public void compute()
{
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//基准衡量
List <double> benchmark = new List <double>();
//持仓量
double positionVolume = 0;
//最大收入值
double maxIncome = 0;
//螺纹钢的日线数据准备，从回测期开始之前10个交易开始取
int number = 10;
double k1 = 0.2;
double k2 = -0.1;
List <FuturesDaily> dailyData = new List <FuturesDaily>();
dailyData = Platforms.container.Resolve <FuturesDailyDataService>().fetchFromLocalCsvOrWindAndSave(underlying, startDate, endDate);
List <double> highList = new List <double>();
List <double> closeList = new List <double>();
List <double> lowList = new List <double>();
List <double> buyLineList = new List <double>();
List <double> sellLineList = new List <double>();
List <double> rangeList = new List <double>();
for (int i = 0; i < dailyData.Count; i++)
{
if (highList.Count == number)
{
highList.RemoveAt(0);
closeList.RemoveAt(0);
lowList.RemoveAt(0);
}
highList.Add(dailyData[i].high);
closeList.Add(dailyData[i].close);
lowList.Add(dailyData[i].low);
//N日High的最高价HH
double hightestHigh = highList.Max();
//N日Close的最高价HC
double hightestClose = closeList.Max();
//N日Close的最低价LC
double lowestClose = closeList.Min();
//N日Low的最低价LL
double open = dailyData[i].open;
double lowestLow = lowList.Min();
double range = Math.Max(hightestHigh - lowestClose, hightestClose - lowestLow);
double buyLine = open + k1 * range;
double sellLine = open + k2 * range;
rangeList.Add(range);
buyLineList.Add(buyLine);
sellLineList.Add(sellLine);
}
//第一层循环：所有交易日循环一遍...
for (int i = 0; i < tradeDays.Count(); i++)
{
if (i == 513)
{
double buyLine1 = buyLineList[i];
double sellLine1 = sellLineList[i];
}
DateTime today = tradeDays[i];
//从wind或本地CSV获取相应交易日的数据list
//这里不能直接去调用FreqTransferUtils.minuteToNMinutes(data, frequency),因为data.count可能为0
var dataOnlyToday = getData(today, underlying);//一个交易日里有多条分钟线数据
//将获取的数据，储存为KLine格式
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(underlying, dataOnlyToday.Cast <KLine>().ToList());
//第二层循环：只循环某当天的数据（开始的索引值为前一天数据的List.count）
for (int j = 15; j < dataOnlyToday.Count() - 30; j++)
{
DateTime now = dataOnlyToday[j].time;
# region 追踪止损判断 触发止损平仓
//追踪止损判断 触发止损平仓
if (positionVolume != 0) //头寸量不为0，额外要做的操作
{
//计算开盘价和头寸当前价的差价
double incomeNow = individualIncome(positions.Last().Value[underlying], dataOnlyToday[j].open);
//若当前收入大于最大收入值，则更新最大收入值
if (incomeNow > maxIncome)
{
maxIncome = incomeNow;
}
//若盈利回吐大于5个点 或者 最大收入大于45，则进行平仓
else if ((maxIncome - incomeNow) > lossPercent * Math.Abs(dataOnlyToday[j].open) || incomeNow < -lossPercent * Math.Abs(dataOnlyToday[j].open)) //从最高点跌下来3%，就止损
{
positionVolume = 0;
// Console.WriteLine("追踪止损！平仓价格: {0}", dataOnlyToday[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
maxIncome = 0;
}
}
#endregion
var price = dataOnlyToday[j].open;
//价格向上突破上轨
if (price > buyLineList[i])
{
//如果持有空仓，则先平仓
if (positionVolume == -1)
{
positionVolume = 0;
//Console.WriteLine("追踪止损！平仓价格: {0}", dataOnlyToday[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
}
//如果没有仓位，则直接多仓
if (positionVolume == 0)
{
double volume = 1;
//长头寸信号
MinuteSignal longSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = dataOnlyToday[j].open, minuteIndex = j
};
//signal保存长头寸longSignal信号
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
signal.Add(underlying, longSignal);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: longSignal.minuteIndex);
//Console.WriteLine("做多期货！多头开仓价格: {0}", dataOnlyToday[j].open);
//头寸量叠加
positionVolume += volume;
}
}
//价格向下突破下轨
if (price < sellLineList[i])
{
//如果持有多仓，则先平仓
if (positionVolume == 1)
{
positionVolume = 0;
// Console.WriteLine("追踪止损！平仓价格: {0}", dataOnlyToday[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
}
//如果没有仓位，则直接空仓
