/// <summary>
/// 转文本
/// </summary>
/// <param name="item"></param>
/// <param name="valueFormat"></param>
/// <param name="fileFormat">参见ConvertUtils.TEXT_XXX</param>
/// <param name="propertyNames"></param>
/// <returns></returns>
public static String ToText(this ITimeSeriesItem item, String valueFormat, String fileFormat, params String[] propertyNames)
{
if (item == null)
{
return("");
}
Object value = item.GetDefaultValue <Object>();
if (fileFormat == null || fileFormat == "")
{
fileFormat = ConvertUtils.TEXT_FMT_CSV;
}
PropertyDescriptorCollection pds = item.GetPropertyDescriptorCollection();
if (pds == null)
{
String temp = fileFormat.Replace("{$P}", "date").Replace("{$V}", item.Date.ToString(FMT_TIME));
return(temp + "," + fileFormat.Replace("{$P}", "value").Replace("{$V}", ConvertUtils.objectToStr(value, valueFormat)));
}
StringBuilder str = new StringBuilder();
for (int i = 0; i < pds.Count; i++)
{
PropertyDescriptor pd = pds[i];
if (str.ToString() != "")
{
str.Append(",");
}
String temp = fileFormat.Replace("{$P}", pd.Name).Replace("{$V}", ConvertUtils.objectToStr(item.GetValue <Object>(pd.name), pd.Format));
str.Append(temp);
}
return(str.ToString());
}
/// <summary>
/// 判断指定的代码是否大盘可以买
/// </summary>
/// <param name="d"></param>
/// <param name="code"></param>
/// <returns></returns>
public bool CanBuy(DateTime d, String code)
{
if (!Enable)
{
return(true); //大盘参数无效，总是认为可以买
}
int drailType = getDrailType(code);
if (drailType < 0)
{
return(true); //不认识是哪个盘的，让它买
}
if (this.bspts[drailType] == null)
{
return(true);
}
KeyValuePair <int, ITimeSeriesItem> kv = this.bspts[drailType].GetNearest(d);
if (kv.Key < 0)
{
return(true); //没有找到前一个买卖点
}
ITimeSeriesItem <char> item = (ITimeSeriesItem <char>)kv.Value;
if (item.Value == 'B')
{
return(true);
}
else if (item.Value == 'S')
{
return(false);
}
return(true);
}
public static void EMA(this TimeSeries <ITimeSeriesItem <double> > output, TimeSeries <ITimeSeriesItem> input, String valueName, int num, DateTime begin, DateTime end)
{
if (input == null || output == null)
{
return;
}
int tBegin = input.IndexOf(begin);
for (DateTime t = begin; t <= end; t = t.AddDays(1))
{
ITimeSeriesItem item = input[t];
if (item == null)
{
continue;
}
int index = output.IndexOf(t);
if (output[index - 1] == null)
{
continue;
}
double p1 = 0;
if (tBegin == 0)
{
p1 = item.GetValue <double>(valueName);
}
else
{
p1 = output[index - 1].GetDefaultValue <double>();
}
double value = 0;
if (valueName == null || valueName == "")
{
value = item.GetDefaultValue <double>();
}
else
{
value = item.GetValue <double>(valueName);
}
//Y=［2*X+(N-1)*Y’］/(N+1)
double y = (2 * value + (num - 1) * p1) / (num + 1);
TimeSeriesItem <double> obj = new TimeSeriesItem <double>()
{
Date = t,
Value = y
};
output[t] = obj;
}
}
/// <summary>
/// MA(X,N)简单算术平均
/// 求X的N日移动平均值，不分轻重，平均算。算法是：
/// (X1+X2+X3+…..+Xn)/N
/// 例如：MA(C，20)表示20日的平均收盘价。C表示CLOSE。
/// </summary>
/// <param name="ts"></param>
/// <param name="num"></param>
/// <returns></returns>
public static TimeSeries <ITimeSeriesItem <double> > MA(this TimeSeries <ITimeSeriesItem <double> > ts, int num)
{
TimeSeries <ITimeSeriesItem <double> > results = new TimeSeries <ITimeSeriesItem <double> >();
for (int i = num - 1; i < ts.Count; i++)
{
ITimeSeriesItem t = ts[i];
TimeSeriesItem <double> item = new TimeSeriesItem <double>()
{
Date = t.Date,
Value = ts[i - num + 1, i].Sum(x => x.Value) / num
};
results.Add(item);
}
return(results);
}
/// <summary>
/// VAR0:=(2*CLOSE+HIGH+LOW)/4;
