/// <summary>
/// 平仓（所有的）
/// </summary>
/// <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> CloseAllPosition(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>();
//初始化平仓信号
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//查询当前持仓情况
Dictionary <string, PositionsWithDetail> positionShot = new Dictionary <string, PositionsWithDetail>();
//获取最新持仓情况
Dictionary <string, PositionsWithDetail> positionLast = (positions.Count == 0 ? null : positions[positions.Keys.Last()]);
//检查最新持仓，若无持仓，直接返回
if (positionLast == null)
{
return(tradingFeedback);
}
else
{
positionShot = new Dictionary <string, PositionsWithDetail>(positionLast);
}
//生成清仓信号
foreach (var position0 in positionShot.Values)
{
//若当前品种持仓量为0（仅用于记录历史持仓）
if (position0.volume == 0)
{
continue;
}
int index = nowIndex;
//对所有的持仓，生成现价等量反向的交易信号(cuixun 也就是平仓信号)
MinuteSignal nowSignal = new MinuteSignal()
{
code = position0.code,
volume = -position0.volume,
time = now,
tradingVarieties = position0.tradingVarieties,
price = data[position0.code][index].open,
minuteIndex = index
};
signal.Add(nowSignal.code, nowSignal);
}
return(MinuteTransactionWithBar.ComputePosition(signal, data, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: nowIndex));
}
private void tradeAssistant(ref Dictionary <string, List <KLine> > dataToday, ref Dictionary <string, MinuteSignal> signal, string code, double volume, DateTime today, DateTime now, int index)
{
List <OptionMinute> myData = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(code, today);
//获取给定的期权合约的当日分钟数据
if (dataToday.ContainsKey(code) == false)
{
dataToday.Add(code, myData.Cast <KLine>().ToList());
}
if (volume != 0)
{
MinuteSignal signal0 = new MinuteSignal()
{
code = code, volume = volume, time = now, tradingVarieties = "option", price = myData[index].open, minuteIndex = index
};
signal.Add(code, signal0);
}
}
/// <summary>
/// 清空当前所有持仓，对所有的持仓生成平仓信号（等量反向）
/// </summary>
/// <param name="data"></param>
/// <param name="positions"></param>
/// <param name="myAccount"></param>
/// <param name="now"></param>
public static DateTime closeAllPositions(Dictionary <string, List <KLine> > data, ref SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, ref BasicAccount myAccount, DateTime now, double slipPoint = 0.003)
{
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//查询当前持仓情况
Dictionary <string, PositionsWithDetail> positionShot = new Dictionary <string, PositionsWithDetail>();
Dictionary <string, PositionsWithDetail> positionLast = (positions.Count == 0 ? null : positions[positions.Keys.Last()]);
//检查最新持仓，若无持仓，直接返回
bool isEmptyPosition = positions.Count != 0 ? positionLast.Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
if (positionLast == null || isEmptyPosition)
{
return(now.AddMinutes(1));
}
else
{
positionShot = new Dictionary <string, PositionsWithDetail>(positionLast);
}
//生成清仓信号
foreach (var position0 in positionShot.Values)
{
//若当前品种无持仓，跳过
if (position0.volume == 0)
{
continue;
}
//对所有的持仓，生成现价等量反向的交易信号
int index = TimeListUtility.MinuteToIndex(now);
MinuteSignal nowSignal = new MinuteSignal()
{
code = position0.code, volume = -position0.volume,
time = now, tradingVarieties = "option", price = data[position0.code][index].close, minuteIndex = index
};
signal.Add(nowSignal.code, nowSignal);
}
//将清仓信号传给成交判断
DateTime next = MinuteTransactionWithSlip2.computeMinutePositions2(signal, data, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
return(next);
}
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();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//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++)
{
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
DateTime today = etfDailyData[i].time;
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 (optionVol[i - 1] < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (optionVol[i - 1] - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile70Yesterday)
{
//买入跨式期权
//orignalSignal = 1;
}
else if (impvYesterday - volYesterday > 2 * 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。
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), 0);
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)
{
//平仓之前获取IH数据
if (holdingStatus.IHCode != null)
{
var IHData = Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.IHCode, today);
dataToday.Add(holdingStatus.IHCode, IHData.Cast <KLine>().ToList());
}
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！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, 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！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, 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。
int 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].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, 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].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
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].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, 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].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
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());
