private void RunBenchmark(ReqAnalyzePortfolio request, BacktestingProperty property, DateTime startDate, DateTime endDate, List <DateTime> tradingCalendar, List <Report> reports)
{
var simulator = new Simulator();
using (var context = new QTContext())
{
var assetCode = request.Benchmark.AssetCode;
var tradingDataset = new Dictionary <DateTime, ITradingData>();
var benchmarkDataset = new Dictionary <string, Dictionary <DateTime, ITradingData> >();
if (request.Country == "JP")
{
var index = context.Indices.Where(x => x.AssetCode == assetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate);
if (0 < index.Count())
{
index.ToList().ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
else if (request.Country == "KR")
{
var index = context.KoreaIndices.Where(x => x.AssetCode == assetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate);
if (0 < index.Count())
{
index.ToList().ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
benchmarkDataset.Add(assetCode, tradingDataset);
var strategy = new BuyAndHold();
var benchmark = new Dictionary <string, PortfolioSubject>();
benchmark.Add(assetCode, request.Benchmark);
var report = strategy.Run(benchmarkDataset, tradingCalendar, property, benchmark, period: Period.Day, isBenchmark: true);
reports.Add(report);
}
}
public List <Report> AnalyzePortfolio(ReqAnalyzePortfolio request, bool analyzeBenchmark = true)
{
var period = Period.Day;
if (request.Country == null)
{
request.Country = "JP";
}
var startDate = DateTime.ParseExact(request.StartDate, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var endDate = DateTime.ParseExact(request.EndDate, "yyyy-MM-dd", CultureInfo.InvariantCulture);
BacktestingProperty property = new BacktestingProperty()
{
Start = startDate,
End = endDate,
Capital = request.Capital,
BenchmarkType = BenchmarkType.Nikkei225,
CommissionType = request.CommissionType == "Ratio" ? CommissionType.Ratio : CommissionType.Fixed,
Commission = request.Commission,
SlippageType = request.SlippageType == "Ratio" ? SlippageType.Ratio : SlippageType.Fixed,
Slippage = request.Slippage,
BuyAndHold = true,
VolatilityBreakout = true,
MovingAverage = true,
UseOutstandingBalance = request.AllowLeverage,
UsePointVolume = request.AllowDecimalPoint,
TradeType = request.OrderVolumeType == "Ratio" ? TradeType.Ratio : TradeType.Fixed
};
var strategies = new Dictionary <StrategyType, StrategyBase>();
if (request.UseBuyAndHold)
{
strategies.Add(StrategyType.BuyAndHold, new BuyAndHold());
}
if (request.UseVolatilityBreakout)
{
strategies.Add(StrategyType.VolatilityBreakout, new VolatilityBreakout());
}
if (request.UseMovingAverage)
{
strategies.Add(StrategyType.MovingAverage, new MovingAverage());
}
// 각 종목별 OHLC 데이터
var portfolioDataset = new Dictionary <string, Dictionary <DateTime, ITradingData> >();
foreach (var subject in request.Portfolio)
{
var tradingDataset = new Dictionary <DateTime, ITradingData>();
using (var context = new QTContext())
{
if (request.Country == "FX_1D")
{
period = Period.Day;
var fx = context.FX1D.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var fxCopy = fx.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = 0
}).ToList();
fxCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "FX_1W")
{
period = Period.Week;
var fx = context.FX1W.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var fxCopy = fx.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = 0
}).ToList();
fxCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "FX_60M")
{
period = Period.Min60;
var fx = context.FX60M.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var fxCopy = fx.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = 0
}).ToList();
fxCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "JP")
{
// 원본
var stock = context.Stocks.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var stockCopy = stock.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = x.Volume
}).ToList();
// 분할정보
var splits = context.Splits.Where(x => x.AssetCode == subject.AssetCode).ToList();
// 분할적용
splits.ForEach(split =>
{
foreach (var s in stockCopy.Where(x => x.CreatedAt < split.SplitDate))
{
s.Open = s.Open / split.SplitRatio;
s.High = s.High / split.SplitRatio;
s.Low = s.Low / split.SplitRatio;
s.Close = s.Close / split.SplitRatio;
}
});
stockCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "KR")
{
var stock = context.KoreaStocks.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var stockCopy = stock.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = x.Volume
}).ToList();
stockCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
portfolioDataset.Add(subject.AssetCode, tradingDataset);
}
var tradingCalendar = CreateCalendar(startDate, endDate, request.Country);
var reports = new List <Report>();
// benchmark
if (analyzeBenchmark)
{
RunBenchmark(request, property, startDate, endDate, tradingCalendar, reports);
}
// portfolio
var portfolio = request.Portfolio.ToDictionary(x => x.AssetCode, x => x);
foreach (var strategy in strategies.Values)
{
var report = strategy.Run(portfolioDataset, tradingCalendar, property, portfolio, period);
reports.Add(report);
}
return(reports);
}
