private List <netvalueDaily> getNetValueDaily(List <StockTransaction> etf, double[] netvalue)
{
List <netvalueDaily> nv = new List <netvalueDaily>();
for (int i = 0; i < netvalue.Length; i++)
{
if (etf[i].DateTime.TimeOfDay == new TimeSpan(14, 59, 00))
{
var nvtoday = new netvalueDaily();
nvtoday.date = etf[i].DateTime.Date;
nvtoday.netvalue = netvalue[i];
nv.Add(nvtoday);
}
}
return(nv);
}
private List <double> getNetValueDaily(List <StockTransaction> etf, double[] netvalue)
{
List <double> nv = new List <double>();
List <netvalueDaily> nv2 = new List <netvalueDaily>();
for (int i = 0; i < netvalue.Length; i++)
{
if (etf[i].DateTime.TimeOfDay == new TimeSpan(14, 59, 00))
{
nv.Add(netvalue[i]);
var nvtoday = new netvalueDaily();
nvtoday.date = etf[i].DateTime.Date;
nvtoday.netvalue = netvalue[i];
nv2.Add(nvtoday);
}
}
DataTableExtension.SaveCSV(DataTableExtension.ToDataTable <netvalueDaily>(nv2), "E:\\result\\td\\netvalue.csv");
return(nv);
}
//第二类布林带的使用，当价格上穿上轨1的时候买入，当下轨下穿下轨1的时候卖出
private bool bollingerBrand2(List <StockTransaction> underlying1, List <StockTransaction> underlying2, double[] signal, int duration, List <BollingerBandwithPrice> myboll, ref List <OneByOneTransaction> data, ref List <netvalueDaily> netvalueList)
{
netvalueList = new List <netvalueDaily>();
data = new List <OneByOneTransaction>();
OneByOneTransaction transaction = new OneByOneTransaction();
double position1 = 0;
double position2 = 0;
double cash = 1;
double slipRatio = 0.003;
double nv = 1;
double trailingProfit = 0;
bool trailingStop = false;
double trailingParameter = 0.02;
netvalueDaily nvToday = new netvalueDaily();
nvToday.netvalue = nv;
nvToday.date = underlying1[0].DateTime;
bool trade = true;
int length = signal.Length;
netvalueList.Add(nvToday);
for (int i = 1; i < length; i++)
{
trade = true;
if (underlying1[i].TradeStatus != "交易" || underlying2[i].TradeStatus != "交易")
{
trade = false;
}
double underlying1AvgPrice = underlying1[i].AdjFactor * underlying1[i].Amount / underlying1[i].Volume;
double underlying2AvgPrice = underlying2[i].AdjFactor * underlying2[i].Amount / underlying2[i].Volume;
double underlying1ClosePrice = underlying1[i].AdjFactor * underlying1[i].Close;
double underlying2ClosePrice = underlying2[i].AdjFactor * underlying2[i].Close;
double pairPriceYesterday = Math.Log(underlying1[i - 1].AdjFactor * underlying1[i - 1].Close / (underlying2[i - 1].AdjFactor * underlying2[i - 1].Close));
var today = underlying1[i].DateTime;
//空仓情况,看情况开仓
if (position1 == 0 && position2 == 0 && trade == true)
{
//上穿上轨1
if (signal[i - 1] == 3)
{
cash = cash * (1 - slipRatio);
position1 = cash / 2 / underlying1AvgPrice;
position2 = -cash / 2 / underlying2AvgPrice;
transaction.openTime = today;
transaction.position = 1;
transaction.openPrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
trailingProfit = 0;
trailingStop = false;
}
//下穿上轨1
else if (signal[i - 1] == -1)
{
cash = cash * (1 - slipRatio);
position1 = -cash / 2 / underlying1AvgPrice;
position2 = cash / 2 / underlying2AvgPrice;
transaction.openTime = today;
transaction.position = -1;
transaction.openPrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
trailingProfit = 0;
trailingStop = false;
}
}
//多头情况
else if (position1 > 0 && position2 < 0 && trade == true)
{
//追踪止损
if (trailingStop == true)
{
cash += position1 * underlying1AvgPrice * (1 - slipRatio) + position2 * underlying2AvgPrice * (1 + slipRatio);
position1 = 0;
position2 = 0;
transaction.closeTime = today;
transaction.closePrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
trailingStop = false;
trailingProfit = 0;
}
}
//空头情况
else if (position1 < 0 && position2 > 0 && trade == true)
{
//追踪止损
if (trailingStop == true)
