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()
{
//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(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//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;
StraddlePair holdingStatus = new StraddlePair();
//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++)
{
DateTime today = etfDailyData[i].time;
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//若当日发生50ETF分红派息，myAccount要加上分红的钱,并且需要调整持有头寸的strike
if (today == timeOf50ETFDividend2016 && positions.Count > 0 && positions.Last().Value.ContainsKey("510050.SH"))
{
//50ETF的头寸中记入分红
positions.Last().Value["510050.SH"].totalCashFlow += positions.Last().Value["510050.SH"].volume * bonusOf50ETFDividend2016;
//期权持仓行权价调整
foreach (var item in optionInfoList)
{
if (item.optionCode == holdingStatus.callCodeFront)
{
holdingStatus.strike = item.strike;
holdingStatus.callPositionFront *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPositionFront *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.callPositionNext *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPositionNext *= item.contractMultiplier / standardContractMultiplier;
}
}
}
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
double etfPrice = etfDailyData[i].close;
//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 durationFront = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
double durationNext = dateStructure[0] <= 3 ? dateStructure[2] : dateStructure[1];
StraddlePairCode myPair = getStraddlePairCode(optionInfoList, durationFront, durationNext, etfPrice, today);
var callATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeFront);
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
var putATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeFront);
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
var callATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeNext);
var callPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATMNext.optionCode, today);
var putATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeNext);
var putPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATMNext.optionCode, today);
//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());
dataToday.Add(callATMNext.optionCode, callPriceNext.Cast <KLine>().ToList());
dataToday.Add(putATMNext.optionCode, putPriceNext.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 (impvYesterday < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (impvYesterday - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile50Yesterday)
{
//买入跨式期权
orignalSignal = 1;
}
else if (impvYesterday - volYesterday > 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。
int openIndex = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
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.callPositionFront != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false)
{
var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today);
dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false)
{
var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today);
dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false)
{
var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today);
dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false)
{
var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today);
dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.Cast <KLine>().ToList());
}
if (holdingStatus.callPositionFront * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new StraddlePair();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new StraddlePair();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPositionFront == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCallFront = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutFront = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalCallNext = new MinuteSignal()
{
code = callATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutNext = new MinuteSignal()
{
code = putATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCallFront);
signal.Add(putATM.optionCode, openSignalPutFront);
signal.Add(callATMNext.optionCode, openSignalCallNext);
signal.Add(putATMNext.optionCode, openSignalPutNext);
//变更持仓状态
holdingStatus = new StraddlePair {
callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = optionVolume, putPositionFront = optionVolume, callPositionNext = -optionVolume, putPositionNext = -optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = callPrice[openIndex].open + putPrice[openIndex].open - callPriceNext[openIndex].open - putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate
};
}
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].open, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalCallNext = new MinuteSignal()
{
code = callATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutNext = new MinuteSignal()
{
code = putATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
signal.Add(callATMNext.optionCode, openSignalCallNext);
signal.Add(putATMNext.optionCode, openSignalPutNext);
//变更持仓状态
holdingStatus = new StraddlePair {
callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = -optionVolume, putPositionFront = -optionVolume, callPositionNext = optionVolume, putPositionNext = optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = -callPrice[openIndex].open - putPrice[openIndex].open + callPriceNext[openIndex].open + putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate
};
}
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: openIndex);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
double delta = 0;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
if (today >= timeOf50ETFDividend2016)
{
benchmark.Add(etfData[thisIndex].close + bonusOf50ETFDividend2016);
}
else
{
benchmark.Add(etfData[thisIndex].close);
}
if (holdingStatus.callPositionFront != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false)
{
var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today);
dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false)
{
var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today);
dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false)
{
var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today);
dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false)
{
var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today);
dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.Cast <KLine>().ToList());
}
//计算期权delta值，并用50ETF对冲
//var positionLast = positions.Last().Value;
//delta= computeOptionDelta(positionLast, holdingStatus, today, dataToday, thisIndex);
//double etfChangeVolume =Math.Round( -delta - holdingStatus.etfPosition);
//MinuteSignal openSignalETF = new MinuteSignal() { code = "510050.SH", volume = etfChangeVolume, time = thisTime, tradingVarieties = "stock", price = dataToday["510050.SH"][thisIndex].open, minuteIndex = thisIndex };
//signal = new Dictionary<string, MinuteSignal>();
//signal.Add("510050.SH", openSignalETF);
//MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: thisTime);
//holdingStatus.etfPosition += etfChangeVolume;
// AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, thisTime, data: dataToday, nowIndex: thisIndex);
//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.callPositionFront != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}, delta: {7}, etfVolume: {8}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPositionFront, dataToday[holdingStatus.callCodeFront][thisIndex].close, dataToday[holdingStatus.putCodeFront][thisIndex].close, holdingStatus.endDate, delta, holdingStatus.etfPosition);
}
//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));
}