public double SharpeRatio(double RiskFreeRate)
{
int Days = Solution.Performance.PnLSeries.Count;
TimeSeries ReturnSeries = new TimeSeries();
double Portfolio0 = Solution.Cash;
double Portfolio1;
for (int t = 0; t < Days; ++t)
{
DateTime date = Solution.Performance.PnLSeries.GetDateTime(t);
Portfolio1 = Solution.Performance.PnLSeries[t] + Portfolio0;
double DailyReturn = Portfolio1 / Portfolio0 - 1;
Portfolio0 = Portfolio1;
ReturnSeries.Add(date, DailyReturn);
}
double Mean = ReturnSeries.GetMean(0, Days - 1);
double Std = ReturnSeries.GetStdDev(0, Days - 1);
//年化收益均值、波动率
Mean = Mean * 250;
Std = Std * Math.Sqrt(250);
double SR = (Mean - RiskFreeRate) / Std;
return SR;
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 },2100, 1458);
base.TargetPosition = 0;
base.DualPosition.Long.Qty = 0;
base.DualPosition.Short.Qty = 0;
UpSeries = new TimeSeries("Up");
DownSeries = new TimeSeries("Down");
RangeSeries = new TimeSeries("Range");
int n = N;
if (StrategyType.OpenRangeBreak == strategyType)
{
n = 1;
}
bars86400 = GetBars(BarType.Time, 86400);
HH = new PC(bars86400, n, BarData.High, PC.CalcType.Max, PC.UseLast.Yes);
HC = new PC(bars86400, n, BarData.Close, PC.CalcType.Max, PC.UseLast.Yes);
LC = new PC(bars86400, n, BarData.Close, PC.CalcType.Min, PC.UseLast.Yes);
LL = new PC(bars86400, n, BarData.Low, PC.CalcType.Min, PC.UseLast.Yes);
Draw(UpSeries, 0);
Draw(DownSeries, 0);
Draw(RangeSeries, 2);
}
protected KDJ(BarSeries series, K_Fast rsv, int length)
: base(series)
{
this.length = length;
this.rsv = rsv;
this.K = new TimeSeries("K");
this.D = new TimeSeries("D");
this.Name = "KDJ(" + length + ")";
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 }, 2100, 1458);
base.TargetPosition = 0;
base.DualPosition.Long.Qty = 0;
base.DualPosition.Short.Qty = 0;
bars86400 = GetBars(BarType.Time, 86400);
smd30 = new SMD(bars86400, 30);
lbd = new LookBackDays(smd30, lookBackDays, floorAmt, ceilingAmt);
dbbu = new DynamicBBU(lbd, bars86400, bolBandTrig, BarData.Close);
Draw(smd30, 2);
Draw(lbd, 3);
Draw(dbbu.SMA, 0);
Draw(dbbu.BBL, 0);
Draw(dbbu, 0);
upBandSeries = new TimeSeries("upBandSeries");
dnBandSeries = new TimeSeries("dnBandSeries");
buyPointSeries = new TimeSeries("buyPointSeries");
sellPointSeries = new TimeSeries("sellPointSeries");
upBandSeries.Color = Color.Red;
dnBandSeries.Color = Color.Red;
Draw(upBandSeries, 0);
Draw(dnBandSeries, 0);
Draw(buyPointSeries, 0);
Draw(sellPointSeries, 0);
base.OnStrategyStart();
}
public override void OnStrategyStart()
{
if (Instrument1 == Instrument)
{
//Strategy1 = this;
BarSeries1 = GetBars(BarType.Time, barSize);
}
else if (Instrument2 == Instrument)
{
//Strategy2 = this;
BarSeries2 = GetBars(BarType.Time, barSize);
}
else
{
Console.WriteLine("合约错误！" + Instrument);
}
spreadSeries = new TimeSeries("spread");
_bars = new Dictionary<string, double>();
sma = new SMA(spreadSeries, Length);
Draw(spreadSeries, 2);
Draw(sma, 2);
}
public virtual bool CrossesBelow(TimeSeries series, DateTime dateTime)
{
return(((FreeQuant.Series.TimeSeries) this.indicator).CrossesBelow((FreeQuant.Series.TimeSeries)series.series, dateTime));
}
///<summary>
/// Checks if this indicator crosses a bar series above at specified dateTime
///</summary>
