private StraddlePairCode getStraddlePairCode(List <OptionInfo> optionInfoList, double durationFront, double durationNext, double etfPrice, DateTime today) { StraddlePairCode pair = new StraddlePairCode(); var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationFront), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList(); pair.callCodeFront = call[0].optionCode; var callATM = call[0]; var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationFront), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList(); pair.putCodeFront = put[0].optionCode; var callNext = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationNext), "认购").OrderBy(x => Math.Abs(x.strike - callATM.strike)).Where(x => x.startDate <= today).ToList(); pair.callCodeNext = callNext[0].optionCode; var putNext = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationNext), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList(); pair.putCodeNext = putNext[0].optionCode; return(pair); }
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(); 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>(); //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++) { 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 DateTime today = etfDailyData[i].time; 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 (optionVol[i - 1] < volYesterday) //{ // //买入跨式期权 // orignalSignal = 1; //} //else if (optionVol[i - 1] - volYesterday > epsilon[i - 1]) //{ // //卖出跨式期权 // orignalSignal = -1; //} //信号2 orignalSignal = 0; if (volYesterday - impvYesterday > 0 && volYesterday <= fractile70Yesterday) { //买入跨式期权 //orignalSignal = 1; } else if (impvYesterday - volYesterday > 2 * 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。 DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), 0); 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) { //平仓之前获取IH数据 if (holdingStatus.IHCode != null) { var IHData = Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.IHCode, today); dataToday.Add(holdingStatus.IHCode, IHData.Cast <KLine>().ToList()); } 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!"); MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, 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!"); MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, 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。 int 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].close, minuteIndex = openIndex }; MinuteSignal openSignalPut = new MinuteSignal() { code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, 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].close; holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close; 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].close, minuteIndex = openIndex }; MinuteSignal openSignalPut = new MinuteSignal() { code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, 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].close; holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close; holdingStatus.straddleOpenDate = today; holdingStatus.endDate = callATM.endDate; holdingStatus.strike = callATM.strike; } MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false); } //每日收盘前,整理持仓情况 int thisIndex = 239; var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex); 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()); } AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday); } //更新当日属性信息 AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, 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}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate); } //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)); }
private void computeImpv() { optionVol = new double[etfDailyData.Count()]; for (int i = startIndex; i < etfDailyData.Count(); i++) { DateTime today = etfDailyData[i].time; double etfPrice = etfDailyData[i].close; double volThisMonth; double volNextMonth; double duration; //获取当日期限结构,选取当月合约 List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today); double duration0 = dateStructure[0] == 0 ? 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 <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, 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 <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today); double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice); if (callImpv * putImpv == 0) { volThisMonth = callImpv + putImpv; } else { volThisMonth = (callImpv + putImpv) / 2; } //获取当日期限结构,选取下月合约,若下月合约不存在,就获取季月合约 double duration1 = dateStructure[0] == 0 ? dateStructure[2] : dateStructure[1]; duration = duration1; call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList(); callATM = call[0]; callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today); callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice); put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList(); putATM = put[0]; putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today); putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice); if (callImpv * putImpv == 0) { volNextMonth = callImpv + putImpv; } else { volNextMonth = (callImpv + putImpv) / 2; } if (duration0 >= step) { optionVol[i] = Math.Sqrt(step / duration0) * volThisMonth; } else if ((duration0 < step && duration1 > step)) { optionVol[i] = Math.Sqrt((duration1 - step) / (duration1 - duration0)) * volThisMonth + Math.Sqrt((step - duration0) / (duration1 - duration0)) * volNextMonth; } else if (duration1 <= step) { optionVol[i] = volNextMonth; } } }
/// <summary> /// 获取对应的期权合约 /// </summary> /// <param name="duration"></param> /// <param name="strike"></param> /// <param name="etfPriceNow"></param> /// <param name="type"></param> /// <param name="today"></param> /// <returns></returns> private OptionInfo getOptionCode(double duration, double etfPriceNow, string type, DateTime today) { OptionInfo option = new OptionInfo(); var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today); if (type == "认购") { //选取指定的看涨期权 var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList(); if (list.Count > 0) { option = list[0]; } } else if (type == "认沽") { //选取指定的看跌期权 var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.5, etfPriceNow), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList(); if (list.Count > 0) { option = list[0]; } } return(option); }
