/// <summary>
/// 50ETF择时策略测试，N-Days Reversion
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
//将来可以把这些初始化操作从程序中分离，写在外面
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.initialAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//将账户当前时间定为下一天，因为交易总是在下一天开始
//int nextDay = tradeDays.FindIndex(date => date == startDate) + 1;
myAccount.time = startDate;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//分钟数据准备，取全回测期的数据存放于data
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
foreach (var tempDay in tradeDays)
{
var stockData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(stockCode, tempDay);
if (!data.ContainsKey(stockCode))
{
data.Add(stockCode, stockData.Cast <KLine>().ToList());
}
else
{
data[stockCode].AddRange(stockData.Cast <KLine>().ToList());
}
}
//交易开关设置，控制day级的交易开关，tradingOn还没有使用
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = false; //平仓开关
//定义交易信号数组
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//取出当天的数据,列表类型，包含high,low,amt等数据
//取出当天的数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
dataToday.Add(variety.Key, data[variety.Key].FindAll(s => s.time.Year == day.Year && s.time.Month == day.Month && s.time.Day == day.Day));
}
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//先测试15K数据，直接将策略写在程序中，将来可以尝试分离过程，将部分策略以函数或者类的形式写在外面
//现将1分钟数据调整为15分钟数据，15K数据占用16个数组空间
List <KLine> data15K = Get15KData(dataToday[stockCode]);
//交易信号判断，用信号来判断开仓还是平仓，但是在交易单元，还要靠平均价和当前价，进行止损平仓
List <int> tradeSignal = ClimbMountain(data15K);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
int index = 0;
while (index < 16)
{
int nextIndex = index + 1;
if (nextIndex == 16)
{
break;
}
DateTime now = data15K[index].time;
DateTime next = data15K[nextIndex].time;
if ((tradeSignal[index] == 0) && openingOn)
{
//设置signal信号，设置时间等参数
MinuteSignal openSignal = new MinuteSignal()
{
code = stockCode,
//开仓只开90%，下一阶段可以分批加仓，全部减仓
volume = myAccount.freeCash / data15K[nextIndex].open * 0.9,
time = data15K[nextIndex].time,
tradingVarieties = "stock",
price = data15K[nextIndex].open,
minuteIndex = nextIndex
};
openingOn = false;
closingOn = true;
volumeNow = myAccount.freeCash / data15K[nextIndex].open * 0.9;
signal.Add(stockCode, openSignal);
//开仓下单
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: data15K[nextIndex].time, capitalVerification: false);
signal.Clear();
}
else if (((tradeSignal[index] == 1) || (positions[now][stockCode].ShortPosition.averagePrice < data15K[index].close)) &&
(volumeNow > 0) && closingOn)
{
//设置signal信号，设置时间等参数
MinuteSignal closeSignal = new MinuteSignal()
{
code = stockCode,
volume = 0 - volumeNow,
time = data15K[nextIndex].time,
tradingVarieties = "stock",
price = data15K[nextIndex].open,
minuteIndex = 0
};
openingOn = true;
closingOn = false;
volumeNow = 0;
signal.Add(stockCode, closeSignal);
//平仓下单
MinuteTransactionWithSlip.computeMinuteClosePositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: data15K[nextIndex].time);
signal.Clear();
}
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, myAccount.time, dataToday);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//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: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
//var positionStatus = OptionRecordUtil.Transfer(positions);
//RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", 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: "EMA7_EMA50", 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();
//初始化净值曲线类
PLChart plc = new PLChart(line, datestr);
Application.Run(plc);
plc.SaveZed("D:\\BTP\\Result\\BackTestingPlatform.Strategies.Stock.StockSample.MABreak\\aa.png");
}
public int compute()
{
//如果MA周期不对，直接返回
if (MA1 < 0 || MA2 < 0)
{
log.Info("MA周期出错，MA1:{0}, MA2:{1}", MA1, MA2);
return(-1);
}
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
//将来可以把这些初始化操作从程序中分离，写在外面
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.initialAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//将账户当前时间定为下一天，因为交易总是在下一天开始
//int nextDay = tradeDays.FindIndex(date => date == startDate) + 1;
myAccount.time = startDate;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//benchmark数据记录
List <double> benchmark = new List <double>();
///数据准备
//日线数据准备，取全回测期的数据存放于data
List <StockDaily> stockData = new List <StockDaily>();
stockData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(stockCode, startDate, endDate);
//建立close price数组，从stockData里面取出close price
int stockData_length = stockData.Count;
double[] closePrice = new double[stockData_length];
for (int count = 0; count < stockData_length; ++count)
{
closePrice[count] = stockData[count].close;
}
//取两个MA的数组
double[] MA1_array = MA.compute(closePrice, MA1);
double[] MA2_array = MA.compute(closePrice, MA2);
//****数据准备完毕回测开始******
log.Info("数据准备完毕回测开始");
//交易开关设置，控制day级的交易开关，开始时只能开仓，不能平仓
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = false; //平仓开关
//定义交易信号数组
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获得交易信号
for (int count = MA1; count < stockData_length; ++count)
{
//获取当前时间，供回测信号使用
DateTime timeNow = stockData[count].time;
//找出下一个交易日
int nextTradeDay = tradeDays.FindIndex(date => date == timeNow) + 1;
if (nextTradeDay == stockData_length)
{
break;
}
//分钟数据准备，做交易执行使用
var minuteData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(stockCode, tradeDays[nextTradeDay]);
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(stockCode, minuteData.Cast <KLine>().ToList());
//上穿买入信号
if ((MA1_array[count] > MA2_array[count]) && openingOn && tradingOn)
{
//设置signal信号，设置时间等参数
MinuteSignal openSignal = new MinuteSignal()
{
code = stockCode,
volume = myAccount.freeCash / MA1_array[count] * 0.9,
time = minuteData[0].time,
tradingVarieties = "stock",
price = MA1_array[count],
minuteIndex = 0
};
openingOn = false;
closingOn = true;
volumeNow = myAccount.freeCash / MA1_array[count] * 0.9;
signal.Add(stockCode, openSignal);
//开仓下单
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: minuteData[0].time, capitalVerification: false);
signal.Clear();
}
////下穿卖出信号，当存量volumeNow大于0时做卖出操作
if ((MA1_array[count] < MA2_array[count]) && closingOn && tradingOn && (volumeNow > 0))
{
//设置signal信号，设置时间等参数
MinuteSignal closeSignal = new MinuteSignal()
{
code = stockCode,
volume = 0 - volumeNow,
time = minuteData[0].time,
tradingVarieties = "stock",
price = MA1_array[count],
minuteIndex = 0
};
openingOn = true;
closingOn = false;
volumeNow = 0;
signal.Add(stockCode, closeSignal);
//平仓下单
MinuteTransactionWithSlip.computeMinuteClosePositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: minuteData[0].time);
signal.Clear();
}
//将交易记录记录到历史
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
tempAccount.initialAssets = myAccount.initialAssets;
accountHistory.Add(tempAccount);
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, minuteData[0].time, dataToday);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//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: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
//var positionStatus = OptionRecordUtil.Transfer(positions);
//RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", 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: "EMA7_EMA50", 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();
//初始化净值曲线类
PLChart plc = new PLChart(line, datestr);
Application.Run(plc);
plc.SaveZed("D:\\BTP\\Result\\BackTestingPlatform.Strategies.Stock.StockSample.MABreak\\aa.png");
return(0);
}