void OnExport(DataGrid dataGrid1)
{
SaveFileDialog saveFileDialog = new SaveFileDialog();
saveFileDialog.Filter = "CSV（*.csv）|*.csv";
saveFileDialog.FilterIndex = 1;
saveFileDialog.RestoreDirectory = true;
var result = saveFileDialog.ShowDialog(BootStrapService.Default.Shell.GetWindow());
if (result.HasValue && result.Value)
{
var content = TradeRecords.GetCsvContent();
var file = saveFileDialog.FileName;
using (Stream stream = File.OpenWrite(file))
{
using (var writer = new StreamWriter(stream, System.Text.Encoding.Unicode))
{
var data = content.Replace(",", "\t");
writer.Write(data);
writer.Close();
}
stream.Close();
}
ShowMessage(LanguageService.Default.GetLanguageValue(MessageKeys.Export_Sucesses));
}
}
protected override void OnLoaded()
{
base.OnLoaded();
AmountMonitor.Default.MonitorCallBack += walletAmountData =>
{
Application.Current.Dispatcher.Invoke(() =>
{
CanUseMoney = walletAmountData.CanUseAmount;
WaitMoney = walletAmountData.WaitAmount;
TotalMoney = walletAmountData.TotalAmount;
});
};
TradeRecodesMonitor.Default.MonitorCallBack += tradeRecords =>
{
Application.Current.Dispatcher.Invoke(() =>
{
if (tradeRecords.Count <= 5)
{
TradeRecords = tradeRecords;
}
else
{
TradeRecords.Clear();
tradeRecords.Take(5).ToList().ForEach(x => TradeRecords.Add(x));
}
});
};
}
/// <summary>
/// 根据个股S点卖出
/// </summary>
/// <param name="bouts"></param>
/// <param name="ds"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public void DoSell1(TradeRecords tradeRecords, TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
TimeSeries <ITimeSeriesItem <char> > dayTradePt = ds.CubePtCreateOrLoad();
if (dayTradePt == null)
{
return;
}
if (tradeRecords == null || tradeRecords.Bouts == null || tradeRecords.Bouts.Count <= 0)
{
return;
}
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
return;
}
foreach (TradeBout bout in tradeRecords.Bouts)
{
DateTime buyDate = bout.BuyInfo.TradeDate;
KeyValuePair <int, ITimeSeriesItem> dayTradePtItem = dayTradePt.GetNearest(buyDate, false);
if (dayTradePtItem.Key < 0)
{
continue;
}
if (dayTradePtItem.Value == null)
{
continue;
}
int index = dayTradePt.IndexOf(dayTradePtItem.Value.Date);
for (int k = index; k < dayTradePt.Count; k++)
{
if (dayTradePt[k].Value == 'S')
{
KLineItem dayLineItem = dayLine[dayTradePt[k].Date];
if (dayLineItem == null)
{
break;
}
bout.RecordTrade(2, dayLineItem.Date, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, 0, 0, "发S点");
break;
}
}
}
}
void OnScrollChanged(bool isdd)
{
StaticViewModel.GlobalViewModel.IsLoading = true;
Task task = new Task(() =>
{
var filterData = GetFilterCondition();
var tradeRecordsResult = OmniCoinService.Default.ListFilterTrans(filterData, TradeRecords.Count, true, 20);
if (!tradeRecordsResult.IsFail)
{
Application.Current.Dispatcher.Invoke(() =>
{
tradeRecordsResult.Value.ToList().ForEach(x => TradeRecords.Add(x));
});
}
});
task.ContinueWith(t => {
StaticViewModel.GlobalViewModel.IsLoading = false;
});
task.Start();
}
void RefreshRecords(bool showLoading = true)
{
refreshTimer.Stop();
var count = TradeRecords.Count;
if (count < 20)
{
count = 20;
}
if (showLoading)
{
StaticViewModel.GlobalViewModel.IsLoading = true;
}
Task task = new Task(() =>
{
var filterData = GetFilterCondition();
var tradeRecordsResult = OmniCoinService.Default.ListFilterTrans(filterData, 0, true, count);
if (!tradeRecordsResult.IsFail)
{
Application.Current.Dispatcher.Invoke(() =>
{
TradeRecords.Clear();
tradeRecordsResult.Value.ToList().ForEach(x => TradeRecords.Add(x));
});
}
});
task.ContinueWith(t =>