/// <summary> /// 跨式期权开仓 /// </summary> /// <param name="dataToday"></param> /// <param name="signal"></param> /// <param name="positions"></param> /// <param name="myAccount"></param> /// <param name="pairs"></param> /// <param name="today"></param> /// <param name="index"></param> /// <param name="duration"></param> private void openStrangle(ref Dictionary <string, List <KLine> > dataToday, ref Dictionary <string, MinuteSignal> signal, ref SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, ref BasicAccount myAccount, ref SortedDictionary <DateTime, List <StranglePair> > pairs, DateTime today, int index, double duration) { DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), index); double etfPriceNow = dataToday[targetVariety][index].open; var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today); //选取指定的看涨期权 var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList(); OptionInfo call = list[0]; //根据给定的看涨期权选取对应的看跌期权 OptionInfo put = OptionUtilities.getCallByPutOrPutByCall(optionInfoList, call); if (call.strike != 0 && put.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //跨式期权组合存在进行开仓 { tradeAssistant(ref dataToday, ref signal, call.optionCode, call.contractMultiplier, today, now, index); tradeAssistant(ref dataToday, ref signal, put.optionCode, put.contractMultiplier, today, now, index); StranglePair openPair = new StranglePair() { callCode = call.optionCode, putCode = put.optionCode, callPosition = call.contractMultiplier, putPosition = put.contractMultiplier, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike, modifiedDate = now, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open, closeDate = new DateTime(), closePrice = 0 }; List <StranglePair> pairList = new List <StranglePair>(); pairList.Add(openPair); pairs.Add(now, pairList); MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); } }
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>(); var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1); Caches.put("OptionInfo", optionInfoList); SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >(); //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>(); ///数据准备 //记录牛市价差两条腿的信息 BullSpread myLegs = new BullSpread(); //交易日信息 List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate); //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); //计算50ETF的EMA var closePrice = dailyData.Select(x => x.close).ToArray(); List <double> ema7 = TA_MA.EMA(closePrice, 5).ToList(); List <double> ema50 = TA_MA.EMA(closePrice, 20).ToList(); List <double> ema10 = TA_MA.EMA(closePrice, 10).ToList(); double maxProfit = 0; for (int day = 1; day < tradeDays.Count(); day++) { benchmark.Add(closePrice[day + number]); var today = tradeDays[day]; myAccount.time = today; var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]); double duration = 0; for (int i = 0; i < dateStructure.Count(); i++) { if (dateStructure[i] >= 20 && dateStructure[i] <= 40) { duration = dateStructure[i]; break; } } Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>(); var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]); if (ema7[day + number - 1] - ema50[day + number - 1] > 0 && dailyData[number + day - 1].close > ema10[day + number - 1] && myLegs.strike1 == 0) // EMA7日线大于EMA50日线,并且ETF价格站上EMA10,开牛市价差 { //取出指定日期 double lastETFPrice = dailyData[number + day - 1].close; Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >(); dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList()); DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), 0); //MinuteSignal openSignal = new MinuteSignal() { code = targetVariety, volume = 10000, time = now, tradingVarieties = "stock", price =averagePrice, minuteIndex = day }; //signal.Add(targetVariety, openSignal); //选取指定的看涨期权 var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, tradeDays[day], duration), "认购"), lastETFPrice, lastETFPrice + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList(); //如果可以构成看涨期权牛市价差,就开仓 if (list.Count() >= 2) { var option1 = list[0]; var option2 = list[list.Count() - 1]; var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option1.optionCode, today); var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option2.optionCode, today); if ((option1Data[0].close > 0 && option2Data[0].close > 0) == true) { dataToday.Add(option1.optionCode, option1Data.Cast <KLine>().ToList()); dataToday.Add(option2.optionCode, option2Data.Cast <KLine>().ToList()); //var vol1 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option1.strike, duration / 252.0, 0.04, 0, option1.optionType, option1Data[0].close, etfData[0].close); //var vol2 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option2.strike, duration / 252.0, 0.04, 0, option2.optionType, option2Data[0].close, etfData[0].close); MinuteSignal openSignal1 = new MinuteSignal() { code = option1.optionCode, volume = 10000, time = now, tradingVarieties = "option", price = option1Data[0].close, minuteIndex = 0 }; MinuteSignal openSignal2 = new MinuteSignal() { code = option2.optionCode, volume = -10000, time = now, tradingVarieties = "option", price = option2Data[0].close, minuteIndex = 0 }; Console.WriteLine("开仓!"); signal.Add(option1.optionCode, openSignal1); signal.Add(option2.optionCode, openSignal2); myLegs.code1 = option1.optionCode; myLegs.code2 = option2.optionCode; myLegs.strike1 = option1.strike; myLegs.strike2 = option2.strike; myLegs.endDate = option1.endDate; myLegs.spreadPrice_Open = option1Data[0].close - option2Data[0].close; myLegs.etfPrice_Open = etfData[0].close; myLegs.spreadOpenDate = now; maxProfit = 0; Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", now, etfData[0].close, myLegs.strike1, option1Data[0].close, myLegs.strike2, option2Data[0].close); } } MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false); } if (positions.Count() > 0 && myLegs.strike1 != 0) { Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >(); dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList()); var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code1, today); var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code2, today); dataToday.Add(myLegs.code1, option1Data.Cast <KLine>().ToList()); dataToday.Add(myLegs.code2, option2Data.Cast <KLine>().ToList()); int thisIndex = 239; var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex); var etfPriceNow = etfData[thisIndex].close; var durationNow = DateUtils.GetSpanOfTradeDays(today, myLegs.endDate); Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", thisTime, etfPriceNow, myLegs.strike1, option1Data[thisIndex].close, myLegs.strike2, option2Data[thisIndex].close); //多个退出条件①收益达到最大收益的60%以上②多日之内不上涨③迅速下跌 