public Report Run(StrategyBase strategy,
Dictionary <string, Dictionary <DateTime, ITradingData> > portfolioDataset,
List <DateTime> tradingCalendar,
BacktestingProperty property,
Dictionary <string, PortfolioSubject> portfolio,
Period period,
bool isBenchmark = false)
{
_strategy = strategy;
_isBenchmark = isBenchmark;
_report = new Report(_strategy.StrategyType);
_portfolioDataset = portfolioDataset;
_tradingCalendar = tradingCalendar;
_portfolio = portfolio;
Property = property;
_balance = property.Capital;
_highestTotalBalance = property.Capital;
foreach (var assetCode in _portfolioDataset.Keys)
{
var initialBalance = Property.Capital * _portfolio[assetCode].Ratio;
_holdStocks.Add(assetCode, new HoldStock
{
InitialBalance = initialBalance
});
_report.Transactions.Add(assetCode, new Dictionary <DateTime, List <Transaction> >());
// 에셋별로 실제거래한 날짜데이터를 갖는다(트레이딩 달력이랑 다름)
var tradingDate = portfolioDataset[assetCode].Keys.ToList();
_tradingDates.Add(assetCode, tradingDate);
_tradingIndex.Add(assetCode, 0);
_recordDetails.Add(assetCode, new List <RecordDetail>());
}
foreach (var date in tradingCalendar)
{
_currentDate = date; // 트레이딩 달력기준 날짜
_totalBalanceSnapshot = _report.Records.Count > 0 ? _report.Records.Last().TotalBalance : _balance;
var recordDetails = new List <RecordDetail>();
foreach (var assetCode in _portfolioDataset.Keys)
{
var subjectDataset = _portfolioDataset[assetCode];
if (subjectDataset.ContainsKey(date))
{
_strategy.OnAfterOpen(assetCode);
var recordDetail = CreateRecordDetail(assetCode);
_recordDetails[assetCode].Add(recordDetail);
recordDetails.Add(recordDetail);
_tradingIndex[assetCode]++;
}
else
{
// var prevRecord = _report.Records.OrderByDescending(x => x.Date).Take(1).FirstOrDefault();
var prevRecordDetail = _recordDetails[assetCode].OrderByDescending(x => x.Date).Take(1).FirstOrDefault();
if (prevRecordDetail != null)
{
var recordDetail = new RecordDetail()
{
Date = _currentDate,
AssetCode = assetCode,
RatingBalance = prevRecordDetail.RatingBalance,
Return = 0,
ReturnRatio = 0,
CumulativeReturn = prevRecordDetail.CumulativeReturn
};
_recordDetails[assetCode].Add(recordDetail);
recordDetails.Add(recordDetail);
}
}
}
var record = CreateRecord(date, recordDetails);
_report.Records.Add(record);
if (IsFirstTradingDateOfYear(_currentDate.Year))
{
_balanceOfYears.Add(_currentDate.Year, new BalanceOfPeriod {
FirstDateBalance = _report.Records.Last().TotalBalance
});
}
else if (IsLastTradingDateOfYear(_currentDate.Year))
{
_balanceOfYears[_currentDate.Year].LastDateBalance = _report.Records.Last().TotalBalance;
}
if (IsFirstTradingDateOfMonth(_currentDate.Year, _currentDate.Month))
{
_balanceOfMonths.Add(_currentDate.ToString("yyyy-MM"), new BalanceOfPeriod {
FirstDateBalance = _report.Records.Last().TotalBalance
});
}
else if (IsLastTradingDateOfMonth(_currentDate.Year, _currentDate.Month))
{
_balanceOfMonths[_currentDate.ToString("yyyy-MM")].LastDateBalance = _report.Records.Last().TotalBalance;
}
}
// 통계생성
string relationalKey = Guid.NewGuid().ToString();
var summaryDetails = CreateSummaryDetails(relationalKey);
_report.Summary = CreateSummary(summaryDetails, relationalKey);
_report.AnnualReturns = CreateAnnualReturns();
_report.MonthlyReturns = CreateMonthlyReturns();
return(_report);
}
// 개별 종목 계산
private RecordDetail CreateRecordDetail(string assetCode)
{
// var index = _tradingIndex[assetCode];
// 전일 누적수익
var prevCumulativeReturn = IsFirstDate(assetCode) ?
// 0 : _recordDetails[assetCode][index - 1].CumulativeReturn;
0 : _recordDetails[assetCode][_recordDetails[assetCode].Count - 1].CumulativeReturn;
// 전일 평가금액
var prevRatingBalane = IsFirstDate(assetCode) ?
// 0 : _recordDetails[assetCode][index - 1].RatingBalance;
0 : _recordDetails[assetCode][_recordDetails[assetCode].Count - 1].RatingBalance;
// 평가금액
var ratingBalance = _portfolioDataset[assetCode][_currentDate].Close * _holdStocks[assetCode].Volume;
// 최고 평가금액 업데이트
_holdStocks[assetCode].HighestRatingBalance = Math.Max(_holdStocks[assetCode].HighestRatingBalance, ratingBalance);
// 최저 MDD 업데이트
if (0 < ratingBalance)
{
_holdStocks[assetCode].Mdd = Math.Min(_holdStocks[assetCode].Mdd,
(_holdStocks[assetCode].HighestRatingBalance - ratingBalance) / _holdStocks[assetCode].HighestRatingBalance * -1);
}
// 오늘수익
var dailyReturn = 0.0;
switch (_strategy.StrategyType)
{
case StrategyType.BuyAndHold:
{
if (IsFirstDate(assetCode))
{
ratingBalance = _portfolioDataset[assetCode][_currentDate].Open * _holdStocks[assetCode].Volume;
}
else
{
// 평가금액 - 전일평가금액
dailyReturn = ratingBalance - prevRatingBalane;
}
}
break;
default:
{
if (_report.Transactions[assetCode].ContainsKey(_currentDate))
{
var transaction = _report.Transactions[assetCode][_currentDate];
// 당일매도금액
var sellValue = transaction.Where(x => x.Side == OrderType.Sell).Sum(x => x.Price * x.Volume) - transaction.Where(x => x.Side == OrderType.Sell).Sum(x => x.Commission);
// 당일매수금액
var buyValue = transaction.Where(x => x.Side == OrderType.Buy).Sum(x => x.Price * x.Volume) + transaction.Where(x => x.Side == OrderType.Buy).Sum(x => x.Commission);
var dailyReturnRatio = (ratingBalance + sellValue) / (prevRatingBalane + buyValue) - 1;
dailyReturn = (ratingBalance + sellValue) - (prevRatingBalane + buyValue);
}
}
break;
}
// 누적수익
var cumulativeReturn = prevCumulativeReturn + dailyReturn;
var recordDetail = new RecordDetail
{
Date = _currentDate,
AssetCode = assetCode,
RatingBalance = ratingBalance,
Return = dailyReturn,
CumulativeReturn = cumulativeReturn,
};
return(recordDetail);
}
