/// <summary>
/// 取出1分钟数据的时间，开收盘价，高低价，成交量等信息输入该图
/// </summary>
private void Form_Load(object sender, EventArgs e)
{
//画一张大图，包含价格K线和成交量
MasterPane myPaneMaster = zedG.MasterPane;
myPaneMaster.Title.Text = secCode;
myPaneMaster.Title.FontSpec.FontColor = Color.Black;
//PaneMaster里面画一张价格的小图
GraphPane panePrice = new GraphPane(new Rectangle(10, 10, 10, 10), "Mes", " t ( h )", "Rate");
myPaneMaster.PaneList[0] = (panePrice);
//PaneMaster里面画一张成交量的小图
GraphPane paneVolume = new GraphPane(new Rectangle(10, 10, 10, 10), "Mes", " t ( h )", "Rate");
myPaneMaster.PaneList.Add(paneVolume);
//蜡烛线例子
//设置名称和坐标轴
panePrice.Title.Text = "K线图";
panePrice.XAxis.Title.Text = "日期";
panePrice.XAxis.Title.FontSpec.FontColor = Color.Black;
panePrice.YAxis.Title.Text = "价格";
panePrice.YAxis.Title.FontSpec.FontColor = Color.Black;
//spl装载时间，价格数据
StockPointList spl = new StockPointList();
Random rand = new Random();
//将系统时间转化为xDate时间
XDate xStart = XDate.DateTimeToXLDate(startTime);
XDate xEnd = XDate.DateTimeToXLDate(endTime);
//取Sec的分钟数据，存储于data中
List <DateTime> tradeDays = DateUtils.GetTradeDays(startTime, endTime);
//数据准备，取minute数据，然后再将数据进行转换为各个频率
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
foreach (var tempDay in tradeDays)
{
var stockData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(secCode, tempDay);
if (!data.ContainsKey(secCode))
{
data.Add(secCode, stockData.Cast <KLine>().ToList());
}
else
{
data[secCode].AddRange(stockData.Cast <KLine>().ToList());
}
}
//定义变量存储分钟数据
Dictionary <string, List <KLine> > minuteData = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
minuteData.Add(variety.Key, data[variety.Key]);
}
//定义成交量
double[] volume = new double[minuteData[secCode].Count];
//根据频率选择累加的时间
switch (frequency)
{
//取tick数据
case 0:
log.Info("暂时没有tick数据");
break;
//1min K线
case 1:
for (int i = 0; i < minuteData[secCode].Count; i++)
{
double timePoint = i;
double open = minuteData[secCode][i].open;
double close = minuteData[secCode][i].close;
double high = minuteData[secCode][i].high;
double low = minuteData[secCode][i].low;
volume[i] = minuteData[secCode][i].volume;
StockPt pt = new StockPt(timePoint, high, low, open, close, volume[i]);
spl.Add(pt);
// 时间加1分钟
xStart.AddMinutes(1.0);
// but skip the weekends
if (XDate.XLDateToDayOfWeek(xStart.XLDate) == 6)
{
xStart.AddDays(2.0);
}
}
break;
//显示5min K线
case 2:
Dictionary <string, List <KLine> > minuteData5Min = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
List <KLine> data5K = new List <KLine>();
data5K = MinuteFrequencyTransferUtils.MinuteToNPeriods(minuteData[variety.Key], "Minutely", 5);
minuteData5Min.Add(variety.Key, data5K);
}
for (int i = 0; i < minuteData5Min[secCode].Count; i++)
{
double timePoint = i;
double open = minuteData5Min[secCode][i].open;
double close = minuteData5Min[secCode][i].close;
double high = minuteData5Min[secCode][i].high;
double low = minuteData5Min[secCode][i].low;
volume[i] = minuteData[secCode][i].volume;
StockPt pt = new StockPt(timePoint, high, low, open, close, volume[i]);
spl.Add(pt);
// 时间加5分钟
xStart.AddMinutes(5.0);
// but skip the weekends
if (XDate.XLDateToDayOfWeek(xStart.XLDate) == 6)
