public void compute()
{
///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());
}
}
///指标计算
var closePrice = data[targetVariety].Select(x => x.close).ToArray();
/*
* Stopwatch stopwatch = new Stopwatch();
* stopwatch.Start(); // 开始监视代码运行时间
* //-----------------------------------------
* TicTacTec.TA.Library.Core.RetCode retCode = new TicTacTec.TA.Library.Core.RetCode();
* retCode = TicTacTec.TA.Library.Core.RetCode.InternalError;
*
* int outBegIdx = -1;
* int outNbElement = -1;
* int lookback = -1;
* double[] output = new double[closePrice.Length];
* lookback = TicTacTec.TA.Library.Core.MovingAverageLookback(periods, TicTacTec.TA.Library.Core.MAType.Sma);
* retCode = TicTacTec.TA.Library.Core.MovingAverage(0, closePrice.Length - 1, closePrice, lookback + 1, TicTacTec.TA.Library.Core.MAType.Sma, out outBegIdx, out outNbElement, output);
* //-----------------------------------------
* stopwatch.Stop(); // 停止监视
* TimeSpan timespan = stopwatch.Elapsed; // 获取当前实例测量得出的总时间
* Console.WriteLine("Calc MA Running Time: {0}", timespan.TotalSeconds);
*/
Stopwatch stopwatch2 = new Stopwatch();
stopwatch2.Start(); // 开始监视代码运行时间
var MAValue = TA_MA.SMA(closePrice, periods);
stopwatch2.Stop(); // 停止监视
TimeSpan timespan2 = stopwatch2.Elapsed; // 获取当前实例测量得出的总时间
Console.WriteLine("Calc MA2 Running Time: {0}", timespan2.TotalSeconds);
Console.ReadKey();
}
public void compute()
{
///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());
}
}
var tick = Platforms.container.Resolve <StockTickRepository>().fetchFromMssql(targetVariety, Kit.ToDate(20160905));
List <StockTickFromMssql> tick2 = SequentialUtils.ResampleAndAlign(tick, Constants.timeline500ms, Kit.ToDate(20160905));
///指标计算
var closePrice = tick2.Select(x => x.bid[1].price).ToArray();
Stopwatch stopwatch2 = new Stopwatch();
stopwatch2.Start(); // 开始监视代码运行时间
var MAValue = TA_MA.SMA(closePrice, periods);
stopwatch2.Stop(); // 停止监视
TimeSpan timespan2 = stopwatch2.Elapsed; // 获取当前实例测量得出的总时间
Console.WriteLine("Calc MA2 Running Time: {0}", timespan2.TotalSeconds);
Console.ReadKey();
}
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));
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//初始化持仓信息
StranglePair holdPair = new StranglePair();
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//可以变动的策略参数
int length = 40;
double range = 0.04;
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
var closePrice = dailyData.Select(x => x.close).ToArray();
var ETFMA = TA_MA.SMA(closePrice, length);
//获取中国波指的数据
List <StockDaily> iVix = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("000188.SH", startDate, endDate);
//按交易日回测
for (int day = 0; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
double MAyesterday = ETFMA[day + number - 1];
double lastETFPrice = dailyData[number + day - 1].close;
var today = tradeDays[day];
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//初始化信号的数据结构
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获取今日日内50ETF数据
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
//初始化行情信息，将50ETF的价格放入dataToday
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
//记录今日账户信息
myAccount.time = today;
//获取今日期权的到期日期
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
//选定到日期在40个交易日至60个交易日的合约
double duration = 0;
//for (int i = 0; i < dateStructure.Count(); i++)
//{
// if (dateStructure[i] >= 40 && dateStructure[i] <= 80)
// {
// duration = dateStructure[i];
// break;
// }
//}
duration = dateStructure[1];
//如果没有持仓就开仓
if (holdPair.endDate == new DateTime())
{
if (duration == 0)
{
continue;
}
//按照开盘1分钟的价格来开平仓。
int index = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
double etfPriceNow = etfData[index].open;
if (etfPriceNow > MAyesterday * (1 + range))//看涨，卖出虚值的put
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo put = list[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = "", putCode = put.optionCode, callPosition = 0, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = 0, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else if (etfPriceNow < MAyesterday * (1 - range))//看跌，卖出虚值的call
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo call = list[0];
if (call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = "", callPosition = -call.contractMultiplier, putPosition = 0, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = 0
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else//不涨不跌，卖出宽跨式期权
{
var putList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
var callList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (putList.Count == 0 || callList.Count == 0)
{
continue;
}
OptionInfo call = callList[0];
OptionInfo put = putList[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today) && call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = put.optionCode, callPosition = -call.contractMultiplier, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
}
else //如果有持仓就判断需不需要移仓
{
double durationNow = DateUtils.GetSpanOfTradeDays(today, holdPair.endDate);
int index = 234;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
