int getMaxPeriod(CBreakStrategy bs)
{
List <int> ps = new List <int>();
ps.Add(bs.mAtrPeriod);
ps.Add(bs.mBreakPeriod);
ps.Add(bs.mAveFilterSmall);
ps.Add(bs.mAveFilterBig);
return(ps.Max());
}
public bool collectPrice(CBreakStrategy bs, OHLC prePrice)
{
if (mPriceList.Count < bs.mBreakPeriod - 1 ||
mPriceList.Count < bs.mAtrPeriod - 1 ||
mPriceList.Count < bs.mAveFilterSmall - 1 ||
mPriceList.Count < bs.mAveFilterBig - 1)
{
mPriceList.Add(prePrice);
return(true);
}
return(false);
}
double calAtr(CBreakStrategy bs)
{
double re = 0;
List <OHLC> atrList = mPriceList.Skip(Math.Max(0, mPriceList.Count() - bs.mAtrPeriod)).ToList();
List <double> mtr = new List <double>();
for (int i = atrList.Count - 1; i > 0; i--)
{
OHLC pre = atrList[i - 1];
OHLC cur = atrList[i];
double[] m = { Math.Abs(cur.h - cur.l), Math.Abs(cur.h - pre.c), Math.Abs(cur.l - pre.c) };
mtr.Add(m.Max());
}
re = mtr.Average();
return(re);
}
//0:no break 1:buy -1:sell
int checkBreak(CBreakStrategy bs)
{
int re = 0;
List <OHLC> breakList = mPriceList.Skip(Math.Max(0, mPriceList.Count() - bs.mBreakPeriod)).ToList();
double highPrice = breakList.Take(bs.mBreakPeriod - 1).Select(i => i.c).Max();
if (breakList.Last().c > highPrice)
{
re = 1;
}
double lowPrice = breakList.Take(bs.mBreakPeriod - 1).Select(i => i.c).Min();
if (breakList.Last().c < lowPrice)
{
re = -1;
}
return(re);
}
bool checkAveFilter(CBreakStrategy bs, int buyOrSell)
{
if (!bs.mUseAveFilter)
{
return(true);
}
bool re = false;
double min = ave(bs.mAveFilterSmall);
double max = ave(bs.mAveFilterBig);
if (buyOrSell == 1 && min >= max)
{
re = true;
}
if (buyOrSell == -1 && min <= max)
{
re = true;
}
return(re);
}
/*
* public double calMargin(double vol,double price,double leverage)
* {
* double re = 0;
* re = vol * mPro.mContractSize * price * mPro.mMarginRadio / leverage;
* return re;
* }
*/
public double getVol(CBreakStrategy bs, double point, DateTime d)
{
double loss = bs.mMoney * bs.mRisk / 100;
loss = toCuy(loss, d);
double v = loss / mPro.mTickVal / (point / mPro.mTickSize);
int howV = (int)(v / mPro.mStepVol);
v = howV * mPro.mStepVol;
if (v < mPro.mMinVol)
{
v = mPro.mMinVol;
}
if (v > mPro.mMaxVol)
{
v = mPro.mMaxVol;
}
return(v);
}
public void step(DateTime curTime, CBreakStrategy bs)
{
if (!mCandleData.Keys.Contains(curTime.Date))
{
return;
}
OHLC prePrice = mCandleData[curTime].mPrice;
if (!collectPrice(bs, prePrice))
{
mPriceList.Add(prePrice);
int bigPeriod = getMaxPeriod(bs);
while (mPriceList.Count > bigPeriod)
{
mPriceList.RemoveAt(0);
}
double atr = calAtr(bs);
if (!mHasVol)
{
int breakRe = checkBreak(bs);
if (breakRe == 1 && checkAveFilter(bs, breakRe))
{
//break open vol buy
mBuyOrSell = 1;
mTradePrice = prePrice.c;
mCloseStopPrice = prePrice.c - atr * bs.mCloseStopAtr;
mImeStopPrice = prePrice.c - atr * bs.mImeStopAtr;
mVol = getVol(bs, atr * (bs.mCloseStopAtr > bs.mImeStopAtr ? bs.mCloseStopAtr : bs.mImeStopAtr), curTime);
mHasVol = true;
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy:" + mVol.ToString("F2") + " price:" + mTradePrice.ToString("F2") + " time:" + curTime.ToShortDateString());
}
if (breakRe == -1 && checkAveFilter(bs, breakRe))
{
//break open vol sell
mBuyOrSell = -1;
mTradePrice = prePrice.c;
mCloseStopPrice = prePrice.c + atr * bs.mCloseStopAtr;
mImeStopPrice = prePrice.c + atr * bs.mImeStopAtr;
mVol = getVol(bs, atr * (bs.mCloseStopAtr > bs.mImeStopAtr ? bs.mCloseStopAtr : bs.mImeStopAtr), curTime);
mHasVol = true;
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell:" + mVol.ToString("F2") + " price:" + mTradePrice.ToString("F2") + " time:" + curTime.ToShortDateString());
}
}
else
{
bool stop = false;
//check stop
if (mBuyOrSell == 1)
{
if (!stop && prePrice.l < mImeStopPrice)
{
stop = true;
double profit = calLoss(mVol, mImeStopPrice - mTradePrice, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy stop at ime price:" + mImeStopPrice.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop && prePrice.c < mCloseStopPrice)
{
stop = true;