double spreadPrice = option1Data[thisIndex].close - option2Data[thisIndex].close; maxProfit = (spreadPrice - myLegs.spreadPrice_Open) > maxProfit ? spreadPrice - myLegs.spreadPrice_Open : maxProfit; double holdingDays = DateUtils.GetSpanOfTradeDays(myLegs.spreadOpenDate, today); //止盈 bool profitTarget = (spreadPrice) > 0.6 * (myLegs.strike2 - myLegs.strike1) && durationNow >= 10; //止损 bool lossTarget1 = (spreadPrice - myLegs.spreadPrice_Open) < 0 && holdingDays > 20; bool lossTarget2 = etfPriceNow < myLegs.strike1 - 0.2; bool lossTarget3 = spreadPrice / myLegs.spreadPrice_Open < 0.6; bool lossTarget4 = maxProfit > 0.02 && (spreadPrice - myLegs.spreadPrice_Open) / maxProfit < 0.8; if (profitTarget || lossTarget1 || lossTarget2 || lossTarget3 || lossTarget4 || durationNow <= 1 || holdingDays >= 7) { Console.WriteLine("平仓!"); maxProfit = 0; myLegs = new BullSpread(); MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, thisTime, slipPoint); } AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday); } else { int thisIndex = 239; var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex); Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >(); dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList()); AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday); } BasicAccount tempAccount = new BasicAccount(); tempAccount.time = myAccount.time; tempAccount.freeCash = myAccount.freeCash; tempAccount.margin = myAccount.margin; tempAccount.positionValue = myAccount.positionValue; tempAccount.totalAssets = myAccount.totalAssets; tempAccount.initialAssets = myAccount.initialAssets; accountHistory.Add(tempAccount); } //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: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_")); //记录持仓变化 var positionStatus = OptionRecordUtil.Transfer(positions); RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", 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: "EMA7_EMA50", 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() { 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Account信息 BasicAccount myAccount = new BasicAccount(); myAccount.initialAssets = initialCapital; myAccount.totalAssets = initialCapital; myAccount.freeCash = myAccount.totalAssets; //初始化持仓信息 StranglePair holdPair = new StranglePair(); //记录历史账户信息 List <BasicAccount> accountHistory = new List <BasicAccount>(); List <double> benchmark = new List <double>(); //可以变动的策略参数 int length = 40; double range = 0.04; //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(); var ETFMA = TA_MA.SMA(closePrice, length); //获取中国波指的数据 List <StockDaily> iVix = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("000188.SH", startDate, endDate); //按交易日回测 for (int day = 0; day < tradeDays.Count(); day++) { benchmark.Add(closePrice[day + number]); double MAyesterday = ETFMA[day + number - 1]; 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 optionInfoList = 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(optionInfoList, 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; // } //} duration = dateStructure[1]; //如果没有持仓就开仓 if (holdPair.endDate == new DateTime()) { if (duration == 0) { continue; } //按照开盘1分钟的价格来开平仓。 int index = 0; DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index); double etfPriceNow = etfData[index].open; if (etfPriceNow > MAyesterday * (1 + range))//看涨,卖出虚值的put { var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList(); if (list.Count == 0) { continue; } OptionInfo put = list[0]; if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today)) //开仓 { tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index); holdPair = new StranglePair() { callCode = "", putCode = put.optionCode, callPosition = 0, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = 0, putStrike = put.strike }; MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); } } else if (etfPriceNow < MAyesterday * (1 - range))//看跌,卖出虚值的call { var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList(); if (list.Count == 0) { continue; } OptionInfo call = list[0]; if (call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓 { tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index); holdPair = new StranglePair() { callCode = call.optionCode, putCode = "", callPosition = -call.contractMultiplier, putPosition = 0, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = 0 }; MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); } } else//不涨不跌,卖出宽跨式期权 { var putList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList(); var callList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList(); if (putList.Count == 0 || callList.Count == 0) { continue; } OptionInfo call = callList[0]; OptionInfo put = putList[0]; if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today) && call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓 { tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index); tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index); holdPair = new StranglePair() { callCode = call.optionCode, putCode = put.optionCode, callPosition = -call.contractMultiplier, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike }; MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); } } } else //如果有持仓就判断需不需要移仓 { double durationNow = DateUtils.GetSpanOfTradeDays(today, holdPair.endDate); int index = 234; DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index); if (holdPair.callPosition != 0) { tradeAssistant(ref dataToday, ref signal, holdPair.callCode, -holdPair.callPosition, today, now, index); } if (holdPair.putPosition != 0) { tradeAssistant(ref dataToday, ref signal, holdPair.putCode, -holdPair.putPosition, today, now, index); } if (durationNow <= 10) //强制平仓 { //按照收盘前5分钟的价格来开平仓。 MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index); holdPair = new StranglePair(); } } if (etfData.Count > 0) { //更新当日属性信息 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: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_")); //记录持仓变化 var positionStatus = OptionRecordUtil.Transfer(positions); RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "ShortOptionByMA", 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: "ShortOptionByMA", 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("50ETF", netWorthOfBenchmark.ToArray()); // ivix数据 double[] iVixClose = iVix.Select(x => x.close / iVix[0].close).ToArray(); //line.Add("iVix", iVixClose); 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()); }