/// <summary>
/// 从wind或本地CSV获取当天数据
/// </summary>
/// <param name="today">今天的日期</param>
/// <param name="code">代码</param>
/// <returns></returns>
private List <FuturesMinute> getData(DateTime today, string code)
{
//从本地csv 或者 wind获取数据，从wind拿到额数据会保存在本地
List <FuturesMinute> data = KLineDataUtils.leakFilling(Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(code, today));
var dataModified = FreqTransferUtils.minuteToNMinutes(data, frequency);
return(dataModified);
}
/// <summary>
/// 从wind或本地CSV获取当天数据
/// </summary>
/// <param name="today">今天的日期</param>
/// <param name="code">代码</param>
/// <returns></returns>
private List <FuturesMinute> getData(DateTime today, string code)
{
List <FuturesMinute> orignalList = Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(code, today);
List <FuturesMinute> data = KLineDataUtils.leakFilling(orignalList);
//从本地csv 或者 wind获取数据，从wind拿到额数据会保存在本地
//List<FuturesMinute> data = KLineDataUtils.leakFilling(Platforms.container.Resolve<FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(code, today));
#region 20170118更新
//下面这行需要注释掉，因为可能data的count为0
var dataModified = FreqTransferUtils.minuteToNMinutes(data, frequency);
#endregion
return(dataModified);
}
/// <summary>
/// 计算参数
/// </summary>
private void computeParameters()
{
List <FuturesMinute> data = new List <FuturesMinute>();
#region 20170118更新
//回测开始的首个日期，在tradeDays数组的第一个索引值：
//当回测期第一个交易日的前三天没有一天有数据，会引发后续代码出现数组索引为负值的情况。
//bool OutOfRange = false;
#endregion
//获取首个回测日之前的三日（日）数据
data = getData(DateUtils.PreviousTradeDay(tradeDays[0], 3), underlying);
data.AddRange(getData(DateUtils.PreviousTradeDay(tradeDays[0], 2), underlying));
data.AddRange(getData(DateUtils.PreviousTradeDay(tradeDays[0], 1), underlying));
#region 20170118更新
//当无法获取回测日之前的三日（日）数据，也就是data.count=0时，就需要...
//if (data.Count == 0)
//{
// Console.WriteLine("回测开始日期错误，自动调整到有数据记录的开始日期...");
// OutOfRange = true;
//}
#endregion
//如果回测开始时间早于该品种有数据的时间，
//逐日获取K线数据（频率为1分钟）
for (int i = 0; i < tradeDays.Count(); i++)
{
var data0 = getData(tradeDays[i], underlying);
data.AddRange(data0);
}
//var dataModified = FreqTransferUtils.minuteToNMinutes(data, frequency);
//按交易日逐日计算，每日遍历所有的参数，结果记入字典结构的变量中
ParaPairs pairs = new ParaPairs();
#region debug数据，请勿删除
//int[] frequencySet = new int[] { 3 };
//int[] numbersSet = new int[] { 5 };
//double[] lossPercentSet = new double[] { 0.015 };
//double[] longERSet = new double[] { 0.7 };
//double[] shortERSet = new double[] {-0.7 };
//int[] frequencySet = new int[] { 3, 4, 5, 6, 7, 8 };
//int[] numbersSet = new int[] { 3, 4, 5, 6, 8, 10, 15 };
//double[] lossPercentSet = new double[] { 0.005, 0.01, 0.015, 0.02 };
//double[] longERSet = new double[] { 0.5, 0.6, 0.7, 0.8, 0.9 };
//double[] shortERSet = new double[] { -0.5, -0.6, -0.7, -0.8, -0.9 };
#endregion
int[] frequencySet = new int[] { 3, 4, 5, 6, 7, 8 };
int[] numbersSet = new int[] { 3, 4, 5, 6, 8, 10, 15 };
double[] lossPercentSet = new double[] { 0.005, 0.01, 0.015, 0.02 };
double[] longERSet = new double[] { 0.5, 0.6, 0.7, 0.8, 0.9 };
double[] shortERSet = new double[] { -0.5, -0.6, -0.7, -0.8, -0.9 };
//记录frequency的边际分布
List <double> frequencyDistrbution = new List <double>();
foreach (var fre in frequencySet)
{
frequency = fre; //给定K线周期
pairs.frequency = frequency;
//data是（1分钟）K线数据，dataModified是（frequency周期）K线数据
var dataModified = FreqTransferUtils.minuteToNMinutes(data, frequency);
foreach (var num in numbersSet)
{
numbers = num; //给定前推的（frequency周期）K线数量
pairs.numbers = numbers;
foreach (var loss in lossPercentSet)
{
lossPercent = loss; //给定追踪止损的参数
pairs.lossPercent = lossPercent;
foreach (var er in longERSet)
{
longER = er; //给定ER比例的参数
pairs.longER = longER;
foreach (var shortEr in shortERSet)
{
shortER = shortEr;
pairs.shortER = shortER;
#region ...
