//获取指数成分股列表
public void backtestByIndexCode(string index, DateTime startDate, DateTime endDate)
{
allStockDic = getStockInfoList(index, endDate, endDate);
foreach (var item in allStockDic)
{
var stock = item.Value;
DateTime stockStart = startDate;
DateTime stockEnd = endDate;
if (stockStart < stock.IPODate)
{
stockStart = stock.IPODate.AddDays(10);
}
if (stockEnd > stock.DelistDate)
{
stockEnd = stock.DelistDate;
}
//dataPrepare(stock.code, stockStart, stockEnd);
backtest(stock.code, stockStart, stockEnd);
}
var dt = DataTableExtension.ToDataTable(transactionData);
var codeStr = index.Split('.');
string name = string.Format("E:\\result\\grabCeiling\\{0}.csv", codeStr[0]);
DataTableExtension.SaveCSV(dt, name);
}
public void backtest(DateTime startDate, DateTime endDate)
{
dataPrepare(startDate, endDate);
this.transactionData = new List <OneByOneTransaction>();
foreach (var day in tradedays)
{
foreach (var info in bondInfo)
{
if (day.Date >= info.startDate.Date && day.Date <= info.endDate.Date)
{
//var record = computeDailyWithRecordByMinute(day, info.code, info.stockCode, 0.01);
var record = computeDailyWithRecordByTick(day, info.code, info.stockCode, 0.03);
if (record.Count > 0)
{
this.transactionData.AddRange(record);
}
}
}
}
var dt = DataTableExtension.ToDataTable(transactionData);
var nowStr = DateTime.Now.ToString("yyyyMMddhhmm");
string name = string.Format("E:\\result\\bond\\convertibleBond{0}.csv", nowStr);
DataTableExtension.SaveCSV(dt, name);
}
public override void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
AssetName = text[index++];
Name = text[index++];
MoveSpeed = float.Parse(text[index++]);
RotateSpeed = float.Parse(text[index++]);
Atk = int.Parse(text[index++]);
AtkAnimTime = float.Parse(text[index++]);
AtkRange = float.Parse(text[index++]);
Def = int.Parse(text[index++]);
AtkSpeed = float.Parse(text[index++]);
HP = int.Parse(text[index++]);
MP = int.Parse(text[index++]);
ParseWeapon(text[index++]);
HPAbsorbPercent = float.Parse(text[index++]);
DefAbsorbPercent = float.Parse(text[index++]);
AtkAbsorbPercent = float.Parse(text[index++]);
AtkSpeedAbsorbPercent = float.Parse(text[index++]);
HPMinAbsorb = int.Parse(text[index++]);
DefMinAbsorb = int.Parse(text[index++]);
AtkMinAbsorb = int.Parse(text[index++]);
AtkSpeedMinAbsorb = float.Parse(text[index++]);
}
//获取指数成分股列表
public void backtestByIndexCode(string index, DateTime startDate, DateTime endDate)
{
this.index = index;
dataPrepareAll(index, startDate, endDate);
allStockDic = getStockInfoList(index, endDate, endDate);
int num = 0;
foreach (var item in allStockDic)
{
var stock = item.Value;
DateTime stockStart = startDate;
DateTime stockEnd = endDate;
if (stockStart < stock.IPODate)
{
stockStart = stock.IPODate.AddDays(10);
}
//backtestOpposite(stock.code, stockStart, stockEnd);
backtestOpposite2(stock.code, stockStart, stockEnd);
num += 1;
Console.WriteLine("完成 {0} of {1}!", num, allStockDic.Count());
}
//存入交易信息
var dt = DataTableExtension.ToDataTable(transactionData);
var codeStr = index.Split('.');
var now = DateTime.Now.ToString("yyyyMMddhhmm");
string name = string.Format("E:\\result\\grabCeiling\\{0}_{1}.csv", codeStr[0], now);
DataTableExtension.SaveCSV(dt, name);
}
public void backtestAllStock(DateTime startDate, DateTime endDate)
{
allStockDic = getAllstockInfo(endDate, endDate);
foreach (var item in allStockDic)
{
var stock = item.Value;
DateTime stockStart = startDate;
DateTime stockEnd = endDate;
if (stockStart < stock.IPODate)
{
stockStart = stock.IPODate;
}
if (stockEnd > stock.DelistDate)
{
stockEnd = stock.DelistDate;
}
//dataPrepare(stock.code, stockStart, stockEnd);
backtest(stock.code, stockStart, stockEnd);
}
var dt = DataTableExtension.ToDataTable(transactionData);
