public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
OperationRow opData = opSet.GetData(_key);
Boolean on = opData.On;
AssetAdjustment others = _nextAdjustment.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
AssetAdjustment mine = new AssetAdjustment(_kospiAdjustment, _bondAdjustment, _dollarAdjustment);
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AssetAdjustment ret = AdjustmentUtil.Multiply(mine, others);
return ret;
}
else
{
logger.Warn("Multiply 이외의 기능은 아직 제공하고 있지 않음");
return others;
}
}
else
{
return others;
}
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AssetAdjustment ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AssetAdjustment(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AssetAdjustment(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public static MarketDataSet GetBaseMarketData(StrategyBaseInput input)
{
List<MarketData> l = new List<MarketData>();
MarketData mdKospiFuture = LoadDataAndAddToList("KM1 R:00_0_R Index", input.StartDate, input.EndDate, l);
MarketData mdBond = LoadDataAndAddToList("KE1 R:00_0_R Comdty", input.ReadStartDate, input.EndDate, l);
MarketData mdDollar = LoadDataAndAddToList("KU1 R:00_0_R Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdKrxCreditDepositRate = LoadDataAndAddToList("KrxCreditDepositRate", input.ReadStartDate, input.EndDate, l);
MarketData mdUsdKrwCurncy = LoadDataAndAddToList("USDKRW Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdBokRate = LoadDataAndAddToList("KORP7D Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKospiIndex = LoadDataAndAddToList("KOSPI Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKtbSpotRate = LoadDataAndAddToList("KWNDF3 CMPN CURNCY", input.ReadStartDate, input.EndDate, l);
List<MarketData> alignedData = DataUtil.FillByPivotData(mdKospiFuture, l);
Boolean arranged = DataUtil.IsArrangedDateAndIndex(alignedData);
Trace.Assert(arranged);
//Set data
MarketDataSet data = new MarketDataSet();
data.Add(MarketDataSetKey.KospiFuture, alignedData[0]);
data.Add(MarketDataSetKey.KtbFuture, alignedData[1]);
data.Add(MarketDataSetKey.DollarFuture, alignedData[2]);
data.Add(MarketDataSetKey.KrxCreditDepositRate, alignedData[3]);
data.Add(MarketDataSetKey.DollarSpot, alignedData[4]);
data.Add(MarketDataSetKey.BokRate, alignedData[5]);
data.Add(MarketDataSetKey.KospiSpot, alignedData[6]);
data.Add(MarketDataSetKey.KtbSpot, alignedData[7]);
data.RegisterPivotData(alignedData[0]);
return data;
}
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
LogRow row = new LogRow();
row.CurDate = targetDate;
row.PrevAreaNumber = _prevAreaNumber;
row.PrevUpDown = _prevUpDown;
MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = md.GetData(targetDate);
_ma.Add(dohlc.OHLC.Close);
double ma = _ma.GetCurMA();
int areaNumber = GetAreaNumber(ma);
double kospiWeight = GetKospiWeight(areaNumber, row);
_logs.Add(row);
if (targetDate > new DateTime(2007, 6, 1))
{
return new AssetAdjustment(kospiWeight, 1, 1);
}
else
{
_prevUpDown = UpDown.Unknown;
}
return new AssetAdjustment(1, 1, 1);
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
if (_adjs.ContainsKey(targetDate))
{
Tuple<double, double, double> t = _adjs[targetDate];
AssetAdjustment aa = new AssetAdjustment(t);
_prev = aa;
return aa;
}
return _prev;
}
AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC dohlc = md.GetData(targetDate);
double cur = dohlc.OHLC.Close;
const double kMax = 1800;
const double kMin = 900;
double rate = (kMax - cur) / (kMax - kMin);
rate = Math.Max(0, rate);
rate = Math.Min(1, rate);
rate = 0.5 + rate;
return new AssetAdjustment(1, 1, rate * _weight);
}
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
AssetAdjustment adj = new AssetAdjustment(1, 1, 1);
if (targetDate > new DateTime(2007, 6, 1))
{
DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData);
MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo);
double rate = dohlc.OHLC.Close;
double kospiAdjustment = GetKospiAdjustment(rate);
adj = new AssetAdjustment(kospiAdjustment, 1, 1);
}
return adj;
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
RowInfo curRow = GetCurRowWithBasicInfo(targetDate, data);
//포지션 정보를 설정한다.
SetPositionInfo(targetDate, data, curRow);
// 전일대비 변동율을 구한다.
SetFutureIncrement(curRow, _prevRow);
this._cumData.Add(curRow);
// 코스피 선물 평균 변동성을 구한다.
curRow.KospiVol = this._cumData.GetKospiAvgVol();
// 비중을 구한다.