if (holdPair.callPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.callCode, -holdPair.callPosition, today, now, index);
}
if (holdPair.putPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.putCode, -holdPair.putPosition, today, now, index);
}
if (durationNow <= 10) //强制平仓
{
//按照收盘前5分钟的价格来开平仓。
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
holdPair = new StranglePair();
}
}
if (etfData.Count > 0)
{
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, etfData.Last().time, etfData.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(etfData.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = etfData.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
}
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
// ivix数据
double[] iVixClose = iVix.Select(x => x.close / iVix[0].close).ToArray();
//line.Add("iVix", iVixClose);
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
//maoheng 画图
//Application.Run(new PLChart(line, datestr));
//cuixun 画图
//绘制图形的标题
string formTitle = this.startDate.ToShortDateString() + "--" + this.endDate.ToShortDateString() + " " + this.targetVariety + " 净值曲线"
+ "\r\n" + "\r\n" + "净利润：" + myStgStats.netProfit + " " + "夏普率：" + myStgStats.anualSharpe + " " + "最大回撤：" + myStgStats.maxDrawDown
+ "\r\n" + "\r\n";
//生成图像
PLChart plc = new PLChart(line, datestr, formTitle: formTitle);
//运行图像
//Application.Run(plc);
plc.LoadForm();
//保存图像
plc.SaveZed(GetType().FullName, this.targetVariety, this.startDate, this.endDate, myStgStats.netProfit.ToString(), myStgStats.anualSharpe.ToString(), myStgStats.maxDrawDown.ToString());
}
/// <summary>
/// 50ETF，Tick级双均线策略
/// </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>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
Dictionary <string, List <TickFromMssql> > data = new Dictionary <string, List <TickFromMssql> >();
foreach (var tempDay in tradeDays)
{
var tick = Platforms.container.Resolve <FuturesTickRepository>().fetchFromMssql(targetVariety, tempDay);
List <FuturesTickFromMssql> tick2 = SequentialUtils.ResampleAndAlign(tick, Constants.timeline500ms, tempDay);
if (!data.ContainsKey(targetVariety))
{
data.Add(targetVariety, tick2.Cast <TickFromMssql>().ToList());
}
else
{
data[targetVariety].AddRange(tick2.Cast <TickFromMssql>().ToList());
}
}
//计算需要指标
//（1）回测期长均线
//（2）回测期短均线
List <double> longMA = new List <double>();
List <double> shortMA = new List <double>();
List <double> benchmark = new List <double>();
var lastPrice = data[targetVariety].Select(x => x.lastPrice).ToArray();
longMA = TA_MA.SMA(lastPrice, longLength).ToList();
shortMA = TA_MA.SMA(lastPrice, shortLength).ToList();
// double[] dif = new double[lastPrice.Length];
// double[] dea = new double[lastPrice.Length];
// double[] macdHist = new double[lastPrice.Length];
// TA_MACD.compute(lastPrice, new int[] { 26, 12, 9 }, out dif, out dea, out macdHist);
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 <TickFromMssql> > dataToday = new Dictionary <string, List <TickFromMssql> >();
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 dayLength = dataToday[targetVariety].Count;
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 Tick
while (index < dayLength)
{
int nextIndex = index + 1;
indexOfNow++;
DateTime now = TimeListUtility.IndexToTickDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, TickSignal> signal = new Dictionary <string, TickSignal>();
DateTime next = new DateTime();
// int indexOfNow = data[targetVariety].FindIndex(s => s.time == now);
double nowPrice = dataToday[targetVariety][index].lastPrice;
myAccount.time = now;
//实际操作从第一个回望期后开始
if (indexOfNow < longLength - 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）若短均线下穿长均线，平多
//（1）若当前为 回测结束日 或 tradingOn 为false，平仓
if (isLastDayOfBackTesting || tradingOn == false)
{
next = TickCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
break;
}
//（2）若短均线下穿长均线，平多
else if (Cross.crossDown(shortMA, longMA, indexOfNow))
{
next = TickCloseAllPositonsWithSlip.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，且短均线上传长均线
double nowFreeCash = myAccount.freeCash;
//开仓量，满仓梭哈
double openVolume = Math.Truncate(nowFreeCash / data[targetVariety][indexOfNow].lastPrice / 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 && Cross.crossUp(shortMA, longMA, indexOfNow))
{
TickSignal openSignal = new TickSignal()
{
code = targetVariety, volume = openVolume, time = now, tradingVarieties = "stock", price = dataToday[targetVariety][index].lastPrice, tickIndex = index
};
signal.Add(targetVariety, openSignal);
next = TickTransactionWithSlip.computeTickOpenPositions(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
AccountUpdatingForTick.computeAccountUpdating(ref myAccount, positions, now, dataToday);
}
catch (Exception)
{
throw;
}
nextIndex = Math.Max(nextIndex, TimeListUtility.TickToIndex(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().lastPrice);
//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);
*/
//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
*/
//统计指标在console 上输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
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));
Console.ReadKey();
}