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, 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}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate);
}
//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>();
var OptionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", OptionInfoList);
List <DateTime> tradeDays = DateUtils.GetTradeDays(startdate, endDate);
//var ETFDaily = Platforms.container.Resolve<StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", Kit.ToDate(20150101),Kit.ToDate(20160731));
foreach (var day in tradeDays)
{
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
var list = OptionUtilities.getOptionListByDate(OptionInfoList, Kit.ToInt_yyyyMMdd(day));
List <DateTime> durationArr = OptionUtilities.getEndDateListByAscending(list);
var ETFtoday = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", day);
data.Add("510050.SH", ETFtoday.Cast <KLine>().ToList());
foreach (var info in list)
{
string IHCode = OptionUtilities.getCorrespondingIHCode(info, Kit.ToInt_yyyyMMdd(day));
var repoOption = Platforms.container.Resolve <OptionMinuteRepository>();
var optionToday = repoOption.fetchFromLocalCsvOrWindAndSave(info.optionCode, day);
data.Add(info.optionCode, optionToday.Cast <KLine>().ToList());
}
int index = 0;
SortedDictionary <DateTime, Dictionary <string, MinutePositions> > positions = new SortedDictionary <DateTime, Dictionary <string, MinutePositions> >();
while (index < 240)
{
int nextIndex = index + 1;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double etfPrice = ETFtoday[index].close;
List <double> strikeTodayArr = OptionUtilities.getStrikeListByAscending(list).OrderBy(x => Math.Abs(x - etfPrice)).ToList();
try
{
OptionInfo callCandidateFront = OptionUtilities.getSpecifiedOption(list, durationArr[0], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateFront = OptionUtilities.getSpecifiedOption(list, durationArr[0], "认沽", strikeTodayArr[0])[0];
OptionInfo callCandidateNext = OptionUtilities.getSpecifiedOption(list, durationArr[1], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateNext = OptionUtilities.getSpecifiedOption(list, durationArr[1], "认沽", strikeTodayArr[0])[0];
MinuteSignal callFront = new MinuteSignal()
{
code = callCandidateFront.optionCode, volume = -1, time = now, tradingVarieties = "option", price = data[callCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal putFront = new MinuteSignal()
{
code = putCandidateFront.optionCode, volume = -1, time = now, tradingVarieties = "option", price = data[putCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal callNext = new MinuteSignal()
{
code = callCandidateNext.optionCode, volume = 1, time = now, tradingVarieties = "option", price = data[callCandidateNext.optionCode][index].close, minuteIndex = index
};
MinuteSignal putNext = new MinuteSignal()
{
code = putCandidateNext.optionCode, volume = 1, time = now, tradingVarieties = "option", price = data[putCandidateNext.optionCode][index].close, minuteIndex = index
};
signal.Add(callFront.code, callFront);
signal.Add(putFront.code, putFront);
signal.Add(callNext.code, callNext);
signal.Add(putNext.code, putNext);
DateTime next = MinuteTransactionWithSlip.computeMinutePositions(signal, data, ref positions, slipPoint: 0.01, now: now);
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
}
catch (Exception)
{
throw;
}
index = nextIndex;
}
}
}
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()
{
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>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
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;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
///数据准备
//记录牛市价差两条腿的信息
BullSpread myLegs = new BullSpread();
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//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);
//计算50ETF的EMA
var closePrice = dailyData.Select(x => x.close).ToArray();
List <double> ema7 = TA_MA.EMA(closePrice, 5).ToList();
List <double> ema50 = TA_MA.EMA(closePrice, 20).ToList();
List <double> ema10 = TA_MA.EMA(closePrice, 10).ToList();
double maxProfit = 0;
for (int day = 1; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
var today = tradeDays[day];
myAccount.time = today;
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
double duration = 0;
for (int i = 0; i < dateStructure.Count(); i++)
{
if (dateStructure[i] >= 20 && dateStructure[i] <= 40)
{
duration = dateStructure[i];
break;
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
if (ema7[day + number - 1] - ema50[day + number - 1] > 0 && dailyData[number + day - 1].close > ema10[day + number - 1] && myLegs.strike1 == 0) // EMA7日线大于EMA50日线，并且ETF价格站上EMA10,开牛市价差
{
//取出指定日期
double lastETFPrice = dailyData[number + day - 1].close;
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), 0);
//MinuteSignal openSignal = new MinuteSignal() { code = targetVariety, volume = 10000, time = now, tradingVarieties = "stock", price =averagePrice, minuteIndex = day };
//signal.Add(targetVariety, openSignal);
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, tradeDays[day], duration), "认购"), lastETFPrice, lastETFPrice + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
//如果可以构成看涨期权牛市价差，就开仓
if (list.Count() >= 2)
{
