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)); }
/// <summary> /// 计算期权持仓的delta值 /// </summary> /// <param name="positionLast">最后持仓状态</param> /// <param name="holdingStatus">记录的跨式期权情况</param> /// <param name="today">今日日期</param> /// <param name="dataToday">今日数据</param> /// <param name="index">交易时间对应的下标</param> /// <returns></returns> private double computeOptionCashDelta(Dictionary <string, PositionsWithDetail> positionLast, Straddle holdingStatus, DateTime today, Dictionary <string, List <KLine> > dataToday, int index) { double delta = 0; foreach (var item in positionLast) { if (item.Key == holdingStatus.callCode) { var callDelta = ImpliedVolatilityUtilities.ComputeOptionDelta(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认购", ImpliedVolatilityUtilities.ComputeImpliedVolatility(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认购", dataToday[item.Key][index].close, dataToday["510050.SH"][index].close), dataToday["510050.SH"][index].close); delta += holdingStatus.callPosition * callDelta; } if (item.Key == holdingStatus.putCode) { var putDelta = ImpliedVolatilityUtilities.ComputeOptionDelta(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认沽", ImpliedVolatilityUtilities.ComputeImpliedVolatility(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认沽", dataToday[item.Key][index].close, dataToday["510050.SH"][index].close), dataToday["510050.SH"][index].close); delta += holdingStatus.putPosition * putDelta; } } return(delta); }