLOSE;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, kline[index].Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, (reason == "" ? "" : reason + ",并") + "择机强制卖出");
}
break;
}
#endregion
#region D 持仓超过n天进入到择机卖出状态
if (p_maxholddays != 0 && CalendarUtils.WorkDayCount(bout.BuyInfo.TradeDate, klineItemDay.Date) >= p_maxholddays)
{
reason = "持仓超过" + p_maxholddays.ToString() + "天";
chooseToSell = true;
continue;
}
#endregion
#region E 达到止损线,进入到择机卖出状态
double loss = (klineItemDay.LOW - bout.BuyInfo.TradePrice) / bout.BuyInfo.TradePrice;
if (p_stoploss > 0 && loss < 0 && loss < -1 * p_stoploss)
{
reason = "达到止损" + p_stoploss.ToString("F2");
bout.RecordTrade(2, d, TradeDirection.Sell, bout.BuyInfo.TradePrice * (1 - p_stoploss), bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, reason);
break;
}
#endregion
#region F调用子类的算法来寻找卖点
if (!bout.Completed)
{
chooseToSell = DoSell(code, bout, d, strategyParam, backtestParam, out reason);
}
if (bout.Completed)
{
break;
}
#endregion
#region 判断是否加仓或者减仓
if (p_addholdprofilt > 0 && p_addholdamount > 0)
{
if (percentClose > p_addholdprofilt)
{
int addamount = (int)(bout.BuyInfo.Amount * p_addholdamount);
TradeInfo tradeInfo = new TradeInfo();
tradeInfo.Code = bout.Code;
tradeInfo.Amount = addamount;
tradeInfo.Direction = TradeDirection.Buy;
tradeInfo.Reason = "加仓";
tradeInfo.Fee = backtestParam.Volumecommission;
tradeInfo.Stamps = backtestParam.Stampduty;
tradeInfo.TradeDate = klineItemDay.Date;
tradeInfo.TradePrice = klineItemDay.CLOSE;
bout.BuyInfo.TradePrice = (bout.BuyInfo.Amount * bout.BuyInfo.TradePrice + addamount * klineItemDay.CLOSE) / (bout.BuyInfo.Amount + addamount);
bout.BuyInfo.Amount += addamount;
}
}
#endregion
}
#endregion //寻找卖点结束
}
#endregion //遍历每一个买入回合结束
}
/// <summary>
/// 执行回测
/// </summary>
/// <param name="props"></param>
/// <returns></returns>
public virtual TotalStat doTestByDate(List <TradeRecords> tradeRecoreds)
{
List <TradeBout> bouts = new List <TradeBout>();
tradeRecoreds.ForEach(x => bouts.AddRange(x.Bouts));
double marketValueMin = backtestParam.Initfunds; //日最低市值
double marketValueMax = backtestParam.Initfunds; //日最高市值
double lastmarketValueMax = backtestParam.Initfunds; //上一个日最高市值
DateTime lastmarketValueMaxDate = backtestParam.BeginDate;
double curFund = backtestParam.Initfunds; //当前资金
TotalStat stat = new TotalStat();
List <DateDetailRecord> records = new List <DateDetailRecord>(); //日详细记录
List <TradeBout> holdTrades = new List <TradeBout>(); //日持仓回合
List <int> holdDays = new List <int>(); //持仓日期
List <String> codes = new List <string>(); //交易的股票代码
List <int> buyCounts = new List <int>(); //每天买入的回合数
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
String reason = "";
//遍历每一天
for (DateTime d = backtestParam.BeginDate; d <= backtestParam.EndDate; d = d.AddDays(1))
{
//跳过非工作日
//if (!CalendarUtils.IsWorkDay(d))
// continue;
//生成空的当日记录
DateDetailRecord record = new DateDetailRecord();
record.date = d;
//找到当日的买入回合、卖出回合
bouts.ForEach(y =>
{
if (y.BuyInfo.TradeDate.Date == d.Date)
{
record.buyBouts.Add(y);
}
else if (y.SellInfo.TradeDate.Date == d.Date)
{
record.sellBouts.Add(y);
}
});
//当日没有发生买卖操作，也没有持仓，跳过
if (record.buyBouts.Count <= 0 && record.sellBouts.Count <= 0 && holdTrades.Count <= 0)
{
continue;
}
//将buyTrades按照优先规则排序,待实现
//计算当日买入的花销，如果超过了资金允许买入的量，则删除一部分
record.willBuyCount = record.buyBouts.Count;
for (int i = 0; i < record.buyBouts.Count; i++)
{
if (record.buyBouts[i].BuyInfo.TradeCost > curFund)//资金不够
{
bouts.Remove(record.buyBouts[i]);
record.buyBouts.RemoveAt(i--);
}
else if (isForbidBuy(d, record.buyBouts[i].Code, out reason))//如果策略实现禁止买入
