private StraddlePairCode getStraddlePairCode(List <OptionInfo> optionInfoList, double durationFront, double durationNext, double etfPrice, DateTime today)
{
StraddlePairCode pair = new StraddlePairCode();
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationFront), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
pair.callCodeFront = call[0].optionCode;
var callATM = call[0];
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationFront), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
pair.putCodeFront = put[0].optionCode;
var callNext = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationNext), "认购").OrderBy(x => Math.Abs(x.strike - callATM.strike)).Where(x => x.startDate <= today).ToList();
pair.callCodeNext = callNext[0].optionCode;
var putNext = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationNext), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
pair.putCodeNext = putNext[0].optionCode;
return(pair);
}
public void compute()
{
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//标记当日跨式组合多空信号。1表示多头，0表示无信号，-1表示空头。
double orignalSignal = 0;
Straddle holdingStatus = new Straddle();
//统计历史波动率分位数,从回测期开始前一天，统计到最后一天
double[][] fractile = new double[backTestingDuration + 1][];
fractile = computeRollingFractile(startIndex - 1, etfDailyData.Count() - 1, 100);
//统计隐含波动率
computeImpv();
//统计隐含波动率和历史波动率之差 epsilon=max[E(IV-HV),0]
computeEpsilon();
//按时间遍历，2015年02月09日50ETF期权上市开始,2月10日开始昨日收盘的隐含波动率数据。
for (int i = startIndex + 1; i < startIndex + backTestingDuration; i++)
{
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double fractile90Yesterday = fractile[i - 1][9]; //昨日历史波动率90分位数
double fractile70Yesterday = fractile[i - 1][7]; //昨日历史波动率70分位数
double fractile50Yesterday = fractile[i - 1][5]; //昨日历史波动率50分位数
double fractile30Yesterday = fractile[i - 1][3]; //昨日历史波动率30分位数
double volYesterday = etfVol[i - 1]; //昨日历史波动率
double impvYesterday = optionVol[i - 1]; //昨日隐含波动率
//获取当日ATM期权合约代码
DateTime today = etfDailyData[i].time;
double etfPrice = etfDailyData[i].close;
double duration;
//获取当日期限结构,选取当月合约,若当日合约到日期小于等于3天，直接开仓下月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
// double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
//double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
//整合当日分钟线数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", today);
dataToday.Add("510050.SH", etfData.Cast <KLine>().ToList());
dataToday.Add(callATM.optionCode, callPrice.Cast <KLine>().ToList());
dataToday.Add(putATM.optionCode, putPrice.Cast <KLine>().ToList());
//策略信号处理
////信号1
//orignalSignal = 0;
//if (volYesterday >= fractile70Yesterday)
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//else if (optionVol[i - 1] < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (optionVol[i - 1] - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile70Yesterday)
{
//买入跨式期权
//orignalSignal = 1;
}
else if (impvYesterday - volYesterday > 2 * epsilon[i - 1])
{
//卖出跨式期权
orignalSignal = -1;
}
//指定平仓时间为开盘第一个分钟。
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), 0);
Console.WriteLine("time: {0}, 昨日历史波动率: {1}, 历史波动率70分位数: {2}, 昨日隐含波动率: {3}", now, volYesterday.ToString("N"), fractile70Yesterday.ToString("N"), optionVol[i - 1].ToString("N"));
//如果有持仓先判断持仓状态和信号方向是否相同，如果不同先平仓
if (holdingStatus.callPosition != 0)
{
//平仓之前获取IH数据
if (holdingStatus.IHCode != null)
{
var IHData = Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.IHCode, today);
dataToday.Add(holdingStatus.IHCode, IHData.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
if (holdingStatus.callPosition * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, slipPoint);
holdingStatus = new Straddle();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, slipPoint);
holdingStatus = new Straddle();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
int openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPosition == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = optionVolume;
holdingStatus.putPosition = optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
else if (orignalSignal == -1) //做空跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = -optionVolume;
holdingStatus.putPosition = -optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
benchmark.Add(etfData[thisIndex].close);
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
//在控制台上数据每日持仓信息
if (holdingStatus.callPosition != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate);
}
//Console.WriteLine("time: {0}, total: {1}, cash: {2}, option: {3}, margin: {4}", thisTime, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