var codeStr = "all";
string name = string.Format("E:\\result\\grabCeiling\\{0}.csv", codeStr);
DataTableExtension.SaveCSV(dt, name);
}
private void btnFind_Click(object sender, EventArgs e)
{
DataTable dt = DataTableExtension.ToDataTable <TendencyModel>(this.Tendency.Lt_Tendencys);
List <TendencyModel> lt = getList(dt, getFilterExpression());
count = lt.Count;
find(lt);
}
public void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
index++; // 备注列
AssetName = text[index++];
}
private void FormTendency_Load(object sender, EventArgs e)
{
DataTable dt = DataTableExtension.ToDataTable <TendencyType>(lt_Tt);
this.comboBox1.DataSource = dt;
this.comboBox1.ValueMember = "EnName";
this.comboBox1.DisplayMember = "ChName";
initUnit();
}
private List <string> getCodeListFromLocalFile(string filePath = "D:\\BTP\\LocalDataBase\\dailyFactors\\000905_SH.CSV")
{
List <string> codeList = new List <string>();
var dt = DataTableExtension.CSVToDatatable(filePath);
foreach (DataRow dr in dt.Rows)
{
string code = Convert.ToString(dr["wind_code"]);
codeList.Add(code);
}
return(codeList);
}
public void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRowOld(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
index++;
AssetName = text[index++];
Priority = int.Parse(text[index++]);
Volume = float.Parse(text[index++]);
}
private void FormTendency_Load(object sender, EventArgs e)
{
DataTable dt = DataTableExtension.ToDataTable <TendencyType>(lt_Tt);
this.cbType.DataSource = dt;
this.cbType.ValueMember = "EnName";
this.cbType.DisplayMember = "ChName";
this.comboBox1.SelectedIndex = 2;
find(this.Tendency.Lt_Tendencys);
this.cbCompare.SelectedIndex = 0;
}
public void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
index++;
AssetName = text[index++];
GroupName = text[index++];
AllowMultiInstance = bool.Parse(text[index++]);
PauseCoveredUIForm = bool.Parse(text[index++]);
}
private void FormTendency_Load(object sender, EventArgs e)
{
DataTable dt = DataTableExtension.ToDataTable <TendencyType>(lt_Tt);
this.comboBox1.DataSource = dt;
this.comboBox1.ValueMember = "EnName";
this.comboBox1.DisplayMember = "ChName";
this.radioButton1.Checked = true;
this.comboBox2.SelectedIndex = 0;
this.rtbBigSmall.Checked = true;
initUnit();
}
public void backtest(string underlyingCode, DateTime startDate, DateTime endDate)
{
this.RangeDic = new Dictionary <int, Dictionary <DateTime, double> >();
this.underlyingAll = new List <StockTransaction>();
this.underlyingKLine = new Dictionary <DateTime, List <StockTransaction> >();
dataPrepare(underlyingCode, startDate, endDate);
//训练集训练参数
int maxN = 0;
double maxK1 = 0;
double maxK2 = 0;
double maxSharpe = -10;
for (int n = 2; n <= 6; n++)
{
for (double k1 = 0; k1 <= 2; k1 = k1 + 0.2)
{
for (double k2 = 0; k2 <= 2; k2 = k2 + 0.2)
{
double sharpe = getParametersSharpe(startDate, endDate, n, k1, k2, loss);
if (sharpe > maxSharpe)
{
maxN = n;
maxK1 = k1;
maxK2 = k2;
maxSharpe = sharpe;
//Console.WriteLine("rating:{0}, n:{1}, k1:{2}, k2:{3}", maxSharpe, maxN, maxK1, maxK2);
}
//Console.WriteLine("rating:{0}, n:{1}, k1:{2}, k2:{3}", sharpe, n, k1, k2);
}
}
}
Console.WriteLine("code:{4}, rating:{0}, n:{1}, k1:{2}, k2:{3}", maxSharpe, maxN, maxK1, maxK2, underlyingCode);
if (maxSharpe > -10)
{
var yield = getYieldList(startDate, endDate, maxN, maxK1, maxK2, loss);
yield = getYieldList(startDate, endDate, maxN, maxK1, maxK2, loss);
double nv = 1;
for (int i = 0; i < yield.Count(); i++)
{
nv = nv * (yield[i] + 1);
}
Console.WriteLine(nv);
this.transactionData = getTransactionData(startDate, endDate, maxN, maxK1, maxK2, loss);
var dt = DataTableExtension.ToDataTable(transactionData);
var codeStr = underlyingCode.Split('.');