double profitInDay = 0;
double positionVolume = 0;
double openPrice = 0;
double maxIncomeIndividual = 0;
Console.WriteLine("开始回测参数--> K线：{0}, 回望时间：{1}，追踪止损：{2}，longER值：{3}, shortER值：{4}",
pairs.frequency, pairs.numbers, pairs.lossPercent, pairs.longER, pairs.shortER);
//[新版]记录该组参数对应的, 所有交易日的收益
FiveParameterPairs newPairs0 = new FiveParameterPairs
{
longER = pairs.longER,
shortER = pairs.shortER,
frequency = pairs.frequency,
lossPercent = pairs.lossPercent,
numbers = pairs.numbers
};
//用来记录同一套策略情况下，不同交易日的盈利情况
SortedDictionary <DateTime, double> sortedDic0 = new SortedDictionary <DateTime, double>();
for (int i = 0; i < dataModified.Count(); i++) //开始按日期遍历
{
var now = dataModified[i];
#region 20170118更新
//if (OutOfRange)
//{
// if (now.tradeday <DateUtils.NextTradeDay(dataModified[0].tradeday))
// {
// continue;
// }
//}
//else
//{
//}
//在5分钟K线数据表dataModified中，找到首个交易日 tradeDays[0]开始位置对应的index
if (now.tradeday < tradeDays[0])
{
continue;
}
#endregion
pairs.tradeday = now.tradeday;
//当日最后一根K线，进入结算。
if (i == dataModified.Count() - 1 || (i + 1 < dataModified.Count() && dataModified[i + 1].tradeday > now.tradeday))
{
//强制平仓
if (positionVolume != 0)
{
//减去2倍的滑点，是因为买入和卖出均有手续费
profitInDay += positionVolume * (now.open - openPrice) - 2 * slipPoint;
// Console.WriteLine("时间：{0}，价格：{1}, volume：0", dataModified[i].time, now.open);
}
//记录该组参数当日收益（一个交易日记录一次数据）
sortedDic0.Add(pairs.tradeday, profitInDay);
//重置数据
profitInDay = 0;
positionVolume = 0;
maxIncomeIndividual = 0;
}
else
{
double[] prices = new double[numbers];
for (int k = i - numbers; k < i; k++)
{
//导入（前numbersK线）的收盘价
prices[k - (i - numbers)] = dataModified[k].close;
}
//计算出ER值
double ER = computeER(prices);
if (positionVolume == 0) //持空仓
{
if (ER > longER && now.open > now.low) //开多仓,且能够开仓
{
openPrice = now.open;
positionVolume = 1;
// Console.WriteLine("时间：{0}，价格：{1}, volume：1", dataModified[i].time, now.open);
}
if (ER < shortER && now.open < now.high) //开空仓
{
openPrice = now.open;
positionVolume = -1;
// Console.WriteLine("时间：{0}，价格：{1}, volume：-1", dataModified[i].time, now.open);
}
}
else if (positionVolume == 1) //持多仓
{
if ((now.open - openPrice) > maxIncomeIndividual)
{
maxIncomeIndividual = now.open - openPrice;
}
//追踪止损，强制平仓
else if (((now.open - openPrice) - maxIncomeIndividual) < -lossPercent * now.open)
{
profitInDay += now.open - openPrice - 2 * slipPoint;
//重置数据
positionVolume = 0;
maxIncomeIndividual = 0;
// Console.WriteLine("时间：{0}，价格：{1}, volume：0", dataModified[i].time, now.open);
}
}
else if (positionVolume == -1) //持空仓
{
if ((openPrice - now.open) > maxIncomeIndividual)
{
maxIncomeIndividual = (openPrice - now.open);
}
else if (((openPrice - now.open) - maxIncomeIndividual) < -lossPercent * now.open)
{
profitInDay += openPrice - now.open - 2 * slipPoint;
positionVolume = 0;
maxIncomeIndividual = 0;
// Console.WriteLine("时间：{0}，价格：{1}, volume：0", dataModified[i].time, now.open);
}
}
}
}
//写入每一套参数，对应的所有交易日的收益情况
newResult.Add(newPairs0, sortedDic0);
#endregion
}
}
}
}
//第一层循环底部....
