//获取分钟线数据
private void getMinuteData(string underlyingCode, List <DateTime> tradedays)
{
foreach (var date in tradedays)
{
if (minutelyKLine.ContainsKey(underlyingCode) == false)
{
try
{
var minuteNow = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
Dictionary <DateTime, List <StockTransaction> > data = new Dictionary <DateTime, List <StockTransaction> >();
data.Add(date, minuteNow);
minutelyKLine.Add(underlyingCode, data);
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
}
else if (minutelyKLine[underlyingCode].ContainsKey(date) == false)
{
try
{
var minuteNow = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
var data = minutelyKLine[underlyingCode];
data.Add(date, minuteNow);
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
}
}
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, string indexCode, DateTime startDate, DateTime endDate, int N = 20)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.indexCode = indexCode;
this.underlyingCode = underlyingCode;
//获取日线数据
var indexData = stockDailyRepo.GetStockTransactionWithRedis(indexCode, startDate, endDate);
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
var minuteKLine2 = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
indexKLine.Add(date, minuteKLine2);
}
for (int n = 10; n <= 30; n++)
{
Dictionary <DateTime, double> range = new Dictionary <DateTime, double>();
foreach (var date in tradedays)
{
var index = indexKLine[date];
var underlying = underlyingKLine[date];
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
for (int i = 0; i < n; i++)
{
if (index[i].High > HH)
{
HH = index[i].High;
}
if (index[i].Close > HC)
{
HC = index[i].Close;
}
if (index[i].Close < LC)
{
LC = index[i].Close;
}
if (index[i].Low < LL)
{
LL = index[i].Low;
}
}
double rangeNow = Math.Max(HH - LC, HC - LL);
range.Add(date, rangeNow);
}
RangeDic.Add(n, range);
}
}
private double getVolatilityMinutly(string code, DateTime today, int period)
{
double vol = 0;
int num = 0;
DateTime start = DateUtils.PreviousTradeDay(today, period);
DateTime end = DateUtils.PreviousTradeDay(today, 1);
var tradedays = dateRepo.GetStockTransactionDate(start, end);
foreach (var date in tradedays)
{
var data = stockMinuteRepo.GetStockTransactionWithRedis(code, date, date);
if (data.Count == 0)
{
continue;
}
List <double> priceList = new List <double>();
for (int i = 1; i < data.Count() - 1; i++)
{
priceList.Add(data[i].Close);
}
double volToday = getVolatility(priceList);
vol += volToday;
num += 1;
}
if (num > 0)
{
vol = vol / num;
}
return(vol);
}
public void record(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//CreateDBOrTableIfNecessary(startDate);
//CreateDBOrTableIfNecessary(startDate.AddYears(1));
//var start = startDate;
//while (start < endDate)
//{
// if (!ExistInSqlServer(start))
// {
// CreateDBOrTableIfNecessary(start);
// }
// start = start.AddYears(1);
//}
//if (!ExistInSqlServer(endDate))
//{
// CreateDBOrTableIfNecessary(endDate);
//}
foreach (var date in tradedays)
{
var etf = stockRepo.GetStockTransactionWithRedis(underlying, date, date);
}
}
public void compute(DateTime startDate, DateTime endDate, int steps = 40)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var etfall = stockMinutelyRepo.GetStockTransactionWithRedis(code, tradedays.First(), tradedays.Last());
int duration = 5;
int minutes = 240;
//var distribution0 = getDistribution(etfall, 500, tradedays.Count()-1, 240);