/// B:=XMA((VAR0-LLV(LOW,30))/(HHV(HIGH,30)-LLV(LOW,30))*100,12);
/// 主力做多资金:EMA(B,3),LINETHICK2,COLORWHITE;
/// </summary>
/// <param name="kline"></param>
/// <param name="begin"></param>
/// <param name="end"></param>
/// <param name="param"></param>
/// <returns></returns>
public static TimeSeries <ITimeSeriesItem <List <double> > > executeIndicator(this KLine kline, int begin = 0, int end = 0, PropertyDescriptorCollection param = null)
{
TimeSeries <ITimeSeriesItem <double> > close = kline.Select <double>("CLOSE", begin, end);
TimeSeries <ITimeSeriesItem <double> > open = kline.Select <double>("OPEN", begin, end);
TimeSeries <ITimeSeriesItem <double> > high = kline.Select <double>("HIGH", begin, end);
TimeSeries <ITimeSeriesItem <double> > low = kline.Select <double>("LOW", begin, end);
TimeSeries <ITimeSeriesItem <double> > VAR0 = (close * 2.0 + high + low) / 4;
TimeSeries <ITimeSeriesItem <double> > t1 = VAR0 - low.LLV(20);
TimeSeries <ITimeSeriesItem <double> > t2 = high.HHV(20) - low.LLV(20);
TimeSeries <ITimeSeriesItem <double> > t3 = (t1 / t2) * 100;
//TimeSeries<ITimeSeriesItem<double>> B = t3.XMA(12);
TimeSeries <ITimeSeriesItem <double> > B = t3.EMA(12);
TimeSeries <ITimeSeriesItem <double> > mainforces = B.EMA(3);
TimeSeries <ITimeSeriesItem <double> > retailInverstors = mainforces.EMA(30);
TimeSeries <ITimeSeriesItem <List <double> > > results = new TimeSeries <ITimeSeriesItem <List <double> > >();
foreach (ITimeSeriesItem <double> mainforce in mainforces)
{
TimeSeriesItem <List <double> > r = new TimeSeriesItem <List <double> >();
r.Value = new List <double>(new double[2] {
0, 0
});
r.Date = mainforce.Date;
r.Value[0] = mainforce.Value;
ITimeSeriesItem <double> retailInverstor = retailInverstors[r.Date];
r.Value[1] = retailInverstor == null ? 0 : retailInverstor.Value;
results.Add(r);
}
return(results);
}
/// <summary>
/// 判断大盘数据是否要求代码在d日必须卖
/// </summary>
/// <param name="d"></param>
/// <param name="code"></param>
/// <returns></returns>
public bool MustSell(DateTime d, String code)
{
if (!Enable)
{
return(false);
}
int drailType = getDrailType(code);
if (drailType < 0)
{
return(false); //不认识是哪个盘的，不是必须卖
}
if (this.bspts[drailType] == null)
{
return(false);
}
KeyValuePair <int, ITimeSeriesItem> kv = bspts[drailType].GetNearest(d);
if (kv.Key < 0)
{
return(false);
}
ITimeSeriesItem <char> item = (ITimeSeriesItem <char>)kv.Value;
if (item.Value == 'B')
{
return(false);
}
else if (item.Value == 'S')
{
return(true);
}
return(false);
}
public override List <TradeInfo> DoBuy(Properties strategyParam, DateTime d, StrategyContext context)
{
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//读取代码
List <String> codes = LoadCodes(strategyParam, context);
if (codes == null || codes.Count <= 0)
{
return(null);
}
//取得策略参数
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
List <TradeInfo> results = new List <TradeInfo>();
//遍历
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
KLine klineDay = ds.DayKLine;
if (klineDay == null)
{
continue;
}
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
continue;
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null)
{
continue;
}
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int index = fundDay.IndexOf(fundItemDay);
if (index <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > prevfundItemDay = fundDay[index - 1];
if (!p_grail.CanBuy(d, code)) //大盘禁止买入的跳过
{
continue;
}
if (p_mainforcelow > 0)//判断主力线上穿p_mainforcelow
{
if (fundItemDay.Value[0] < p_mainforcelow)