{
xStart.AddDays(2.0);
}
}
break;
//显示15min K线
case 3:
Dictionary <string, List <KLine> > minuteData15Min = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
List <KLine> data15K = new List <KLine>();
data15K = MinuteFrequencyTransferUtils.MinuteToNPeriods(minuteData[variety.Key], "Minutely", 15);
minuteData15Min.Add(variety.Key, data15K);
}
for (int i = 0; i < minuteData15Min[secCode].Count; i++)
{
double timePoint = i;
double open = minuteData15Min[secCode][i].open;
double close = minuteData15Min[secCode][i].close;
double high = minuteData15Min[secCode][i].high;
double low = minuteData15Min[secCode][i].low;
volume[i] = minuteData[secCode][i].volume;
StockPt pt = new StockPt(timePoint, high, low, open, close, volume[i]);
spl.Add(pt);
// 时间加15分钟
xStart.AddMinutes(15.0);
// but skip the weekends
if (XDate.XLDateToDayOfWeek(xStart.XLDate) == 6)
{
xStart.AddDays(2.0);
}
}
break;
//显示30min K线
case 4:
Dictionary <string, List <KLine> > minuteData30Min = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
List <KLine> data30K = new List <KLine>();
data30K = MinuteFrequencyTransferUtils.MinuteToNPeriods(minuteData[variety.Key], "Minutely", 30);
minuteData30Min.Add(variety.Key, data30K);
}
for (int i = 0; i < minuteData30Min[secCode].Count; i++)
{
double timePoint = i;
double open = minuteData30Min[secCode][i].open;
double close = minuteData30Min[secCode][i].close;
double high = minuteData30Min[secCode][i].high;
double low = minuteData30Min[secCode][i].low;
volume[i] = minuteData[secCode][i].volume;
StockPt pt = new StockPt(timePoint, high, low, open, close, volume[i]);
spl.Add(pt);
// 时间加30分钟
xStart.AddMinutes(30.0);
// but skip the weekends
if (XDate.XLDateToDayOfWeek(xStart.XLDate) == 6)
{
xStart.AddDays(2.0);
}
}
break;
//显示60min K线
case 5:
Dictionary <string, List <KLine> > minuteData60Min = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
List <KLine> data60K = new List <KLine>();
data60K = MinuteFrequencyTransferUtils.MinuteToNPeriods(minuteData[variety.Key], "Minutely", 60);
minuteData60Min.Add(variety.Key, data60K);
}
for (int i = 0; i < minuteData60Min[secCode].Count; i++)
{
double timePoint = i;
double open = minuteData60Min[secCode][i].open;
double close = minuteData60Min[secCode][i].close;
double high = minuteData60Min[secCode][i].high;
double low = minuteData60Min[secCode][i].low;
volume[i] = minuteData[secCode][i].volume;
StockPt pt = new StockPt(timePoint, high, low, open, close, volume[i]);
spl.Add(pt);
// 时间加60分钟
xStart.AddMinutes(60.0);
// but skip the weekends
if (XDate.XLDateToDayOfWeek(xStart.XLDate) == 6)
{
xStart.AddDays(2.0);
}
}
break;
//显示日K线
case 6:
Dictionary <string, List <KLine> > minuteDataDaily = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
List <KLine> dataDaily = new List <KLine>();
dataDaily = MinuteFrequencyTransferUtils.MinuteToNPeriods(minuteData[variety.Key], "Minutely", 240);
minuteDataDaily.Add(variety.Key, dataDaily);
}
for (int i = 0; i < minuteDataDaily[secCode].Count; i++)
{
double timePoint = i;
double open = minuteDataDaily[secCode][i].open;
double close = minuteDataDaily[secCode][i].close;
double high = minuteDataDaily[secCode][i].high;