//ListToCSV.SaveDataToCSVFile<double>(distribution0, ListToCSV.CreateFile("E:\\result\\vd\\", "distribution"), "distribution");
for (int i = steps + 1; i < tradedays.Count(); i++)
{
List <double> bigVolume = new List <double>();
int endDateNum = i - 1;
int startDateNum = Math.Max((i - steps - 1), 0);
var distribution = getDistribution(etfall, startDateNum, endDateNum, minutes);
var fluctuation = getFluctuation(etfall, startDateNum, endDateNum, minutes, duration);
var distributionToday = getDistributionToday(etfall, distribution, i, minutes);
for (int j = 0; j < minutes - duration; j++)
{
if (distributionToday[j] - distribution[j] > 0.002)
{
bigVolume.Add((etfall[i * minutes + j + duration].Close / etfall[i * minutes + j].Close - 1));
}
}
var all = ListExtension.mean(fluctuation);
var today = ListExtension.mean(bigVolume);
Console.WriteLine("Date:{0},all:{1}, today:{2}!", etfall[i * minutes].DateTime.Date.ToString(), Math.Round(all, 5), Math.Round(today, 5));
}
}
private void prepare(string code, DateTime startDate, DateTime endDate)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.code = code;
//获取日线数据
var dailyData = stockDailyRepo.GetStockTransactionWithRedis(code, startDate, endDate);
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(code, date, date);
underlyingKLine.Add(date, minuteKLine);
}
foreach (var item in dailyData)
{
var KLines = underlyingKLine[item.DateTime];
foreach (var KLine in KLines)
{
KLine.AdjFactor = item.AdjFactor;
}
}
for (int n = 3; n < 50; n++)
{
var dic = getMA(underlyingKLine, n);
MADic.Add(n, dic);
}
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
List <StockTransaction> codeDaily = new List <StockTransaction>();
List <StockTransaction> underlyingCodeDaily = new List <StockTransaction>();
//获取分钟线数据
foreach (var date in tradedays)
{
var underlyingToday = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingCodeDaily.AddRange(underlyingToday);
var codeToday = stockMinutelyRepo.GetStockTransactionWithRedis(code, date, date);
codeDaily.AddRange(codeToday);
}
double k1 = 0, k2 = 0, trailParameter = 0;
getParameter(tradedays, underlyingCodeDaily, codeDaily, ref k1, ref k2, ref trailParameter);
//k1 = 2.8;k2 = 2.8;trailParameter = 0.004;
double sharpe = computeChoiceParameter(tradedays, underlyingCodeDaily, codeDaily, k1, k2, trailParameter);
}
/// <summary>
/// 获取每个交易日的全部期货
/// </summary>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
private void getAllData(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
foreach (var date in tradedays)
{
var dataDaily = new Dictionary <string, List <StockTransaction> >();
var list = getFutureList(date, 4);
var indexData = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
dataDaily.Add(indexCode, indexData);
foreach (var item in list)
{
var data = stockMinutelyRepo.GetStockTransactionWithRedis(item.Key, date, date);
data.RemoveAt(241);
data.RemoveAt(0);
dataDaily.Add(item.Key, data);
}
allData.Add(date, dataDaily);
}
}
private void prepare(string underlyingCode, string indexCode, DateTime startDate, DateTime endDate)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.indexCode = indexCode;
this.underlyingCode = underlyingCode;
//获取日线数据
var indexData = stockDailyRepo.GetStockTransactionWithRedis(indexCode, startDate, endDate);
volatilityDaily = getDailyVolatility(indexData);
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
