/// <summary>
/// 根据日线创建周线
/// </summary>
/// <param name="begin"></param>
/// <param name="end"></param>
/// <returns></returns>
public KLine CreateWeek(DateTime begin, DateTime end)
{
KLine weekKLine = new KLine(this.Code, TimeUnit.week);
DateTime d = CalendarUtils.GetWeek(begin, DayOfWeek.Friday);
while (d <= end)
{
KLineItem weekItem = new KLineItem();
DateTime t = d;
KLineItem t1 = this.GetNearest(t, false);
if (t1 == null)
{
d = d.AddDays(7); continue;
}
weekItem.SetValue <double>("close", t1.CLOSE);
t1 = this.GetNearest(t.AddDays(-4), true, 0);
if (t1 == null)
{
d = d.AddDays(7); continue;
}
weekItem.SetValue <double>("close", t1.OPEN);
int index = this.IndexOf(t1);
double high = 0;
double low = 0;
while (index < this.Count && this[index].Date <= d)
{
if (high == 0 || high < this[index].HIGH)
{
high = this[index].HIGH;
}
if (low > this[index].LOW)
{
low = this[index].LOW;
}
index += 1;
}
if (low == 0 || high == 0)
{
d = d.AddDays(7);
continue;
}
weekItem.SetValue <double>("high", high);
weekItem.SetValue <double>("low", low);
weekItem.SetValue <DateTime>("time", d);
weekItem.SetValue <String>("code", Code);
weekKLine.Add(weekItem);
d = d.AddDays(7);
}
return(weekKLine);
}
public override TradeRecords DoBuy(TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weekCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
if (dayFunds == null || dayFunds.Count <= 0 || weekFunds == null || weekFunds.Count <= 0 || dayCross == null || dayCross.Count <= 0 || weekCross == null || weekCross.Count <= 0)
{
return(null);
}
TradeRecords tr = new TradeRecords(ds.Code);
DateTime begin = backtestParam.BeginDate;
DateTime end = backtestParam.EndDate;
double p_day_low = strategyParam.Get <double>("day_low");
double p_day_bias = strategyParam.Get <double>("day_bias");
double p_week_low = strategyParam.Get <double>("week_low");
double p_week_bias = strategyParam.Get <double>("week_bias");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <Object>("getinMode");
for (int i = 0; i < dayFunds.Count; i++)
{
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[i];
if (dayFundItem == null)
{
continue;
}
if (dayFundItem.Date < begin || dayFundItem.Date >= end)
{
continue;
}
if ((dayFundItem.Value[0] - dayFundItem.Value[1]) < p_day_bias)
{
continue;
}
DateTime td = CalendarUtils.GetWeek(dayFundItem.Date, DayOfWeek.Friday);
ITimeSeriesItem <List <double> > weekFundItem = weekFunds[td];
if (weekFundItem == null)
{
continue;
}
if ((weekFundItem.Value[0] - weekFundItem.Value[1]) < p_week_bias)
{
continue;
}
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
continue;
}
KLineItem dayLineItem = dayLine[dayFundItem.Date];
if (dayLineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(ds.Code);
bout.RecordTrade(1, dayFundItem.Date, TradeDirection.Buy, dayLineItem.CLOSE, (int)(p_getinMode.Value / dayLineItem.CLOSE), 0, 0, Name);
tr.Bouts.Add(bout);
}
return(tr);
}