{
cash += position1 * underlying1AvgPrice * (1 + slipRatio) + position2 * underlying2AvgPrice * (1 - slipRatio);
position1 = 0;
position2 = 0;
transaction.closeTime = today;
transaction.closePrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
trailingStop = false;
trailingProfit = 0;
}
}
//计算追踪止损点位
double closePrice = Math.Log(underlying1ClosePrice / underlying2ClosePrice);
if (position1 > 0 && position2 < 0) //多头
{
if (closePrice > trailingProfit + transaction.openPrice)
{
trailingProfit = closePrice - transaction.openPrice;
}
else if (trailingProfit - (closePrice - transaction.openPrice) > trailingParameter)
{
trailingStop = true;
}
}
else if (position1 < 0 && position2 > 0) //空头
{
if (closePrice < -trailingProfit + transaction.openPrice)
{
trailingProfit = -closePrice + transaction.openPrice;
}
else if (trailingProfit - (-closePrice + transaction.openPrice) > trailingParameter)
{
trailingStop = true;
}
}
nv = cash + position1 * underlying1ClosePrice + position2 * underlying2ClosePrice;
nvToday = new netvalueDaily();
nvToday.netvalue = nv;
nvToday.date = today;
netvalueList.Add(nvToday);
}
return(true);
}
private bool ComputeDualTrust(List <DateTime> tradedays, List <StockTransaction> underlying, double[] signal, double[] range, double trailingParameter, ref List <OneByOneTransaction> data, ref List <netvalueDaily> netvalueList)
{
int lengthOfDays = tradedays.Count();
double originalCash = 10000;
double cash = originalCash;
double position = 0;
double maxProfit = 0;
bool tradable = false;
OneByOneTransaction transaction = new OneByOneTransaction();
for (int i = 0; i < lengthOfDays; i++)
{
if (range[i] < 10)
{
continue;
}
int j = 0;
int index = 0;
StockTransaction dataNow = new StockTransaction();
double avgPrice = 0;
for (j = 0; j < minutes - 5; j++)
{
index = i * minutes + j;
dataNow = underlying[index];
if (dataNow.Volume > 0)
{
tradable = true;
}
else
{
tradable = false;
continue;
}
avgPrice = dataNow.Amount / dataNow.Volume / multiplicator;
if (position == 0) //开仓
{
if (signal[index] == 1) //开多头
{
position = 1;
cash = cash - avgPrice - avgPrice * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = 1;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
if (signal[index] == -1) //开空头
{
position = -1;
cash = cash + avgPrice - avgPrice * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = -1;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
}
else
{
if (position == 1)
{
if ((dataNow.Open / transaction.openPrice - 1) < maxProfit - trailingParameter)
{
cash = cash + avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
}
if (position == -1)
{
if ((transaction.openPrice / dataNow.Open - 1) < maxProfit - trailingParameter)
{
cash = cash - avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
}
}
if (position == 1)
{
if ((dataNow.Close / transaction.openPrice - 1) > maxProfit)
{
maxProfit = (dataNow.Close / transaction.openPrice - 1);
}
}
if (position == -1)
{
if ((transaction.openPrice / dataNow.Close - 1) > maxProfit)
{
maxProfit = (transaction.openPrice / dataNow.Close - 1);
}
}
}
//日内最后3分钟平仓
j = minutes - 3;
index = i * minutes + j;
dataNow = underlying[index];
if (dataNow.Volume > 0)
{
tradable = true;
}
else
{
tradable = false;
}
avgPrice = dataNow.Amount / dataNow.Volume / multiplicator;
if (position == 1 && tradable)
{
cash = cash + avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position == -1 && tradable)
{
cash = cash - avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
//计算每日收盘时候的净值
index = i * minutes + minutes - 1;
dataNow = underlying[index];
netvalueDaily nvToday = new netvalueDaily();
nvToday.date = dataNow.DateTime.Date;
nvToday.netvalue = cash + position * dataNow.Close;