if (positionVolume == 0)
{
double volume = -1;
MinuteSignal shortSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = dataOnlyToday[j].open, minuteIndex = j
};
// Console.WriteLine("做空期货！空头开仓价格: {0}", dataOnlyToday[j].open);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
signal.Add(underlying, shortSignal);
positionVolume += volume;
//分钟级交易
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: shortSignal.minuteIndex);
}
}
}
int closeIndex = dataOnlyToday.Count() - 1;
if (positionVolume != 0)
{
positionVolume = 0;
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, dataOnlyToday[closeIndex].time, closeIndex, slipPoint);
// Console.WriteLine("{2} 每日收盘前强制平仓，平仓价格:{0},账户价值:{1}", dataOnlyToday[closeIndex].open, myAccount.totalAssets, today);
}
if (dataOnlyToday.Count > 0)
{
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, dataOnlyToday.Last().time, dataOnlyToday.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(dataOnlyToday.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = dataOnlyToday.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = dataOnlyToday.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = dataOnlyToday.Last().close
});
}
}
}
public void compute()
{
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//标记当日跨式组合多空信号。1表示多头，0表示无信号，-1表示空头。
double orignalSignal = 0;
Straddle holdingStatus = new Straddle();
//统计历史波动率分位数,从回测期开始前一天，统计到最后一天
double[][] fractile = new double[backTestingDuration + 1][];
fractile = computeRollingFractile(startIndex - 1, etfDailyData.Count() - 1, 100);
//统计隐含波动率
computeImpv();
//统计隐含波动率和历史波动率之差 epsilon=max[E(IV-HV),0]
computeEpsilon();
//按时间遍历，2015年02月09日50ETF期权上市开始,2月10日开始昨日收盘的隐含波动率数据。
for (int i = startIndex + 1; i < startIndex + backTestingDuration; i++)
{
DateTime today = etfDailyData[i].time;
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//若当日发生50ETF分红派息，myAccount要加上分红的钱,并且需要调整持有头寸的strike
if (today == timeOf50ETFDividend2016 && positions.Count > 0 && positions.Last().Value.ContainsKey("510050.SH"))
{
//50ETF的头寸中记入分红
positions.Last().Value["510050.SH"].totalCashFlow += positions.Last().Value["510050.SH"].volume * bonusOf50ETFDividend2016;
//期权持仓行权价调整
foreach (var item in optionInfoList)
{
if (item.optionCode == holdingStatus.callCode)
{
holdingStatus.strike = item.strike;
holdingStatus.callPosition *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPosition *= item.contractMultiplier / standardContractMultiplier;
}
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double fractile90Yesterday = fractile[i - 1][9]; //昨日历史波动率90分位数
double fractile70Yesterday = fractile[i - 1][7]; //昨日历史波动率70分位数
double fractile50Yesterday = fractile[i - 1][5]; //昨日历史波动率50分位数
double fractile30Yesterday = fractile[i - 1][3]; //昨日历史波动率30分位数
double volYesterday = etfVol[i - 1]; //昨日历史波动率
double impvYesterday = optionVol[i - 1]; //昨日隐含波动率
//获取当日ATM期权合约代码
double etfPrice = etfDailyData[i].close;
double duration;
//获取当日期限结构,选取当月合约,若当日合约到日期小于等于3天，直接开仓下月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
// double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
//double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
//整合当日分钟线数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", today);
dataToday.Add("510050.SH", etfData.Cast <KLine>().ToList());
dataToday.Add(callATM.optionCode, callPrice.Cast <KLine>().ToList());
dataToday.Add(putATM.optionCode, putPrice.Cast <KLine>().ToList());
//策略信号处理
//信号1
//orignalSignal = 0;
//if (volYesterday >= fractile70Yesterday)
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//else if (impvYesterday < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (impvYesterday - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile50Yesterday)