{
continue;
}
if (prevfundItemDay.Value[0] > p_mainforcelow)
{
continue;
}
}
if (p_mainforceslope > 0) //判断主力线上升速度超过p_mainforceslope
{
if (fundItemDay.Value[0] - prevfundItemDay.Value[0] < p_mainforceslope)
{
continue;
}
}
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Buy,
Code = code,
Amount = (int)(p_fundpergetin.Value / klineItemDay.CLOSE),
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = (p_mainforcelow <= 0 ? "" : "[主力线低位" + p_mainforcelow.ToString("F2") + "]") + (p_mainforceslope <= 0 ? "" : "[主力线上升速度超过" + p_mainforceslope.ToString("F2") + "]")
};
results.Add(tradeInfo);
}
return(results);
}
public override bool DoSell(string code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out string reason)
{
reason = "";
if (bout == null)
{
return(false);
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(false);
}
//跳过已完成的
if (bout.Completed)
{
return(false);
}
TimeSeries <ITimeSeriesItem <char> > btpoints = ds.DayTradeLine.buysellPoints;
if (btpoints == null || btpoints.Count <= 0)
{
return(false);
}
ITimeSeriesItem <char> item = btpoints[d];
if (item == null || item.Value == 'B')
{
return(false);
}
KLineItem klineItemDay = kline[d];
if (klineItemDay == null)
{
return(false);
}
double price = klineItemDay.CLOSE;
//if (price < bout.BuyInfo.TradePrice)
// return true;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "日线出S点");
return(false);
}
public int CompareTo(ITimeSeriesItem other)
{
return((int)(this.Date.Ticks - other.Date.Ticks));
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
/// <summary>
/// DIF:EMA(CLOSE,SHORT)-EMA(CLOSE,LONG);
/// DEA:EMA(DIF, MID);
/// MACD:(DIF-DEA)*2,COLORSTICK;
/// 其中SHORT = 12,LONG = 26,MID = 9
/// </summary>
/// <param name="kline"></param>
/// <returns></returns>
public static MACD Create(KLine kline)
{
if (kline == null)
{
return(null);
}
int p_short = 12, p_long = 26, p_mid = 9;
TimeSeries <ITimeSeriesItem <double> > CLOSE = kline.Select <double>("close");
TimeSeries <ITimeSeriesItem <double> > DIF = CLOSE.EMA(p_short) - CLOSE.EMA(p_long);
TimeSeries <ITimeSeriesItem <double> > DEA = DIF.EMA(p_mid);
TimeSeries <ITimeSeriesItem <double> > MACD = (DIF - DEA) * 2;
MACD macd = new MACD(kline.Code, kline.TimeUnit);
double prevDif = 0, prevdea = 0;
for (int i = 0; i < kline.Count; i++)
{
DateTime d = kline[i].Date;
MACDItem item = new MACDItem();
item.Date = d;
ITimeSeriesItem <double> difItem = DIF[d];
if (difItem == null)
{
continue;
}
item.DIF = difItem.Value;
if (prevDif == 0)
{
prevDif = difItem.Value;
}
ITimeSeriesItem <double> deaItem = DEA[d];
if (deaItem == null)
{
continue;
}
item.DEA = deaItem.Value;
if (prevdea == 0)
{
prevdea = deaItem.Value;
}
ITimeSeriesItem <double> macdItem = MACD[d];
if (macdItem == null)
{
continue;
}
item.MACD = macdItem.Value;
if (prevDif < prevdea && difItem.Value > deaItem.Value)
{
item.CROSS = difItem.Value - deaItem.Value;//金叉点
}
else if (prevDif > prevdea && difItem.Value < deaItem.Value)
{
item.CROSS = difItem.Value - deaItem.Value;//死叉点
}
macd.Add(item);
prevDif = difItem.Value;
prevdea = deaItem.Value;
}
return(macd);
}
/// <summary>
/// 买线:EMA(CLOSE,3),COLORRED,LINETHICK1;
/// 卖线:EMA(SLOPE(CLOSE,21)*20+CLOSE,42),COLORBLUE,LINETHICK2;
/// </summary>
/// <param name="kline"></param>
/// <returns></returns>
public static TradingLine indicator_trading_stereo1(this KLine kline, int begin = 0, int end = 0)
{
TimeSeries <ITimeSeriesItem <double> > close = kline.Select <double>("close", begin, end);
