void RunStaticAllocOptimizerExperiment()
{
SimInputData input = new SimInputData();
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
IStrategy strategy = new StaticAllocOptimizer("StaticAllocOptimizer", input);
strategy.Build();
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunOptimization()
{
SimInputData input = new SimInputData();
input.ReadStartDate = new DateTime(1990, 1, 1);
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000; // 100억
GeneralOptimizer strategy = new GeneralOptimizer("", input);
strategy.Build();
for (int i = 0; i < 40; ++i)
{
double kospiWeight = 1 + 0.1 * i;
//const String kAdjName = "DeltaVolEqIrAdj_result";
//const String kAdjName = "DeltaVolBaseEqIrAdj_result";
const String kAdjName = "DeltaVolEqIrAggrAdj_result";
//const String kAdjName = "DeltaVolBaseEqIrAggrAdj_result";
ExcelAdjustment adj = new ExcelAdjustment(
String.Format("{0}.xlsx", kAdjName), "Sheet1", kospiWeight);
strategy.AddAdjustment(adj, String.Format("kAdjName ({0:n2})", kospiWeight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunKrxCreditDepositRateOptimizerExperiment()
{
SimInputData input = new SimInputData();
//input.StartDate = new DateTime(2001, 1, 1);
input.StartDate = new DateTime(2006, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("KrxCreditDepositRateOptimizer", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * (double)i;
strategy.AddAdjustment(new KrxCreditDepositRateAdjustment(new CreditPolicyStatic(weight)),
String.Format("Static ({0:n2})", weight));
strategy.AddAdjustment(new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(weight)),
String.Format("MA ({0:n2})", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunMixUp()
{
SimInputData input = new SimInputData();
input.ReadStartDate = new DateTime(1990, 1, 1);
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
//input.EndDate = DateTime.Now;
input.InitInvestAmount = (long)100 * 100000000;
DefaultStrategy strategy = new DefaultStrategy("", input);
strategy.SetBaseAlloc(new StaticAlloc("SA", 0.33, 0.33, 0.34));
strategy.Build();
DollarPriceAdjustment dollarPriceAdj = new DollarPriceAdjustment(0.9);
KrxCreditDepositRateAdjustment cdAdj = new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(1.5));
KrxCreditDepositRateAdjustment cdAdj2 = new KrxCreditDepositRateAdjustment(new CreditPolicyWithUpDownMA(1.5));
MaeKoVolAdjustment maeAdj = new MaeKoVolAdjustment(1.2);
MaeBokRateAdjustment maeBokRateAdj = new MaeBokRateAdjustment(new BokRatePolicy_Static(), 1.0);
MacroAA_Adjustment macroAA_Adj = new MacroAA_Adjustment();
strategy.AddAdjustment(cdAdj2, "CD2");
strategy.AddAdjustment(maeAdj, "MaeKoVol");
strategy.AddAdjustment(maeBokRateAdj, "MaeBokRate");
strategy.AddAdjustment(macroAA_Adj, "MacroAA");
ExcelAdjustment deltaVol_Adj = new ExcelAdjustment("DeltaVolEqIrAdj_result.xlsx", "Sheet1", 1.5);
strategy.AddAdjustment(deltaVol_Adj, "DeltaVolEqIr");
//ExcelAdj deltaVolBase_Adj = new ExcelAdj("DeltaVolBaseEqIrAdj_result.xlsx", "Sheet1", 1.5);
//strategy.AddAdjustment(deltaVolBase_Adj, "DeltaVolBaseEqIr");
//ExcelAdj deltaVolAggr_Adj = new ExcelAdj("DeltaVolEqIrAggrAdj_result.xlsx", "Sheet1", 1.0);
//strategy.AddAdjustment(deltaVolAggr_Adj, "DeltaVolEqIrAggr");
//ExcelAdj deltaVolBaseAggr_Adj = new ExcelAdj("DeltaVolBaseEqIrAggrAdj_result.xlsx", "Sheet1", 1.5);
//strategy.AddAdjustment(deltaVolBaseAggr_Adj, "DeltaVolBaseEqIrAggr");
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunDollarPriceAdjExperiment()
{
SimInputData input = new SimInputData();
input.StartDate = new DateTime(2001, 1, 1);
//input.StartDate = new DateTime(2006, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("DollarPriceOptimizer", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * (double)i;
//double weight = i;
strategy.AddAdjustment(new DollarPriceAdjustment(weight), String.Format("{0:n2}", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