var minuteKLine2 = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
indexKLine.Add(date, minuteKLine2);
}
volatilityMinutely = getMinutelyVolatility(indexKLine, 1);
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, DateTime startDate, DateTime endDate, int N = 20)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.underlyingCode = underlyingCode;
//获取日线数据
var underlyingData = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startDate, endDate);
for (int n = 1; n <= N; n++)
{
Dictionary <DateTime, double> range = new Dictionary <DateTime, double>();
for (int i = n; i < underlyingData.Count() - 1; i++)
{
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
for (int k = i - n; k <= i - 1; k++)
{
if (underlyingData[k].High > HH)
{
HH = underlyingData[k].High;
}
if (underlyingData[k].Close > HC)
{
HC = underlyingData[k].Close;
}
if (underlyingData[k].Close < LC)
{
LC = underlyingData[k].Close;
}
if (underlyingData[k].Low < LL)
{
LL = underlyingData[k].Low;
}
}
double lastClose = underlyingData[i - 1].Close;
double rangeNow = Math.Max(HH - LC, HC - LL);
range.Add(underlyingData[i].DateTime, rangeNow);
}
RangeDic.Add(n, range);
}
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
}
}
private void getAllStocks(List <stockInfo> info)
{
foreach (var stock in info)
{
DateTime startDate = stock.startDate;
DateTime endDate = stock.endDate;
string code = stock.code;
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
Dictionary <DateTime, List <StockTransaction> > thisStock = new Dictionary <DateTime, List <StockTransaction> >();
foreach (var date in tradedays)
{
var stockMinuteData0 = stockMinutelyRepo.GetStockTransactionWithRedis(code, date, date);
thisStock.Add(date, stockMinuteData0);
}
allStocks.Add(code, thisStock);
}
}
public void getStockData(string index, DateTime startDate, DateTime endDate)
{
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var dic = getStockList(tradedays, index);
foreach (var stock in dic)
{
if (stock.Value.IPODate > startDate)
{
startDate = stock.Value.IPODate;
}
if (stock.Value.DelistDate < endDate)
{
endDate = stock.Value.DelistDate;
}
var data = stockMinutelyRepo.GetStockTransactionWithRedis(stock.Key, startDate, endDate);
Console.WriteLine("code:{0} complete!", stock.Key);
}
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, DateTime startDate, DateTime endDate, int N = 20)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.underlyingCode = underlyingCode;
//获取日线数据
var underlyingData = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startDate, endDate);
for (int n = 1; n <= N; n++)
{
Dictionary <DateTime, double> vol = new Dictionary <DateTime, double>();
for (int i = n; i < underlyingData.Count() - 1; i++)
{
List <double> openToClose = new List <double>();
for (int j = Math.Max(0, i - n); j < i; j++)
{
if (underlyingData[j].Volume > 0)
{
openToClose.Add(underlyingData[j].Close / underlyingData[j].Open - 1);
}
}
if (openToClose.Count() > n / 2)
{
double volNow = getVol(openToClose);
if (volNow > 0)
{
vol.Add(underlyingData[i].DateTime, volNow);
}
}
}
volDic.Add(n, vol);
}
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
}
}
public void compute(DateTime startDate, DateTime endDate, int delaynum = 5, int startnum = 3, int calculatornum = 6)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var etfall = stockMinutelyRepo.GetStockTransactionWithRedis(code, tradedays.First(), tradedays.Last());
