public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AdjRateDatum(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public AdjRateDatum CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
OperationRow opData = opSet.GetData(_key);
Boolean on = opData.On;
AdjRateDatum others = _nextAdjustment.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
AdjRateDatum mine = new AdjRateDatum(_kospiAdjustment, _bondAdjustment, _dollarAdjustment);
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AdjRateDatum ret = AdjUtil.Multiply(mine, others);
return ret;
}
else
{
logger.Warn("Multiply 이외의 기능은 아직 제공하고 있지 않음");
return others;
}
}
else
{
return others;
}
}
public DefaultStrategy(String strategyName, SimInputData input)
{
this.StrategyName = strategyName;
this.Input = input;
this._allocBase = new StaticAlloc();
this._opSet = new OperationSet();
this._adjustment = new DummyAdjustment();
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
if (_adjs.ContainsKey(targetDate))
{
Tuple<double, double, double> t = _adjs[targetDate];
AdjRateDatum aa = new AdjRateDatum(t);
_prev = aa;
return aa;
}
return _prev;
}
public void Build()
{
this._allocBase = new StaticAlloc();
this._opSet = new OperationSet();
int key = 0;
this._adjustment = new DummyAdjustment();
AddAdjustment_Static(key++, this._adjustment);
AddAdjustment_WithMA(key++, this._adjustment, 1);
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
RowInfo curRow = GetCurRowWithBasicInfo(targetDate, data);
//포지션 정보를 설정한다.
SetPositionInfo(targetDate, data, curRow);
// 전일대비 변동율을 구한다.
SetFutureIncrement(curRow, _prevRow);
this._cumData.Add(curRow);
// 코스피 선물 평균 변동성을 구한다.
curRow.KospiVol = this._cumData.GetKospiAvgVol();
// 비중을 구한다.
AdjRateDatum adj = GetAdj(curRow);
curRow.AssetAdj = adj;
this._prevRow = curRow;
return adj;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AdjRateDatum ret = null;
if (_prevMarketData == null)
{
ret = new AdjRateDatum(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
public static AdjRateDatum Calculate(
int key,
AdjRateDatum mine,
IAdjustment next,
OperationSet opSet,
DateTime targetDate,
MarketDataSet data)
{
if (next == null)
{
return mine;
}
OperationRow opData = opSet.GetData(key);
Boolean on = opData.On;
AdjRateDatum others = next.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AdjRateDatum ret = AdjUtil.Multiply(mine, others);
return ret;
}
else
{
Trace.Assert(false);
return others;
}
}
else
{
return others;
}
}
public AdjRateDatum CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
AdjRateDatum adj = CalculateAssetWeight_Raw(opSet, targetDate, data);
return AdjUtil.Calculate(_key, adj, _nextAdj, opSet, targetDate, data);
}
public AdjRateDatum CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
return new AdjRateDatum(1, 1, 1);
}
