Exemplo n.º 1
0
        public void AddMATrendSelector()
        {
            DeltaVolInput input = DeltaVolInput.GetDefaultDeltaVolInput();
            input.BaseInvest = 1 * 1000 * 1000 * 1000;
            EquityDeltaHedger selector =
                new EquityDeltaHedger(MarketDataSetKey.KospiFuture,
                    input.StartDate, input.EndDate, input.BaseInvest, input.IssueInterval);
            selector.AddMATrendTester(10, 50);
            selector.UseMASpreadSwitch(0.2, -0.2);
            IPnLResult result = selector.ExecuteHedge();
            DateTime prevDate = result.StartDate;
            DateTime curDate = result.StartDate.AddDays(1);

            while (curDate <= result.EndDate)
            {
                if (result.IsExistDate(curDate))
                {
                    if (result.GetDailyInvest(curDate) < input.BaseInvest * -2.0)
                    {
                        trendSelectors.Add(curDate, false);
                    }
                    else
                    {
                        trendSelectors.Add(curDate, true);
                    }
                }
                curDate = curDate.AddDays(1);
            }
        }
Exemplo n.º 2
0
        public void Start()
        {
            //TODO implement Equity Picker
            PeriodicEquityPicker equityPicker =
                new PeriodicEquityPicker(_mds, _selectionPeriod, _lookupPeriod,
                    EquityVolPredefinedVariables.EquitySelectionNumber, _startDate, _endDate);
            equityPicker.UseHighRankMarketCap();
            Dictionary<DateTime, List<MarketDataSetKey>> selectedEquities = equityPicker.Select();

            List<IPnLResult> pnLResults = new List<IPnLResult>();
            //EquityStockDeltaVolExecutor stockTradingExecutor = new EquityStockDeltaVolExecutor(_mds, _input);
            //Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults = stockTradingExecutor.Execute();
            EquityStockSimpleExecutor stockTradingExecutor =
                new EquityStockSimpleExecutor(_mds, _startDate, _endDate, _input.IssueInterval, _input.BaseInvest);
            Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults = stockTradingExecutor.Execute();

            Dictionary<MarketDataSetKey, IPnLResult> seletecdEquityPnLResults =
                GetSelectedEquityPnLResults(allEquityPnLResults, selectedEquities);

            pnLResults.AddRange(seletecdEquityPnLResults.Values.ToList());

            Dictionary<DateTime, double> grossDeltas = AggregateGrossDeltas(pnLResults);
            EquityDeltaHedger hedger =new EquityDeltaHedger(MarketDataSetKey.KospiFuture,
                _input.StartDate, _input.EndDate, grossDeltas, _input.BaseInvest, _input.IssueInterval);

            if (_input.bMATrendHedging)
            {
                hedger.AddMATrendTester(
                    EquityVolPredefinedVariables.LeadingMAPeriod, EquityVolPredefinedVariables.BaseMAPeriod);
                if (_input.bDeltaSwitchUpDown)
                {
                    hedger.UseMASpreadSwitch(
                        EquityVolPredefinedVariables.MASpreadUpperBound,
                        EquityVolPredefinedVariables.MASpreadLowerBound);
                }
            }

            IPnLResult hedgePnL;
            if (_input.bVoliatilityHedging)
            {
                hedger.UseVolTest(10);
            }
            hedgePnL = hedger.ExecuteHedge();
            pnLResults.Add(hedgePnL);

            //BandTradingHedger auxHedger = new BandTradingHedger(MarketDataSetKey.KospiFuture,
            //    _input.StartDate, _input.EndDate, grossDeltas, _input.BaseInvest);
            //auxHedger.AddMATrendTester(1, 20);
            //IPnLResult auxHedgePnL = auxHedger.ExecuteHedge();
            //pnLResults.Add(auxHedgePnL);

            IPnLResult sumPnlResult = AggregatePnLResult(pnLResults);
            HandleResult(sumPnlResult);
        }