var option1 = list[0];
var option2 = list[list.Count() - 1];
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option1.optionCode, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option2.optionCode, today);
if ((option1Data[0].close > 0 && option2Data[0].close > 0) == true)
{
dataToday.Add(option1.optionCode, option1Data.Cast <KLine>().ToList());
dataToday.Add(option2.optionCode, option2Data.Cast <KLine>().ToList());
//var vol1 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option1.strike, duration / 252.0, 0.04, 0, option1.optionType, option1Data[0].close, etfData[0].close);
//var vol2 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option2.strike, duration / 252.0, 0.04, 0, option2.optionType, option2Data[0].close, etfData[0].close);
MinuteSignal openSignal1 = new MinuteSignal()
{
code = option1.optionCode, volume = 10000, time = now, tradingVarieties = "option", price = option1Data[0].close, minuteIndex = 0
};
MinuteSignal openSignal2 = new MinuteSignal()
{
code = option2.optionCode, volume = -10000, time = now, tradingVarieties = "option", price = option2Data[0].close, minuteIndex = 0
};
Console.WriteLine("开仓！");
signal.Add(option1.optionCode, openSignal1);
signal.Add(option2.optionCode, openSignal2);
myLegs.code1 = option1.optionCode;
myLegs.code2 = option2.optionCode;
myLegs.strike1 = option1.strike;
myLegs.strike2 = option2.strike;
myLegs.endDate = option1.endDate;
myLegs.spreadPrice_Open = option1Data[0].close - option2Data[0].close;
myLegs.etfPrice_Open = etfData[0].close;
myLegs.spreadOpenDate = now;
maxProfit = 0;
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", now, etfData[0].close, myLegs.strike1, option1Data[0].close, myLegs.strike2, option2Data[0].close);
}
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
if (positions.Count() > 0 && myLegs.strike1 != 0)
{
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code1, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code2, today);
dataToday.Add(myLegs.code1, option1Data.Cast <KLine>().ToList());
dataToday.Add(myLegs.code2, option2Data.Cast <KLine>().ToList());
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
var etfPriceNow = etfData[thisIndex].close;
var durationNow = DateUtils.GetSpanOfTradeDays(today, myLegs.endDate);
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", thisTime, etfPriceNow, myLegs.strike1, option1Data[thisIndex].close, myLegs.strike2, option2Data[thisIndex].close);
//多个退出条件①收益达到最大收益的60%以上②多日之内不上涨③迅速下跌
double spreadPrice = option1Data[thisIndex].close - option2Data[thisIndex].close;
maxProfit = (spreadPrice - myLegs.spreadPrice_Open) > maxProfit ? spreadPrice - myLegs.spreadPrice_Open : maxProfit;
double holdingDays = DateUtils.GetSpanOfTradeDays(myLegs.spreadOpenDate, today);
//止盈
bool profitTarget = (spreadPrice) > 0.6 * (myLegs.strike2 - myLegs.strike1) && durationNow >= 10;
//止损
bool lossTarget1 = (spreadPrice - myLegs.spreadPrice_Open) < 0 && holdingDays > 20;
bool lossTarget2 = etfPriceNow < myLegs.strike1 - 0.2;
bool lossTarget3 = spreadPrice / myLegs.spreadPrice_Open < 0.6;
bool lossTarget4 = maxProfit > 0.02 && (spreadPrice - myLegs.spreadPrice_Open) / maxProfit < 0.8;
if (profitTarget || lossTarget1 || lossTarget2 || lossTarget3 || lossTarget4 || durationNow <= 1 || holdingDays >= 7)
{
Console.WriteLine("平仓！");
maxProfit = 0;
myLegs = new BullSpread();
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, thisTime, slipPoint);
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
else
{
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
tempAccount.initialAssets = myAccount.initialAssets;
accountHistory.Add(tempAccount);
}
//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: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", 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: "EMA7_EMA50", 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));
}
/// <summary>
/// 策略回测部分，期权时间价值策略
/// 在日循环上判断（1）选择操作标的（2）是否开平仓，在分钟循环上进行具体操作
/// 分钟上的操作：（1）开仓（2）到期平仓（3）调仓平值期权（4）止盈止损
/// （1）若直接开平仓，在开盘15分钟时进行操作（2）若判断止盈止损，在收盘15分钟时进行操作
/// </summary>
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>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
List <DateTime> tradeDays = DateUtils.GetTradeDays(startdate, endDate);
//var ETFDaily = Platforms.container.Resolve<StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", Kit.ToDate(20150101),Kit.ToDate(20160731));
///账户初始化
//初始化position
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//日内数据准备
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
var list = OptionUtilities.getOptionListByDate(optionInfoList, Kit.ToInt_yyyyMMdd(day));
List <DateTime> endDate = OptionUtilities.getEndDateListByAscending(list);
var ETFtoday = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", day);
data.Add("510050.SH", ETFtoday.Cast <KLine>().ToList());
foreach (var info in list)
{
string IHCode = OptionUtilities.getCorrespondingIHCode(info, Kit.ToInt_yyyyMMdd(day));
var repoOption = Platforms.container.Resolve <OptionMinuteRepository>();
var optionToday = repoOption.fetchFromLocalCsvOrWindAndSave(info.optionCode, day);
data.Add(info.optionCode, optionToday.Cast <KLine>().ToList());
}
int index = 0;
//交易开关设置，控制day级的交易开关
