/// <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);
}
}
/// <summary>
/// 跨式期权平仓
/// </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>
private void closeStrangle(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)
{
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), index);
double etfPriceNow = dataToday[targetVariety][index].open;
List <StranglePair> holdPairs = pairs.Last().Value;
StranglePair pair = holdPairs.Last();
//关闭当前组合，为挪仓做准备
tradeAssistant(ref dataToday, ref signal, pair.callCode, -pair.callPosition, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.putCode, -pair.putPosition, today, now, index);
pair.closeDate = now;
pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open;
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>();
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(宽)跨式组合信息
SortedDictionary <DateTime, List <StranglePair> > pairs = new SortedDictionary <DateTime, List <StranglePair> >();
//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>();
//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();
//按交易日回测
for (int day = 0; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
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 optionInfoList2 = 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(optionInfoList2, 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;
}
}
for (int index = 0; index < 234; index++) //遍历日内的逐个分钟(不包括最后5分钟)
{
signal = new Dictionary <string, MinuteSignal>();
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
double etfPriceNow = etfData[index].open;
//策略思路，当前没有持仓的时候开仓，如果有持仓就判断需不需要止盈或者换月
if (pairs.Count == 0 || (pairs.Count > 0 && pairs.Last().Value.Last().closePrice != 0)) //没有持仓则开仓，简单的在开盘1分钟的时候开仓
{
signal = new Dictionary <string, MinuteSignal>();
//今日没有合适的期权合约
if (duration == 0)
{
continue;
}
openStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index, duration);
}
StranglePair pair = pairs.Last().Value.Last();
double durationNow = DateUtils.GetSpanOfTradeDays(today, pair.endDate);
//如果有持仓，通过以下手段记录每日分钟信息
if ((pairs.Count > 0 && pairs.Last().Value.Last().closePrice == 0) && (dataToday.ContainsKey(pair.callCode) == false || dataToday.ContainsKey(pair.putCode) == false))
{
tradeAssistant(ref dataToday, ref signal, pair.callCode, 0, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.putCode, 0, today, now, index);
var callInfo = OptionUtilities.getOptionByCode(optionInfoList2, pair.callCode);
if (today.AddDays(1) >= callInfo.modifiedDate && !(today.AddDays(-10000) > callInfo.modifiedDate))
{
closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);
}
}
//检查每一个跨式或者宽跨式组合，看看需不需要调整
if (durationNow < 10 && etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion) //不用调仓直接平仓
{
closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);
}
else if (durationNow < 20 && !(etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion)) //跨期调仓
{
//先进行平仓，然后开仓
closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);//平仓
signal = new Dictionary <string, MinuteSignal>();
StranglePair newPair = new StranglePair();
if (etfPriceNow > pair.callStrike + motion)
{
OptionInfo call = getOptionCode(duration, etfPriceNow, "认购", today);
OptionInfo put = getOptionCode(duration, pair.putStrike, "认沽", today);
if (call.strike != 0 && put.strike != 0) //开仓
{
newPair = new StranglePair()
{
callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = today, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open
};
modifyStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, ref newPair, today, index);
}
}
else if (etfPriceNow < pair.putStrike - motion)
{
OptionInfo call = getOptionCode(duration, pair.callStrike, "认购", today);
OptionInfo put = getOptionCode(duration, etfPriceNow, "认沽", today);
if (call.strike != 0 && put.strike != 0) //开仓
{
newPair = new StranglePair()
{
callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = today, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open
};
modifyStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, ref newPair, today, index);
}
}
}
else if (durationNow >= 20 && !(etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion)) //不跨期调仓
{
if (etfPriceNow > pair.callStrike + motion)
{
//认购期权向上移仓
OptionInfo call = getOptionCode(durationNow, etfPriceNow, "认购", today);
if (call.strike != 0)
{
tradeAssistant(ref dataToday, ref signal, pair.putCode, 0, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.callCode, -pair.callPosition, today, now, index);
tradeAssistant(ref dataToday, ref signal, call.optionCode, call.contractMultiplier, today, now, index);
pair.closeDate = now;
pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open;
StranglePair newPair = new StranglePair()
{
callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = pair.putCode, putStrike = pair.putStrike, putPosition = pair.putPosition, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = now, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[pair.putCode][index].open
};
pairs.Last().Value.Add(newPair);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else if (etfPriceNow < pair.putStrike - motion)
{
//认沽期权向下移仓
OptionInfo put = getOptionCode(durationNow, etfPriceNow, "认沽", today);
if (put.strike != 0)
{
tradeAssistant(ref dataToday, ref signal, pair.callCode, 0, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.putCode, -pair.putPosition, today, now, index);
tradeAssistant(ref dataToday, ref signal, put.optionCode, put.contractMultiplier, today, now, index);
pair.closeDate = now;
pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open;
StranglePair newPair = new StranglePair()
{
callCode = pair.callCode, callStrike = pair.callStrike, callPosition = pair.callPosition, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = put.endDate, etfPrice = etfPriceNow, modifiedDate = now, strangleOpenPrice = dataToday[pair.callCode][index].open + dataToday[put.optionCode][index].open
};
pairs.Last().Value.Add(newPair);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
}
}
if (etfData.Count > 0)
{
//更新当日属性信息
AccountOperator.Minute.maoheng.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: "strangle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "strangle", 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: "strangle", 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();
//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());
}
/// <summary>
/// 跨式期权调仓
/// </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 modifyStrangle(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, ref StranglePair newPair, DateTime today, int index)
{
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), index);
tradeAssistant(ref dataToday, ref signal, newPair.callCode, newPair.callPosition, today, now, index);
tradeAssistant(ref dataToday, ref signal, newPair.putCode, newPair.putPosition, today, now, index);
pairs.Last().Value.Add(newPair);
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>();
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());
}