{
if (showLoading)
{
StaticViewModel.GlobalViewModel.IsLoading = false;
}
_timerCount = 10;
refreshTimer.Start();
});
task.Start();
}
/// <summary>
/// 根据个股主力线高位卖出
/// </summary>
/// <param name="bouts"></param>
/// <param name="ds"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public void DoSell2(TradeRecords tradeRecords, TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
if (tradeRecords == null || tradeRecords.Bouts == null || tradeRecords.Bouts.Count <= 0)
{
return;
}
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
return;
}
foreach (TradeBout bout in tradeRecords.Bouts)
{
DateTime buyDate = bout.BuyInfo.TradeDate;
//找20个工作日的收盘价最高值
KLineItem klineItem = dayLine.GetNearest(buyDate, false);
if (klineItem == null)
{
continue;
}
int index = dayLine.IndexOf(klineItem);
DateTime sellDate = buyDate;
double sellPrice = 0;
for (int i = index + 1; i < Math.Min(index + 41, dayLine.Count); i++)
{
if (dayLine[i].CLOSE > sellPrice)
{
sellPrice = dayLine[i].CLOSE;
sellDate = dayLine[i].Date;
}
}
bout.RecordTrade(2, sellDate, TradeDirection.Sell, sellPrice, bout.BuyInfo.Amount, 0, 0, "");
}
}
public virtual void DoSell(TradeRecords tradeRecords, TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
DoSell1(tradeRecords, ds, strategyParam, backtestParam);
}
public override TradeRecords DoBuy(TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weekCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
if (dayFunds == null || dayFunds.Count <= 0 || weekFunds == null || weekFunds.Count <= 0 || dayCross == null || dayCross.Count <= 0 || weekCross == null || weekCross.Count <= 0)
{
return(null);
}
TradeRecords tr = new TradeRecords(ds.Code);
DateTime begin = backtestParam.BeginDate;
DateTime end = backtestParam.EndDate;
double p_day_low = strategyParam.Get <double>("day_low");
double p_day_bias = strategyParam.Get <double>("day_bias");
double p_week_low = strategyParam.Get <double>("week_low");
double p_week_bias = strategyParam.Get <double>("week_bias");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <Object>("getinMode");
for (int i = 0; i < dayFunds.Count; i++)
{
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[i];
if (dayFundItem == null)
{
continue;
}
if (dayFundItem.Date < begin || dayFundItem.Date >= end)
{
continue;
}
if ((dayFundItem.Value[0] - dayFundItem.Value[1]) < p_day_bias)
{
continue;
}
DateTime td = CalendarUtils.GetWeek(dayFundItem.Date, DayOfWeek.Friday);
ITimeSeriesItem <List <double> > weekFundItem = weekFunds[td];
if (weekFundItem == null)
{
continue;
}
if ((weekFundItem.Value[0] - weekFundItem.Value[1]) < p_week_bias)
{
continue;
}
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
continue;
}
KLineItem dayLineItem = dayLine[dayFundItem.Date];
if (dayLineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(ds.Code);
bout.RecordTrade(1, dayFundItem.Date, TradeDirection.Buy, dayLineItem.CLOSE, (int)(p_getinMode.Value / dayLineItem.CLOSE), 0, 0, Name);
tr.Bouts.Add(bout);
}
return(tr);
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
public override TradeRecords Execute(String code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//取得策略参数
double buy_mainlow = strategyParam.Get <double>("buy_mainlow"); //主力线低位买入
int buy_cross = strategyParam.Get <int>("buy_cross");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
//取得行情数据
TradeRecords tr = new TradeRecords(code);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
MACD macd = (MACD)ds.Create("macd", TimeUnit.day, false);
if (macd == null)
{
return(null);