{
//买入跨式期权
orignalSignal = 1;
}
else if (impvYesterday - volYesterday > epsilon[i - 1])
{
//卖出跨式期权
orignalSignal = -1;
}
//指定平仓时间为开盘第一个分钟。
int openIndex = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
Console.WriteLine("time: {0}, 昨日历史波动率: {1}, 历史波动率70分位数: {2}, 昨日隐含波动率: {3}", now, volYesterday.ToString("N"), fractile70Yesterday.ToString("N"), optionVol[i - 1].ToString("N"));
//如果有持仓先判断持仓状态和信号方向是否相同，如果不同先平仓
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
if (holdingStatus.callPosition * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new Straddle();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new Straddle();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPosition == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = optionVolume;
holdingStatus.putPosition = optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].open;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].open;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
else if (orignalSignal == -1) //做空跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = -optionVolume;
holdingStatus.putPosition = -optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].open;
holdingStatus.straddlePrice_open = callPrice[openIndex].open + putPrice[openIndex].open;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: openIndex);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
double delta = 0;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
if (today >= timeOf50ETFDividend2016)
{
benchmark.Add(etfData[thisIndex].close + bonusOf50ETFDividend2016);
}
else
{
benchmark.Add(etfData[thisIndex].close);
}
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
//计算期权delta值，并用50ETF对冲
var positionLast = positions.Last().Value;
delta = computeOptionDelta(positionLast, holdingStatus, today, dataToday, thisIndex);
double etfChangeVolume = Math.Round(-delta - holdingStatus.etfPosition);
MinuteSignal openSignalETF = new MinuteSignal()
{
code = "510050.SH", volume = etfChangeVolume, time = thisTime, tradingVarieties = "stock", price = dataToday["510050.SH"][thisIndex].open, minuteIndex = thisIndex
};
signal = new Dictionary <string, MinuteSignal>();
signal.Add("510050.SH", openSignalETF);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: thisTime, nowIndex: thisIndex);
holdingStatus.etfPosition += etfChangeVolume;
// AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, thisTime, thisIndex, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
//在控制台上数据每日持仓信息
if (holdingStatus.callPosition != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}, delta: {7}, etfVolume: {8}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate, delta, holdingStatus.etfPosition);
}
//Console.WriteLine("time: {0}, total: {1}, cash: {2}, option: {3}, margin: {4}", thisTime, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//初始化持仓信息
StranglePair holdPair = new StranglePair();
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//可以变动的策略参数
int length = 40;
double range = 0.04;
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
var closePrice = dailyData.Select(x => x.close).ToArray();
var ETFMA = TA_MA.SMA(closePrice, length);
//获取中国波指的数据
List <StockDaily> iVix = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("000188.SH", startDate, endDate);
//按交易日回测
for (int day = 0; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
double MAyesterday = ETFMA[day + number - 1];
double lastETFPrice = dailyData[number + day - 1].close;
var today = tradeDays[day];
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//初始化信号的数据结构
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获取今日日内50ETF数据
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