}
}
/// <summary>
/// 计算参数
/// </summary>
private void computeParameters()
{
List <FuturesMinute> data = new List <FuturesMinute>();
//获取首个回测日之前的三日（日）数据
data = getData(DateUtils.PreviousTradeDay(tradeDays[0], 3), underlying);
data.AddRange(getData(DateUtils.PreviousTradeDay(tradeDays[0], 2), underlying));
data.AddRange(getData(DateUtils.PreviousTradeDay(tradeDays[0], 1), underlying));
//逐日获取K线数据（频率为1分钟）
for (int i = 0; i < tradeDays.Count(); i++)
{
var data0 = getData(tradeDays[i], underlying);
data.AddRange(data0);
}
//var dataModified = FreqTransferUtils.minuteToNMinutes(data, frequency);
//按交易日逐日计算，每日遍历所有的参数，结果记入字典结构的变量中
ParameterPairs pairs = new ParameterPairs();
#region debug数据，请勿删除
//int[] frequencySet = new int[] { 5 };
//int[] numbersSet = new int[] { 3 };
//double[] lossPercentSet = new double[] { 0.015 };
//double[] ERRatioSet = new double[] { 0.6 };
//int[] frequencySet = new int[] { 3, 5, 7, 10 };
//int[] numbersSet = new int[] { 3, 4, 5, 6, 8, 10, 15 };
//double[] lossPercentSet = new double[] { 0.000625, 0.00125, 0.0025, 0.005, 0.01, 0.015 };
//double[] ERRatioSet = new double[] { 0.5, 0.6, 0.7, 0.8, 0.9 };
#endregion
int[] frequencySet = new int[] { 3, 5, 7, 10 };
int[] numbersSet = new int[] { 3, 4, 5, 6, 8, 10, 15 };
double[] lossPercentSet = new double[] { 0.00125, 0.0025, 0.005, 0.01 };
double[] ERRatioSet = new double[] { 0.5, 0.6, 0.7, 0.8, 0.9 };
//int[] frequencySet = new int[] { 3, 4, 5, 6, 7, 8 };
//int[] numbersSet = new int[] { 3, 4, 5, 6, 8, 10, 15 };
//double[] lossPercentSet = new double[] { 0.0025,0.005, 0.01,0.015,0.02};
//double[] ERRatioSet = new double[] { 0.5, 0.6, 0.7, 0.8, 0.9 };
//记录frequency的边际分布
List <double> frequencyDistrbution = new List <double>();
foreach (var fre in frequencySet)
{
frequency = fre; //给定K线周期
pairs.frequency = frequency;
//data是（1分钟）K线数据，dataModified是（frequency周期）K线数据
var dataModified = FreqTransferUtils.minuteToNMinutes(data, frequency);
foreach (var num in numbersSet)
{
numbers = num; //给定前推的（frequency周期）K线数量
pairs.numbers = numbers;
foreach (var loss in lossPercentSet)
{
lossPercent = loss; //给定追踪止损的参数
pairs.lossPercent = lossPercent;
foreach (var er in ERRatioSet)
{
ERRatio = er; //给定ER比例的参数
pairs.ERRatio = ERRatio;
double profitInDay = 0;
double positionVolume = 0;
double openPrice = 0;
double maxIncomeIndividual = 0;
Console.WriteLine("开始回测参数，K线：{0},回望时间：{1}，追踪止损：{2}，ER值：{3}", pairs.frequency, pairs.numbers, pairs.lossPercent, pairs.ERRatio);
//[新版]记录该组参数对应的, 所有交易日的收益