TimeSeries <ITimeSeriesItem <double> > buyLine = close.EMA(3);
TimeSeries <ITimeSeriesItem <double> > sellLine = (close.SLOPE(21) * 20 + close).EMA(42);
TimeSeries <ITimeSeriesItem <char> > buysellPoints = new TimeSeries <ITimeSeriesItem <char> >();
int buy_gt_sell = 1, sell_gt_buy = 2; //买大于卖为1，卖大于买为2
int state = 0; //前一个状态
for (int i = 0; i < buyLine.Count; i++)
{
ITimeSeriesItem <double> buyItem = buyLine[i];
ITimeSeriesItem <double> sellItem = sellLine[buyItem.Date];
if (sellItem == null)
{
continue;
}
double t = buyItem.Value - sellItem.Value;
if (t == 0)
{
continue;
}
if (state == 0)
{
state = t > 0 ? buy_gt_sell : sell_gt_buy;
continue;
}
int cs = t > 0 ? buy_gt_sell : sell_gt_buy;
if (cs == state)
{
continue;
}
if (state == buy_gt_sell)
{
TimeSeriesItem <char> v = new TimeSeriesItem <char>()
{
Date = buyItem.Date,
Value = 'S'
};
buysellPoints.Add(v);
}
else if (state == sell_gt_buy)
{
TimeSeriesItem <char> v = new TimeSeriesItem <char>()
{
Date = buyItem.Date,
Value = 'B'
};
buysellPoints.Add(v);
}
state = cs;
}
return(new TradingLine()
{
buyLine = buyLine,
sellLine = sellLine,
buysellPoints = buysellPoints
});
}
public override bool DoSell(string code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out string reason)
{
reason = "";
if (bout == null)
{
return(false);
}
if (bout.Completed)
{
return(false);
}
//取得策略参数
int sell_maxholddays = strategyParam.Get <int>("maxholddays"); //最大持仓天数
int sell_notrun_num = strategyParam.Get <int>("sell_notrun_num"); //主力线与价格趋势不符允许出现的最大次数
int sell_selectnum = strategyParam.Get <int>("sell_selectnum"); //可以尝试的最大卖出次数
double sell_mainvalve = strategyParam.Get <double>("sell_mainvalve"); //主力线高位阈值
double sell_mainvalve_diff = strategyParam.Get <double>("sell_mainvalve_diff"); //主力线高位增幅
double sell_slopediff = strategyParam.Get <double>("sell_slopediff"); //主力线和收盘价的斜率差阈值
sell_slopediff = (sell_slopediff / 180) * Math.PI;
double sell_slopepoint = strategyParam.Get <double>("sell_slopepoint"); //线性回归斜率的卖点
sell_slopepoint = (sell_slopepoint / 180) * Math.PI;
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
//取得行情数据
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
TimeSeries <ITimeSeriesItem <double> > dayFundsCross = ds.DayFundTrendCross;
DateTime curDate = d;
DateTime buyDate = bout.BuyInfo.TradeDate;//买入日期
d = buyDate.AddDays(1);
int days = 1; //买入后的第几天
double prevMainFundValue = 0; //前一日的主力值
double mainFunddiff = 0; //主力线当日与前一日的差值
int is_slope_run = 0; //主力线和收盘价走势是否一致，0未知；1一致；-1，-2不一致
int sellnum = 0; //择机卖出次数
int state = 0; //当日状态；0未知；1 择机卖出(在连续sell_selectnum内只要不亏损就卖)
String stateReason = ""; //卖出原因
while (d <= curDate)
{
//查找d日的资金线,找不到则跳过这天
int dayFundIndex = dayFunds.IndexOf(d);
if (dayFundIndex < 0)
{
d = d.AddDays(1);
continue;
}
ITimeSeriesItem <List <double> > dayFundsItem = dayFunds[dayFundIndex];
//查找当日K线,找不到则跳过这天
int dayKLineIndex = kline.IndexOf(d);
if (dayKLineIndex < 0)
{
d = d.AddDays(1);
continue;
}
KLineItem dayLineItem = kline[dayKLineIndex];
//对买入后的每一天
//1.计算以d日收盘价卖出的盈利情况
bout.RecordTrade(2, d, TradeDirection.Sell, kline[dayKLineIndex].CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty);
double earnRate = bout.EarningsRate;
bout.TradeInfos[1] = null;
//如果是择机卖出状态
if (state == 1)
{
if (sellnum > sell_selectnum || earnRate > 0)
{
bout.RecordTrade(2, d, TradeDirection.Sell, kline[dayKLineIndex].CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, stateReason + ",延迟天数=" + sellnum.ToString());
break;
}
sellnum += 1;
d = d.AddDays(1);
days += 1;
continue;
}
//如果超过最大持仓天数，则进入到择机卖出