AssetAdjustment adj = GetAdj(curRow);
curRow.AssetAdj = adj;
this._prevRow = curRow;
return adj;
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AssetAdjustment ret = null;
if (_prevMarketData == null)
{
ret = new AssetAdjustment(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
public static AssetAdjustment Calculate(
int key,
AssetAdjustment mine,
IAdjustment next,
OperationSet opSet,
DateTime targetDate,
MarketDataSet data)
{
if (next == null)
{
return mine;
}
OperationRow opData = opSet.GetData(key);
Boolean on = opData.On;
AssetAdjustment others = next.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AssetAdjustment ret = AdjustmentUtil.Multiply(mine, others);
return ret;
}
else
{
Trace.Assert(false);
return others;
}
}
else
{
return others;
}
}
public void ReadyData()
{
this._readyData = DataUtil.GetBaseMarketData(this.Input);
}
Tuple<double, double, double, double> GetDailyPnL(
AssetWeight aw, DateTime prevDate, DateTime curDate, long notional, MarketDataSet marketDataSet)
{
MarketData mdKospi = marketDataSet.GetData(MarketDataSetKey.KospiFuture);
MarketData mdBond = marketDataSet.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollar = marketDataSet.GetData(MarketDataSetKey.DollarFuture);
double kospiUpDoweRate = GetUpDownRate(mdKospi, prevDate, curDate);
double bondUpDoweRate = GetUpDownRate(mdBond, prevDate, curDate);
double dollarUpDoweRate = GetUpDownRate(mdDollar, prevDate, curDate);
double kospiPnL = aw.KospiWeight * notional * kospiUpDoweRate;
double bondPnL = aw.BondWeight * notional * bondUpDoweRate;
double dollarPnL = aw.DollarWeight * notional * dollarUpDoweRate;
double sum = kospiPnL + bondPnL + dollarPnL;
return new Tuple<double, double, double, double>(sum, kospiPnL, bondPnL, dollarPnL);
}
public void CalculatePnL(AssetWeightLog log, MarketDataSet marketDataSet)
{
DateTime prevDate = log.StartDate;
DateTime curDate = log.StartDate.AddDays(1);
_cumPnL.Add(prevDate, 0);
while (curDate <= log.EndDate)
{
if (log.IsExistDate(curDate))
{
AssetWeight awPrev = log.GetData(prevDate);
Tuple<double, double, double, double> dailyPnL = GetDailyPnL(
awPrev, prevDate, curDate, InitInvestAmount, marketDataSet);
AddDailyPnL(curDate, dailyPnL);
AddCumPnL(prevDate, curDate, dailyPnL.Item1);
ChangeCurDateAndPrevDate(ref prevDate, ref curDate);
continue;
}
curDate = curDate.AddDays(1);
}
double total = TotalPnL;
}
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
AssetAdjustment adj = CalculateAssetWeight_Raw(opSet, targetDate, data);
return AdjustmentUtil.Calculate(_key, adj, _nextAdjustment, opSet, targetDate, data);
}
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
return new AssetAdjustment(1, 1, 1);
}
public AssetWeight CalculateAssetWeight(DateTime targetDate, MarketDataSet data)
{
//공평하게 0.33씩 나누어서 투자한다.
AssetWeight aw = new AssetWeight(this.KospiWeight, this.BondWeight, this.DollarWeight);
return aw;
}
RowInfo GetCurRowWithBasicInfo(DateTime curDate, MarketDataSet data)
{
MarketData mdKospiFuture = data.GetData(MarketDataSetKey.KospiFuture);
MarketData mdKtbFuture = data.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollarFuture = data.GetData(MarketDataSetKey.DollarFuture);
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiFuture = mdKospiFuture.GetData(curDate);
DOHLC ktbFuture = mdKtbFuture.GetData(curDate);
DOHLC dollarFuture = mdDollarFuture.GetData(curDate);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
RowInfo row = new RowInfo();
row.CurDate = curDate;
row.KospiFuturePrice = kospiFuture.OHLC.Close;
row.KtbFuturePrice = ktbFuture.OHLC.Close;
row.DollarFuturePrice = dollarFuture.OHLC.Close;
row.KospiSpotPrice = kospiSpot.OHLC.Close;
row.KtbSpotPrice = ktbSpot.OHLC.Close;
row.DollarSpotPrice = dollarSpot.OHLC.Close;
return row;
}
void SetPositionInfo(DateTime curDate, MarketDataSet data, RowInfo row)
{
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
double kospiSpotPos = (kospiSpot.OHLC.Close - MagicNumber.KOSPI_SPOT_MIN_RANGE) /
(MagicNumber.KOSPI_SPOT_MAX_RANGE - MagicNumber.KOSPI_SPOT_MIN_RANGE);
double ktbSpotPos = (MagicNumber.KTB_SPOT_MAX_RANGE - ktbSpot.OHLC.Close) /
(MagicNumber.KTB_SPOT_MAX_RANGE - MagicNumber.KTB_SPOT_MIN_RANGE);
double dollarSpotPos = (dollarSpot.OHLC.Close - MagicNumber.DOLLAR_SPOT_MIN_RANGE) /
(MagicNumber.DOLLAR_SPOT_MAX_RANGE - MagicNumber.DOLLAR_SPOT_MIN_RANGE);
row.KospiSpotPosition = kospiSpotPos;
row.KtbSpotPosition = ktbSpotPos;
row.DollarSpotPosition = dollarSpotPos;
}
