/// <summary>
/// 对代码集合进行回测
/// </summary>
/// <param name="codes"></param>
/// <returns></returns>
protected virtual List <TradeRecords> doTestByCodes(List <String> codes)
{
if (codes == null || codes.Count <= 0)
{
return(new List <TradeRecords>());
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
if (buyer == null || Seller == null)
{
throw new Exception("买卖策略对象无效");
}
List <TradeRecords> allTrades = new List <TradeRecords>();
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
TradeRecords tr = buyer.Execute(code, props, backtestParam);
if (tr == null || tr.Bouts.Count <= 0)
{
continue;
}
seller.Execute(tr, props, backtestParam);
//最后删除未完成的回合
tr.RemoveUnCompeletedBouts();
if (tr.Bouts.Count > 0)
{
allTrades.Add(tr);
tr.Print(log, true);
//tr.Print(log,backtestParam.Get<bool>("printdetailed",false));
log.Info("总回合数=" + allTrades.Sum(x => x.Bouts.Count).ToString() + "," +
"总胜率=" + (allTrades.Sum(x => x.WinCount) * 1.0 / allTrades.Sum(x => x.Bouts.Count)).ToString("F3"));
}
}
return(allTrades);
}
/// <summary>
/// 读取文件
/// </summary>
/// <param name="filename"></param>
/// <returns></returns>
public static TradeRecords Load(String filename)
{
String[] lines = System.IO.File.ReadAllLines(filename);
if (lines == null || lines.Length <= 0)
{
return(new TradeRecords());
}
TradeRecords records = new TradeRecords();
foreach (String line in lines)
{
TradeBout bout = TradeBout.Parse(line);
if (bout != null)
{
records.bouts.Add(bout);
}
}
return(records);
}
/// <summary>
/// 执行卖出操作
/// </summary>
/// <param name="tradeRecord"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public virtual void Execute(TradeRecords tradeRecord, Properties strategyParam, BacktestParameter backtestParam)
{
#region 1初始化行情库
if (tradeRecord == null)
{
return;
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return;
}
#endregion
#region 2 取得策略参数
int p_maxbuynum = strategyParam.Get <int>("maxbuynum", 0);
double p_maxprofilt = strategyParam.Get <double>("maxprofilt");
int p_maxholddays = strategyParam.Get <int>("maxholddays");
double p_stoploss = strategyParam.Get <double>("stoploss");
int p_choosedays = strategyParam.Get <int>("choosedays");
double p_chooseprofilt = strategyParam.Get <double>("chooseprofilt");
double p_addholdprofilt = strategyParam.Get <double>("addholdprofilt");
double p_addholdamount = strategyParam.Get <double>("addholdamount");
#endregion
String code = tradeRecord.Code;
List <TradeBout> bouts = tradeRecord.Bouts;
#region 3 遍历每一个买入回合
for (int i = 0; i < bouts.Count; i++)
{
#region 3.1 取得该回合的行情数据
TradeBout bout = bouts[i];
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
continue;
}
if (bout.Completed)
{
continue; //跳过已完成的
}
KLine kline = ds.DayKLine;
if (kline == null)
{
continue;
}
bool chooseToSell = false;//择机卖出状态，是指持仓价值较低
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
if (bIndex < 0)
{
continue;
}
KLineItem klineItemDay = kline[bIndex];
DateTime d = klineItemDay.Date;
#endregion
#region 3.2 如果超过了最大持仓数限制，该回合跳过
if (p_maxbuynum > 0)
{
//计算当前回合的买入日期这天有多少持仓
int count = 0;
bouts.ForEach(x => { if (x.Completed && bout.BuyInfo.TradeDate.Date >= x.BuyInfo.TradeDate.Date && bout.BuyInfo.TradeDate.Date < x.SellInfo.TradeDate.Date)
