Example #1
0
        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);
        }
Example #2
0
        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));
        }