double profit = calLoss(mVol, prePrice.c - mTradePrice, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy stop at close price:" + prePrice.c.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop)
{
double newCloseStopPrice = prePrice.c - bs.mCloseStopAtr * atr;
double newImeStopPrice = prePrice.c - bs.mImeStopAtr * atr;
if (newCloseStopPrice > mCloseStopPrice)
{
mCloseStopPrice = newCloseStopPrice;
}
if (newImeStopPrice > mImeStopPrice)
{
mImeStopPrice = newImeStopPrice;
}
//Log4netHelper.LogInfo(string.Format("buy update price:close price-{0} ime price-{1}", mCloseStopPrice.ToString("F2"), mImeStopPrice.ToString("F2")));
}
}
if (mBuyOrSell == -1)
{
if (!stop && prePrice.h > mImeStopPrice)
{
stop = true;
double profit = calLoss(mVol, mTradePrice - mImeStopPrice, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell stop at ime price:" + mImeStopPrice.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop && prePrice.c > mCloseStopPrice)
{
stop = true;
double profit = calLoss(mVol, mTradePrice - prePrice.c, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell stop at close price:" + prePrice.c.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop)
{
double newCloseStopPrice = prePrice.c + bs.mCloseStopAtr * atr;
double newImeStopPrice = prePrice.c + bs.mImeStopAtr * atr;
if (newCloseStopPrice < mCloseStopPrice)
{
mCloseStopPrice = newCloseStopPrice;
}
if (newImeStopPrice < mImeStopPrice)
{
mImeStopPrice = newImeStopPrice;
}
//Log4netHelper.LogInfo(string.Format("sell update price:close price-{0} ime price-{1}", mCloseStopPrice.ToString("F2"), mImeStopPrice.ToString("F2")));
}
}
if (stop)
{
mHasVol = false;
}
}
}
}
private void button1_test_Click(object sender, EventArgs e)
{
button1_test.Enabled = false;
CBreakStrategy BS = new CBreakStrategy();
BS.mAtrPeriod = int.Parse(textBox8_atrPeriod.Text.Trim());
BS.mBreakPeriod = int.Parse(textBox1_breakPeriod.Text.Trim());
BS.mCloseStopAtr = double.Parse(textBox2_closeStopAtr.Text.Trim());
BS.mImeStopAtr = double.Parse(textBox3_imeStopAtr.Text.Trim());
BS.mLeverage = double.Parse(textBox1_leverage.Text.Trim());
BS.mMoney = double.Parse(textBox7_money.Text.Trim());
BS.mInitMoney = BS.mMoney;
BS.mRisk = double.Parse(textBox6_risk.Text.Trim());
BS.mAveFilterSmall = int.Parse(textBox4_aveSmall.Text.Trim());
BS.mAveFilterBig = int.Parse(textBox5_aveBig.Text.Trim());
BS.mUseAveFilter = checkBox1_averageFilter.Checked;
DateTime startTime = dateTimePicker1_start.Value.Date;
DateTime endTime = dateTimePicker2_end.Value.Date;
BS.mStartTime = startTime;
BS.mEndTime = endTime;
Dictionary <string, CSymbol> symbols = new Dictionary <string, CSymbol>();
List <CSymbolPro> selSym = getSelSymbol();
foreach (var v in selSym)
{
CSymbol s = new CSymbol();
s.mPro = v;
s.mCandleData = getCandleDataFromSqlite(s.mPro.mSymbolName, comboBox1_PricePeriod.SelectedItem.ToString());
symbols[s.mPro.mSymbolName] = s;
}
BS.mSymbolCount = symbols.Count;
if (int.Parse(label21_taskCount.Text.Trim()) == 0)
{
progressBar1_test.Value = 0;
progressBar1_test.Maximum = (endTime - startTime).Days;
}
else
{
progressBar1_test.Maximum += (endTime - startTime).Days;
}
BS.initHuiChe(startTime);
Thread thread = new Thread(new ThreadStart(() =>
{
Invoke(new Action(() =>
{
int taskCount = int.Parse(label21_taskCount.Text.Trim());
taskCount++;
label21_taskCount.Text = taskCount.ToString();
}));
do
{
Invoke(new Action(() =>
{
progressBar1_test.Value++;
}));
foreach (var v in symbols)
{
v.Value.step(startTime, BS);
}
BS.addMoneyLine(startTime);
startTime = startTime.AddDays(1);
}while (startTime.Date != endTime.Date);
Invoke(new Action(() =>
{
ChartForm cf = new ChartForm(BS);
cf.Show();
int taskCount = int.Parse(label21_taskCount.Text.Trim());
taskCount--;
label21_taskCount.Text = taskCount.ToString();
}));
Log4netHelper.LogInfo("money:" + BS.mMoney.ToString("F2"));
}));
thread.IsBackground = true;
thread.Start();
Invoke(new Action(() =>
{
button1_test.Enabled = true;
}));
}
public ChartForm(CBreakStrategy bs)
{
mBs = bs;
InitializeComponent();
}