string name = string.Format("E:\\result\\DualTrust\\{0}.csv", codeStr[0]);
DataTableExtension.SaveCSV(dt, name);
}
}
private List <string> getIndexStocksFromWind(DateTime date, string index)
{
var rawData = windReader.GetDataSetTable("sectorconstituent", string.Format("date={0};windcode={1}", date.Date, index));
List <string> codeList = new List <string>();
foreach (DataRow dr in rawData.Rows)
{
codeList.Add(Convert.ToString(dr[1]));
}
var indexStr = index.Split('.');
string name = string.Format("D:\\BTP\\LocalDataBase\\dailyFactors\\{0}_{1}.csv", indexStr[0], indexStr[1]);
DataTableExtension.SaveCSV(rawData, name);
return(codeList);
}
public void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
index++;
AssetName = text[index++];
Priority = int.Parse(text[index++]);
Loop = bool.Parse(text[index++]);
Volume = float.Parse(text[index++]);
SpatialBlend = float.Parse(text[index++]);
MaxDistance = float.Parse(text[index++]);
}
/// <summary>
/// 将要解析的数据表文本分割为数据表行文本。
/// </summary>
/// <param name="text">要解析的数据表文本。</param>
/// <returns>数据表行文本。</returns>
public override string[] SplitToDataRows(string text)
{
List <string> texts = new List <string>();
string[] rowTexts = DataTableExtension.SplitDataTable(text);
for (int i = 0; i < rowTexts.Length; i++)
{
if (!string.IsNullOrEmpty(rowTexts[i]))
{
texts.Add(rowTexts[i]);
}
}
return(texts.ToArray());
}
private List <indexStockInfo> getDocumentFromFtp(string index)
{
FtpHelper ftp = new FtpHelper("192.168.38.213", "index", "dfzq1234");
List <indexStockInfo> list = new List <indexStockInfo>();
string[] indexStr = index.Split('.');
string todayStr = date.Year.ToString();
string filename = getFileName(index, date, "weightnextday", "xls");
string original = "\\hs300\\" + filename;
string target = "E:\\result\\stockBonusEstimate\\" + filename;
ftp.Download(original, target);
var set = DataTableExtension.getDataSetFromXLS(target);
foreach (DataTable dt in set.Tables)
{
int num = 0;
foreach (DataRow dr in dt.Rows)
{
num = num + 1;
//去除表头
if (num <= 1)
{
continue;
}
indexStockInfo info = new indexStockInfo();
string code = Convert.ToString(dr[4]);
string market = Convert.ToString(dr[7]);
string secName = Convert.ToString(dr[5]);
if (market == "Shanghai")
{
code = code + ".SH";
}
else
{
code = code + ".SZ";
}
double close = Convert.ToDouble(dr[12]);
double weight = Convert.ToDouble(dr[16]);
info.code = code;
info.secName = secName;
info.close = close;
info.weight = weight;
list.Add(info);
}
}
return(list);
}
/// <summary>
/// 取得组织信息
/// </summary>
private string GetOrg(HttpContext context)
{
try
{
OrganizationBLL bll = new OrganizationBLL();
IList <OrganizationInfo> orgList = bll.GetOrgList();
DataTable dt = DataTableExtension.ToDataTable <OrganizationInfo>(orgList);
string Id = context.Request.Form["id"];
string text = context.Request.Form["text"];
return(EasyUIJsonConvert.GetComboBoxJson(dt, Id, text));
}
catch (Exception ex)
{
DBManager.RecoreErrorProfile(ex, "RuleDesignHandler.GetOrganization", DBManager.GetCurrentUserAD());
return("Fail");
}
}
private string GetOrgUsers(HttpContext context)
{
try
{
UserProfileBLL bll = new UserProfileBLL();
IList <UserProfileInfo> userInfo = bll.GetAllUserProfile("");
DataTable dt = DataTableExtension.ToDataTable <UserProfileInfo>(userInfo);
string Id = context.Request.Form["id"];
string text = context.Request.Form["text"];
return(EasyUIJsonConvert.GetComboBoxJson(dt, Id, text));
}
catch (Exception ex)
{
DBManager.RecoreErrorProfile(ex, "RuleDesignHandler.GetOrgUsers", DBManager.GetCurrentUserAD());
return("Fail");
}
}
/// <summary>
/// 取得流程信息
/// </summary>
/// <returns></returns>
private string GetProcess(HttpContext context)
{
try
{
ProcessTypeBLL bll = new ProcessTypeBLL();