public virtual Cross Crosses(TimeSeries series, DateTime dateTime)
{
return(EnumConverter.Convert(((FreeQuant.Series.TimeSeries) this.indicator).Crosses((FreeQuant.Series.TimeSeries)series.series, dateTime)));
}
public double GetCorrelation(TimeSeries timeSeries)
{
return(this.series.GetCorrelation(timeSeries.series));
}
public CCI(TimeSeries series, int length, Color color)
{
this.indicator = new FreeQuant.Indicators.CCI(series.series, length, color);
}
public virtual Cross Crosses(TimeSeries series, DateTime dateTime)
{
return(EnumConverter.Convert(this.series.Crosses(series.series, dateTime)));
}
public virtual bool CrossesAbove(TimeSeries series, DateTime dateTime)
{
return this.series.CrossesAbove(series.series, dateTime);
}
public double GetCovariance(TimeSeries timeSeries)
{
return this.series.GetCovariance(timeSeries.series);
}
public WMA(TimeSeries series, int length, Color color)
{
this.indicator = new FreeQuant.Indicators.WMA((FreeQuant.Series.TimeSeries)(series.series), length);
}
public override void OnStrategyStart()
{
UpSeries = new TimeSeries("Up");
DownSeries = new TimeSeries("Down");
RangeSeries = new TimeSeries("Range");
int n = N;
if (StrategyType.OpenRangeBreak == strategyType)
{
n = 1;
}
bars86400 = GetBars(BarType.Time, 86400);
HH = new PC(bars86400, n, BarData.High, PC.CalcType.Max, PC.UseLast.Yes);
HC = new PC(bars86400, n, BarData.Close, PC.CalcType.Max, PC.UseLast.Yes);
LC = new PC(bars86400, n, BarData.Close, PC.CalcType.Min, PC.UseLast.Yes);
LL = new PC(bars86400, n, BarData.Low, PC.CalcType.Min, PC.UseLast.Yes);
Draw(UpSeries, 0);
Draw(DownSeries, 0);
Draw(RangeSeries, 2);
}
public double GetCovariance(TimeSeries timeSeries)
{
return(this.series.GetCovariance((FreeQuant.Series.TimeSeries)timeSeries.series));
}
public double GetCorrelation(TimeSeries timeSeries)
{
return(this.series.GetCorrelation((FreeQuant.Series.TimeSeries)timeSeries.series));
}
public virtual bool CrossesAbove(TimeSeries series, DateTime dateTime)
{
return(this.series.CrossesAbove((FreeQuant.Series.TimeSeries)series.series, dateTime));
}
public BBU(TimeSeries series, int length, double k, Color color)
{
this.indicator = new FreeQuant.Indicators.BBU(series.series, length, k, color);
}
public void Add(TimeSeries series)
{
series.series.Draw();
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 }, 2100, 1458);
base.TargetPosition = 0;
base.DualPosition.Long.Qty = 0;
base.DualPosition.Short.Qty = 0;
// 自动得到当时时间窗口大小
foreach (BarRequest barRequest in DataRequests.BarRequests)
{
barSize = Math.Min(barSize, barRequest.BarSize);
}
Console.WriteLine("barSize = {0}", barSize);
Update6Line();
ssetup = new TimeSeries("观察卖出价", Color.Green);
bsetup = new TimeSeries("观察买入价", Color.Green);
bbreak = new TimeSeries("突破买入价", Color.Red);
sbreak = new TimeSeries("突破卖出价", Color.Red);
senter = new TimeSeries("反转卖出价", Color.Black);
benter = new TimeSeries("反转买入价", Color.Black);
S1 = new TimeSeries("S1", Color.Blue);
B1 = new TimeSeries("B1", Color.Blue);
Draw(ssetup, 0);
Draw(bsetup, 0);
Draw(bbreak, 0);
Draw(sbreak, 0);
Draw(senter, 0);
Draw(benter, 0);
Draw(S1, 2);
Draw(B1, 2);
}
public double GetCorrelation(TimeSeries timeSeries)
{
return this.series.GetCorrelation(timeSeries.series);
}
public virtual Cross Crosses(TimeSeries series, DateTime dateTime)