//初始化行情信息，将50ETF的价格放入dataToday
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
//记录今日账户信息
myAccount.time = today;
//获取今日期权的到期日期
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
//选定到日期在40个交易日至60个交易日的合约
double duration = 0;
//for (int i = 0; i < dateStructure.Count(); i++)
//{
// if (dateStructure[i] >= 40 && dateStructure[i] <= 80)
// {
// duration = dateStructure[i];
// break;
// }
//}
duration = dateStructure[1];
//如果没有持仓就开仓
if (holdPair.endDate == new DateTime())
{
if (duration == 0)
{
continue;
}
//按照开盘1分钟的价格来开平仓。
int index = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
double etfPriceNow = etfData[index].open;
if (etfPriceNow > MAyesterday * (1 + range))//看涨，卖出虚值的put
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo put = list[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = "", putCode = put.optionCode, callPosition = 0, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = 0, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else if (etfPriceNow < MAyesterday * (1 - range))//看跌，卖出虚值的call
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo call = list[0];
if (call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = "", callPosition = -call.contractMultiplier, putPosition = 0, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = 0
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else//不涨不跌，卖出宽跨式期权
{
var putList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
var callList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (putList.Count == 0 || callList.Count == 0)
{
continue;
}
OptionInfo call = callList[0];
OptionInfo put = putList[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today) && call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = put.optionCode, callPosition = -call.contractMultiplier, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
}
else //如果有持仓就判断需不需要移仓
{
double durationNow = DateUtils.GetSpanOfTradeDays(today, holdPair.endDate);
int index = 234;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
if (holdPair.callPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.callCode, -holdPair.callPosition, today, now, index);
}
if (holdPair.putPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.putCode, -holdPair.putPosition, today, now, index);
}
if (durationNow <= 10) //强制平仓
{
//按照收盘前5分钟的价格来开平仓。
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
holdPair = new StranglePair();
}
}
if (etfData.Count > 0)
{
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, etfData.Last().time, etfData.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(etfData.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = etfData.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
}
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
// ivix数据
double[] iVixClose = iVix.Select(x => x.close / iVix[0].close).ToArray();
//line.Add("iVix", iVixClose);
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
//maoheng 画图
//Application.Run(new PLChart(line, datestr));
//cuixun 画图
//绘制图形的标题
string formTitle = this.startDate.ToShortDateString() + "--" + this.endDate.ToShortDateString() + " " + this.targetVariety + " 净值曲线"
+ "\r\n" + "\r\n" + "净利润：" + myStgStats.netProfit + " " + "夏普率：" + myStgStats.anualSharpe + " " + "最大回撤：" + myStgStats.maxDrawDown
+ "\r\n" + "\r\n";
//生成图像
PLChart plc = new PLChart(line, datestr, formTitle: formTitle);
//运行图像
//Application.Run(plc);
plc.LoadForm();
//保存图像
plc.SaveZed(GetType().FullName, this.targetVariety, this.startDate, this.endDate, myStgStats.netProfit.ToString(), myStgStats.anualSharpe.ToString(), myStgStats.maxDrawDown.ToString());
}
/// <summary>
///
/// </summary>