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = true; //平仓开关
//是否为交割日
bool isExpiredDay = day.Equals(endDate[0]);
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
while (index < 240)
{
int nextIndex = index + 1;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double etfPrice = ETFtoday[index].close;
//按strike price与etf价格的接近程度排序
List <double> strikeTodayArr = OptionUtilities.getStrikeListByAscending(list).OrderBy(x => Math.Abs(x - etfPrice)).ToList();
try
{
/*
* if (index != 225)
* {
* index = nextIndex;
* continue;
* }
*/
//持仓查询，先平后开
//若当前有持仓 且 允许平仓
//是否是空仓,若position中所有品种volum都为0，则说明是空仓
bool isEmptyPosition = positions.Count != 0 ? positions[positions.Keys.Last()].Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
if ((positions.Count != 0 && !isEmptyPosition) && tradingOn)
{
//平仓条件
//（1）若当天为交割日或回测结束日，平仓，且关闭开仓开关，次日才能开仓；
//（2）若closingOn为false，平仓；
//（3）检查持仓期权是否为平价期权，若否，清掉当前头寸并建立新的持仓；
//--------------------------------------------------------------------
//（1）若当天为交割日或回测结束日，平仓，且关闭开仓开关，次日才能开仓；
//（2）若closingOn为false，平仓；
//取出当前持仓期权的strike
double strikePriceOfPositions = optionInfoList[optionInfoList.FindIndex(a => a.optionCode == positions[positions.Keys.Last()].Values.First().code)].strike;
bool isParPriceOption = strikePriceOfPositions == strikeTodayArr[0];
//--------------------------------------------------------------------
if (!isEmptyPosition && (isExpiredDay || isLastDayOfBackTesting || closingOn == false))
{
//全部平仓
DateTime next = MinuteCloseAllPositonsWithSlip.closeAllPositions(data, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
//当天不可再开仓
openingOn = false;
}
//（3）检查持仓期权是否为平价期权，若否，清掉当前头寸并建立新的持仓；
else if (!isEmptyPosition && !isParPriceOption)
{
//全部平仓
DateTime next = MinuteCloseAllPositonsWithSlip.closeAllPositions(data, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
//当天不可再开仓
openingOn = false;
}
}
//若当前无持仓 且 允许开仓
//若当前为交割日，则不开仓
if (isExpiredDay == true)
{
openingOn = false;
}
else if ((positions.Count == 0 || isEmptyPosition) && openingOn && tradingOn)
{
//标的池构建
//选择目标期权品种放入标的池：
//四个头寸（1）short当月平价认购（2）short当月平价认沽（3）long下月平价认购（4）long下月平价认沽
OptionInfo callCandidateFront = OptionUtilities.getSpecifiedOption(list, endDate[0], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateFront = OptionUtilities.getSpecifiedOption(list, endDate[0], "认沽", strikeTodayArr[0])[0];
OptionInfo callCandidateNext = OptionUtilities.getSpecifiedOption(list, endDate[1], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateNext = OptionUtilities.getSpecifiedOption(list, endDate[1], "认沽", strikeTodayArr[0])[0];
//检查四个标的strike是否相同，若相同则开仓，若不相同是，说明下月平价期权尚未挂出，则continue
bool isSameStrike = callCandidateFront.strike == callCandidateFront.strike;
//生成开仓信号
if (isSameStrike)
{
//查询可用资金
double nowFreeCash = myAccount.freeCash;
//计算每个头寸的建仓量,原则：尽量使各头寸等金额
double openVolumeOfCallFront = Math.Floor(nowFreeCash / 4 / data[callCandidateFront.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfPutFront = Math.Floor(nowFreeCash / 4 / data[putCandidateFront.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfCallNext = Math.Floor(nowFreeCash / 4 / data[callCandidateNext.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfPutNext = Math.Floor(nowFreeCash / 4 / data[putCandidateNext.optionCode][index].close / optionContractTimes) * optionContractTimes;
MinuteSignal callFront = new MinuteSignal()
{
code = callCandidateFront.optionCode, volume = -openVolumeOfCallFront, time = now, tradingVarieties = "option", price = data[callCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal putFront = new MinuteSignal()
{
code = putCandidateFront.optionCode, volume = -openVolumeOfPutFront, time = now, tradingVarieties = "option", price = data[putCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal callNext = new MinuteSignal()
{
code = callCandidateNext.optionCode, volume = openVolumeOfCallNext, time = now, tradingVarieties = "option", price = data[callCandidateNext.optionCode][index].close, minuteIndex = index
};
MinuteSignal putNext = new MinuteSignal()
{
code = putCandidateNext.optionCode, volume = openVolumeOfPutNext, time = now, tradingVarieties = "option", price = data[putCandidateNext.optionCode][index].close, minuteIndex = index
};
signal.Add(callFront.code, callFront);
signal.Add(putFront.code, putFront);
signal.Add(callNext.code, callNext);
signal.Add(putNext.code, putNext);
DateTime next = MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, data, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
}
}
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, now, data);
}
catch (Exception)
{
throw;
}
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
}
//遍历输出到console
foreach (var account in accountHistory)
{
Console.WriteLine("time:{0},netWorth:{1,8:F3}\n", account.time, account.totalAssets / initialCapital);
}
//将accountHistory输出到csv
var resultPath = ConfigurationManager.AppSettings["CacheData.ResultPath"] + "accountHistory.csv";
var dt = DataTableUtils.ToDataTable(accountHistory); // List<MyModel> -> DataTable
CsvFileUtils.WriteToCsvFile(resultPath, dt); // DataTable -> CSV File
Console.ReadKey();
}
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;
//第一层循环：所有交易日循环一遍...