if (days >= sell_maxholddays)
{
state = 1;
continue;
}
//趋势不一致出现sell_notrun_num次，择机卖出
if (is_slope_run <= -1 * sell_notrun_num)
{
stateReason = "主力线趋势不符" + is_slope_run.ToString() + "次数";
state = 1;
d = d.AddDays(1);
days += 1;
continue;
}
//主力线超出预定值
if (sell_mainvalve != 0 && dayFunds[dayFundIndex].Value[0] >= sell_mainvalve)
{
if (prevMainFundValue == 0)
{
prevMainFundValue = dayFunds[dayFundIndex].Value[0];
d = d.AddDays(1);
days += 1;
continue;
}
else if ((dayFunds[dayFundIndex].Value[0] - prevMainFundValue) > sell_mainvalve_diff)
{
d = d.AddDays(1);
days += 1;
continue;
}
mainFunddiff = (dayFunds[dayFundIndex].Value[0] - prevMainFundValue);
//如果盈利率小于0，延迟数天卖出
if (earnRate <= 0)
{
state = 1;
stateReason = "主力线突破高位且增幅减缓" + mainFunddiff.ToString("F3");
d = d.AddDays(1);
days += 1;
continue;
}
//卖出操作
bout.RecordTrade(2, d, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, "主力线突破高位且增幅减缓" + mainFunddiff.ToString("F3"));
break;
}
//计算线性回归斜率
int begin = dayFunds.IndexOf(buyDate);
int end = dayFundIndex;
List <double> list1 = new List <double>();
for (int k = begin; k <= end; k++)
{
list1.Add(dayFunds[k].Value[0]);
}
double fundT = list1.Normalization().SLOPE();
begin = kline.IndexOf(buyDate);
end = dayKLineIndex;
List <double> list2 = new List <double>();
for (int k = begin; k <= end; k++)
{
list2.Add(kline[k].CLOSE);
}
double closeT = list2.Normalization().SLOPE();
//log.Info("斜率=" + fundT.ToString("F3") + "-" + closeT.ToString("F3") + "=" + Math.Abs(fundT - closeT).ToString("F3"));
//两个线性回归斜率不一致
if (Math.Abs(fundT - closeT) >= sell_slopediff)
{
is_slope_run -= 1;
}
else //两个线性回归斜率一致
{
if (fundT <= sell_slopepoint)
{
KLineItem prevKlineItem = kline[dayKLineIndex - 1];
if (prevKlineItem.CLOSE > dayLineItem.CLOSE)//价格下降了
{
if (earnRate > 0)
{
bout.RecordTrade(2, d, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, "斜率一致且增幅小于阈值(" + fundT.ToString("F2") + "<" + sell_slopepoint.ToString("F2"));
break;
}
}
/*if(earnRate>0)
* {
* bout.RecordTrade(2, d, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, backtestParam.volumecommission, backtestParam.stampduty, "斜率一致且增幅小于阈值("+ fundT.ToString("F2")+"<"+ sell_slopepoint.ToString("F2"));
* break;
* }*/
}
}
//进入下一天
d = d.AddDays(1);
days += 1;
continue;
}
return(false);
}
public static String ToText(this ITimeSeriesItem item, String valueFormat)
{
return(ToText(item, valueFormat, ConvertUtils.TEXT_FMT_CSV));
}
public static String ToText(this ITimeSeriesItem item, String valueFormat, params String[] propertyNames)
{
return(ToText(item, valueFormat, ConvertUtils.TEXT_FMT_CSV, propertyNames));
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
//取得策略参数
double buy_mainlow = strategyParam.Get <double>("buy_mainlow"); //主力线低位买入
int buy_cross = strategyParam.Get <int>("buy_cross");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
TradeRecords tr = new TradeRecords(code);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
TimeSeries <ITimeSeriesItem <double> > dayFundsCross = ds.DayFundTrendCross;
if (buy_cross == 0 && dayFunds == null)
{
return(null);
}
else if (buy_cross == 1 && (dayFundsCross == null || dayFunds == null))
{
return(null);
}
#region 判断主力线低位决定买入点
if (buy_cross == 0)
{
for (int i = 0; i < dayFunds.Count; i++)
{
if (dayFunds[i].Date.Date <backtestParam.BeginDate || dayFunds[i].Date.Date> backtestParam.EndDate)
{
continue;
}
if (double.IsNaN(dayFunds[i].Value[0]))
{
continue;
}
if (dayFunds[i].Value[0] > buy_mainlow)
{
continue;
}
//主力线开始低于buy_mainlow...