private void computeImpv()
{
optionVol = new double[etfDailyData.Count()];
for (int i = startIndex; i < etfDailyData.Count(); i++)
{
DateTime today = etfDailyData[i].time;
double etfPrice = etfDailyData[i].close;
double volThisMonth;
double volNextMonth;
double duration;
//获取当日期限结构,选取当月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] == 0 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today);
double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today);
double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
if (callImpv * putImpv == 0)
{
volThisMonth = callImpv + putImpv;
}
else
{
volThisMonth = (callImpv + putImpv) / 2;
}
//获取当日期限结构,选取下月合约,若下月合约不存在，就获取季月合约
double duration1 = dateStructure[0] == 0 ? dateStructure[2] : dateStructure[1];
duration = duration1;
call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
callATM = call[0];
callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today);
callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
putATM = put[0];
putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today);
putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
if (callImpv * putImpv == 0)
{
volNextMonth = callImpv + putImpv;
}
else
{
volNextMonth = (callImpv + putImpv) / 2;
}
if (duration0 >= step)
{
optionVol[i] = Math.Sqrt(step / duration0) * volThisMonth;
}
else if ((duration0 < step && duration1 > step))
{
optionVol[i] = Math.Sqrt((duration1 - step) / (duration1 - duration0)) * volThisMonth + Math.Sqrt((step - duration0) / (duration1 - duration0)) * volNextMonth;
}
else if (duration1 <= step)
{
optionVol[i] = volNextMonth;
}
}
}
/// <summary>
/// 获取对应的期权合约
/// </summary>
/// <param name="duration"></param>
/// <param name="strike"></param>
/// <param name="etfPriceNow"></param>
/// <param name="type"></param>
/// <param name="today"></param>
/// <returns></returns>
private OptionInfo getOptionCode(double duration, double etfPriceNow, string type, DateTime today)
{
OptionInfo option = new OptionInfo();
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
if (type == "认购")
{
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count > 0)
{
option = list[0];
}
}
else if (type == "认沽")
{
//选取指定的看跌期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.5, etfPriceNow), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count > 0)
{
option = list[0];
}
}
return(option);
}
/// <summary>
/// 跨式期权开仓
/// </summary>
/// <param name="dataToday"></param>
/// <param name="signal"></param>
/// <param name="positions"></param>
/// <param name="myAccount"></param>
/// <param name="pairs"></param>
/// <param name="today"></param>
/// <param name="index"></param>
/// <param name="duration"></param>
private void openStrangle(ref Dictionary <string, List <KLine> > dataToday, ref Dictionary <string, MinuteSignal> signal, ref SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, ref BasicAccount myAccount, ref SortedDictionary <DateTime, List <StranglePair> > pairs, DateTime today, int index, double duration)
{
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), index);
double etfPriceNow = dataToday[targetVariety][index].open;
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
OptionInfo call = list[0];
//根据给定的看涨期权选取对应的看跌期权
OptionInfo put = OptionUtilities.getCallByPutOrPutByCall(optionInfoList, call);
if (call.strike != 0 && put.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //跨式期权组合存在进行开仓
{
tradeAssistant(ref dataToday, ref signal, call.optionCode, call.contractMultiplier, today, now, index);
tradeAssistant(ref dataToday, ref signal, put.optionCode, put.contractMultiplier, today, now, index);
StranglePair openPair = new StranglePair()
{
callCode = call.optionCode, putCode = put.optionCode, callPosition = call.contractMultiplier, putPosition = put.contractMultiplier, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike, modifiedDate = now, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open, closeDate = new DateTime(), closePrice = 0
};
List <StranglePair> pairList = new List <StranglePair>();
pairList.Add(openPair);
pairs.Add(now, pairList);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
///数据准备
//记录牛市价差两条腿的信息
BullSpread myLegs = new BullSpread();
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
//计算50ETF的EMA
var closePrice = dailyData.Select(x => x.close).ToArray();
List <double> ema7 = TA_MA.EMA(closePrice, 5).ToList();
List <double> ema50 = TA_MA.EMA(closePrice, 20).ToList();
List <double> ema10 = TA_MA.EMA(closePrice, 10).ToList();
double maxProfit = 0;
for (int day = 1; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