}
//买入条件判定
for (int i = 0; i < macd.Count; i++)
{
MACDItem macdItem = macd[i];
if (macdItem.Date < backtestParam.BeginDate || macdItem.Date >= backtestParam.EndDate)
{
continue;
}
if (macdItem.CROSS <= 0)
{
continue;
}
if (macdItem.DIF > buy_mainlow)
{
continue;
}
DateTime d = macdItem.Date;
KLineItem klineItem = kline[d];
if (klineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(code);
bout.RecordTrade(1, d, TradeDirection.Buy, klineItem.CLOSE, (int)(p_getinMode.Value / klineItem.CLOSE), backtestParam.Volumecommission, backtestParam.Stampduty, "低位金叉" + macdItem.DIF.ToString("F2"));
tr.Bouts.Add(bout);
}
return(tr);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
//取得策略参数
double buy_mainlow = strategyParam.Get <double>("buy_mainlow"); //主力线低位买入
int buy_cross = strategyParam.Get <int>("buy_cross");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
TradeRecords tr = new TradeRecords(code);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
TimeSeries <ITimeSeriesItem <double> > dayFundsCross = ds.DayFundTrendCross;
if (buy_cross == 0 && dayFunds == null)
{
return(null);
}
else if (buy_cross == 1 && (dayFundsCross == null || dayFunds == null))
{
return(null);
}
#region 判断主力线低位决定买入点
if (buy_cross == 0)
{
for (int i = 0; i < dayFunds.Count; i++)
{
if (dayFunds[i].Date.Date <backtestParam.BeginDate || dayFunds[i].Date.Date> backtestParam.EndDate)
{
continue;
}
if (double.IsNaN(dayFunds[i].Value[0]))
{
continue;
}
if (dayFunds[i].Value[0] > buy_mainlow)
{
continue;
}
//主力线开始低于buy_mainlow...
i += 1;
while (i < dayFunds.Count)
{
if (dayFunds[i].Value[0] <= buy_mainlow)
{
i += 1;
continue;
}
//主力线出了buy_mainlow
KLineItem klineItem = kline[dayFunds[i].Date];
if (klineItem == null)
{
break;
}
int tIndex = kline.IndexOf(klineItem);
if (tIndex >= kline.Count - 1)
{
break;
}
KLineItem klineItemNext = kline[tIndex + 1];
TradeBout bout = new TradeBout(code);
double price = klineItem.CLOSE;
if (price > klineItemNext.HIGH || price < klineItemNext.LOW)
{
break;
}
bout.RecordTrade(1, dayFunds[i].Date.Date, TradeDirection.Buy, price, (int)(p_getinMode.Value / price), backtestParam.Volumecommission, backtestParam.Stampduty, "主力线低于" + buy_mainlow.ToString("F2"));
tr.Bouts.Add(bout);
break;
}
}
}
#endregion
#region 判断金叉决定买入点
else if (buy_cross == 1)
{
for (int i = 0; i < dayFundsCross.Count; i++)
{
if (dayFundsCross[i].Date.Date <backtestParam.BeginDate || dayFundsCross[i].Date.Date> backtestParam.EndDate)
{
continue;
}
if (dayFundsCross[i].Value <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[dayFundsCross[i].Date];
if (dayFundItem == null)
{
continue;
}
if (buy_mainlow != 0 && dayFundItem.Value[0] >= buy_mainlow)
{
continue;
}
KLineItem klineItem = kline[dayFundItem.Date];
if (klineItem == null)
{
continue;
}
int tIndex = kline.IndexOf(klineItem);
if (tIndex >= kline.Count - 1)
{
continue;
}
KLineItem klineItemNext = kline[tIndex + 1];
TradeBout bout = new TradeBout(code);
double price = klineItem.CLOSE;
if (price > klineItemNext.HIGH || price < klineItemNext.LOW)
{
continue;
}
bout.RecordTrade(1, dayFunds[i].Date.Date, TradeDirection.Buy, price, (int)(p_getinMode.Value / price), backtestParam.Volumecommission, backtestParam.Stampduty, "主力线低于" + buy_mainlow.ToString("F2"));
tr.Bouts.Add(bout);
}
}
#endregion
return(tr);
}
/// <summary>
/// 执行卖出操作
/// </summary>
/// <param name="tradeRecord"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public override void Execute(TradeRecords tradeRecord, Properties strategyParam, BacktestParameter backtestParam)
