public List <OptionTickFromMssql> fetchFromLocalCsvOrMssqlAndResampleAndSave(string code, DateTime date, TimeLine timeline)
{
var data = fetchFromLocalCsv(code, date, "OptionTickFromMssql.Resampled");
//从csv中取出数据后，需要整理bid及ask数据
if (data != null)
{
foreach (var item in data)
{
if (item.ask == null)
{
item.ask = new Position[5];
item.ask[0] = new Position(item.ask1, item.askv1);
item.ask[1] = new Position(item.ask2, item.askv2);
item.ask[2] = new Position(item.ask3, item.askv3);
item.ask[3] = new Position(item.ask4, item.askv4);
item.ask[4] = new Position(item.ask5, item.askv5);
}
if (item.bid == null)
{
item.bid = new Position[5];
item.bid[0] = new Position(item.bid1, item.bidv1);
item.bid[1] = new Position(item.bid2, item.bidv2);
item.bid[2] = new Position(item.bid3, item.bidv3);
item.bid[3] = new Position(item.bid4, item.bidv4);
item.bid[4] = new Position(item.bid5, item.bidv5);
}
}
}
bool csvFound = (data != null);
data = fetchFromMssql(code, date, "OptionTickFromMssql.Resampled");
var data2 = SequentialUtils.ResampleAndAlign(data, timeline, date);
if (!csvFound && data != null)
{
saveToLocalCsv(data2, code, date, "OptionTickFromMssql.Resampled");
}
return(data2);
}
public void compute()
{
///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());
}
}
var tick = Platforms.container.Resolve <StockTickRepository>().fetchFromMssql(targetVariety, Kit.ToDate(20160905));
List <StockTickFromMssql> tick2 = SequentialUtils.ResampleAndAlign(tick, Constants.timeline500ms, Kit.ToDate(20160905));
///指标计算
var closePrice = tick2.Select(x => x.bid[1].price).ToArray();
Stopwatch stopwatch2 = new Stopwatch();
stopwatch2.Start(); // 开始监视代码运行时间
var MAValue = TA_MA.SMA(closePrice, periods);
stopwatch2.Stop(); // 停止监视
TimeSpan timespan2 = stopwatch2.Elapsed; // 获取当前实例测量得出的总时间
Console.WriteLine("Calc MA2 Running Time: {0}", timespan2.TotalSeconds);
Console.ReadKey();
}
/// <summary>
/// 50ETF，Tick级双均线策略
/// </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;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
Dictionary <string, List <TickFromMssql> > data = new Dictionary <string, List <TickFromMssql> >();
foreach (var tempDay in tradeDays)
{
var tick = Platforms.container.Resolve <FuturesTickRepository>().fetchFromMssql(targetVariety, tempDay);
List <FuturesTickFromMssql> tick2 = SequentialUtils.ResampleAndAlign(tick, Constants.timeline500ms, tempDay);
if (!data.ContainsKey(targetVariety))
{
data.Add(targetVariety, tick2.Cast <TickFromMssql>().ToList());
}
else
{
data[targetVariety].AddRange(tick2.Cast <TickFromMssql>().ToList());
}
}
//计算需要指标
//（1）回测期长均线
//（2）回测期短均线
List <double> longMA = new List <double>();
List <double> shortMA = new List <double>();
List <double> benchmark = new List <double>();
var lastPrice = data[targetVariety].Select(x => x.lastPrice).ToArray();
longMA = TA_MA.SMA(lastPrice, longLength).ToList();
shortMA = TA_MA.SMA(lastPrice, shortLength).ToList();
// double[] dif = new double[lastPrice.Length];
// double[] dea = new double[lastPrice.Length];
// double[] macdHist = new double[lastPrice.Length];
// TA_MACD.compute(lastPrice, new int[] { 26, 12, 9 }, out dif, out dea, out macdHist);
int indexOfNow = -1;//记录整个data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 <TickFromMssql> > dataToday = new Dictionary <string, List <TickFromMssql> >();
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 dayLength = dataToday[targetVariety].Count;
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 Tick
while (index < dayLength)
{
int nextIndex = index + 1;
indexOfNow++;
DateTime now = TimeListUtility.IndexToTickDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, TickSignal> signal = new Dictionary <string, TickSignal>();
DateTime next = new DateTime();
// int indexOfNow = data[targetVariety].FindIndex(s => s.time == now);
double nowPrice = dataToday[targetVariety][index].lastPrice;
myAccount.time = now;
//实际操作从第一个回望期后开始
if (indexOfNow < longLength - 1)
{
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）若短均线下穿长均线，平多
//（1）若当前为 回测结束日 或 tradingOn 为false，平仓
if (isLastDayOfBackTesting || tradingOn == false)
{
next = TickCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
break;
}
//（2）若短均线下穿长均线，平多
else if (Cross.crossDown(shortMA, longMA, indexOfNow))
{
next = TickCloseAllPositonsWithSlip.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，且短均线上传长均线
double nowFreeCash = myAccount.freeCash;
//开仓量，满仓梭哈
double openVolume = Math.Truncate(nowFreeCash / data[targetVariety][indexOfNow].lastPrice / 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 && Cross.crossUp(shortMA, longMA, indexOfNow))
{
TickSignal openSignal = new TickSignal()
{
code = targetVariety, volume = openVolume, time = now, tradingVarieties = "stock", price = dataToday[targetVariety][index].lastPrice, tickIndex = index
};
signal.Add(targetVariety, openSignal);
next = TickTransactionWithSlip.computeTickOpenPositions(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
AccountUpdatingForTick.computeAccountUpdating(ref myAccount, positions, now, dataToday);
}
catch (Exception)
{
throw;
}
nextIndex = Math.Max(nextIndex, TimeListUtility.TickToIndex(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().lastPrice);
//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);
*/
//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
*/
//统计指标在console 上输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
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));
Console.ReadKey();
}