/// <summary>
/// 根据个股主力线高位卖出
/// </summary>
/// <param name="bouts"></param>
/// <param name="ds"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public void DoSell2(TradeRecords tradeRecords, TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
if (tradeRecords == null || tradeRecords.Bouts == null || tradeRecords.Bouts.Count <= 0)
{
return;
}
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
return;
}
foreach (TradeBout bout in tradeRecords.Bouts)
{
DateTime buyDate = bout.BuyInfo.TradeDate;
//找20个工作日的收盘价最高值
KLineItem klineItem = dayLine.GetNearest(buyDate, false);
if (klineItem == null)
{
continue;
}
int index = dayLine.IndexOf(klineItem);
DateTime sellDate = buyDate;
double sellPrice = 0;
for (int i = index + 1; i < Math.Min(index + 41, dayLine.Count); i++)
{
if (dayLine[i].CLOSE > sellPrice)
{
sellPrice = dayLine[i].CLOSE;
sellDate = dayLine[i].Date;
}
}
bout.RecordTrade(2, sellDate, TradeDirection.Sell, sellPrice, bout.BuyInfo.Amount, 0, 0, "");
}
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
/// <summary>
/// 执行回测
/// </summary>
/// <param name="props"></param>
/// <returns></returns>
public virtual TotalStat doTestByDate(List <TradeRecords> tradeRecoreds)
{
List <TradeBout> bouts = new List <TradeBout>();
tradeRecoreds.ForEach(x => bouts.AddRange(x.Bouts));
double marketValueMin = backtestParam.Initfunds; //日最低市值
double marketValueMax = backtestParam.Initfunds; //日最高市值
double lastmarketValueMax = backtestParam.Initfunds; //上一个日最高市值
DateTime lastmarketValueMaxDate = backtestParam.BeginDate;
double curFund = backtestParam.Initfunds; //当前资金
TotalStat stat = new TotalStat();
List <DateDetailRecord> records = new List <DateDetailRecord>(); //日详细记录
List <TradeBout> holdTrades = new List <TradeBout>(); //日持仓回合
List <int> holdDays = new List <int>(); //持仓日期
List <String> codes = new List <string>(); //交易的股票代码
List <int> buyCounts = new List <int>(); //每天买入的回合数
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
String reason = "";
//遍历每一天
for (DateTime d = backtestParam.BeginDate; d <= backtestParam.EndDate; d = d.AddDays(1))
{
//跳过非工作日
//if (!CalendarUtils.IsWorkDay(d))
// continue;
//生成空的当日记录
DateDetailRecord record = new DateDetailRecord();
record.date = d;
//找到当日的买入回合、卖出回合
bouts.ForEach(y =>
{
if (y.BuyInfo.TradeDate.Date == d.Date)
{
record.buyBouts.Add(y);
}
else if (y.SellInfo.TradeDate.Date == d.Date)
{
record.sellBouts.Add(y);
}
});
//当日没有发生买卖操作，也没有持仓，跳过
if (record.buyBouts.Count <= 0 && record.sellBouts.Count <= 0 && holdTrades.Count <= 0)
{
continue;
}
//将buyTrades按照优先规则排序,待实现
//计算当日买入的花销，如果超过了资金允许买入的量，则删除一部分
record.willBuyCount = record.buyBouts.Count;
for (int i = 0; i < record.buyBouts.Count; i++)
{
if (record.buyBouts[i].BuyInfo.TradeCost > curFund)//资金不够
{
bouts.Remove(record.buyBouts[i]);
record.buyBouts.RemoveAt(i--);
}
else if (isForbidBuy(d, record.buyBouts[i].Code, out reason))//如果策略实现禁止买入
{
bouts.Remove(record.buyBouts[i]);
record.buyBouts.RemoveAt(i--);
}
else
{
curFund -= record.buyBouts[i].BuyInfo.TradeCost; //买入
holdTrades.Add(record.buyBouts[i]); //买入后变成持仓
}
}
record.buyCount = record.buyBouts.Count;
if (stat.MaxTradeCountPerDay < record.buyBouts.Count)
{
stat.MaxTradeCountPerDay = record.buyBouts.Count;
}
buyCounts.Add(record.buyBouts.Count);