double low = minuteDataDaily[secCode][i].low;
volume[i] = minuteData[secCode][i].volume;
StockPt pt = new StockPt(timePoint, high, low, open, close, volume[i]);
spl.Add(pt);
// 时间加1天
xStart.AddDays(1.0);
// but skip the weekends
if (XDate.XLDateToDayOfWeek(xStart.XLDate) == 6)
{
xStart.AddDays(2.0);
}
}
break;
}
//添加栅格线
//myPane.XAxis.MajorGrid.IsVisible = true;
//myPane.YAxis.MajorGrid.IsVisible = true;
//myPane.XAxis.MajorGrid.Color = Color.LightGray;
//myPane.YAxis.MajorGrid.Color = Color.LightGray;
//myPane.YAxis.MajorGrid.DashOff = 0;
//myPane.XAxis.MajorGrid.DashOff = 0;
panePrice.XAxis.Type = AxisType.Date;
panePrice.XAxis.Scale.Format = "MM-dd";
//myPane.XAxis.Scale.FontSpec.Angle = 45;//X轴文字方向，0-90度
//开始Y轴坐标设置
////设置Y轴坐标的范围
//myPane.YAxis.Scale.Max = Math.Round(maxhi * 1.2, 2);//Math.Ceiling(maxhi);
//myPane.YAxis.Scale.Min = Math.Round(minlow * 0.8, 2);
//Y轴最大刻度，注意minStep只会显示刻度线不会显示刻度值，minStep为纵坐标步长
panePrice.YAxis.Scale.MajorStep = 0.01;
//myPane.XAxis.Scale.FontSpec.FontColor = Color.Black;
//myPane.YAxis.Scale.FontSpec.FontColor = Color.Black;
panePrice.XAxis.Type = AxisType.DateAsOrdinal;
//myPane.Legend.FontSpec.Size = 18f;
//myPane.Legend.Position = LegendPos.InsideTopRight;
//myPane.Legend.Location = new Location(0.5f, 0.6f, CoordType.PaneFraction,
// AlignH.Right, AlignV.Top);
JapaneseCandleStickItem myCurve = panePrice.AddJapaneseCandleStick(secCode, spl);
myCurve.Stick.IsAutoSize = true;
//myCurve.Stick.Color = Color.Blue;
myCurve.Stick.FallingFill = new Fill(Color.Green); //下跌颜色
myCurve.Stick.RisingFill = new Fill(Color.Red); //上扬颜色
// pretty it up a little
//myPane.Chart.Fill = new Fill(Color.LightBlue, Color.LightGoldenrodYellow, 135.0f);
//myPane.Fill = new Fill(Color.Orange, Color.FromArgb(220, 220, 255), 45.0f);
Color c1 = ColorTranslator.FromHtml("#ffffff");
Color c2 = ColorTranslator.FromHtml("#ffd693");
panePrice.Chart.Fill = new Fill(c1); //图形区域颜色
panePrice.Fill = new Fill(c2); //整体颜色
//成交量线例子
// Set the Titles
paneVolume.Title.Text = "成交量";
paneVolume.XAxis.Title.Text = "Time";
paneVolume.YAxis.Title.Text = "Volume Num";
// Make up some random data points
//string[] labels = { "Panther", "Lion", "Cheetah","Cougar", "Tiger", "Leopard" };
//double[] y1 = { 100, 115, 75, 22, 98, 40, -100, -20 };
//double[] y2 = { 90, 100, 95, 35, 80, 35 };
//double[] y3 = { 80, 110, 65, 15, 54, 67 };
//double[] y4 = { 120, 125, 100, 40, 105, 75 };
// Generate a red bar with "Curve 1" in the legend
BarItem myBar = paneVolume.AddBar(null, null, volume, Color.Red);
//myBar.Bar.Fill = new Fill(Color.Red);
// Generate a blue bar with "Curve 2" in the legend
//myBar = paneVolume.AddBar("Curve 2", null, y2, Color.Blue);
//myBar.Bar.Fill = new Fill(Color.Blue, Color.White, Color.Blue);
//设置bar宽度
paneVolume.BarSettings.ClusterScaleWidth = 0.5;
log.Info(paneVolume.BarSettings.GetClusterWidth());
paneVolume.BarSettings.Type = BarType.Cluster;
// Generate a green bar with "Curve 3" in the legend
//myBar = myPane.AddBar("Curve 3", null, y3, Color.Green);
//myBar.Bar.Fill = new Fill(Color.Green, Color.White,
// Color.Green);
// Generate a black line with "Curve 4" in the legend