modifyData(ref etfall);
var netvalue = new double[etfall.Count()];
var signal = new double[etfall.Count()];
var buyStart = new double[etfall.Count()];
var buyCalculator = new double[etfall.Count()];
var longSignal = new double[etfall.Count()];
var sellStart = new double[etfall.Count()];
var sellCalculator = new double[etfall.Count()];
var shortSignal = new double[etfall.Count()];
int startnumNow = 0;
int calculatornumNow = 0;
//买入启动
startnumNow = 0;
for (int i = delaynum; i < etfall.Count() - delaynum; i++)
{
if (etfall[i].Close < etfall[i - delaynum].Close)
{
startnumNow += 1;
}
else
{
startnumNow = 0;
}
if (startnumNow >= startnum)
{
buyStart[i] = 1;
}
}
//买入计数
calculatornumNow = 0;
double buyCalculatorStartPrice = 0;
bool buyCalculatorStart = false;
for (int i = delaynum; i < etfall.Count() - delaynum; i++)
{
if (buyStart[i - 1] == 1)
{
buyCalculatorStart = true;
buyCalculatorStartPrice = 0;
calculatornumNow = 0;
}
if (buyCalculatorStart == true && etfall[i].Close >= etfall[i - 2].High && etfall[i].High > etfall[i - 1].High)
{
if (calculatornumNow > 0 && etfall[i].Close > buyCalculatorStartPrice)
{
calculatornumNow += 1;
buyCalculator[i] = calculatornumNow;
if (calculatornumNow == calculatornum)
{
longSignal[i + 1] = 1;
buyCalculatorStart = false;
}
buyCalculatorStartPrice = etfall[i].Close;
}
if (calculatornumNow == 0)
{
calculatornumNow += 1;
buyCalculatorStartPrice = etfall[i].Close;
}
}
if (calculatornumNow > 0)
{
buyCalculator[i] = calculatornumNow;
}
}
//卖出启动
startnumNow = 0;
for (int i = delaynum; i < etfall.Count() - delaynum; i++)
{
if (etfall[i].Close > etfall[i - delaynum].Close)
{
startnumNow += 1;
}
else
{
startnumNow = 0;
}
if (startnumNow >= startnum)
{
sellStart[i] = 1;
}
}
//卖出计数
calculatornumNow = 0;
double sellCalculatorStartPrice = 99999999;
bool sellCalculatorStart = false;
for (int i = delaynum; i < etfall.Count() - delaynum; i++)
{
if (sellStart[i - 1] == 1)
{
sellCalculatorStart = true;
sellCalculatorStartPrice = 99999999;
calculatornumNow = 0;
}
if (sellCalculatorStart == true && etfall[i].Close <= etfall[i - 2].Low && etfall[i].Low < etfall[i - 1].Low)
{
if (calculatornumNow > 0 && etfall[i].Close < sellCalculatorStartPrice)
{
calculatornumNow += 1;
if (calculatornumNow == calculatornum)
{
shortSignal[i + 1] = -1;
sellCalculatorStart = false;
}
sellCalculatorStartPrice = etfall[i].Close;
}
if (calculatornumNow == 0)
{
calculatornumNow += 1;
sellCalculatorStartPrice = etfall[i].Close;
}
}
if (calculatornumNow > 0)
{
sellCalculator[i] = calculatornumNow;
}
}
// storeSignal(etfall, longSignal, shortSignal,delaynum,startnum,calculatornum);
netvalue = computeNetValue(etfall, longSignal, shortSignal, ref transactionData);
var nv = getNetValueDaily(etfall, netvalue);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
storeTransctionData(transactionData, delaynum, startnum, calculatornum);
statisticDataOfTransaction(transactionData, tradedays);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var choice = new Dictionary <DateTime, List <CFEFuturesChoice> >();
string myHoldStr = "";
var tradeRecord = new List <CFEFuturesTradeRecord>();
var parameters = startDate.ToShortDateString() + '_' + endDate.ToShortDateString() + "_treshold" + treshold.ToString() + "_slip" + slip.ToString();
if (!ExistInSqlServer(code, parameters))
{
CreateDBOrTableIfNecessary(code, parameters);
}
DataTable dt = new DataTable();
dt.Columns.Add("code");