//判断持仓中的股票是否被禁止持仓
for (int i = 0; i < holdTrades.Count; i++)
{
TradeBout info = holdTrades[i];
if (!isForbidHold(d, info.Code, out reason))
{
continue;
}
info.SellInfo.Reason = reason + "(" + info.SellInfo.Reason + ")";
record.sellBouts.Add(info);
holdTrades.RemoveAt(i--);
}
//卖出收入放回资金
for (int i = 0; i < record.sellBouts.Count; i++)
{
if (!codes.Contains(record.sellBouts[i].Code))//记录交易的股票
{
codes.Add(record.sellBouts[i].Code);
}
stat.BoutNum += 1; //回合数加1
if (record.sellBouts[i].Win) //胜数加1
{
stat.WinNum += 1;
}
holdDays.Add(record.sellBouts[i].PositionDays); //记录持仓日期
curFund += record.sellBouts[i].SellInfo.TradeCost; //回收资金
holdTrades.Remove(record.sellBouts[i]); //从持仓中拿掉
}
record.SellCount = record.sellBouts.Count;
//计算市值
record.holdCount = holdTrades.Count;
if (holdTrades.Count <= 0)//如果没有持仓，市值就是资金量
{
marketValueMax = marketValueMin = curFund;
records.Add(record);
}
else//如果有持仓，则计算市值=资金量+持仓当日市值
{
double min = 0, max = 0;
foreach (TradeBout info in holdTrades)
{
TimeSerialsDataSet ds = repository[info.Code];
KLine kline = ds.DayKLine;
KLineItem klineitem = kline.GetNearest(d, true, -1);
if (klineitem == null)//有一个回合找不到当日K线数据，则当日市值不再计算
{
min = max = 0;
this.log.Warn("日期" + d.ToString("yyyyMMdd") + "中有回合缺少当日和历史K线：" + info.Code);
break;
}
min += info.BuyInfo.Amount * klineitem.LOW;
max += info.BuyInfo.Amount * klineitem.HIGH;
record.holdBouts.Add(info.Code + "," + info.BuyInfo.Amount + "," + info.BuyInfo.TradePrice.ToString("F2") + "," + klineitem.CLOSE);
}
if (min != 0)
{
marketValueMin = curFund + min;
}
if (max != 0)
{
marketValueMax = curFund + max;
}
if (min != 0 && max != 0)
{
records.Add(record);
}
}
//记录资金和市值数据
record.curFund = curFund;
record.marketValueMin = marketValueMin;
record.marketValueMax = marketValueMax;
if (marketValueMin < backtestParam.Initfunds)
{
record.retracement = (backtestParam.Initfunds - marketValueMin) / backtestParam.Initfunds;
}
if (stat.MaxInitRetracementRate < record.retracement)
{
stat.MaxInitRetracementRate = record.retracement;
stat.MaxInitRetracementDate = d;
}
if (marketValueMax > lastmarketValueMax)
{
lastmarketValueMax = marketValueMax;
lastmarketValueMaxDate = d;
record.retracement = 0;
}
else
{
record.retracement = (lastmarketValueMax - marketValueMax) / lastmarketValueMax;
stat.MaxRetracementRate = record.retracement;
stat.MaxRetracementDate = d;
}
}
//清除没有卖出的回合
for (int i = 0; i < holdTrades.Count; i++)
{
curFund += holdTrades[i].BuyInfo.TradeCost;
bouts.Remove(holdTrades[i]);
}
holdTrades.Clear();
marketValueMin = marketValueMax = curFund;
if (records.Count > 0)
{
DateDetailRecord extends = new DateDetailRecord();
extends.date = records[records.Count - 1].date.AddDays(1);
extends.curFund = curFund;
extends.marketValueMax = marketValueMax;
extends.marketValueMin = marketValueMin;
records.Add(extends);
}
//结果统计
stat.Records = records;
stat.AverageTradeCountPerDay = buyCounts.Count <= 0?0:buyCounts.Average();
stat.AvgHoldDays = holdDays.Count <= 0?0:(int)holdDays.Average();
stat.Count = codes.Count;
stat.MaxHoldDays = holdDays.Count <= 0 ? 0 : holdDays.Max();
stat.TotalFund = curFund;
stat.TotalProfilt = (curFund - backtestParam.Initfunds) / backtestParam.Initfunds;
stat.WinRate = stat.WinNum * 1.0 / stat.BoutNum;
return(stat);
}