/// <param name="signal">交易信号（正向/反向）</param>
/// <param name="data">KLine格式的交易数据</param>
/// <param name="positions">头寸信息</param>
/// <param name="myAccount">账户信息</param>
/// <param name="now">交易日的时间信息</param>
/// <param name="nowIndex">当前索引值（不知道什么意思）</param>
/// <param name="slipPoint">滑点</param>
/// <returns></returns>
public static Dictionary <string, ExecutionReport> ComputePosition(Dictionary <string, MinuteSignal> signal, Dictionary <string, List <KLine> > data, ref SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, ref BasicAccount myAccount, DateTime now, int nowIndex, double slipPoint = 0.00)
{
//初始化记录成交回报的变量
Dictionary <string, ExecutionReport> tradingFeedback = new Dictionary <string, ExecutionReport>();
//初始化上一次头寸记录时间
DateTime lastTime = new DateTime(now.Year, now.Month, now.Day, 0, 0, 0);
//如果signal无信号，无法成交，直接返回空的成交回报。
if (signal == null || signal.Count == 0)
{
return(tradingFeedback);
}
if (positions.Count != 0)
{
lastTime = positions.Keys.Last();
}
//新建头寸变量，作为接受新仓位的容器
Dictionary <string, PositionsWithDetail> positionShot = new Dictionary <string, PositionsWithDetail>();
//如果持仓最后状态时间大于signal信号的时间，无成交，直接返回空的成交回报。
if (lastTime > now)
{
return(tradingFeedback);
}
//如果两者时间相等，则把总仓位变化数组positions中的最后一项，添加进新仓位的容器positionShot中
if (now == lastTime)
{
positionShot = positions[positions.Keys.Last()];
}
//如果交易信号时间在最后一次持仓变化时间点之后，则需要重新把最后持仓的仓位变化信息手工copy一份；
//然后添加进新仓位的容器positionShot中。
else if (positions.Count > 0) //如果持仓大于0
{
foreach (var item in positions[positions.Keys.Last()]) //循环 持仓最后状态时间的持仓数据
{
//这里必须手动copy一份，不可以直接传引用。因为最后持仓变化节点的仓位信息是不应该被改变的；
//如果直接传引用，交易信号时间点仓位变化会同时改变最后持仓变化节点的仓位信息。
PositionsWithDetail position0 = new PositionsWithDetail().myClone(item.Value);//复制一份新的
positionShot.Add(position0.code, position0);
}
}
//获取前一步的头寸信息，如果没有寸头就设为null
Dictionary <string, PositionsWithDetail> positionLast = (positions.Count == 0 ? null : positions[positions.Keys.Last()]);
//对信号进行遍历
foreach (var signal0 in signal.Values)
{
//整理成交信号，剔除不合理信号。
//①信号触发时间必须在positionLast的记录时间之后，在当前时间now之前。
//②信号必须有合理的交易数量。
//③信号必须有对应的数据。
if (signal0.time != now) //【？？？】不是说必须要在当前时间now之前么
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.status = "交易时间错误，无效信号";
tradingFeedback.Add(signal0.code, report0);
continue;
}
if (signal0.volume == 0 || signal0.price == 0)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.status = "交易数据错误，无效信号";
tradingFeedback.Add(signal0.code, report0);
continue;
}
if (data.ContainsKey(signal0.code) == false)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.status = "无法找到行情数据，无效信号";
tradingFeedback.Add(signal0.code, report0);
continue;
}
//根据K线来判断成交数量，有可能完全成交，也有可能部分成交
//开多头时，如果价格大于最低价，完全成交，否者不成交
//开空头时，如果价格小于最高价，完全成交，否者不成交
//找出对应的K线
KLine KLineData = data[signal0.code][nowIndex];
//确定滑点
double slip = Math.Max(slipPoint, signal0.bidAskSpread);
//开多头时，如果价格大于最低价，完全成交，否者不成交
if (signal0.volume > 0 && signal0.price >= KLineData.low)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.volume = signal0.volume;
report0.price = signal0.price + slip;
report0.status = "完全成交";
tradingFeedback.Add(signal0.code, report0);
}
if (signal0.volume > 0 && signal0.price < KLineData.low)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.price = signal0.price + slip;
report0.status = "无法成交";
tradingFeedback.Add(signal0.code, report0);
continue;
}
//开空头时，如果价格小于最高价，完全成交，否者不成交
if (signal0.volume < 0 && signal0.price <= KLineData.high)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.price = signal0.price - slip;
report0.volume = signal0.volume;
report0.status = "完全成交";
tradingFeedback.Add(signal0.code, report0);
}
if (signal0.volume < 0 && signal0.price > KLineData.high)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.price = signal0.price - slip;