IList <ProcessTypeInfo> procList = bll.GetProcessType();
DataTable dt = DataTableExtension.ToDataTable <ProcessTypeInfo>(procList);
string Id = context.Request.Form["id"];
string text = context.Request.Form["text"];
return(EasyUIJsonConvert.GetComboBoxJson(dt, Id, text));
}
catch (Exception ex)
{
DBManager.RecoreErrorProfile(ex, "RuleDesignHandler.GetProcess", DBManager.GetCurrentUserAD());
return("Fail");
}
}
public void backtest(string underlyingCode, DateTime startDate, DateTime endDate)
{
dataPrepare(underlyingCode, startDate, endDate);
//训练集训练参数
int maxN = 0;
double maxK1 = 0;
double maxK2 = 0;
double maxSharpe = -1000;
for (int n = 2; n <= 10; n++)
{
for (double k1 = 0.2; k1 < 1; k1 = k1 + 0.2)
{
for (double k2 = 0.2; k2 < 1; k2 = k2 + 0.2)
{
double sharpe = getParametersPerformance(startDate, endDate, n, k1, k2, 0.01);
if (sharpe > maxSharpe)
{
maxN = n;
maxK1 = k1;
maxK2 = k2;
maxSharpe = sharpe;
Console.WriteLine("score:{0}, n:{1}, k1:{2}, k2:{3}", maxSharpe, maxN, maxK1, maxK2);
}
}
}
}
Console.WriteLine("score:{0}, n:{1}, k1:{2}, k2:{3}", maxSharpe, maxN, maxK1, maxK2, 0.01);
var yield = getYieldList(startDate, endDate, maxN, maxK1, maxK2);
yield = getYieldList(startDate, endDate, maxN, maxK1, maxK2);
double nv = 1;
for (int i = 0; i < yield.Count(); i++)
{
nv = nv * (yield[i] + 1);
}
Console.WriteLine(nv);
this.transactionData = getTransactionData(startDate, endDate, maxN, maxK1, maxK2, 0.01);
var dt = DataTableExtension.ToDataTable(transactionData);
var codeStr = underlyingCode.Split('.');
string name = string.Format("E:\\result\\stockVol2\\{0}.csv", codeStr[0]);
DataTableExtension.SaveCSV(dt, name);
}
public void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
index++; // 跳过备注列
Name = text[index++];
AssetName = text[index++];
Attack = int.Parse(text[index++]);
BulletId = int.Parse(text[index++]);
BulletSpeed = float.Parse(text[index++]);
AtkSpeed = float.Parse(text[index++]);
BulletSoundId = int.Parse(text[index++]);
AttackType = int.Parse(text[index++]);
CostMP = int.Parse(text[index++]);
}
public virtual void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
AssetName = text[index++];
Name = text[index++];
StartTime = float.Parse(text[index++]);
Interval = float.Parse(text[index++]);
Probability = int.Parse(text[index++]);
PerNum = int.Parse(text[index++]);
MaxNum = int.Parse(text[index++]);
MonsterTypeId = int.Parse(text[index++]);
MonsterPrize = int.Parse(text[index++]);
PowerPercent = float.Parse(text[index++]);
}
public override void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
AssetName = text[index++];
Name = text[index++];
LV = int.Parse(text[index++]);
exp = int.Parse(text[index++]);
HP = int.Parse(text[index++]);
MP = int.Parse(text[index++]);
S = int.Parse(text[index++]);
A = int.Parse(text[index++]);
D = int.Parse(text[index++]);
I = int.Parse(text[index++]);
M = int.Parse(text[index++]);
C = int.Parse(text[index++]);
L = int.Parse(text[index++]);
Atk = int.Parse(text[index++]);
Def = int.Parse(text[index++]);
MagicAtk = int.Parse(text[index++]);
MagicDef = int.Parse(text[index++]);
AtkSpeed = float.Parse(text[index++]);
Crit = int.Parse(text[index++]);
CritDamage = int.Parse(text[index++]);
Hit = int.Parse(text[index++]);
Agl = int.Parse(text[index++]);
Counter = int.Parse(text[index++]);
Double = int.Parse(text[index++]);
HPRecoverPerSecond = int.Parse(text[index++]);
MPRecoverPerSecond = int.Parse(text[index++]);
BloodLine = text[index++];
Profession = text[index++];
MP_STYLE = text[index++];
ParseWeapon(text[index++]);
ParseJob(text[index++]);
ParseSkill(text[index++]);
ParseFeature(text[index++]);
}
private List <double> getNetValueDaily(List <StockTransaction> etf, double[] netvalue)
