void CreateHedgingTradingData(MarketData md)
{
int curPositionSize = 0;
double curGrossDelta = 0;
double curHedgingFactor = EquityVolPredefinedVariables.FullHedgingFactor;
double prevHedgingFactor = 0;
double prevPrice = 0;
int lastHedgedIndex = 0;
for (int index = 0; index < md.GetTotalCount(); index++)
{
bool bHegingTest = false;
DOHLC dohlc = md.GetByIndex(index);
DateTime curDate = dohlc.CurDate;
if (curDate.DayOfWeek == DayOfWeek.Saturday
|| curDate.DayOfWeek == DayOfWeek.Sunday)
{
continue;
}
double curPrice = dohlc.OHLC.Close;
if (prevPrice != 0 && curPrice != 0)
{
double upDownRate = MathUtil.GetUpDownRate(prevPrice, curPrice);
if (_upDownRates.Count == _volN)
{
_upDownRates.Dequeue();
}
_upDownRates.Enqueue(upDownRate);
}
if (_bMATrendTester)
{
_leadingMA.Add(curPrice);
_baseMA.Add(curPrice);
//if(prevHedgingFactor == EquityVolPredefinedVariables.OverHedgingFactor
// && MathUtil.GetUpDownRate(_nonNeutralHedgingEntryPrice, prevPrice) > 0.02)
//{
// curHedgingFactor = EquityVolPredefinedVariables.FullHedgingFactor;
//}
//if (prevHedgingFactor == EquityVolPredefinedVariables.UnderHedgingFactor
// && MathUtil.GetUpDownRate(_nonNeutralHedgingEntryPrice, prevPrice) < -0.02)
//{
// curHedgingFactor = EquityVolPredefinedVariables.FullHedgingFactor;
//}
if (MathUtil.GetUpDownRate(prevPrice, curPrice) > -0.02)
{
curHedgingFactor = GetCurTrendHedgingFactor();
}
//bHegingTest = (curHedgingFactor != prevHedgingFactor) ||
// ((lastHedgedIndex + (int)(EquityVolPredefinedVariables.RebalancingPeriod / 2) <= index)
// && index % (_hedingInterval) == 0);
bHegingTest = (curHedgingFactor != prevHedgingFactor) ||
(index % (_hedingInterval) == 0 && (lastHedgedIndex + (2 * _hedingInterval) <= index));
//bHegingTest = (curHedgingFactor != prevHedgingFactor);
//bHegingTest = (curHedgingFactor != prevHedgingFactor) ||
// (lastHedgedIndex + (int)(EquityVolPredefinedVariables.RebalancingPeriod / 2) <= index);
}
else
{
bHegingTest = index % (2 * _hedingInterval) == 0;
}
if (bHegingTest)
{
if (_grossDeltas == null)
{
curGrossDelta = curHedgingFactor * 1.0;
curPositionSize = GetGHedgingPositonSize(curGrossDelta, curPrice, _baseInvest);
prevHedgingFactor = curHedgingFactor;
lastHedgedIndex = index;
}
else if (_grossDeltas.ContainsKey(curDate))
{
curGrossDelta = curHedgingFactor * _grossDeltas[curDate];
curPositionSize = GetGHedgingPositonSize(curGrossDelta, curPrice, _baseInvest);
prevHedgingFactor = curHedgingFactor;
lastHedgedIndex = index;
}
}
if (curDate >= _startDate)
{
RawTradingData tradingData =
new RawTradingData(MarketDataSetKey.KospiFuture, curDate, curPrice, curPositionSize);
tradingData.AddDelta(curGrossDelta);
_tradingDataList.Add(tradingData);
}
prevPrice = curPrice;
}
}
void CreateTradingData(MarketData md)
{
int curPositionSize = 0;
double curFactor = 0;
double entryPrice = 0;
for (int index = 0; index < md.GetTotalCount(); index++)
{
double prevFactor = curFactor;
DOHLC dohlc = md.GetByIndex(index);
DateTime curDate = dohlc.CurDate;
double curPrice = dohlc.OHLC.Close;
if (_bMATrendTester)
{
_leadingMA.Add(curPrice);
_baseMA.Add(curPrice);
}
double curLeadingMA = _leadingMA.GetCurMA();
double curBaseMA = _baseMA.GetCurMA();
//curFactor = GetTradingFactorWith3Value(curPrice, curLeadingMA, curBaseMA, curFactor, entryPrice);
curFactor = GetMASpreadSwitchedTradingFactor(curPrice, curLeadingMA, curBaseMA, curFactor);
//curFactor = GetMASpreadTradingFactor(maSpread, curFactor);
if (!IsAvailableTimeRange(curDate, curFactor))
{
curFactor = kNeutralFactor;
//AddMATrendTester(10, 50);
}
//if (TestLossCut(prevFactor, entryPrice, curPrice))
//{
// curFactor = kNeutralFactor;
//}
curPositionSize = (int) curFactor;
if (prevFactor == kNeutralFactor && curFactor != kNeutralFactor)
{
entryPrice = curPrice;
}
if (prevFactor < curFactor)
{
curPrice = curPrice + 0.025;
}
else if (prevFactor > curFactor)
{
curPrice = curPrice - 0.025;
}
RawTradingData tradingData =
new RawTradingData(MarketDataSetKey.KospiFuture, curDate, curPrice, curPositionSize);
_tradingDataList.Add(tradingData);
}
}
void CreateHedgingTradingData(MarketData md)
{
int curPositionSize = 0;
double curGrossDelta = 0;
double curHedgingFactor = EquityVolPredefinedVariables.FullHedgingFactor;
double prevHedgingFactor = 0;
double prevPrice = 0;
int lastHedgedIndex = 0;
for (int index = 0; index < md.GetTotalCount(); index++)
{
DOHLC dohlc = md.GetByIndex(index);
DateTime curDate = dohlc.CurDate;
if (curDate.DayOfWeek == DayOfWeek.Saturday
|| curDate.DayOfWeek == DayOfWeek.Sunday)
{
continue;
}
double curPrice = dohlc.OHLC.Close;
if (prevPrice != 0 && curPrice != 0)
{
_leadingMA.Add(curPrice);
_baseMA.Add(curPrice);
double upDownRate = MathUtil.GetUpDownRate(prevPrice, curPrice);
if (_upDownRates.Count == _volN)
{
_upDownRates.Dequeue();
}
_upDownRates.Enqueue(upDownRate);
}
//if (MathUtil.GetUpDownRate(prevPrice, curPrice) > -0.02)
//{
curHedgingFactor = GetCurTrendHedgingFactor();
//}
if (curHedgingFactor != prevHedgingFactor)
{
if (_grossDeltas == null)
{
curGrossDelta = curHedgingFactor * 1.0;
curPositionSize = GetGHedgingPositonSize(curGrossDelta, curPrice, _baseInvest);
prevHedgingFactor = curHedgingFactor;
lastHedgedIndex = index;
}
else if (_grossDeltas.ContainsKey(curDate))
{
curGrossDelta = curHedgingFactor * _grossDeltas[curDate];
curPositionSize = GetGHedgingPositonSize(curGrossDelta, curPrice, _baseInvest);
prevHedgingFactor = curHedgingFactor;
lastHedgedIndex = index;
}
}
if (curDate >= _startDate)
{
RawTradingData tradingData =
new RawTradingData(MarketDataSetKey.KospiFuture, curDate, curPrice, curPositionSize);
tradingData.AddDelta(curGrossDelta);
_tradingDataList.Add(tradingData);
}
prevPrice = curPrice;
}
}