//LineItem myCurve = myPane.AddCurve("Curve 4",
//null, y4, Color.Black, SymbolType.Circle);
//myCurve.Line.Fill = new Fill(Color.White,
//Color.LightSkyBlue, -45F);
// Fix up the curve attributes a little
//myCurve.Symbol.Size = 8.0F;
//myCurve.Symbol.Fill = new Fill(Color.White);
//myCurve.Line.Width = 2.0F;
// Draw the X tics between the labels instead of
// at the labels
paneVolume.XAxis.MajorTic.IsBetweenLabels = true;
// Set the XAxis labels
//myPane.XAxis.Scale.TextLabels = labels;
// Set the XAxis to Text type
paneVolume.XAxis.Type = AxisType.Text;
// Fill the Axis and Pane backgrounds
paneVolume.Chart.Fill = new Fill(Color.White,
Color.FromArgb(255, 255, 166), 90F);
paneVolume.Fill = new Fill(Color.FromArgb(250, 250, 255));
using (Graphics g = CreateGraphics())
myPaneMaster.SetLayout(g, 2, 0);
zedG.AxisChange();
}
/// <summary>
/// 50ETF择时策略测试，N-Days Reversion，单边多
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
myAccount.initialAssets = initialCapital;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//记录benchmark数据
List <double> benchmark = new List <double>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//50etf分钟数据准备，取全回测期的数据存放于data
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
foreach (var tempDay in tradeDays)
{
var ETFData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tempDay);
if (!data.ContainsKey(targetVariety))
{
data.Add(targetVariety, ETFData.Cast <KLine>().ToList());
}
else
{
data[targetVariety].AddRange(ETFData.Cast <KLine>().ToList());
}
}
//频率转换测试
List <KLine> data_5min = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Minutely", 5);
List <KLine> data_15min = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Minutely", 15);
//List<KLine> data_1Day = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Daily", 1);
//List<KLine> data_1Month = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Monthly", 1);
// List<KLine> data_1Week = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Weekly", 1);
int indexOfNow = -1; //记录整个data的索引，一分钟K线上的索引
int indexOf5min = 0; //五分钟K线上的索引
int indexOf15min = 0; //十五分钟K线上的索引
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//取出当天的数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
dataToday.Add(variety.Key, data[variety.Key].FindAll(s => s.time.Year == day.Year && s.time.Month == day.Month && s.time.Day == day.Day));
}
int index = 0;
//交易开关设置，控制day级的交易开关
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = true; //平仓开关
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
while (index < 240)
{
int nextIndex = index + 1;
//更新索引值
indexOfNow++;
//N分钟k线的当前索引值是当前时间的之前第一个完整的k线，为避免data snooping不取当前时间的索引
indexOf5min = indexOfNow / 5;
indexOf15min = indexOfNow / 15;
//实际操作从第一个回望期后开始
if (indexOfNow < lengthOfBackLooking - 1 || indexOf5min < lengthOfBackLooking - 1)
{
index = nextIndex;
continue;
}
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
DateTime next = new DateTime();
myAccount.time = now;
//int indexOfNow = data[targetVariety].FindIndex(s => s.time == now);
double nowClose = dataToday[targetVariety][index].close;
//五分钟反转点