i += 1;
while (i < dayFunds.Count)
{
if (dayFunds[i].Value[0] <= buy_mainlow)
{
i += 1;
continue;
}
//主力线出了buy_mainlow
KLineItem klineItem = kline[dayFunds[i].Date];
if (klineItem == null)
{
break;
}
int tIndex = kline.IndexOf(klineItem);
if (tIndex >= kline.Count - 1)
{
break;
}
KLineItem klineItemNext = kline[tIndex + 1];
TradeBout bout = new TradeBout(code);
double price = klineItem.CLOSE;
if (price > klineItemNext.HIGH || price < klineItemNext.LOW)
{
break;
}
bout.RecordTrade(1, dayFunds[i].Date.Date, TradeDirection.Buy, price, (int)(p_getinMode.Value / price), backtestParam.Volumecommission, backtestParam.Stampduty, "主力线低于" + buy_mainlow.ToString("F2"));
tr.Bouts.Add(bout);
break;
}
}
}
#endregion
#region 判断金叉决定买入点
else if (buy_cross == 1)
{
for (int i = 0; i < dayFundsCross.Count; i++)
{
if (dayFundsCross[i].Date.Date <backtestParam.BeginDate || dayFundsCross[i].Date.Date> backtestParam.EndDate)
{
continue;
}
if (dayFundsCross[i].Value <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[dayFundsCross[i].Date];
if (dayFundItem == null)
{
continue;
}
if (buy_mainlow != 0 && dayFundItem.Value[0] >= buy_mainlow)
{
continue;
}
KLineItem klineItem = kline[dayFundItem.Date];
if (klineItem == null)
{
continue;
}
int tIndex = kline.IndexOf(klineItem);
if (tIndex >= kline.Count - 1)
{
continue;
}
KLineItem klineItemNext = kline[tIndex + 1];
TradeBout bout = new TradeBout(code);
double price = klineItem.CLOSE;
if (price > klineItemNext.HIGH || price < klineItemNext.LOW)
{
continue;
}
bout.RecordTrade(1, dayFunds[i].Date.Date, TradeDirection.Buy, price, (int)(p_getinMode.Value / price), backtestParam.Volumecommission, backtestParam.Stampduty, "主力线低于" + buy_mainlow.ToString("F2"));
tr.Bouts.Add(bout);
}
}
#endregion
return(tr);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <char> > ts = ds.DayTradeLine.buysellPoints;
if (ts == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > fundTrends = ds.DayFundTrend;
KLine kline = ds.DayKLine;
TradeRecords tr = new TradeRecords(code);
GetInMode getin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
int diffdays = strategyParam.Get <int>("diffdays");
for (int i = 0; i < ts.Count; i++)
{
if (ts[i].Date.Date < backtestParam.BeginDate)
{
continue;
}
if (ts[i].Date.Date >= backtestParam.EndDate)
{
continue;
}
if (ts[i].Value == 'S')
{
continue;
}
TradeBout bout = new TradeBout(code);
//主力线大于散户线，且连续diffdays天与散户线拉大距离
if (diffdays > 0 && fundTrends != null)
{
int fi = fundTrends.IndexOf(ts[i].Date);
if (fi < 0 || fi < diffdays - 1)
{
continue;
}
ITimeSeriesItem <List <double> > ftItem = fundTrends[fi];
if (ftItem.Value[0] >= 30)
{
continue;
}
double diff = ftItem.Value[0] - ftItem.Value[1];
if (diff <= 0)
{
continue;
}
bool continuekuoda = true;
for (int t = 1; t < diffdays; t++)
{
ftItem = fundTrends[fi - i];
double tDiff = ftItem.Value[0] - ftItem.Value[1];
if (diff < tDiff)
{
continuekuoda = false;
break;
}
diff = tDiff;
}
if (!continuekuoda)
{
continue;
}
}
KLineItem item = kline[ts[i].Date];
bout.RecordTrade(1, ts[i].Date, TradeDirection.Buy, item.CLOSE, (int)(getin.Value / item.CLOSE), backtestParam.Volumecommission, backtestParam.Stampduty, "B");
tr.Bouts.Add(bout);
}
return(tr);
}
public override bool DoSell(String code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out String reason)
{
reason = "";
if (bout == null)
{
return(false);
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(false);
