public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data) { MarketData md = data.GetData(MarketDataSetKey.KospiFuture); DOHLC dohlc = md.GetData(targetDate); double curValue = dohlc.OHLC.Close; AssetAdjustment ret = null; if (_prevValue > 0) { // 평균 변동성을 구한다. double increment = (curValue - _prevValue) / _prevValue; _ma.Add(increment); double avgIncrement = _ma.GetCurMA(); int level = (int)(avgIncrement * 100); double kospiFactor = 1.3 - 0.1 * level; ret = new AssetAdjustment(kospiFactor * _weight, 1, 1); } else { ret = new AssetAdjustment(1, 1, 1); } _prevValue = curValue; return ret; }
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data) { OperationRow opData = opSet.GetData(_key); Boolean on = opData.On; AssetAdjustment others = _nextAdjustment.CalculateAssetWeight(opSet, targetDate, data); if (on) { AssetAdjustment mine = new AssetAdjustment(_kospiAdjustment, _bondAdjustment, _dollarAdjustment); Operation op = opData.Op; if (op == Operation.Multiply) { AssetAdjustment ret = AdjustmentUtil.Multiply(mine, others); return ret; } else { logger.Warn("Multiply 이외의 기능은 아직 제공하고 있지 않음"); return others; } } else { return others; } }
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data) { LogRow row = new LogRow(); row.CurDate = targetDate; row.PrevAreaNumber = _prevAreaNumber; row.PrevUpDown = _prevUpDown; MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate); DOHLC dohlc = md.GetData(targetDate); _ma.Add(dohlc.OHLC.Close); double ma = _ma.GetCurMA(); int areaNumber = GetAreaNumber(ma); double kospiWeight = GetKospiWeight(areaNumber, row); _logs.Add(row); if (targetDate > new DateTime(2007, 6, 1)) { return new AssetAdjustment(kospiWeight, 1, 1); } else { _prevUpDown = UpDown.Unknown; } return new AssetAdjustment(1, 1, 1); }
public DefaultStrategy(String strategyName, StrategyBaseInput input) { this.StrategyName = strategyName; this.Input = input; this._allocBase = new StaticAlloc(); this._opSet = new OperationSet(); this._adjustment = new DummyAdjustment(); }
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data) { if (_adjs.ContainsKey(targetDate)) { Tuple<double, double, double> t = _adjs[targetDate]; AssetAdjustment aa = new AssetAdjustment(t); _prev = aa; return aa; } return _prev; }
AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data) { MarketData md = data.GetData(MarketDataSetKey.DollarSpot); DOHLC dohlc = md.GetData(targetDate); double cur = dohlc.OHLC.Close; const double kMax = 1800; const double kMin = 900; double rate = (kMax - cur) / (kMax - kMin); rate = Math.Max(0, rate); rate = Math.Min(1, rate); rate = 0.5 + rate; return new AssetAdjustment(1, 1, rate * _weight); }
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data) { AssetAdjustment adj = new AssetAdjustment(1, 1, 1); if (targetDate > new DateTime(2007, 6, 1)) { DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData); MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate); DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo); double rate = dohlc.OHLC.Close; double kospiAdjustment = GetKospiAdjustment(rate); adj = new AssetAdjustment(kospiAdjustment, 1, 1); } return adj; }
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data) { RowInfo curRow = GetCurRowWithBasicInfo(targetDate, data); //포지션 정보를 설정한다. SetPositionInfo(targetDate, data, curRow); // 전일대비 변동율을 구한다. SetFutureIncrement(curRow, _prevRow); this._cumData.Add(curRow); // 코스피 선물 평균 변동성을 구한다. curRow.KospiVol = this._cumData.GetKospiAvgVol(); // 비중을 구한다. AssetAdjustment adj = GetAdj(curRow); curRow.AssetAdj = adj; this._prevRow = curRow; return adj; }
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data) { MarketData md = data.GetData(MarketDataSetKey.BokRate); DOHLC dohlc = md.GetData(targetDate); AssetAdjustment ret = null; if (_prevMarketData == null) { ret = new AssetAdjustment(1, 1, 1); } else { double prevValue = _prevMarketData.OHLC.Close; double curValue = dohlc.OHLC.Close; // changed more than 1 bp if (Math.Abs(prevValue - curValue) > 0.01) { double increment = curValue / prevValue - 1; // 금리 변동이 있다. BokRateEvent ev = new BokRateEvent(); ev.TargetIncrement = increment; ev.StartDate = targetDate; ev.EndDate = targetDate.AddYears(kEventDuration); ev.EventKey = _eventKeyGenerator++; ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down; _events.Add(ev); _lastEvent = ev; } ret = GetIncrement(targetDate); } _prevMarketData = dohlc; return ret; }
public static AssetAdjustment Calculate( int key, AssetAdjustment mine, IAdjustment next, OperationSet opSet, DateTime targetDate, MarketDataSet data) { if (next == null) { return mine; } OperationRow opData = opSet.GetData(key); Boolean on = opData.On; AssetAdjustment others = next.CalculateAssetWeight(opSet, targetDate, data); if (on) { Operation op = opData.Op; if (op == Operation.Multiply) { AssetAdjustment ret = AdjustmentUtil.Multiply(mine, others); return ret; } else { Trace.Assert(false); return others; } } else { return others; } }
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data) { AssetAdjustment adj = CalculateAssetWeight_Raw(opSet, targetDate, data); return AdjustmentUtil.Calculate(_key, adj, _nextAdjustment, opSet, targetDate, data); }
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data) { return new AssetAdjustment(1, 1, 1); }