private void SimulateStrategyBear5K(DateTime dtStartDate, DateTime dtEndDate, StrategyExcel strategyExcel, string sStrategyName1, string sStrategyName2)
{
int nAT = 0, n2AT = 0, nDirection = 2;
double dSR = 0, dEV = 0, d2SR = 0, d2EV = 0;
int nSG = m_Config.SG, nSL = m_Config.SL;
if (m_Config.SG == 0)
nSG = 10000;
if (m_Config.SL == 0)
nSL = 10000;
try
{
foreach (KeyValuePair<int, DateStrategyMap> kp in m_DateStrategy)
{
DateStrategyMap dsMap = kp.Value;
if (dsMap.Date.CompareTo(dtStartDate) < 0 || dsMap.Date.CompareTo(dtEndDate) > 0)
continue;
if (dsMap.IsContainStrategy(sStrategyName1) && dsMap.IsContainStrategy(sStrategyName2))
{
nAT++;
double dIn;
bool bHit = false;
DateTime Start = Convert.ToDateTime("08:45");
DateTime End = Convert.ToDateTime("13:25");
if (m_Config.IsStrategy0900(sStrategyName1) || m_Config.IsStrategy0900(sStrategyName2))
{
Start = Convert.ToDateTime("09:00");
dIn = dsMap.Get5KOpen(Start);
}
else
dIn = dsMap.FuturesOpen;
double dOut = dsMap.Get5KClose(End);
if (m_DateStrategy.Count - kp.Key <= m_Config.NearPeriod)
n2AT++;
while (Start.CompareTo(End) < 1)
{
// 打到停損
//
if (dsMap.Get5KHigh(Start) - dIn >= nSL)
{
bHit = true;
dEV -= m_Config.SL;
if (m_DateStrategy.Count - kp.Key <= m_Config.NearPeriod)
d2EV++;
break;
}
// 打到停利
//
else if (dIn - dsMap.Get5KLow(Start) >= nSG)
{
bHit = true;
dEV += m_Config.SG;
dSR++;
if (m_DateStrategy.Count - kp.Key <= m_Config.NearPeriod)
{
d2EV += m_Config.SG;
d2SR++;
}
break;
}
Start = Start.AddMinutes(5);
}
if (!bHit)
{
double dResult = dIn - dOut;
if (dResult > 0)
dSR++;
dEV += dResult;
if (m_DateStrategy.Count - kp.Key <= m_Config.NearPeriod)
{
d2EV += dResult;
if (dResult >= 0)
d2SR++;
}
}
}
}
dSR = dSR / nAT;
dEV = dEV / nAT - 2;
d2SR = d2SR / n2AT;
d2EV = d2EV / n2AT - 2;
strategyExcel.Write(sStrategyName1 + sStrategyName2, m_Config.SG, m_Config.SL, nAT, dSR, dEV, n2AT, d2SR, d2EV, nDirection);
}
catch (Exception ex)
{
Form1.g_UI_ShowInfo(ex.ToString());
}
}
public async Task StartSimulateAsync(bool bIsCross, DateTime dtStartDate, DateTime dtEndDate)
{
rwLock.EnterReadLock();
try
{
StrategyExcel strategyExcel = new StrategyExcel(m_Config, "Raw_{0:yyyyMMdd}-{1:yyyyMMdd}_R{2}_C{3}.xlsx", dtStartDate, dtEndDate, m_Config.SG, m_Config.SL);
if (!strategyExcel.Init())
{
Form1.g_UI_ShowInfo("Excel Already Exist");
return;
}
Form1.g_UI_ShowInfo("Simulating...");
string[][] AllStrategy = m_Config.AllStrategy;
// 交集
if (bIsCross)
{
for (int i = 0; i < AllStrategy.Length; i++)
{
for (int j = 0; j < AllStrategy[i].Length; j++)
{
if (i + 1 < AllStrategy.Length)
{
for (int k = i + 1; k < AllStrategy.Length; k++)
{
for (int l = 0; l < AllStrategy[k].Length; l++)
{
await Task.Run (() => {
SimulateStrategyBull5K(dtStartDate, dtEndDate, strategyExcel, AllStrategy[i][j], AllStrategy[k][l]);
SimulateStrategyBear5K(dtStartDate, dtEndDate, strategyExcel, AllStrategy[i][j], AllStrategy[k][l]);
});
}
}
}
}
}
}
else
{
for (int i = 0; i < AllStrategy.Length; i++)
{
for (int j = 0; j < AllStrategy[i].Length; j++)
{
await Task.Run(() => {
SimulateStrategyBull5K(dtStartDate, dtEndDate, strategyExcel, AllStrategy[i][j], "");
SimulateStrategyBear5K(dtStartDate, dtEndDate, strategyExcel, AllStrategy[i][j], "");
});
}
}
}
strategyExcel.Close();
Form1.g_UI_ShowInfo("Simulate Finished");
}
catch (Exception ex)
{
Form1.g_UI_ShowInfo(ex.ToString());
}
finally
{
rwLock.ExitReadLock();
}
}
