private void CalcBudget(PricePairList profits, PricePairList positionValues)
{
foreach (var date in profits.Dates)
{
_budget = Math.Max(_budget, positionValues[date].Book - profits[date].Book);
}
}
private void CalcMaxPosition(PricePairList positionValues)
{
var max = new PricePair();
foreach (var value in positionValues)
{
max = PricePair.Max(max, value);
}
_marketMaxPosition = max.Market;
_bookMaxPosition = max.Book;
}
// ReSharper disable ParameterTypeCanBeEnumerable.Local
private void CalcDrowdown(PricePairList profits)
// ReSharper restore ParameterTypeCanBeEnumerable.Local
{
var maxProfit = new PricePair();
var maxDrowdown = new PricePair();
foreach (var profit in profits)
{
maxProfit = PricePair.Max(maxProfit, profit);
maxDrowdown = PricePair.Min(maxDrowdown, profit - maxProfit);
}
_marketMaxDrowDown = maxDrowdown.Market;
_bookMaxDrowDown = maxDrowdown.Book;
}
private PricePairList AnalyzeLogs(BackgroundWorker worker)
{
var profits = new PricePairList();
var positionValues = new PricePairList();
var count = 0;
if (PriceData.MaxDate == DateTime.MinValue)
{
throw new Exception("株価データがありません。");
}
using (var logData = new LogData(_name, _timeFrame))
{
foreach (var code in _brandList.List)
{
if (worker.CancellationPending)
{
return(null);
}
var prices = PriceData.GetPrices(code, _timeFrame);
if (prices == null)
{
continue;
}
var logs = logData.GetLog(code);
var logIndex = 0;
var prevClose = 0;
var prevHigh = 0;
var position = 0;
var totalBuy = 0f;
var totalSell = 0f;
var startDate = DateTime.MinValue;
var averagePrice = 0f;
foreach (var price in prices)
{
if (worker.CancellationPending)
{
return(null);
}
var dailyProfit = profits[price.Date];
var dailyValue = positionValues[price.Date];
var close = price.Close;
// if (position != 0 && close > 0 && prevClose > 0)
// dailyProfit.AddMarket(position, close - prevClose); // 時価の前日比を加算する。
if (position != 0 && close > 0 && prevClose > 0)
{
dailyProfit.AddMarket(position, close - prevClose); // 時価の前日比を加算する。
}
if (close > 0)
{
prevClose = close;
}
if (price.High > 0)
{
prevHigh = price.High;
}
dailyValue.AddMarket(Math.Abs(position), prevHigh);
// dailyValue.AddMarket(Math.Abs(position), prevHigh);
Log log;
if (logIndex == logs.Count || logs[logIndex].Date != price.Date || // 売買が発生しない。
(log = logs[logIndex++]).Quantity == 0) // 0株の売買は無視する。
{
continue;
}
var prevPosition = position;
var consideration = (float)log.Quantity * log.Price;
if (log.Order == Order.Buy)
{
position += log.Quantity;
totalBuy += consideration;
if (close > 0)
{
dailyProfit.AddMarket(log.Quantity, close - log.Price);
}
// if (close > 0)
// dailyProfit.AddMarket(log.Quantity, close - log.Price);
}
else
{
position -= log.Quantity;
totalSell += consideration;
// if (close > 0)
// dailyProfit.AddMarket(log.Quantity, log.Price - close);
if (close > 0)
{
dailyProfit.AddMarket(log.Quantity, log.Price - close);
}
}
var abs = Math.Abs(position);
var prevAbs = Math.Abs(prevPosition);
if ((float)position * prevPosition > 0) // トレード継続
{
if (abs < prevAbs)
{
dailyValue.AddBook(log.Quantity, -averagePrice);
dailyProfit.AddBook(log.Quantity, Math.Sign(position) * (log.Price - averagePrice));
}
else
{
averagePrice = (prevAbs * averagePrice + consideration) / abs;
dailyValue.AddBook(consideration);
}
continue;
}
dailyValue.AddBook(prevAbs, -averagePrice);
dailyProfit.AddBook(prevPosition, log.Price - averagePrice);
if (position == 0) // トレード終了
{
averagePrice = 0;
}
else // ドテンかトレード開始
{
dailyValue.AddBook(abs, log.Price);
averagePrice = log.Price;
startDate = log.Date;
if (prevPosition == 0) // トレード開始
{
continue;
}
}
// ドテンの補正
var realTotalBuy = totalBuy;
var realTotalSell = totalSell;
totalBuy = totalSell = 0;
if (position > 0)
{
realTotalBuy -= (totalBuy = (float)position * log.Price);
}
else if (position < 0)
{
realTotalSell -= (totalSell = (float)-position * log.Price);
}
EvaluateTrade(log.Order == Order.Sell, (log.Date - startDate).Days, realTotalBuy, realTotalSell, log.Date, dailyProfit);
}
if (position != 0)
{
_runningTrades++;
}
worker.ReportProgress(100 * ++count / _brandList.List.Count);
}
}
var realPositionValues = positionValues.BookAccumulatedList;
CalcMaxPosition(realPositionValues);
var realProfits = profits.AccumulatedList;
CalcBudget(realProfits, realPositionValues);
CalcDrowdown(realProfits);
return(realProfits);
}
