/// <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
}
public override TradeInfo DoSell(HoldRecord holdRecord, DateTime d, Properties strategyParam, StrategyContext context)
{
if (holdRecord == null)
{
return(null);
}
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[holdRecord.code];
if (ds == null)
{
return(null);
}
KLine klineDay = ds.DayKLine;
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
return(null);
}
//取得策略参数
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");
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
//大盘要求必须卖
if (p_grail.MustSell(d, holdRecord.code))
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "大盘指数要求卖出"
};
return(tradeInfo);
}
double profilt = (klineItemDay.CLOSE - holdRecord.buyPrice) / holdRecord.buyPrice;
//判断是否到达最大收益
if (p_maxprofilt > 0)
{
if (profilt >= p_maxprofilt)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "盈利达到" + p_maxprofilt.ToString("F2")
};
return(tradeInfo);
}
}
//盈利超过个股预期
if (holdRecord.expect > 0)
{
if (profilt >= p_maxprofilt)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "盈利达到个股预期" + holdRecord.expect.ToString("F2")
};
return(tradeInfo);
}
}
//预期要求立即卖出
if (holdRecord.expect == -1)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "个股预期极低"
};
return(tradeInfo);
}
//个股观望天数超过预期
int holdDays = CalendarUtils.WorkDayCount(holdRecord.buyDate, d);
if (holdRecord.expect < 0)
{
if (holdDays >= holdRecord.expect * -1)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "个股预期观望超过" + (-1 * holdRecord.expect).ToString() + "天"
};
return(tradeInfo);
}
}
//达到止损线
if (p_stoploss > 0)
{
if (-1 * profilt > p_stoploss)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "到达止损线" + p_stoploss.ToString("F2")
};
return(tradeInfo);
}
}
//达到最大持仓天数
if (p_maxholddays > 0)
{
if (holdDays > p_maxholddays)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "到达最大持仓天数" + p_maxholddays.ToString()
};
return(tradeInfo);
}
}
return(null);
}