double nowUpReversionPoint = ComputeReversionPoint02.findUpReversionPoint(data_5min, indexOf5min, NDays, lengthOfBackLooking);
double nowDownReversionPoint = ComputeReversionPoint02.findDownReversionPoint(data_5min, indexOf5min, NDays, lengthOfBackLooking);
if (nowDownReversionPoint < 0 || nowUpReversionPoint < 0)
{
index = nextIndex;
continue;
}
try
{
//持仓查询，先平后开
//若当前有持仓 且 允许平仓
//是否是空仓,若position中所有品种volum都为0，则说明是空仓
bool isEmptyPosition = positions.Count != 0 ? positions[positions.Keys.Last()].Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
//若当前有持仓且允许交易
if (!isEmptyPosition && closingOn)
{
///平仓条件
/// （1）若当前为 回测结束日 或 tradingOn 为false，平仓
/// （2）若当前下穿下反转点*（1-容忍度），平多
//（1）若当前为 回测结束日 或 tradingOn 为false，平仓
if (isLastDayOfBackTesting || tradingOn == false)
{
next = MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
}
//（2）若当前下穿下反转点*（1-容忍度），平多
else
{
//计算下反转点
if (data[targetVariety][indexOfNow - 1].close >= nowDownReversionPoint * (1 - toleranceDegree) && nowClose < nowDownReversionPoint * (1 - toleranceDegree))
{
next = MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
}
}
}
//空仓 且可交易 可开仓
else if (isEmptyPosition && tradingOn && openingOn)
{
///开仓条件
/// 可用资金足够，且出现上反转信号
double nowFreeCash = myAccount.freeCash;
//开仓量，满仓梭哈
double openVolume = Math.Truncate(nowFreeCash / data[targetVariety][indexOfNow].close / contractTimes) * contractTimes;
//若剩余资金至少购买一手 且 出上反转信号 开仓
if (openVolume >= 1 && data[targetVariety][indexOfNow - 1].close <= nowUpReversionPoint * (1 + toleranceDegree) && nowClose > nowUpReversionPoint * (1 + toleranceDegree))
{
MinuteSignal openSignal = new MinuteSignal()
{
code = targetVariety, volume = openVolume, time = now, tradingVarieties = "stock", price = dataToday[targetVariety][index].close, minuteIndex = index
};
signal.Add(targetVariety, openSignal);
next = MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
//当天买入不可卖出
closingOn = false;
}
}
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, now, dataToday);
}
catch (Exception)
{
throw;
}
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
//抓取benchmark
benchmark.Add(dataToday[targetVariety].Last().close);
//显示当前信息
Console.WriteLine("Time:{0,-8:F},netWorth:{1,-8:F3}", day, myAccount.totalAssets / initialCapital);
}
//遍历输出到console
/*
* foreach (var account in accountHistory)
* Console.WriteLine("time:{0,-8:F}, netWorth:{1,-8:F3}\n", account.time, account.totalAssets / initialCapital);
*/
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,-3:F} \n totalReturn:{1,-3:F} \n anualReturn:{2,-3:F} \n anualSharpe :{3,-3:F} \n winningRate:{4,-3:F} \n PnLRatio:{5,-3:F} \n maxDrawDown:{6,-3:F} \n maxProfitRatio:{7,-3:F} \n informationRatio:{8,-3:F} \n alpha:{9,-3:F} \n beta:{10,-3:F} \n averageHoldingRate:{11,-3:F} \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");
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
/*
* //将accountHistory输出到csv
* var resultPath = ConfigurationManager.AppSettings["CacheData.ResultPath"] + "accountHistory.csv";
* var dt = DataTableUtils.ToDataTable(accountHistory); // List<MyModel> -> DataTable
* CsvFileUtils.WriteToCsvFile(resultPath, dt); // DataTable -> CSV File
*/
Console.ReadKey();
}