for (int i = 0; i < tradeDays.Count(); i++)
{
DateTime today = tradeDays[i];
//找到当日参数
FiveParameterPairs pair = parameters[today];
frequency = pair.frequency;
numbers = pair.numbers;
longER = pair.longER;
shortER = pair.shortER;
lossPercent = pair.lossPercent;
//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
var data = getData(DateUtils.PreviousTradeDay(today, 3), underlying); //前3交易日的分钟线频率数据list
data.AddRange(getData(DateUtils.PreviousTradeDay(today, 2), underlying));
data.AddRange(getData(DateUtils.PreviousTradeDay(today, 1), underlying));
int indexStart = data.Count();
if (indexStart == 0) //前一天没数据
{
indexStart = numbers;
}
//将当天的数据add到前一天的数据之后
data.AddRange(dataOnlyToday);
#region 20170118更新
//将data转换成FuturesMinute分钟线频率
//data= FreqTransferUtils.minuteToNMinutes(data, frequency);
#endregion
//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, data.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）
#region 第二层循环
//这里减1：最后一个周期只平仓，不开仓
for (int j = indexStart; j < data.Count() - 1; j++)
{
DateTime now = data[j].time;
double[] prices = new double[numbers];
for (int k = j - numbers; k < j; k++)
{
//导入收盘价
prices[k - (j - numbers)] = data[k].close;
}
//计算出ER值
double ER = computeER(prices);
# 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], data[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
//&& ((positionVolume>0 && ER<longLevel) || (positionVolume<0 && ER>shortLevel))
else if ((maxIncome - incomeNow) > lossPercent * Math.Abs(data[j].open) || incomeNow < -lossPercent * Math.Abs(data[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}", data[j].open);
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
maxIncome = 0;
}
//if (positionVolume>0 && ER<0 && incomeNow<-10)
//{
// positionVolume = 0;
// Console.WriteLine("信号止损！平仓价格: {0}", data[j].open);
// MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
// maxIncome = 0;
//}
//else if (positionVolume < 0 && ER >0 && incomeNow < -10)
//{
// positionVolume = 0;
// Console.WriteLine("信号止损！平仓价格: {0}", data[j].open);
// MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, j, slipPoint);
// maxIncome = 0;
//}
}
#endregion
if (ER >= longER && positionVolume == 0) //多头信号,无头寸，则开多仓
{
double volume = 1;
//长头寸信号
MinuteSignal longSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = data[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}", data[j].open);
//头寸量叠加
positionVolume += volume;
//单笔最大收益重置
maxIncome = 0;
}
else if (ER <= shortER && positionVolume == 0) //空头信号，无头寸，则开空仓
{
double volume = -1;
maxIncome = 0;
MinuteSignal shortSignal = new MinuteSignal()
{
code = underlying, volume = volume, time = now, tradingVarieties = "futures", price = data[j].open, minuteIndex = j
};
Console.WriteLine("做空期货！空头开仓价格: {0}", data[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);
}
}
#endregion
int closeIndex = data.Count() - 1;
if (positionVolume != 0)
{
positionVolume = 0;
maxIncome = 0;
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, data[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}", data[closeIndex].open, myAccount.totalAssets, today);
}
if (data.Count > 0)
{
//更新当日属性信息
AccountOperator.Minute.maoheng.AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, data.Last().time, data.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(data.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = data.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = data.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = data.Last().close
});
}
}
}
/// <summary>
/// 50ETF择时策略测试，N-Days Reversion
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
//将来可以把这些初始化操作从程序中分离，写在外面
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.initialAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//将账户当前时间定为下一天，因为交易总是在下一天开始
//int nextDay = tradeDays.FindIndex(date => date == startDate) + 1;
myAccount.time = startDate;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//分钟数据准备，取全回测期的数据存放于data
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
foreach (var tempDay in tradeDays)
{
var stockData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(stockCode, tempDay);
if (!data.ContainsKey(stockCode))
{
data.Add(stockCode, stockData.Cast <KLine>().ToList());
}
else
{
data[stockCode].AddRange(stockData.Cast <KLine>().ToList());
}
}
//交易开关设置，控制day级的交易开关，tradingOn还没有使用
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = false; //平仓开关
//定义交易信号数组
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//取出当天的数据,列表类型，包含high,low,amt等数据
//取出当天的数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
dataToday.Add(variety.Key, data[variety.Key].FindAll(s => s.time.Year == day.Year && s.time.Month == day.Month && s.time.Day == day.Day));
}
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//先测试15K数据，直接将策略写在程序中，将来可以尝试分离过程，将部分策略以函数或者类的形式写在外面
//现将1分钟数据调整为15分钟数据，15K数据占用16个数组空间
List <KLine> data15K = Get15KData(dataToday[stockCode]);
//交易信号判断，用信号来判断开仓还是平仓，但是在交易单元，还要靠平均价和当前价，进行止损平仓
List <int> tradeSignal = ClimbMountain(data15K);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
int index = 0;
while (index < 16)
{
int nextIndex = index + 1;
if (nextIndex == 16)
{
break;
}
DateTime now = data15K[index].time;
DateTime next = data15K[nextIndex].time;
if ((tradeSignal[index] == 0) && openingOn)
{
//设置signal信号，设置时间等参数
MinuteSignal openSignal = new MinuteSignal()
{
code = stockCode,