}
//跳过已完成的
if (bout.Completed)
{
return(false);
}
//取得策略参数
int p_spoints = strategyParam.Get <int>("spoints");
int p_totaldropcount = strategyParam.Get <int>("totaldropcount");
int p_continuedropcount = strategyParam.Get <int>("continuedropcount");
#region 判断发出S点卖出：p_spoints=1表示日线出S点，p_spoints=2表示60分钟线出S点
if (p_spoints > 0 && ds.DayTradeLine != null && ds.DayTradeLine.buysellPoints != null && ds.DayTradeLine.buysellPoints.Count > 0)
{
ITimeSeriesItem <char> bsptItemDay = ds.DayTradeLine.buysellPoints[d];
if (bsptItemDay != null && bsptItemDay.Value == 'S')
{
KLineItem klineItemDay = kline[d];
if (klineItemDay != null)
{
double price = klineItemDay.CLOSE;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "日线出S点");
return(false);
}
}
}
#endregion
#region 根据价格下降情况判断是否卖出
if (p_continuedropcount > 0 || p_totaldropcount > 0)
{
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
int index = bIndex + 1;
if (index >= kline.Count)
{
return(false);
}
KLineItem item = kline[index];
DateTime td = item.Date;
int totaldropcount = 0, continuedropcount = 0;
double prevPrice = bout.BuyInfo.TradePrice;
bool prevDrop = item.Average < prevPrice;
while (td <= d && index < kline.Count - 1)
{
double price = item.Average;
if (price < prevPrice)
{
totaldropcount += 1;
if (prevDrop)
{
continuedropcount += 1;
}
prevDrop = true;
}
else
{
prevDrop = false;
}
index += 1;
item = kline[index];
td = item.Date;
}
//进入到伺机卖出状态
if (p_continuedropcount != 0 && continuedropcount >= p_continuedropcount)
{
return(true);
}
//进入到伺机卖出情况
if (p_totaldropcount != 0 && totaldropcount >= p_totaldropcount)
{
return(true);
}
}
#endregion
return(false);
}
public static String ToText(this ITimeSeriesItem item)
{
return(ToText(item, "", ConvertUtils.TEXT_FMT_CSV));
}
public override TradeRecords DoBuy(TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weekCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
if (dayFunds == null || dayFunds.Count <= 0 || weekFunds == null || weekFunds.Count <= 0 || dayCross == null || dayCross.Count <= 0 || weekCross == null || weekCross.Count <= 0)
{
return(null);
}
TradeRecords tr = new TradeRecords(ds.Code);
DateTime begin = backtestParam.BeginDate;
DateTime end = backtestParam.EndDate;
double p_day_low = strategyParam.Get <double>("day_low");
double p_day_bias = strategyParam.Get <double>("day_bias");
double p_week_low = strategyParam.Get <double>("week_low");
double p_week_bias = strategyParam.Get <double>("week_bias");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <Object>("getinMode");
for (int i = 0; i < dayFunds.Count; i++)
{
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[i];
if (dayFundItem == null)
{
continue;
}
if (dayFundItem.Date < begin || dayFundItem.Date >= end)
{
continue;
}
if ((dayFundItem.Value[0] - dayFundItem.Value[1]) < p_day_bias)
{
continue;
}
DateTime td = CalendarUtils.GetWeek(dayFundItem.Date, DayOfWeek.Friday);
ITimeSeriesItem <List <double> > weekFundItem = weekFunds[td];
if (weekFundItem == null)
{
continue;
}
if ((weekFundItem.Value[0] - weekFundItem.Value[1]) < p_week_bias)
{
continue;
}
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
continue;
}
KLineItem dayLineItem = dayLine[dayFundItem.Date];
if (dayLineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(ds.Code);
bout.RecordTrade(1, dayFundItem.Date, TradeDirection.Buy, dayLineItem.CLOSE, (int)(p_getinMode.Value / dayLineItem.CLOSE), 0, 0, Name);