dt.Columns.Add("tdatetime", typeof(DateTime));
dt.Columns.Add("expiredate", typeof(DateTime));
dt.Columns.Add("indexPrice");
dt.Columns.Add("price");
dt.Columns.Add("annulizedBasis");
foreach (var date in tradedays)
{
var list = getFutureList(date);
var index = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
var dataList = new Dictionary <string, List <StockTransaction> >();
var holdNow = new CFEFutures();
var choiceToday = new List <CFEFuturesChoice>();
if (myHoldStr != "")
{
holdNow = list[myHoldStr];
}
foreach (var item in list)
{
var data = stockMinutelyRepo.GetStockTransactionWithRedis(item.Key, date, date);
dataList.Add(item.Key, data);
}
for (int i = 5; i < 235; i++)
{
DateTime expireDate = new DateTime();
CFEFuturesChoice record = new CFEFuturesChoice();
double basis = -10000;
if (myHoldStr == "")
{
var transaction = new CFEFuturesTradeRecord();
foreach (var item in list)
{
double basisNow = getAnuualizedBasis(item.Value, date, dataList[item.Value.code][i].Close, index[i].Close);
if (basisNow > basis)
{
holdNow = item.Value;
basis = basisNow;
expireDate = item.Value.expireDate;
myHoldStr = item.Key;
transaction.code = item.Key;
transaction.indexPrice = index[i].Close;
transaction.price = dataList[item.Value.code][i].Close;
transaction.time = index[i].DateTime;
transaction.direction = -1;
transaction.expireDate = item.Value.expireDate;
}
}
//第一次开仓
tradeRecord.Add(transaction);
}
else
{
double modify = 0;
var closeRecord = new CFEFuturesTradeRecord();
var transaction = new CFEFuturesTradeRecord();
var latestBasis = tradeRecord.Last().price - tradeRecord.Last().indexPrice;
var latestTime = tradeRecord.Last().time;
var latestExpireDate = tradeRecord.Last().expireDate;
var latestAnnulizedBasis = getAnuualizedBasis2(latestBasis, latestTime, latestExpireDate);
closeRecord.time = index[i].DateTime;
closeRecord.indexPrice = index[i].Close;
closeRecord.direction = 1;
closeRecord.code = holdNow.code;
closeRecord.price = dataList[holdNow.code][i].Close;
closeRecord.expireDate = holdNow.expireDate;
basis = getAnuualizedBasis(holdNow, date, dataList[holdNow.code][i].Close, index[i].Close);
foreach (var item in list)
{
if (item.Value != holdNow)
{
modify = slip;
}
double basisNow = getAnuualizedBasis(item.Value, date, dataList[item.Value.code][i].Close - modify, index[i].Close);
double annulizedBasisNow = getAnuualizedBasis2(dataList[item.Value.code][i].Close - modify + latestBasis - dataList[holdNow.code][i].Close, latestTime, item.Value.expireDate);
if ((annulizedBasisNow > latestAnnulizedBasis + treshold && DateUtils.GetSpanOfTradeDays(date, item.Value.expireDate) > 10) || DateUtils.GetSpanOfTradeDays(date, holdNow.expireDate) < 5)
//if (DateUtils.GetSpanOfTradeDays(date, holdNow.expireDate) < 5)
{
holdNow = item.Value;
basis = basisNow;
expireDate = item.Value.expireDate;
myHoldStr = item.Key;
transaction.code = item.Key;
transaction.indexPrice = index[i].Close;
transaction.price = dataList[item.Value.code][i].Close;
transaction.time = index[i].DateTime;
transaction.direction = -1;
transaction.expireDate = expireDate;
}
}
if (transaction.code != null)
{
tradeRecord.Add(closeRecord);
tradeRecord.Add(transaction);
}
}
record.code = holdNow.code;
record.expireDate = holdNow.expireDate;
record.annulizedBasis = basis;
record.indexPrice = index[i].Close;
record.price = dataList[holdNow.code][i].Close;
choiceToday.Add(record);
DataRow dr = dt.NewRow();