//开仓只开90%，下一阶段可以分批加仓，全部减仓
volume = myAccount.freeCash / data15K[nextIndex].open * 0.9,
time = data15K[nextIndex].time,
tradingVarieties = "stock",
price = data15K[nextIndex].open,
minuteIndex = nextIndex
};
openingOn = false;
closingOn = true;
volumeNow = myAccount.freeCash / data15K[nextIndex].open * 0.9;
signal.Add(stockCode, openSignal);
//开仓下单
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: data15K[nextIndex].time, capitalVerification: false);
signal.Clear();
}
else if (((tradeSignal[index] == 1) || (positions[now][stockCode].ShortPosition.averagePrice < data15K[index].close)) &&
(volumeNow > 0) && closingOn)
{
//设置signal信号，设置时间等参数
MinuteSignal closeSignal = new MinuteSignal()
{
code = stockCode,
volume = 0 - volumeNow,
time = data15K[nextIndex].time,
tradingVarieties = "stock",
price = data15K[nextIndex].open,
minuteIndex = 0
};
openingOn = true;
closingOn = false;
volumeNow = 0;
signal.Add(stockCode, closeSignal);
//平仓下单
MinuteTransactionWithSlip.computeMinuteClosePositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: data15K[nextIndex].time);
signal.Clear();
}
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, myAccount.time, dataToday);
}
//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: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
//var positionStatus = OptionRecordUtil.Transfer(positions);
//RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", 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: "EMA7_EMA50", 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();
//初始化净值曲线类
PLChart plc = new PLChart(line, datestr);
Application.Run(plc);
plc.SaveZed("D:\\BTP\\Result\\BackTestingPlatform.Strategies.Stock.StockSample.MABreak\\aa.png");
}
public int compute()
{
//如果MA周期不对，直接返回
if (MA1 < 0 || MA2 < 0)
{
log.Info("MA周期出错，MA1:{0}, MA2:{1}", MA1, MA2);
return(-1);
}
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
//将来可以把这些初始化操作从程序中分离，写在外面
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.initialAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//将账户当前时间定为下一天，因为交易总是在下一天开始
//int nextDay = tradeDays.FindIndex(date => date == startDate) + 1;
myAccount.time = startDate;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//benchmark数据记录
List <double> benchmark = new List <double>();
///数据准备
//日线数据准备，取全回测期的数据存放于data
List <StockDaily> stockData = new List <StockDaily>();
stockData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(stockCode, startDate, endDate);
//建立close price数组，从stockData里面取出close price
int stockData_length = stockData.Count;
double[] closePrice = new double[stockData_length];
for (int count = 0; count < stockData_length; ++count)
{
closePrice[count] = stockData[count].close;
}
//取两个MA的数组
double[] MA1_array = MA.compute(closePrice, MA1);
double[] MA2_array = MA.compute(closePrice, MA2);
//****数据准备完毕回测开始******
log.Info("数据准备完毕回测开始");
//交易开关设置，控制day级的交易开关，开始时只能开仓，不能平仓
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = false; //平仓开关
//定义交易信号数组
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获得交易信号
for (int count = MA1; count < stockData_length; ++count)
{
//获取当前时间，供回测信号使用
DateTime timeNow = stockData[count].time;
//找出下一个交易日
int nextTradeDay = tradeDays.FindIndex(date => date == timeNow) + 1;
if (nextTradeDay == stockData_length)
{
break;
}
//分钟数据准备，做交易执行使用
var minuteData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(stockCode, tradeDays[nextTradeDay]);
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(stockCode, minuteData.Cast <KLine>().ToList());
//上穿买入信号
if ((MA1_array[count] > MA2_array[count]) && openingOn && tradingOn)
{
//设置signal信号，设置时间等参数
MinuteSignal openSignal = new MinuteSignal()
{
code = stockCode,
volume = myAccount.freeCash / MA1_array[count] * 0.9,
time = minuteData[0].time,
tradingVarieties = "stock",
price = MA1_array[count],
minuteIndex = 0
};
openingOn = false;
closingOn = true;
volumeNow = myAccount.freeCash / MA1_array[count] * 0.9;
signal.Add(stockCode, openSignal);
//开仓下单
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: minuteData[0].time, capitalVerification: false);
signal.Clear();
}
////下穿卖出信号，当存量volumeNow大于0时做卖出操作
if ((MA1_array[count] < MA2_array[count]) && closingOn && tradingOn && (volumeNow > 0))
{
//设置signal信号，设置时间等参数
MinuteSignal closeSignal = new MinuteSignal()
{
code = stockCode,
volume = 0 - volumeNow,
time = minuteData[0].time,
tradingVarieties = "stock",
price = MA1_array[count],
minuteIndex = 0
};
openingOn = true;
closingOn = false;
volumeNow = 0;
signal.Add(stockCode, closeSignal);
//平仓下单
MinuteTransactionWithSlip.computeMinuteClosePositions(signal, dataToday, ref positions,
ref myAccount, slipPoint: slipPoint, now: minuteData[0].time);
signal.Clear();
}
//将交易记录记录到历史
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
tempAccount.initialAssets = myAccount.initialAssets;
accountHistory.Add(tempAccount);
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, minuteData[0].time, dataToday);
}
//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: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
//var positionStatus = OptionRecordUtil.Transfer(positions);
//RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", 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: "EMA7_EMA50", 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();
//初始化净值曲线类
PLChart plc = new PLChart(line, datestr);
Application.Run(plc);