report0.status = "无法成交";
tradingFeedback.Add(signal0.code, report0);
continue;
}
///【解释：以下部分 position，positionShot和position0的关系】
/// position：是传入的参数，
///
//接下来处理能够成交的signal0，信号下单的时间只能是lastTime或者now。
PositionsWithDetail position0 = new PositionsWithDetail();
//查询当前持仓数量
double nowHoldingVolume;
//当前证券已有持仓
if (positionShot.Count > 0 && positionShot.ContainsKey(signal0.code))
{
//将当前证券持仓情况赋值给临时持仓变量
position0 = positionShot[signal0.code];
nowHoldingVolume = position0.volume;
}
else //若历史无持仓
{
//当前信号证券代码
position0.code = signal0.code;
//多空头寸初始化
position0.LongPosition = new PositionDetail();
position0.ShortPosition = new PositionDetail();
position0.record = new List <TransactionRecord>();
nowHoldingVolume = 0;
positionShot.Add(position0.code, position0);
}
//持仓和开仓方向一致
if (nowHoldingVolume * signal0.volume >= 0)
{
//开多仓
if (signal0.volume > 0)
{
//重新计算仓位和价格
double volume = signal0.volume + position0.LongPosition.volume;
double cost = (signal0.price + slip) * signal0.volume + position0.LongPosition.volume * position0.LongPosition.averagePrice;
double averagePrice = cost / volume;
position0.LongPosition = new PositionDetail {
volume = volume, totalCost = cost, averagePrice = averagePrice
};
}
else //开空仓
{
//重新计算仓位和价格
double volume = signal0.volume + position0.ShortPosition.volume;
double cost = (signal0.price - slip) * signal0.volume + position0.ShortPosition.volume * position0.ShortPosition.averagePrice;
double averagePrice = cost / volume;
position0.ShortPosition = new PositionDetail {
volume = volume, totalCost = cost, averagePrice = averagePrice
};
}
}
else //持仓和开仓方向不一致
{
if (nowHoldingVolume > 0) //原先持有多头头寸，现开空仓
{
//计算总头寸，分类讨论
double volume = signal0.volume + position0.LongPosition.volume;
if (volume > 0)
{
position0.LongPosition.volume = volume;
position0.LongPosition.totalCost = position0.LongPosition.volume * position0.LongPosition.averagePrice;
}
else if (volume < 0)
{
position0.ShortPosition.volume = volume;
position0.ShortPosition.totalCost = volume * (signal0.price - slip);
position0.ShortPosition.averagePrice = (signal0.price - slip);
position0.LongPosition = new PositionDetail();
}
else
{
position0.LongPosition = new PositionDetail();
}
}
else //原先持有空头头寸，现开多仓
{
//计算总头寸，分类讨论
double volume = signal0.volume + position0.ShortPosition.volume;
if (volume < 0)
{
position0.ShortPosition.volume = volume;
position0.ShortPosition.totalCost = position0.ShortPosition.volume * position0.ShortPosition.averagePrice;
}
else if (volume > 0)
{
position0.LongPosition.volume = volume;
position0.LongPosition.averagePrice = (signal0.price + slip);
position0.LongPosition.totalCost = (signal0.price - slip) * volume;
position0.ShortPosition = new PositionDetail();
}
else
{
position0.ShortPosition = new PositionDetail();
}
}
}
//更新其他信息
position0.record.Add(new TransactionRecord
{
time = now,
volume = signal0.volume,
price = signal0.price + slip * (signal0.volume > 0?1:-1),
code = position0.code
});
position0.totalCashFlow = position0.totalCashFlow - (signal0.price + (signal0.volume > 0 ? 1 : -1) * slip) * signal0.volume;
position0.transactionCost = position0.transactionCost + Math.Abs(slip * signal0.volume);
position0.volume = position0.volume + signal0.volume;
position0.time = now;
position0.code = signal0.code;
position0.currentPrice = KLineData.close;
position0.tradingVarieties = signal0.tradingVarieties;
//总资产=权益现值+现金盈亏
position0.totalAmt = position0.totalCashFlow + position0.volume * position0.currentPrice;
}
if (now > lastTime)
{
positions.Add(now, positionShot);
}
//更新持仓的头寸信息
if (positions.Count != 0)
{
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, now, nowIndex, data);
}
return(tradingFeedback);
}