{
//初始化行情库
if (tradeRecord == null)
{
return;
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return;
}
//取得策略参数
int p_maxday = strategyParam.Get <int>("maxholddays");
//遍历每一个买入回合
String code = tradeRecord.Code;
List <TradeBout> bouts = tradeRecord.Bouts;
for (int i = 0; i < bouts.Count; i++)
{
TradeBout bout = bouts[i];
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
continue;
}
if (bout.Completed)
{
continue; //跳过已完成的
}
KLine kline = ds.DayKLine;
if (kline == null)
{
continue;
}
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
//寻找p_maxday天内最大收益那天
KLineItem maxProfileItem = null;
for (int index = bIndex + 1; index <= bIndex + 1 + p_maxday; index++)
{
if (index >= kline.Count)
{
break;
}
KLineItem item = kline[index];
if (item.CLOSE > (maxProfileItem == null?0: maxProfileItem.CLOSE))
{
maxProfileItem = item;
}
}
if (maxProfileItem == null)
{
continue;
}
bout.RecordTrade(2, maxProfileItem.Date, TradeDirection.Sell, maxProfileItem.CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, "");
}
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <char> > ts = ds.DayTradeLine.buysellPoints;
if (ts == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > fundTrends = ds.DayFundTrend;
KLine kline = ds.DayKLine;
TradeRecords tr = new TradeRecords(code);
GetInMode getin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
int diffdays = strategyParam.Get <int>("diffdays");
for (int i = 0; i < ts.Count; i++)
{
if (ts[i].Date.Date < backtestParam.BeginDate)
{
continue;
}
if (ts[i].Date.Date >= backtestParam.EndDate)
{
continue;
}
if (ts[i].Value == 'S')
{
continue;
}
TradeBout bout = new TradeBout(code);
//主力线大于散户线，且连续diffdays天与散户线拉大距离
if (diffdays > 0 && fundTrends != null)
{
int fi = fundTrends.IndexOf(ts[i].Date);
if (fi < 0 || fi < diffdays - 1)
{
continue;
}
ITimeSeriesItem <List <double> > ftItem = fundTrends[fi];
if (ftItem.Value[0] >= 30)
{
continue;
}
double diff = ftItem.Value[0] - ftItem.Value[1];
if (diff <= 0)
{
continue;
}
bool continuekuoda = true;
for (int t = 1; t < diffdays; t++)
{
ftItem = fundTrends[fi - i];
double tDiff = ftItem.Value[0] - ftItem.Value[1];
if (diff < tDiff)
{
continuekuoda = false;
break;
}
diff = tDiff;
}
if (!continuekuoda)
{
continue;
}
}
KLineItem item = kline[ts[i].Date];
bout.RecordTrade(1, ts[i].Date, TradeDirection.Buy, item.CLOSE, (int)(getin.Value / item.CLOSE), backtestParam.Volumecommission, backtestParam.Stampduty, "B");
tr.Bouts.Add(bout);
}
return(tr);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
//获取行情数据
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
DateTime beginDate = backtestParam.BeginDate;
DateTime endDate = backtestParam.EndDate;
int bIndex = kline.IndexOf(beginDate, false);
if (bIndex < 0)
{
return(null);
}
//获取参数
int maxholddays = strategyParam.Get <int>("maxholddays");
double maxprofilt = strategyParam.Get <double>("maxprofilt");
//遍历K线
List <Object[]> listEarn = new List <object[]>();
List <Object[]> listLoss = new List <object[]>();
TradeRecords tr = new TradeRecords();
for (int index = bIndex; index < kline.Count; index++)
{
KLineItem item = kline[index];
if (item.Date >= endDate)
{
break;
}
double buyPrice = item.CLOSE;
double maxProfiltEffenicePerStock = double.MinValue + 1;
double maxLossEffenicePerStock = double.MaxValue - 1;
int maxProfiltHoldDays = 0;
int maxLossHoldDays = 0;
KLineItem sellEarnItem = null;
KLineItem sellLossItem = null;
for (int i = 1; i < maxholddays; i++)
{
if (index + i >= kline.Count)
{
break;
}
KLineItem item2 = kline[index + i];