plc.SaveZed("D:\\BTP\\Result\\BackTestingPlatform.Strategies.Stock.StockSample.MABreak\\aa.png");
return(0);
}
/// <summary>
/// 50ETF择时策略测试，N-Days Reversion
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//记录benchmark数据
List <double> benchmark = new List <double>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//50etf分钟数据准备，取全回测期的数据存放于data
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
foreach (var tempDay in tradeDays)
{
var ETFData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tempDay);
if (!data.ContainsKey(targetVariety))
{
data.Add(targetVariety, ETFData.Cast <KLine>().ToList());
}
else
{
data[targetVariety].AddRange(ETFData.Cast <KLine>().ToList());
}
}
//频率转换测试
//List<KLine> data_5min = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Minutely", 3);
//List<KLine> data_1Day = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Daily", 1);
//List<KLine> data_1Month = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Monthly", 1);
// List<KLine> data_1Week = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Weekly", 1);
//计算需要指标
//（1）回看长度内的高低极值点（值）
//（2）各级别高低拐点的位置（值）
List <double> upReversionPoint = new List <double>();
List <double> downReversionPoint = new List <double>();
upReversionPoint = ComputeReversionPoint.findUpReversionPoint(data[targetVariety], NDays, lengthOfBackLooking);
downReversionPoint = ComputeReversionPoint.findDownReversionPoint(data[targetVariety], NDays, lengthOfBackLooking);
int indexOfNow = -1;//记录整个data的索引
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//取出当天的数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
dataToday.Add(variety.Key, data[variety.Key].FindAll(s => s.time.Year == day.Year && s.time.Month == day.Month && s.time.Day == day.Day));
}
int index = 0;
//交易开关设置，控制day级的交易开关
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = true; //平仓开关
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
while (index < 240)
{
int nextIndex = index + 1;
indexOfNow++;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
DateTime next = new DateTime();
//int indexOfNow = data[targetVariety].FindIndex(s => s.time == now);
myAccount.time = now;
double nowClose = dataToday[targetVariety][index].close;
double nowUpReversionPoint = upReversionPoint[indexOfNow];
double nowDownReversionPoint = downReversionPoint[indexOfNow];
//实际操作从第一个回望期后开始
if (indexOfNow < lengthOfBackLooking - 1)
{
index = nextIndex;
continue;
}
try
{
//持仓查询，先平后开
//若当前有持仓 且 允许平仓
//是否是空仓,若position中所有品种volum都为0，则说明是空仓
bool isEmptyPosition = positions.Count != 0 ? positions[positions.Keys.Last()].Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
//若当前有持仓且允许交易
if (!isEmptyPosition && closingOn)
{
///平仓条件
/// （1）若当前为 回测结束日 或 tradingOn 为false，平仓
/// （2）若当前下穿下反转点*（1-容忍度），平多
//（1）若当前为 回测结束日 或 tradingOn 为false，平仓
if (isLastDayOfBackTesting || tradingOn == false)
{
next = MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
}
//（2）若当前下穿下反转点*（1-容忍度），平多
else if (data[targetVariety][indexOfNow - 1].close >= nowDownReversionPoint * (1 - toleranceDegree) && nowClose < nowDownReversionPoint * (1 - toleranceDegree))
{
next = MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
}
}
//空仓 且可交易 可开仓
else if (isEmptyPosition && tradingOn && openingOn)
{
///开仓条件
/// 可用资金足够，且出现上反转信号
double nowFreeCash = myAccount.freeCash;
//开仓量，满仓梭哈
double openVolume = Math.Truncate(nowFreeCash / data[targetVariety][indexOfNow].close / contractTimes) * contractTimes;
//若剩余资金至少购买一手 且 出上反转信号 开仓
if (openVolume >= 1 && data[targetVariety][indexOfNow - 1].close <= nowUpReversionPoint * (1 + toleranceDegree) && nowClose > nowUpReversionPoint * (1 + toleranceDegree))
{
MinuteSignal openSignal = new MinuteSignal()
{
code = targetVariety, volume = openVolume, time = now, tradingVarieties = "stock", price = dataToday[targetVariety][index].close, minuteIndex = index
};
signal.Add(targetVariety, openSignal);
next = MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
//当天买入不可卖出
closingOn = false;
}
}
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, now, dataToday);
}
catch (Exception)
{
throw;
}
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
//抓取benchmark
benchmark.Add(dataToday[targetVariety].Last().close);
//显示当前信息
Console.WriteLine("Time:{0,-8:F},netWorth:{1,-8:F3}", day, myAccount.totalAssets / initialCapital);
}
//遍历输出到console
/*
* foreach (var account in accountHistory)
* Console.WriteLine("time:{0,-8:F}, netWorth:{1,-8:F3}\n", account.time, account.totalAssets / initialCapital);
*/
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,-3:F} \n totalReturn:{1,-3:F} \n anualReturn:{2,-3:F} \n anualSharpe :{3,-3:F} \n winningRate:{4,-3:F} \n PnLRatio:{5,-3:F} \n maxDrawDown:{6,-3:F} \n maxProfitRatio:{7,-3:F} \n informationRatio:{8,-3:F} \n alpha:{9,-3:F} \n beta:{10,-3:F} \n averageHoldingRate:{11,-3:F} \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");
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
/*
* //将accountHistory输出到csv
* var resultPath = ConfigurationManager.AppSettings["CacheData.ResultPath"] + "accountHistory.csv";
* var dt = DataTableUtils.ToDataTable(accountHistory); // List<MyModel> -> DataTable
* CsvFileUtils.WriteToCsvFile(resultPath, dt); // DataTable -> CSV File
*/
Console.ReadKey();
}
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>();
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;