FourParameterPairs newPairs0 = new FourParameterPairs
{
ERRatio = pairs.ERRatio,
frequency = pairs.frequency,
lossPercent = pairs.lossPercent,
numbers = pairs.numbers
};
//用来记录同一套策略情况下，不同交易日的盈利情况
SortedDictionary <DateTime, double> sortedDic0 = new SortedDictionary <DateTime, double>();
for (int i = 0; i < dataModified.Count(); i++) //开始按日期遍历
{
var now = dataModified[i];
//在5分钟K线数据表dataModified中，找到首个交易日 tradeDays[0]开始位置对应的index
if (now.tradeday < tradeDays[0])
{
continue;
}
pairs.tradeday = now.tradeday;
//当日最后一根K线，进入结算。
if (i == dataModified.Count() - 1 || (i + 1 < dataModified.Count() && dataModified[i + 1].tradeday > now.tradeday))
{
//强制平仓
if (positionVolume != 0)
{
//减去2倍的滑点，是因为买入和卖出均有手续费
profitInDay += positionVolume * (now.open - openPrice) - 2 * slipPoint;
// Console.WriteLine("时间：{0}，价格：{1}, volume：0", dataModified[i].time, now.open);
}
//记录该组参数当日收益（一个交易日记录一次数据）
sortedDic0.Add(pairs.tradeday, profitInDay);
//重置数据
profitInDay = 0;
positionVolume = 0;
maxIncomeIndividual = 0;
}
else
{
double[] prices = new double[numbers];
for (int k = i - numbers; k < i; k++)
{
//导入（前numbersK线）的收盘价
prices[k - (i - numbers)] = dataModified[k].close;
}
//计算出ER值
double ER = computeER(prices);
if (positionVolume == 0) //持空仓
{
if (ER > ERRatio && now.open > now.low) //开多仓,且能够开仓
{
openPrice = now.open;
positionVolume = 1;
// Console.WriteLine("时间：{0}，价格：{1}, volume：1", dataModified[i].time, now.open);
}
if (ER < -ERRatio && now.open < now.high) //开空仓
{
openPrice = now.open;
positionVolume = -1;
// Console.WriteLine("时间：{0}，价格：{1}, volume：-1", dataModified[i].time, now.open);
}
}
else if (positionVolume == 1) //持多仓
{
if ((now.open - openPrice) > maxIncomeIndividual)
{
maxIncomeIndividual = now.open - openPrice;
}
//追踪止损，强制平仓
else if (((now.open - openPrice) - maxIncomeIndividual) < -lossPercent * now.open)
{
profitInDay += now.open - openPrice - 2 * slipPoint;
//重置数据
positionVolume = 0;
maxIncomeIndividual = 0;
// Console.WriteLine("时间：{0}，价格：{1}, volume：0", dataModified[i].time, now.open);
}
}
else if (positionVolume == -1) //持空仓
{
if ((openPrice - now.open) > maxIncomeIndividual)
{
maxIncomeIndividual = (openPrice - now.open);
}
else if (((openPrice - now.open) - maxIncomeIndividual) < -lossPercent * now.open)
{
profitInDay += openPrice - now.open - 2 * slipPoint;
positionVolume = 0;
maxIncomeIndividual = 0;
// Console.WriteLine("时间：{0}，价格：{1}, volume：0", dataModified[i].time, now.open);
}
}
}
}
//写入每一套参数，对应的所有交易日的收益情况
newResult.Add(newPairs0, sortedDic0);
}
}
}
//第一层循环底部....
}
}
