public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily1 = stockDailyRepo.GetStockTransactionWithRedis(code1, tradedays.First(), tradedays.Last());
var underlyingDaily2 = stockDailyRepo.GetStockTransactionWithRedis(code2, tradedays.First(), tradedays.Last());
int duration = 15;
double lambda1 = 2.4;
double trailingParameter = 0.025;
getParameter(tradedays, underlyingDaily1, underlyingDaily2, ref duration, ref lambda1, ref trailingParameter);
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
double[] alphaList = new double[length];
double[] betaList = new double[length];
double[] cointegrationSequence = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
int duration1 = 1000000;
double lambda2 = 2.1;
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
z[i] = Math.Log(y[i] / x[i]);
}
//计算x,y收益率的相关性
double[] yy = new double[length - 1];
double[] xx = new double[length - 1];
for (int i = 1; i < length; i++)
{
yy[i - 1] = y[i] / y[i - 1] - 1;
xx[i - 1] = x[i] / x[i - 1] - 1;
}
double corr = MathUtility.correlation(y, x);
Console.WriteLine("corr:{0}", corr);
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
var dt = DataTableExtension.ToDataTable(myboll2);
DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = 0;
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, trailingParameter, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
List <OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
var dt2 = DataTableExtension.ToDataTable(netvalueList);
DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
var dt3 = DataTableExtension.ToDataTable(data);
DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily1 = stockDailyRepo.GetStockTransaction(code1, tradedays.First(), tradedays.Last());
var underlyingDaily2 = stockDailyRepo.GetStockTransaction(code2, tradedays.First(), tradedays.Last());
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
double[] alphaList = new double[length];
double[] betaList = new double[length];
double[] cointegrationSequence = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
int duration = 30;
int duration1 = duration;
double lambda1 = 2;
double lambda2 = 3;
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
//z[i] = Math.Log(y[i] / x[i]);
z[i] = (y[i]) / (x[i]);
}
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
var dt = DataTableExtension.ToDataTable(myboll2);
DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = signal[i - 1];
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
//for (int i = duration+1; i < length; i++)
//{
// if (myboll[i - 1] == null || myboll[i - 1].std == 0)
// {
// signal[i - 1] = 0;
// continue;
// }
// if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
// {
// signal[i] = signal[i - 1];
// continue;
// }
// int j = i - duration;
// //上穿下轨1
// if (myboll2[j-1].area<=-2 && myboll2[j].area==-1)
// {
// double ratio = 0;
// for (int k = j-1; k >j-6; k--)
// {
// if (myboll2[k].area<=-2)
// {
// ratio += 1;
// }
// }
// ratio = ratio / 6;
// if (ratio<0.5)
// {
// signal[i] = 1;
// }
// }
// //上穿中轨
// else if (myboll2[j-1].area==-1 && myboll2[j].area==1)
// {
// signal[i] = 2;
// }
// //上穿上轨1
// else if (myboll2[j - 1].area == 1 && myboll2[j].area == 3)
// {
// signal[i] = 3;
// }
// //下穿下轨1
// else if (myboll2[j - 1].area == -1 && myboll2[j].area == -3)
// {
// signal[i] = -1;
// }
// //下穿中轨
// else if (myboll2[j - 1].area == 1 && myboll2[j].area == -1)
// {
// signal[i] = -2;
// }
// //下穿上轨1
// else if (myboll2[j - 1].area >= 2 && myboll2[j].area == 1)
// {
// double ratio = 0;
// for (int k = j - 1; k > j - 6; k--)
// {
// if (myboll2[k].area >=2)
// {
// ratio += 1;
// }
// }
// ratio = ratio / 6;
// if (ratio < 0.5)
// {
// signal[i] = -3;
// }
// }
// //上穿上轨2
// else if (myboll2[j - 1].area == 3 && myboll2[j].area == 5)
// {
// signal[i] = 4;
// }
// //下穿下轨2
// else if (myboll2[j - 1].area == -3 && myboll2[j].area == -5)
// {
// signal[i] = -4;
// }
// else
// {
// signal[i] = 0;
// }
//}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
List <OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
var dt2 = DataTableExtension.ToDataTable(netvalueList);
DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
var dt3 = DataTableExtension.ToDataTable(data);
DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
}
private double computeChoiceParameter(List <DateTime> tradedays, List <StockTransaction> underlyingDaily1, List <StockTransaction> underlyingDaily2, int duration, double lambda1, double trailingParameter)
{
int duration1 = 1000000;
double lambda2 = lambda1 + 1;
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
z[i] = Math.Log(y[i] / x[i]);
}
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = signal[i - 1];
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, trailingParameter, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
//var dt = DataTableExtension.ToDataTable(myboll2);
//DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
//List<OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
//var dt2 = DataTableExtension.ToDataTable(netvalueList);
//DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
//var dt3 = DataTableExtension.ToDataTable(data);
//DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
return(sharpe);
}