StraddlePair holdingStatus = new StraddlePair();
//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.callCodeFront)
{
holdingStatus.strike = item.strike;
holdingStatus.callPositionFront *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPositionFront *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.callPositionNext *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPositionNext *= 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;
//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 durationFront = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
double durationNext = dateStructure[0] <= 3 ? dateStructure[2] : dateStructure[1];
StraddlePairCode myPair = getStraddlePairCode(optionInfoList, durationFront, durationNext, etfPrice, today);
var callATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeFront);
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
var putATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeFront);
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
var callATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeNext);
var callPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATMNext.optionCode, today);
var putATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeNext);
var putPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATMNext.optionCode, today);
//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());
dataToday.Add(callATMNext.optionCode, callPriceNext.Cast <KLine>().ToList());
dataToday.Add(putATMNext.optionCode, putPriceNext.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.callPositionFront != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false)
{
var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today);
dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false)
{
var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today);
dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false)
{
var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today);
dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false)
{
var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today);
dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.Cast <KLine>().ToList());
}
if (holdingStatus.callPositionFront * 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 StraddlePair();
}
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 StraddlePair();
}
}
//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.callPositionFront == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCallFront = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutFront = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalCallNext = new MinuteSignal()
{
code = callATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutNext = new MinuteSignal()
{
code = putATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCallFront);
signal.Add(putATM.optionCode, openSignalPutFront);
signal.Add(callATMNext.optionCode, openSignalCallNext);
signal.Add(putATMNext.optionCode, openSignalPutNext);
//变更持仓状态
holdingStatus = new StraddlePair {
callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = optionVolume, putPositionFront = optionVolume, callPositionNext = -optionVolume, putPositionNext = -optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = callPrice[openIndex].open + putPrice[openIndex].open - callPriceNext[openIndex].open - putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate
};
}
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
};
MinuteSignal openSignalCallNext = new MinuteSignal()
{
code = callATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutNext = new MinuteSignal()
{
code = putATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
signal.Add(callATMNext.optionCode, openSignalCallNext);
signal.Add(putATMNext.optionCode, openSignalPutNext);
//变更持仓状态
holdingStatus = new StraddlePair {
callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = -optionVolume, putPositionFront = -optionVolume, callPositionNext = optionVolume, putPositionNext = optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = -callPrice[openIndex].open - putPrice[openIndex].open + callPriceNext[openIndex].open + putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate
};
}
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.callPositionFront != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false)
{
var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today);
dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false)
{
var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today);
dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false)
{
var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today);
dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false)
{
var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today);
dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.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);
//holdingStatus.etfPosition += etfChangeVolume;
// AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, thisTime, data: dataToday, nowIndex: thisIndex);
//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.callPositionFront != 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.callPositionFront, dataToday[holdingStatus.callCodeFront][thisIndex].close, dataToday[holdingStatus.putCodeFront][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));
}