{
List <double> nv = new List <double>();
List <netvalueDaily> nv2 = new List <netvalueDaily>();
for (int i = 0; i < netvalue.Length; i++)
{
if (etf[i].DateTime.TimeOfDay == new TimeSpan(14, 59, 00))
{
nv.Add(netvalue[i]);
var nvtoday = new netvalueDaily();
nvtoday.date = etf[i].DateTime.Date;
nvtoday.netvalue = netvalue[i];
nv2.Add(nvtoday);
}
}
DataTableExtension.SaveCSV(DataTableExtension.ToDataTable <netvalueDaily>(nv2), "E:\\result\\td\\netvalue.csv");
return(nv);
}
public void ParseDataRow(string dataRowText)
{
string[] text = DataTableExtension.SplitDataRow(dataRowText);
int index = 0;
index++;
Id = int.Parse(text[index++]);
AssetName = text[index++];
Delay = float.Parse(text[index++]);
AddHPPercent = float.Parse(text[index++]);
AddHP = int.Parse(text[index++]);
AddAtk = int.Parse(text[index++]);
AddGold = int.Parse(text[index++]);
CreateCloneHeroTypeID = int.Parse(text[index++]);
ParticleTypeID = int.Parse(text[index++]);
// 读取坐标
string[] pos = text[index++].Split('|');
Position = new Vector3(float.Parse(pos[0]), float.Parse(pos[1]), float.Parse(pos[2]));
}
private void storeResults(List <StockBonusEstimate> list, string index)
{
var dt = DataTableExtension.ToDataTable(list);
dt.Columns["code"].ColumnName = "代码";
dt.Columns["secName"].ColumnName = "股票";
dt.Columns["dividend"].ColumnName = "分红利息";
dt.Columns["dividendDate"].ColumnName = "分红时间";
dt.Columns["shareRegisterDate"].ColumnName = "股权登记日";
dt.Columns["points"].ColumnName = "分红点数";
dt.Columns["status"].ColumnName = "备注";
string filename = getFileName(index, date, "bonus", "csv");
string nameStr = string.Format("E:\\result\\stockBonusEstimate\\{0}", filename);
string remoteStr = "\\IndexBonus\\" + filename;;
DataTableExtension.SaveCSV(dt, nameStr);
FileInfo file = new FileInfo(nameStr);
FtpHelper ftp = new FtpHelper("192.168.38.213", "index", "dfzq1234");
ftp.Upload(file, remoteStr);
}
private DataTable GetDataSource()
{
object datasource = null;
if (variable is ActionArrayVariable)
{
datasource = DataTableExtension.ConvertListToDataTable(variable.Name, (List <string>)variable.Data);
}
else if (variable is ActionTableVariable)
{
datasource = variable.Data;
}
else if (variable is ActionAttributeObject)
{
var data = ((ActionAttributeObject)variable).Data;
if (data != null)
{
datasource = ((AutoRobo.DataMapping.DataMap)data).ToDataTable();
}
}
return(datasource as DataTable);
}
private void statisticDataOfTransaction(List <OneByOneTransaction> data, List <DateTime> tradeDays)
{
Dictionary <DateTime, double> dailyCount = new Dictionary <DateTime, double>();
List <double> yield = new List <double>();
List <double> maintain = new List <double>();
foreach (var day in tradeDays)
{
dailyCount.Add(day.Date, 0);
}
foreach (var item in data)
{
var today = item.openTime.Date;
if (dailyCount.ContainsKey(today))
{
dailyCount[today] += 1;
}
else
{
dailyCount.Add(today, 1);
}
double r = (item.closePrice - item.openPrice) / item.openPrice * item.position;
yield.Add(r);
double time = (item.closeTime - item.openTime).TotalMinutes;
if (item.openTime.TimeOfDay < new TimeSpan(13, 00, 00) && item.closeTime.TimeOfDay >= new TimeSpan(13, 00, 00))
{
time = time - 90;
}
maintain.Add(time);
}
var counts = dailyCount.Values.ToList();
ListToCSV.SaveDataToCSVFile <double>(yield, ListToCSV.CreateFile("E:\\result\\break\\", "yield"), "yield");
ListToCSV.SaveDataToCSVFile <double>(counts, ListToCSV.CreateFile("E:\\result\\break\\", "counts"), "counts");
ListToCSV.SaveDataToCSVFile <double>(maintain, ListToCSV.CreateFile("E:\\result\\break\\", "maintain"), "maintain");
var dt = DataTableExtension.ToDataTable <OneByOneTransaction>(data);
DataTableExtension.SaveCSV(dt, "E:\\result\\break\\transaction.csv");
}