if ((item2.Date - item.Date).TotalDays > maxholddays)
{
break;
}
double eraningRates = (item2.CLOSE - buyPrice) / buyPrice;
if (eraningRates > 0 && eraningRates >= maxprofilt && maxProfiltEffenicePerStock < eraningRates)
{
maxProfiltEffenicePerStock = eraningRates / i;
maxProfiltHoldDays = i;
sellEarnItem = item2;
}
if (eraningRates < 0 && maxLossEffenicePerStock > eraningRates)
{
maxLossEffenicePerStock = eraningRates;
maxLossHoldDays = i;
sellLossItem = item2;
}
}
if (maxProfiltHoldDays > 0)
{
Object[] objs = new Object[] { item, sellEarnItem, maxProfiltEffenicePerStock, (sellEarnItem.CLOSE - buyPrice) / buyPrice };
listEarn.Add(objs);
index = kline.IndexOf(sellEarnItem);
}
if (maxLossHoldDays > 0)
{
Object[] objs = new Object[] { item, sellLossItem, maxLossEffenicePerStock, (sellLossItem.CLOSE - buyPrice) / buyPrice };
listLoss.Add(objs);
}
}
if (listEarn.Count <= 0)
{
return(null);
}
Comparison <Object[]> comparsionEran = (x, y) =>
{
return((int)((double)y[2] - (double)x[2]));
};
listEarn.Sort(comparsionEran);
List <String> strs = new List <string>();
foreach (Object[] objs in listEarn)
{
KLineItem buyItem = (KLineItem)objs[0];
KLineItem sellItem = (KLineItem)objs[1];
String str = code + "," + ((double)objs[2]).ToString("F3") + "," + ((double)objs[3]).ToString("F3") + "," + (sellItem.Date - buyItem.Date).TotalDays.ToString() + "," +
buyItem.Date.ToString("yyyyMMdd") + "," + sellItem.Date.ToString("yyyyMMdd") + "," +
buyItem.CLOSE.ToString("F2") + "," + sellItem.CLOSE.ToString("F2");
strs.Add(str);
logger.Info(str);
}
System.IO.File.AppendAllLines(backtestParam.Resultpath + "temp.csv", strs.ToArray(), Encoding.UTF8);
return(null);
}
/// <summary>
/// 装载数据
/// </summary>
/// <param name="code"></param>
/// <param name="path"></param>
/// <param name="resultonly"></param>
/// <param name="backtestserialno"></param>
/// <returns></returns>
public static StrategyDataSet CreateOrLoad(String code, String datapath, String resultpath, bool resultonly = false, String backtestserialno = "")
{
StrategyDataSet ds = new StrategyDataSet(code, datapath, resultpath);
//读取回测结果
String backtestresultfile = resultpath + code + ".backtest." + backtestserialno + ".result";
if (System.IO.File.Exists(backtestresultfile))
{
ds.tradeRecords = TradeRecords.Load(backtestresultfile);
}
if (resultonly && ds.tradeRecords.Count > 0)
{
return(ds);
}
//加载日线
ds.LoadDayKLine();
if (ds.klineDay == null || ds.klineDay.Count <= 0)
{
return(ds);
}
ds.tradeLineDay = new TradingLine();
//加载或计算买线
String tradeBuyLineDayFilename = datapath + code + ".day.itstereo.buy";
if (System.IO.File.Exists(tradeBuyLineDayFilename))
{
ds.tradeLineDay.buyLine = new TimeSeries <ITimeSeriesItem <double> >(code, TimeUnit.day);
ds.tradeLineDay.buyLine.Load(tradeBuyLineDayFilename);
}
else
{
ds.CreateBuySellLine();
}
//加载或计算卖线
String tradeSellLineDayFilename = datapath + ds.code + ".day.itstereo.sell";
if (System.IO.File.Exists(tradeSellLineDayFilename))
{
ds.tradeLineDay.sellLine = new TimeSeries <ITimeSeriesItem <double> >(code, TimeUnit.day);
}
ds.tradeLineDay.sellLine.Load(tradeSellLineDayFilename);
//加载买卖点
String buysellPointsFilename = datapath + ds.code + ".day.itstereo.pt";
if (System.IO.File.Exists(buysellPointsFilename))
{
ds.tradeLineDay.buysellPoints = new TimeSeries <ITimeSeriesItem <char> >(code, TimeUnit.day);
}
ds.tradeLineDay.buysellPoints.Load(buysellPointsFilename);
//加载资金动向线
String fundDayFilename = datapath + ds.code + ".day.ifmovement";
if (System.IO.File.Exists(fundDayFilename))
{