{
count++;
}
});
if (count > p_maxbuynum)
{
continue;
}
}
#endregion
#region 3.3 寻找卖点
String reason = "";
for (int index = bIndex + 1; index < kline.Count; index++)
{
klineItemDay = kline[index];
d = klineItemDay.Date;
#region A 计算以当日最高价和收盘价卖出的盈利
double diff = klineItemDay.HIGH - bout.BuyInfo.TradePrice;
double percentHigh = diff / bout.BuyInfo.TradePrice;
diff = klineItemDay.CLOSE - bout.BuyInfo.TradePrice;
double percentClose = diff / bout.BuyInfo.TradePrice;
#endregion
#region B 盈利超过预定
if (p_maxprofilt > 0 && percentHigh >= p_maxprofilt) //盈利超过预定
{
double price = bout.BuyInfo.TradePrice * (1 + p_maxprofilt);
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "盈利>=" + p_maxprofilt.ToString("F2"));
break;
}
#endregion
#region C 择机卖出状态
if (chooseToSell)
{
for (int t = 0; t < p_choosedays; t++)
{
index += t;
if (index >= kline.Count)
{
break;
}
double percent = (kline[index].HIGH - bout.BuyInfo.TradePrice) / bout.BuyInfo.TradePrice;
if (percent >= p_chooseprofilt)
{
double price = bout.BuyInfo.TradePrice * (1 + p_chooseprofilt);
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, kline[index].Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, (reason == "" ? "" : reason + ",并") + "在第" + (t + 1).ToString() + "天择机卖出");
break;
}
}
if (!bout.Completed)
{
if (index >= kline.Count)
{
return;
}
double price = kline[index].CLOSE;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, kline[index].Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, (reason == "" ? "" : reason + ",并") + "择机强制卖出");
}
break;
}
#endregion
#region D 持仓超过n天进入到择机卖出状态
if (p_maxholddays != 0 && CalendarUtils.WorkDayCount(bout.BuyInfo.TradeDate, klineItemDay.Date) >= p_maxholddays)
{
reason = "持仓超过" + p_maxholddays.ToString() + "天";
chooseToSell = true;
continue;
}
#endregion
#region E 达到止损线,进入到择机卖出状态
double loss = (klineItemDay.LOW - bout.BuyInfo.TradePrice) / bout.BuyInfo.TradePrice;
if (p_stoploss > 0 && loss < 0 && loss < -1 * p_stoploss)
{
reason = "达到止损" + p_stoploss.ToString("F2");
bout.RecordTrade(2, d, TradeDirection.Sell, bout.BuyInfo.TradePrice * (1 - p_stoploss), bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, reason);
break;
}
#endregion
#region F调用子类的算法来寻找卖点
if (!bout.Completed)
{
chooseToSell = DoSell(code, bout, d, strategyParam, backtestParam, out reason);
}
if (bout.Completed)
{
break;
}
#endregion
#region 判断是否加仓或者减仓
if (p_addholdprofilt > 0 && p_addholdamount > 0)
{
if (percentClose > p_addholdprofilt)
{
int addamount = (int)(bout.BuyInfo.Amount * p_addholdamount);
TradeInfo tradeInfo = new TradeInfo();
tradeInfo.Code = bout.Code;
tradeInfo.Amount = addamount;
tradeInfo.Direction = TradeDirection.Buy;
tradeInfo.Reason = "加仓";
tradeInfo.Fee = backtestParam.Volumecommission;
tradeInfo.Stamps = backtestParam.Stampduty;
tradeInfo.TradeDate = klineItemDay.Date;
tradeInfo.TradePrice = klineItemDay.CLOSE;
bout.BuyInfo.TradePrice = (bout.BuyInfo.Amount * bout.BuyInfo.TradePrice + addamount * klineItemDay.CLOSE) / (bout.BuyInfo.Amount + addamount);
bout.BuyInfo.Amount += addamount;
}
}
#endregion
}
#endregion //寻找卖点结束
}
#endregion //遍历每一个买入回合结束
}