var today = tradeDays[day];
myAccount.time = today;
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
double duration = 0;
for (int i = 0; i < dateStructure.Count(); i++)
{
if (dateStructure[i] >= 20 && dateStructure[i] <= 40)
{
duration = dateStructure[i];
break;
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
if (ema7[day + number - 1] - ema50[day + number - 1] > 0 && dailyData[number + day - 1].close > ema10[day + number - 1] && myLegs.strike1 == 0) // EMA7日线大于EMA50日线，并且ETF价格站上EMA10,开牛市价差
{
//取出指定日期
double lastETFPrice = dailyData[number + day - 1].close;
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), 0);
//MinuteSignal openSignal = new MinuteSignal() { code = targetVariety, volume = 10000, time = now, tradingVarieties = "stock", price =averagePrice, minuteIndex = day };
//signal.Add(targetVariety, openSignal);
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, tradeDays[day], duration), "认购"), lastETFPrice, lastETFPrice + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
//如果可以构成看涨期权牛市价差，就开仓
if (list.Count() >= 2)
{
var option1 = list[0];
var option2 = list[list.Count() - 1];
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option1.optionCode, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option2.optionCode, today);
if ((option1Data[0].close > 0 && option2Data[0].close > 0) == true)
{
dataToday.Add(option1.optionCode, option1Data.Cast <KLine>().ToList());
dataToday.Add(option2.optionCode, option2Data.Cast <KLine>().ToList());
//var vol1 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option1.strike, duration / 252.0, 0.04, 0, option1.optionType, option1Data[0].close, etfData[0].close);
//var vol2 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option2.strike, duration / 252.0, 0.04, 0, option2.optionType, option2Data[0].close, etfData[0].close);
MinuteSignal openSignal1 = new MinuteSignal()
{
code = option1.optionCode, volume = 10000, time = now, tradingVarieties = "option", price = option1Data[0].close, minuteIndex = 0
};
MinuteSignal openSignal2 = new MinuteSignal()
{
code = option2.optionCode, volume = -10000, time = now, tradingVarieties = "option", price = option2Data[0].close, minuteIndex = 0
};
Console.WriteLine("开仓！");
signal.Add(option1.optionCode, openSignal1);
signal.Add(option2.optionCode, openSignal2);
myLegs.code1 = option1.optionCode;
myLegs.code2 = option2.optionCode;
myLegs.strike1 = option1.strike;
myLegs.strike2 = option2.strike;
myLegs.endDate = option1.endDate;
myLegs.spreadPrice_Open = option1Data[0].close - option2Data[0].close;
myLegs.etfPrice_Open = etfData[0].close;
myLegs.spreadOpenDate = now;
maxProfit = 0;
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", now, etfData[0].close, myLegs.strike1, option1Data[0].close, myLegs.strike2, option2Data[0].close);
}
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
if (positions.Count() > 0 && myLegs.strike1 != 0)
{
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code1, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code2, today);
dataToday.Add(myLegs.code1, option1Data.Cast <KLine>().ToList());
dataToday.Add(myLegs.code2, option2Data.Cast <KLine>().ToList());
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
var etfPriceNow = etfData[thisIndex].close;
var durationNow = DateUtils.GetSpanOfTradeDays(today, myLegs.endDate);
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", thisTime, etfPriceNow, myLegs.strike1, option1Data[thisIndex].close, myLegs.strike2, option2Data[thisIndex].close);
//多个退出条件①收益达到最大收益的60%以上②多日之内不上涨③迅速下跌
double spreadPrice = option1Data[thisIndex].close - option2Data[thisIndex].close;
maxProfit = (spreadPrice - myLegs.spreadPrice_Open) > maxProfit ? spreadPrice - myLegs.spreadPrice_Open : maxProfit;
double holdingDays = DateUtils.GetSpanOfTradeDays(myLegs.spreadOpenDate, today);
//止盈
bool profitTarget = (spreadPrice) > 0.6 * (myLegs.strike2 - myLegs.strike1) && durationNow >= 10;
//止损
bool lossTarget1 = (spreadPrice - myLegs.spreadPrice_Open) < 0 && holdingDays > 20;
bool lossTarget2 = etfPriceNow < myLegs.strike1 - 0.2;
bool lossTarget3 = spreadPrice / myLegs.spreadPrice_Open < 0.6;
bool lossTarget4 = maxProfit > 0.02 && (spreadPrice - myLegs.spreadPrice_Open) / maxProfit < 0.8;
if (profitTarget || lossTarget1 || lossTarget2 || lossTarget3 || lossTarget4 || durationNow <= 1 || holdingDays >= 7)
{
Console.WriteLine("平仓！");
maxProfit = 0;
myLegs = new BullSpread();
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, thisTime, slipPoint);
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
else
{
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