dr["code"] = record.code;
dr["tdatetime"] = index[i].DateTime;//etf[i].TransactionDateTime;
dr["expiredate"] = record.expireDate;
dr["indexPrice"] = record.indexPrice;
dr["price"] = record.price;
dr["annulizedBasis"] = record.annulizedBasis;
dt.Rows.Add(dr);
}
choice.Add(date, choiceToday);
}
var pnl = getPnL(tradeRecord);
var netValue = getNetValue(tradeRecord, tradedays);
Console.WriteLine(pnl);
SaveResultToMssql(dt, code, parameters);
DataTable dt2 = new DataTable();
dt2.Columns.Add("code");
dt2.Columns.Add("tdatetime", typeof(DateTime));
dt2.Columns.Add("expiredate", typeof(DateTime));
dt2.Columns.Add("indexPrice");
dt2.Columns.Add("price");
dt2.Columns.Add("direction");
for (int i = 0; i < tradeRecord.Count(); i++)
{
DataRow dr = dt2.NewRow();
var record = tradeRecord[i];
dr["code"] = record.code;
dr["tdatetime"] = record.time;
dr["expiredate"] = record.expireDate;
dr["indexPrice"] = record.indexPrice;
dr["price"] = record.price;
dr["direction"] = record.direction;
dt2.Rows.Add(dr);
}
if (!ExistInSqlServer2(code, parameters))
{
CreateDBOrTableIfNecessary2(code, parameters);
}
SaveResultToMssql2(dt2, code, parameters);
DataTable dt3 = new DataTable();
dt3.Columns.Add("code");
dt3.Columns.Add("tdatetime", typeof(DateTime));
dt3.Columns.Add("expiredate", typeof(DateTime));
dt3.Columns.Add("basis");
dt3.Columns.Add("annulizedBasis");
dt3.Columns.Add("basisWithSlip");
dt3.Columns.Add("annulizedBasisWithSlip");
for (int i = 0; i < netValue.Count(); i++)
{
DataRow dr = dt3.NewRow();
var record = netValue[i];
dr["code"] = record.code;
dr["tdatetime"] = record.time;
dr["expiredate"] = record.expireDate;
dr["basis"] = record.basis;
dr["annulizedBasis"] = record.annulizedBasis;
dr["basisWithSlip"] = record.basisWithSlip;
dr["annulizedBasisWithSlip"] = record.annulizedBasisWithSlip;
dt3.Rows.Add(dr);
}
if (!ExistInSqlServer3(code, parameters))
{
CreateDBOrTableIfNecessary3(code, parameters);
}
SaveResultToMssql3(dt3, code, parameters);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily = stockDailyRepo.GetStockTransactionWithRedis(code, tradedays.First(), tradedays.Last());
//获取分钟线数据
foreach (var date in tradedays)
{
var underlyingToday = stockMinutelyRepo.GetStockTransactionWithRedis(code, date, date);
underlying.Add(date, underlyingToday);
minutes = underlyingToday.Count();
underlyingAll.AddRange(underlyingToday);
}
double bestSharpe = 0;
double bestf1 = 0.64;
double bestf2 = 0.48;
double bestf3 = 0.08;
double step = 0.04;
//for (int i = 1; i <= 1/step; i=i+1)
//{
// for (int j = 1; j <= 1 / step; j = j + 1)
// {
// for (int k = 1; k <= 1 / step; k = k + 1)
// {
// double f1 = i * step;
// double f2 = j * step;
// double f3 = k * step;
// double[] netvalue0 = getPerformance(startDate, endDate, tradedays, underlyingDaily, f1, f2, f3);
// var nv = getNetValueCurveDaily(getNetValueDaily(underlyingAll, netvalue0));
// double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
// if (sharpe>bestSharpe)
// {
// bestf1 = f1;
// bestf2 = f2;
// bestf3 = f3;
// bestSharpe = sharpe;
// Console.WriteLine("Best parameters:f1={0}, f2={1}, f3={2}, sharpe={3}", f1, f2, f3, sharpe);
// }
// }
// }
//}
double[] netvalue = getPerformance(startDate, endDate, tradedays, underlyingDaily, bestf1, bestf2, bestf3);
var nvDaily = getNetValueDaily(underlyingAll, netvalue);
DataTableExtension.SaveCSV(DataTableExtension.ToDataTable <netvalueDaily>(nvDaily), "E:\\result\\break\\netvalue.csv");