ds.fundDay = new TimeSeries <ITimeSeriesItem <List <double> > >(code, TimeUnit.day);
ds.fundDay.Load(fundDayFilename);
}
else
{
ds.fundDay = ds.klineDay.executeIndicator();
ds.fundDay.Save(fundDayFilename);
}
return(ds);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//创建数据集
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine klineDay = ds.DayKLine;
if (klineDay == null || klineDay.Count < 0)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null || fundDay.Count <= 0)
{
return(null);
}
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
TradeRecords tradeRecords = new TradeRecords(code);
//遍历回测中的每一天
DateTime d = backtestParam.BeginDate;
int beginIndex = klineDay.IndexOf(d, true);
if (beginIndex < 0)
{
return(tradeRecords);
}
for (int index = beginIndex; index < klineDay.Count; index++)
{
KLineItem klineItemDay = klineDay[index];
if (klineItemDay == null)
{
continue;
}
d = klineItemDay.Date;
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int fIndex = fundDay.IndexOf(fundItemDay);
//是否进入到主力线低位
if (p_mainforcelow != 0 && fundItemDay.Value[0] >= p_mainforcelow)
{
continue;
}
//是否主力线爬升离开低位
if (p_mainforcelow != 0)
{
for (fIndex = fIndex + 1; fIndex < fundDay.Count; fIndex++)
{
fundItemDay = fundDay[fIndex];
if (fundItemDay == null)
{
continue;
}
if (fundItemDay.Value[0] <= p_mainforcelow)
{
continue;
}
if (fundItemDay.Date < backtestParam.BeginDate || fundItemDay.Date > backtestParam.EndDate)//数据错误
{
return(tradeRecords);
}
d = fundItemDay.Date;
index = klineDay.IndexOf(d);
klineItemDay = klineDay[index];
break;
}
if (fIndex >= fundDay.Count)
{
return(tradeRecords);
}
}
//看主力线爬升速度
if (p_mainforceslope != 0 && fIndex > 0)
{
//爬升速度不够快
if ((fundItemDay.Value[0] - fundDay[fIndex - 1].Value[0]) < p_mainforceslope)
{
continue;
}
}
//看主力线是否持续爬升
if (p_mainforcerough > 0)
{
bool cont = true;
for (int temp = 0; temp < p_mainforcerough; temp++)
{
fIndex += temp;
if (fIndex >= fundDay.Count)
{
cont = false;
break;
}
fundItemDay = fundDay[fIndex];
if (fundItemDay.Value[0] < fundDay[fIndex - 1].Value[0])
{
cont = false;
break;
}
}
if (!cont)
{
continue;
}
d = fundItemDay.Date;
index = klineDay.IndexOf(d);
klineItemDay = klineDay[index];
}
//看是否在买点附近
TradingLine tradingLine = ds.DayTradeLine;
if (p_buypointdays >= 0 && tradingLine != null && tradingLine.buysellPoints != null && tradingLine.buysellPoints.Count > 0)
{
int bsptIndex = tradingLine.buysellPoints.IndexOf(d, true);
ITimeSeriesItem <char> bsptItemDay = bsptIndex < 0 ? null : tradingLine.buysellPoints[bsptIndex];
if (bsptItemDay != null && bsptItemDay.Value == 'S')
{
bsptItemDay = bsptIndex >= tradingLine.buysellPoints.Count - 1 ? null : tradingLine.buysellPoints[bsptIndex + 1];
}
if (bsptItemDay == null || (bsptItemDay.Date.Date - d).TotalDays > p_buypointdays)
{
continue;
}
}
//月线买点才能买入
TimeSeries <ITimeSeriesItem <char> > ptMonths = ds.CubePtCreateOrLoad(TimeUnit.month);
if (p_monthbutpt == 1 && ptMonths != null && ptMonths.Count > 0)
{
int t1 = 0;
for (; t1 < ptMonths.Count - 1; t1++)
{
if (d.Date >= ptMonths[t1].Date.Date && d.Date <= ptMonths[t1 + 1].Date.Date)
{
break;
}
}
if (t1 < ptMonths.Count - 1)
{
if (ptMonths[t1].Value != 'B')
{
continue;
}
}
}
//准备执行买入
String reason = "";
double price = klineItemDay.CLOSE;
double fund = p_fundpergetin.Value;// price * p_maxholdnum;
int amount = (int)(fund / price);
TradeBout newBout = new TradeBout(ds.Code);
newBout.RecordTrade(1, d, TradeDirection.Buy, price, amount, backtestParam.Volumecommission, 0, reason);
tradeRecords.Bouts.Add(newBout);
}
return(tradeRecords);
}