netvalueList.Add(nvToday);
}
return(true);
}
private bool dualTrust(stockInfo stock, Dictionary <DateTime, parameterPair> parameters, ref List <netvalueDaily> nv, ref List <OneByOneTransaction> transactionData)
{
if (allStocks.ContainsKey(stock.code) == false)
{
return(false);
}
var data = allStocks[stock.code];
double cash = 10000;
double position = 0;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
OneByOneTransaction transaction = new OneByOneTransaction();
//观察期限30分钟
int duration = 30;
int minutes = 240;
foreach (var date in myTradeDays)
{
if (data.ContainsKey(date) == false || parameters.ContainsKey(date) == false)
{
return(false);
}
var stockToday = data[date];
var para = parameters[date];
double k1 = para.parameter1;
double k2 = para.parameter2;
double trailing = para.parameter3;
double maxProfit = 0;
bool tradable = true;
if (para.existGoodParameter == false)
{
tradable = false;
}
//通过每日前30分钟计算指标
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
double Range = 0;
double longPoint = -1;
double shortPoint = -1;
for (int j = 0; j < duration; j++)
{
var dataNow = stockToday[j];
if (dataNow.High > HH)
{
HH = dataNow.High;
}
if (dataNow.Close > HC)
{
HC = dataNow.Close;
}
if (dataNow.Close < LC)
{
LC = dataNow.Close;
}
if (dataNow.Low < LL)
{
LL = dataNow.Low;
}
}
Range = Math.Max(HH - LC, HC - LL);
longPoint = stockToday[duration].Open + k1 * Range;
shortPoint = stockToday[duration].Open - k2 * Range;
for (int j = duration; j < minutes; j++)
{
var dataNow = stockToday[j];
var dataLast = stockToday[j - 1];
double avgPrice = dataNow.Close;
if (dataNow.Volume == 0)
{
tradable = false;
}
else
{
avgPrice = dataNow.Amount / dataNow.Volume / multiple;
if (para.existGoodParameter == true)
{
tradable = true;
}
}
if (position == 0 && j <= minutes - 10 && tradable)
{
//多头信号
if (dataNow.Open > longPoint && dataLast.Open < longPoint)
{
position = 0.9 * Math.Floor(cash * 1000 / avgPrice) / 1000;
cash = cash - avgPrice * position - avgPrice * position * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = position;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
//空头信号
else if (dataNow.Open < shortPoint && dataLast.Open > shortPoint)
{
position = -0.9 * Math.Floor(cash * 1000 / avgPrice) / 1000;
cash = cash - avgPrice * position + avgPrice * position * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = position;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
}
else if (position != 0 && j <= minutes - 5 && tradable) //非收盘前5分钟，按追踪止损平仓
{
if (position > 0)
{
if ((dataNow.Open / transaction.openPrice - 1) < maxProfit - trailing)
{
cash = cash + avgPrice * position - avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
if (position < 0)
{
if ((transaction.openPrice / dataNow.Open - 1) < maxProfit - trailing)
{
cash = cash + avgPrice * position + avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
}
else if (position != 0 && j > minutes - 5 && tradable)//收盘前5分钟强制平仓
{
if (position > 0)
{
cash = cash + avgPrice * position - avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position < 0)
{
cash = cash + avgPrice * position + avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
//计算追踪止损的参数
if (position > 0)
{
if ((dataNow.Close / transaction.openPrice - 1) > maxProfit)
{
maxProfit = (dataNow.Close / transaction.openPrice - 1);
}
}
if (position < 0)
{
if ((transaction.openPrice / dataNow.Close - 1) > maxProfit)
{
maxProfit = (transaction.openPrice / dataNow.Close - 1);
}
}
if (j == minutes - 1)
{
dataNow = stockToday[j];
netvalueDaily nvToday = new netvalueDaily();
nvToday.date = dataNow.DateTime.Date;
nvToday.netvalue = cash + position * dataNow.Close;
nv.Add(nvToday);
}
}
}
return(true);
}