{
bouts.Remove(record.buyBouts[i]);
record.buyBouts.RemoveAt(i--);
}
else
{
curFund -= record.buyBouts[i].BuyInfo.TradeCost; //买入
holdTrades.Add(record.buyBouts[i]); //买入后变成持仓
}
}
record.buyCount = record.buyBouts.Count;
if (stat.MaxTradeCountPerDay < record.buyBouts.Count)
{
stat.MaxTradeCountPerDay = record.buyBouts.Count;
}
buyCounts.Add(record.buyBouts.Count);
//判断持仓中的股票是否被禁止持仓
for (int i = 0; i < holdTrades.Count; i++)
{
TradeBout info = holdTrades[i];
if (!isForbidHold(d, info.Code, out reason))
{
continue;
}
info.SellInfo.Reason = reason + "(" + info.SellInfo.Reason + ")";
record.sellBouts.Add(info);
holdTrades.RemoveAt(i--);
}
//卖出收入放回资金
for (int i = 0; i < record.sellBouts.Count; i++)
{
if (!codes.Contains(record.sellBouts[i].Code))//记录交易的股票
{
codes.Add(record.sellBouts[i].Code);
}
stat.BoutNum += 1; //回合数加1
if (record.sellBouts[i].Win) //胜数加1
{
stat.WinNum += 1;
}
holdDays.Add(record.sellBouts[i].PositionDays); //记录持仓日期
curFund += record.sellBouts[i].SellInfo.TradeCost; //回收资金
holdTrades.Remove(record.sellBouts[i]); //从持仓中拿掉
}
record.SellCount = record.sellBouts.Count;
//计算市值
record.holdCount = holdTrades.Count;
if (holdTrades.Count <= 0)//如果没有持仓，市值就是资金量
{
marketValueMax = marketValueMin = curFund;
records.Add(record);
}
else//如果有持仓，则计算市值=资金量+持仓当日市值
{
double min = 0, max = 0;
foreach (TradeBout info in holdTrades)
{
TimeSerialsDataSet ds = repository[info.Code];
KLine kline = ds.DayKLine;
KLineItem klineitem = kline.GetNearest(d, true, -1);
if (klineitem == null)//有一个回合找不到当日K线数据，则当日市值不再计算
{
min = max = 0;
this.log.Warn("日期" + d.ToString("yyyyMMdd") + "中有回合缺少当日和历史K线：" + info.Code);
break;
}
min += info.BuyInfo.Amount * klineitem.LOW;
max += info.BuyInfo.Amount * klineitem.HIGH;
record.holdBouts.Add(info.Code + "," + info.BuyInfo.Amount + "," + info.BuyInfo.TradePrice.ToString("F2") + "," + klineitem.CLOSE);
}
if (min != 0)
{
marketValueMin = curFund + min;
}
if (max != 0)
{
marketValueMax = curFund + max;
}
if (min != 0 && max != 0)
{
records.Add(record);
}
}
//记录资金和市值数据
record.curFund = curFund;
record.marketValueMin = marketValueMin;
record.marketValueMax = marketValueMax;
if (marketValueMin < backtestParam.Initfunds)
{
record.retracement = (backtestParam.Initfunds - marketValueMin) / backtestParam.Initfunds;
}
if (stat.MaxInitRetracementRate < record.retracement)
{
stat.MaxInitRetracementRate = record.retracement;
stat.MaxInitRetracementDate = d;
}
if (marketValueMax > lastmarketValueMax)
{
lastmarketValueMax = marketValueMax;
lastmarketValueMaxDate = d;
record.retracement = 0;
}
else
{
record.retracement = (lastmarketValueMax - marketValueMax) / lastmarketValueMax;
stat.MaxRetracementRate = record.retracement;
stat.MaxRetracementDate = d;
}
}
//清除没有卖出的回合
for (int i = 0; i < holdTrades.Count; i++)
{
curFund += holdTrades[i].BuyInfo.TradeCost;
bouts.Remove(holdTrades[i]);
}
holdTrades.Clear();
marketValueMin = marketValueMax = curFund;
if (records.Count > 0)
{
DateDetailRecord extends = new DateDetailRecord();
extends.date = records[records.Count - 1].date.AddDays(1);
extends.curFund = curFund;
extends.marketValueMax = marketValueMax;
extends.marketValueMin = marketValueMin;
records.Add(extends);
}
//结果统计
stat.Records = records;
stat.AverageTradeCountPerDay = buyCounts.Count <= 0?0:buyCounts.Average();
stat.AvgHoldDays = holdDays.Count <= 0?0:(int)holdDays.Average();
stat.Count = codes.Count;
stat.MaxHoldDays = holdDays.Count <= 0 ? 0 : holdDays.Max();
stat.TotalFund = curFund;
stat.TotalProfilt = (curFund - backtestParam.Initfunds) / backtestParam.Initfunds;
stat.WinRate = stat.WinNum * 1.0 / stat.BoutNum;
return(stat);
}
