public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query k60");
var k60 = stocks
.AsParallel()
.Select(code => client.kdata(code, "60"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("k60 total {0}", k60.Count());
var codes = k60
.Where(p =>
{
var macd = (macd) new MACD(p.close());
return(macd != null &&
macd.MACD > 0 && macd.DIF <= 0.01 &&
macd.Date.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
if (codes.Any())
{
log.Info("query k15");
var k15 = codes
.AsParallel()
.Select(code => client.kdata(code, "15"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("k15 total {0}", k15.Count());
codes = k15
.Where(p =>
{
var close = p.close();
var macd = (macd) new MACD(close);
var deviation = (deviation) new DEVIATION(close, deviationtype.底背离);
return(macd != null &&
macd.MACD > 0 &&
macd.Date.Date == DateTime.Today &&
deviation != null &&
deviation.d2.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
}
log.InfoFormat("selected {0}", codes.Count());
return(new universe("macd60", codes));
}
public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query market data");
var data = stocks
.AsParallel()
.Select(code => client.kdata(code, "D"))
.Where(p => p != null)
.ToArray();
log.InfoFormat("total {0}", data.Count());
log.Info("query fundamentals");
var basics = new db().basics(data.Select(p => p.Code).Distinct().ToArray());
var stat = data
.Select(series => new factorset(series.Code)
{
收阳百分比 = new close_up_percent(series, TimeSpan.FromDays(180)).value,
均线多头 = new jun_xian_dou_tout(series).value,
低点反弹高度 = new low_to_historical_lowest(series, new DateTime(2015, 5, 1)).value
})
.ToArray();
if (junxianduotou)
{
stat = stat.Where(p => p.均线多头).ToArray();
}
stat = stat
.Where(p => p.低点反弹高度 < benchmark * beta)
.OrderBy(p => p.低点反弹高度)
.ToArray();
var q = from s in stat
join b in basics on s.代码 equals b.code
join d in data on s.代码 equals d.Code
select new Stock(s.代码,
new
{
s.代码,
b.name,
s.收阳百分比,
s.低点反弹高度,
s.均线多头,
b.pe,
b.totalAssets,
b.industry,
b.liquidAssets
});
return(new universe("lowbeta", q.Select(p => p.Code).Distinct().ToArray()));
}
public override void Run(Account account)
{
var client = new kdatadb();
log.InfoFormat("total {0}", account.universe.Count);
foreach (var stock in account.universe.AsParallel())
{
log.InfoFormat("run {0}", stock.Code);
var k = client.kdata(stock.Code, "15");
var kdj = new MACD(k.close());
var crossup = kdj.cross_gold();
var crossdown = kdj.cross_dead();
if (crossup.Any())
{
var s = crossup.Last();
if (s.Date == k.Last().date&& s.Date.Date == DateTime.Today)
{
Buy(account, stock.Code, s.Date);
continue;
}
}
if (crossdown.Any())
{
var s = crossdown.Last();
if (s.Date == k.Last().date&& s.Date.Date == DateTime.Today)
{
Sell(account, stock.Code, s.Date);
continue;
}
}
log.InfoFormat("no signal {0}", stock.Code);
}
}
public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query D");
var D = stocks
.AsParallel()
.Select(code => client.kdata(code, "D"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("D total {0}", D.Count());
var codes = D
.Where(p =>
{
if (!p.Any())
{
return(false);
}
var close = p.close();
var cross = new MACD(p.volume()).cross();
return(cross.Any() &&
cross.Last().type == Interface.Data.crosstype.gold &&
cross.Last().value.Date.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
log.InfoFormat("selected {0}", codes.Count());
return(new universe("volume", codes));
}
public override void exec()
{
//var a = analytic.hitkeyprices();
//log.Info(a.ToCsv());
//return;
log.Info("run strategy " + param.name.ToLower());
log.Info("get codes");
universe universe;
if (param.astock)
{
var codes =
param.universe.Split(new[] { ' ', ',' }, StringSplitOptions.RemoveEmptyEntries);
universe = new universe(param.universe, codes);
}
else if (param.asector)
{
universe = new universe(param.universe, new Trade.Db.db().codes(param.universe).ToArray());
}
else
{
universe = getUniverse(param.universe);
}
log.Info("total " + universe.codes.Length);
log.Info("get run");
var pool = new StockPool(universe.codes);
var orders = !param.backtest
? new IOrder[] { new dbOrder(), new smsOrder() }
: new IOrder[] { new dbOrder() };
var portflio = (param.portflio ?? param.name.ToLower()) + (param.backtest ? "-backtest" : "");
var account = new Account(portflio, pool, orders, param.backtest);
switch (param.name.ToLower())
{
case "macd15min":
new strategies.macd15minstrategy().Run(account);
break;
}
if (param.backtest)
{
log.Info("run back test");
var client = new kdatadb();
log.InfoFormat("total {0}", account.universe.Count);
var pnls = new List <pnl>();
foreach (var stock in account.universe.AsParallel())
{
log.InfoFormat("run {0}", stock.Code);
var k = client.kdata(stock.Code, "D");
if (k == null && !k.Any())
{
log.WarnFormat("empty data set for {0}", stock.Code);
continue;
}
var trades = account.Trades
.Where(p => p.code == stock.Code)
//.Where(p=>p.Date >= new DateTime(2016,9,1))
.OrderBy(p => p.date)
.ToArray();
var backtest = new backtesting(stock.Code, k.close(), trades);
if (backtest.pnl != null)
{
pnls.Add(backtest.pnl);
}
}
var format = "{0,-15}{1,-20}{2,10:N0}{3,10:N0}{4,10:N1}";
log.InfoFormat(format, "code", "date", "value", "capital", "ratio%");
foreach (var pnl in pnls)
{
log.InfoFormat(format, pnl.code, pnl.date, pnl.value, pnl.capital, pnl.ratio);
}
}
log.Info("**********DONE**********");
}