{
return EnumConverter.Convert(this.series.Crosses(series.series, dateTime));
}
internal Performance(Portfolio portfolio)
{
this.portfolio = portfolio;
this.equitySeries = new TimeSeries(portfolio.portfolio.Performance.EquitySeries);
this.coreEquitySeries = new TimeSeries(portfolio.portfolio.Performance.CoreEquitySeries);
this.pnLSeries = new TimeSeries(portfolio.portfolio.Performance.PnLSeries);
this.drawdownSeries = new TimeSeries(portfolio.portfolio.Performance.DrawdownSeries);
this.drawdownPercentSeries = new TimeSeries(portfolio.portfolio.Performance.DrawdownPercentSeries);
}
public MOM(TimeSeries series, int length)
{
this.indicator = new FreeQuant.Indicators.MOM(series.series, length);
}
public SMD(TimeSeries series, int length, BarData option, Color color)
{
this.indicator = new FreeQuant.Indicators.SMD(series.series, length, EnumConverter.Convert(option), color);
}
public MACD(TimeSeries series, int length1, int length2, Color color)
{
this.indicator = new FreeQuant.Indicators.MACD(series.series, length1, length2, color);
}
public override void OnStrategyStart()
{
// 自动得到当时时间窗口大小
foreach (BarRequest barRequest in DataRequests.BarRequests)
{
barSize = Math.Min(barSize, barRequest.BarSize);
}
Console.WriteLine("barSize = {0}", barSize);
Update6Line();
ssetup = new TimeSeries("观察卖出价", Color.Green);
bsetup = new TimeSeries("观察买入价", Color.Green);
bbreak = new TimeSeries("突破买入价", Color.Red);
sbreak = new TimeSeries("突破卖出价", Color.Red);
senter = new TimeSeries("反转卖出价", Color.Black);
benter = new TimeSeries("反转买入价", Color.Black);
S1 = new TimeSeries("S1", Color.Blue);
B1 = new TimeSeries("B1", Color.Blue);
Draw(ssetup, 0);
Draw(bsetup, 0);
Draw(bbreak, 0);
Draw(sbreak, 0);
Draw(senter, 0);
Draw(benter, 0);
Draw(S1, 0);
Draw(B1, 0);
}
public override void OnStrategyStart()
{
bars86400 = GetBars(BarType.Time, 86400);
smd30 = new SMD(bars86400, 30);
lbd = new LookBackDays(smd30, lookBackDays, floorAmt, ceilingAmt);
dbbu = new DynamicBBU(lbd, bars86400, bolBandTrig, BarData.Close);
Draw(smd30, 2);
Draw(lbd, 3);
Draw(dbbu.SMA, 0);
Draw(dbbu.BBL, 0);
Draw(dbbu, 0);
upBandSeries = new TimeSeries("upBandSeries");
dnBandSeries = new TimeSeries("dnBandSeries");
buyPointSeries = new TimeSeries("buyPointSeries");
sellPointSeries = new TimeSeries("sellPointSeries");
upBandSeries.Color = Color.Red;
dnBandSeries.Color = Color.Red;
Draw(upBandSeries, 0);
Draw(dnBandSeries, 0);
Draw(buyPointSeries, 0);
Draw(sellPointSeries, 0);
}
public AD(TimeSeries series)
{
this.indicator = new FreeQuant.Indicators.AD(series.series);
}
public virtual bool CrossesAbove(TimeSeries series, DateTime dateTime)
{
return(this.series.CrossesAbove(series.series, dateTime));
}
public AD(TimeSeries series, Color color)
{
this.indicator = new FreeQuant.Indicators.AD(series.series, color);
}
public double GetCovariance(TimeSeries timeSeries)
{
return(this.series.GetCovariance(timeSeries.series));
}
public AroonL(TimeSeries series, int length)
{
this.indicator = new FreeQuant.Indicators.AroonL(series.series, length);
}
public void Add(TimeSeries series)
{
series.series.Draw();
}
public BBL(TimeSeries series, int length, double k)
{
this.indicator = new FreeQuant.Indicators.BBL(series.series, length, k);
}