tr.Bouts.Add(bout);
}
return(tr);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//创建数据集
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine klineDay = ds.DayKLine;
if (klineDay == null || klineDay.Count < 0)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null || fundDay.Count <= 0)
{
return(null);
}
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
TradeRecords tradeRecords = new TradeRecords(code);
//遍历回测中的每一天
DateTime d = backtestParam.BeginDate;
int beginIndex = klineDay.IndexOf(d, true);
if (beginIndex < 0)
{
return(tradeRecords);
}
for (int index = beginIndex; index < klineDay.Count; index++)
{
KLineItem klineItemDay = klineDay[index];
if (klineItemDay == null)
{
continue;
}
d = klineItemDay.Date;
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int fIndex = fundDay.IndexOf(fundItemDay);
//是否进入到主力线低位
if (p_mainforcelow != 0 && fundItemDay.Value[0] >= p_mainforcelow)
{
continue;
}
//是否主力线爬升离开低位
if (p_mainforcelow != 0)
{
for (fIndex = fIndex + 1; fIndex < fundDay.Count; fIndex++)
{
fundItemDay = fundDay[fIndex];
if (fundItemDay == null)
{
continue;
}
if (fundItemDay.Value[0] <= p_mainforcelow)
{
continue;
}
if (fundItemDay.Date < backtestParam.BeginDate || fundItemDay.Date > backtestParam.EndDate)//数据错误
{
return(tradeRecords);
}
d = fundItemDay.Date;
index = klineDay.IndexOf(d);
klineItemDay = klineDay[index];
break;
}
if (fIndex >= fundDay.Count)
{
return(tradeRecords);
}
}
//看主力线爬升速度
if (p_mainforceslope != 0 && fIndex > 0)
{
//爬升速度不够快
if ((fundItemDay.Value[0] - fundDay[fIndex - 1].Value[0]) < p_mainforceslope)
{
continue;
}
}
//看主力线是否持续爬升
if (p_mainforcerough > 0)
{
bool cont = true;
for (int temp = 0; temp < p_mainforcerough; temp++)
{
fIndex += temp;
if (fIndex >= fundDay.Count)
{
cont = false;
break;
}
fundItemDay = fundDay[fIndex];
if (fundItemDay.Value[0] < fundDay[fIndex - 1].Value[0])
{
cont = false;
break;
}
}
if (!cont)
{
continue;
}
d = fundItemDay.Date;
index = klineDay.IndexOf(d);
klineItemDay = klineDay[index];
}
//看是否在买点附近
TradingLine tradingLine = ds.DayTradeLine;
if (p_buypointdays >= 0 && tradingLine != null && tradingLine.buysellPoints != null && tradingLine.buysellPoints.Count > 0)
{
int bsptIndex = tradingLine.buysellPoints.IndexOf(d, true);
ITimeSeriesItem <char> bsptItemDay = bsptIndex < 0 ? null : tradingLine.buysellPoints[bsptIndex];
if (bsptItemDay != null && bsptItemDay.Value == 'S')
{
bsptItemDay = bsptIndex >= tradingLine.buysellPoints.Count - 1 ? null : tradingLine.buysellPoints[bsptIndex + 1];
}
if (bsptItemDay == null || (bsptItemDay.Date.Date - d).TotalDays > p_buypointdays)
{
continue;
}
}
//月线买点才能买入
TimeSeries <ITimeSeriesItem <char> > ptMonths = ds.CubePtCreateOrLoad(TimeUnit.month);
if (p_monthbutpt == 1 && ptMonths != null && ptMonths.Count > 0)
{
int t1 = 0;
for (; t1 < ptMonths.Count - 1; t1++)
{
if (d.Date >= ptMonths[t1].Date.Date && d.Date <= ptMonths[t1 + 1].Date.Date)
{
break;
}
}
if (t1 < ptMonths.Count - 1)
{
if (ptMonths[t1].Value != 'B')
{
continue;
}
}
}
//准备执行买入
String reason = "";
double price = klineItemDay.CLOSE;
double fund = p_fundpergetin.Value;// price * p_maxholdnum;
int amount = (int)(fund / price);
TradeBout newBout = new TradeBout(ds.Code);
newBout.RecordTrade(1, d, TradeDirection.Buy, price, amount, backtestParam.Volumecommission, 0, reason);
tradeRecords.Bouts.Add(newBout);
}
return(tradeRecords);
}