tempAccount.initialAssets = myAccount.initialAssets;
accountHistory.Add(tempAccount);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//初始化持仓信息
StranglePair holdPair = new StranglePair();
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//可以变动的策略参数
int length = 40;
double range = 0.04;
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
var closePrice = dailyData.Select(x => x.close).ToArray();
var ETFMA = TA_MA.SMA(closePrice, length);
//获取中国波指的数据
List <StockDaily> iVix = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("000188.SH", startDate, endDate);
//按交易日回测
for (int day = 0; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
double MAyesterday = ETFMA[day + number - 1];
double lastETFPrice = dailyData[number + day - 1].close;
var today = tradeDays[day];
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//初始化信号的数据结构
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获取今日日内50ETF数据
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
//初始化行情信息，将50ETF的价格放入dataToday
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
//记录今日账户信息
myAccount.time = today;
//获取今日期权的到期日期
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
//选定到日期在40个交易日至60个交易日的合约
double duration = 0;
//for (int i = 0; i < dateStructure.Count(); i++)
//{
// if (dateStructure[i] >= 40 && dateStructure[i] <= 80)
// {
// duration = dateStructure[i];
// break;
// }
//}
duration = dateStructure[1];
//如果没有持仓就开仓
if (holdPair.endDate == new DateTime())
{
if (duration == 0)
{
continue;
}
//按照开盘1分钟的价格来开平仓。
int index = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
double etfPriceNow = etfData[index].open;
if (etfPriceNow > MAyesterday * (1 + range))//看涨，卖出虚值的put
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo put = list[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = "", putCode = put.optionCode, callPosition = 0, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = 0, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else if (etfPriceNow < MAyesterday * (1 - range))//看跌，卖出虚值的call
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo call = list[0];
if (call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = "", callPosition = -call.contractMultiplier, putPosition = 0, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = 0
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else//不涨不跌，卖出宽跨式期权
{
var putList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
var callList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (putList.Count == 0 || callList.Count == 0)
{
continue;
}
OptionInfo call = callList[0];
OptionInfo put = putList[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today) && call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = put.optionCode, callPosition = -call.contractMultiplier, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
}
else //如果有持仓就判断需不需要移仓
{
double durationNow = DateUtils.GetSpanOfTradeDays(today, holdPair.endDate);
int index = 234;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
if (holdPair.callPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.callCode, -holdPair.callPosition, today, now, index);
}
if (holdPair.putPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.putCode, -holdPair.putPosition, today, now, index);
}
if (durationNow <= 10) //强制平仓
{
//按照收盘前5分钟的价格来开平仓。
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
holdPair = new StranglePair();
}
}
if (etfData.Count > 0)
{
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, etfData.Last().time, etfData.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(etfData.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = etfData.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
}
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
// ivix数据
double[] iVixClose = iVix.Select(x => x.close / iVix[0].close).ToArray();
//line.Add("iVix", iVixClose);
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
//maoheng 画图
//Application.Run(new PLChart(line, datestr));
//cuixun 画图
//绘制图形的标题
string formTitle = this.startDate.ToShortDateString() + "--" + this.endDate.ToShortDateString() + " " + this.targetVariety + " 净值曲线"
+ "\r\n" + "\r\n" + "净利润：" + myStgStats.netProfit + " " + "夏普率：" + myStgStats.anualSharpe + " " + "最大回撤：" + myStgStats.maxDrawDown
+ "\r\n" + "\r\n";
//生成图像
PLChart plc = new PLChart(line, datestr, formTitle: formTitle);
//运行图像
//Application.Run(plc);
plc.LoadForm();
//保存图像
plc.SaveZed(GetType().FullName, this.targetVariety, this.startDate, this.endDate, myStgStats.netProfit.ToString(), myStgStats.anualSharpe.ToString(), myStgStats.maxDrawDown.ToString());
}