statisticDataOfTransaction(transactionData, tradedays);
double mean = 0;
double num = 0;
for (int i = -5; i <= 5; i = i + 1)
{
for (int j = -5; j <= 5; j = j + 1)
{
for (int k = -5; k <= 5; k = k + 1)
{
double f1 = bestf1 + i * step * 0.25;
double f2 = bestf2 + j * step * 0.25;
double f3 = bestf3 + k * step * 0.25;
if (f1 <= 0 || f2 <= 0 || f3 <= 0)
{
continue;
}
double[] netvalue0 = getPerformance(startDate, endDate, tradedays, underlyingDaily, f1, f2, f3);
var nv = getNetValueCurveDaily(getNetValueDaily(underlyingAll, netvalue0));
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
mean += sharpe;
num += 1;
Console.WriteLine("parameters around best:f1={0}, f2={1}, f3={2}, sharpe={3}", f1, f2, f3, sharpe);
}
}
}
Console.WriteLine("mean:{0}", mean / num);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var parameters = startDate.ToShortDateString() + '_' + endDate.ToShortDateString() + "frontNext";
if (!ExistInSqlServer(code, parameters))
{
CreateDBOrTableIfNecessary(code, parameters);
}
DataTable dt = new DataTable();
dt.Columns.Add("tdatetime", typeof(DateTime));
dt.Columns.Add("future1");
dt.Columns.Add("future2");
dt.Columns.Add("expiredate1", typeof(DateTime));
dt.Columns.Add("expiredate2", typeof(DateTime));
dt.Columns.Add("duration1");
dt.Columns.Add("duration2");
dt.Columns.Add("indexPrice");
dt.Columns.Add("price1");
dt.Columns.Add("price2");
dt.Columns.Add("basis1");
dt.Columns.Add("basis2");
dt.Columns.Add("basis12");
foreach (var date in tradedays)
{
//var list = getSpecialFutureList(date);
var list = getFutureList(date);
var index = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
var dataList = new Dictionary <string, List <StockTransaction> >();
var basisDataList = new List <specialBasis>();
foreach (var item in list)
{
var data = stockMinutelyRepo.GetStockTransactionWithRedis(item.Key, date, date);
dataList.Add(item.Key, data);
}
for (int i = 5; i <= 235; i = i + 5)
{
var data0 = new specialBasis();
var indexNow = index[i];
var future1 = dataList[list.Keys.First()][i];
var future2 = dataList[list.Keys.Last()][i];
data0.future1 = future1.Code;
data0.future2 = future2.Code;
data0.time = indexNow.DateTime;
data0.expireDate1 = list[list.Keys.First()].expireDate;
data0.expireDate2 = list[list.Keys.Last()].expireDate;
data0.indexPrice = indexNow.Close;
data0.price1 = future1.Volume == 0?future1.Close: (future1.Amount / future1.Volume) / 200;
data0.price2 = future2.Volume == 0?future2.Close: (future2.Amount / future2.Volume) / 200;
data0.basis1 = data0.price1 - data0.indexPrice;
data0.basis2 = data0.price2 - data0.indexPrice;
data0.basis12 = data0.price2 - data0.price1;
data0.duration1 = DateUtils.GetSpanOfTradeDays(date, data0.expireDate1) / 252.0;
data0.duration2 = DateUtils.GetSpanOfTradeDays(date, data0.expireDate2) / 252.0;
basisDataList.Add(data0);
}
foreach (var item in basisDataList)
{
DataRow dr = dt.NewRow();
dr["tdatetime"] = item.time;
dr["future1"] = item.future1;
dr["future2"] = item.future2;
dr["expireDate1"] = item.expireDate1;
dr["expireDate2"] = item.expireDate2;
dr["indexPrice"] = item.indexPrice;
dr["price1"] = item.price1;
dr["price2"] = item.price2;
dr["basis1"] = item.basis1;
dr["basis2"] = item.basis2;
dr["basis12"] = item.basis12;
dr["duration1"] = item.duration1;
dr["duration2"] = item.duration2;
dt.Rows.Add(dr);
}
}
SaveResultToMssql(dt, code, parameters);
}