public Tactics(string instrument_id, BaseTaticsHelper helper)
{
V_Instrument_id = instrument_id;
m_TaticsHelper = helper;
V_TacticsState = EM_TacticsState.Start;
V_OrderState = EM_OrderOperation.Normal;
orderPercent = float.Parse(AppSetting.Ins.GetValue("OrderValue"));
Start();
}
private static float OnTestRun(BaseTaticsHelper helper, ref int loss_result, ref int win_result, ref float avg_win, ref int orderCount, ref int allWinCount, ref int allCount)
{
Dictionary <int, List <float> > winResultDic = new Dictionary <int, List <float> >();
Dictionary <int, List <float> > lossResultDic = new Dictionary <int, List <float> >();
Dictionary <int, Dictionary <int, float> > all_ResultDic = new Dictionary <int, Dictionary <int, float> >();
Dictionary <int, Dictionary <int, int> > all_CountDic = new Dictionary <int, Dictionary <int, int> >();
allWinCount = 0;
allCount = 0;
int minLoss = -30;
int maxLoss = -60;
int minWin = 30;
int maxWin = 100;
string[] stopValue = AppSetting.Ins.GetValue("StopValue").Split('_');
if (stopValue.Length >= 4)
{
minLoss = int.Parse(stopValue[0]);
maxLoss = int.Parse(stopValue[1]);
minWin = int.Parse(stopValue[2]);
maxWin = int.Parse(stopValue[3]);
}
for (int loss = minLoss; loss >= maxLoss; loss -= 5)
{
for (int win = minWin; win <= maxWin; win += 5)
{
allCount++;
TaticsTestRunner run = new TaticsTestRunner();
run.Cur_Cache = new KLineCache();
helper.SetStopPercent(loss, win);
run.Data_All = helper.V_HistoryCache.V_KLineData;
run.helper = helper;
run.ResetData();
float money = run.Run();
if (money > TaticsTestRunner.Init_Money)
{
allWinCount++;
}
if (!winResultDic.ContainsKey(win))
{
winResultDic[win] = new List <float>();
}
winResultDic[win].Add(money);
if (!lossResultDic.ContainsKey(loss))
{
lossResultDic[loss] = new List <float>();
}
lossResultDic[loss].Add(money);
if (!all_ResultDic.ContainsKey(loss))
{
Dictionary <int, float> temp = new Dictionary <int, float>();
all_ResultDic[loss] = temp;
}
all_ResultDic[loss][win] = money;
if (!all_CountDic.ContainsKey(loss))
{
Dictionary <int, int> temp = new Dictionary <int, int>();
all_CountDic[loss] = temp;
}
all_CountDic[loss][win] = run.V_OrderCount;
}
}
int loss_final = 0, win_final = 0, orderCount_final = 0;
float maxMoney = 0;
foreach (var item in winResultDic)
{
List <float> resultList = item.Value;
float value = resultList.Sum();
if (maxMoney < value)
{
maxMoney = value;
win_final = item.Key;
}
}
maxMoney = 0;
foreach (var item in lossResultDic)
{
List <float> resultList = item.Value;
float value = resultList.Sum();
if (maxMoney < value)
{
maxMoney = value;
loss_final = item.Key;
}
}
orderCount_final = all_CountDic[loss_final][win_final];
helper.SetStopPercent(loss_final, win_final);
helper.ClearTempData();
float allWinMoney = 0;
foreach (var loss in all_ResultDic)
{
foreach (var win in loss.Value)
{
allWinMoney += win.Value;
//Console.WriteLine("止损 {0} 止盈 {1} 开单次数 {2} 模拟剩余 {3}", loss.Key, win.Key, all_CountDic[loss.Key][win.Key], win.Value);
}
}
try
{
if (!(helper is ICycleTatics))
{
Console.WriteLine("{0}:盈利情况：{1}/{2} 盈利平均值：{3}", helper.V_Instrument_id, allWinCount, allCount, allWinMoney / allCount);
Debugger.Warn(string.Format("{0}:盈利情况：{1}/{2} 盈利平均值：{3}", helper.V_Instrument_id, allWinCount, allCount, allWinMoney / allCount));
Console.WriteLine("{0}:最佳止盈止损百分比值: {1} {2} 开单次数 {3} \n模拟剩余资金: {4}", helper.V_Instrument_id, loss_final, win_final, all_CountDic[loss_final][win_final], all_ResultDic[loss_final][win_final]);
Debugger.Warn(string.Format("{0}:最佳止盈止损百分比值: {1} {2} 开单次数 {3} \n模拟剩余资金: {4}", helper.V_Instrument_id, loss_final, win_final, all_CountDic[loss_final][win_final], all_ResultDic[loss_final][win_final]));
}
avg_win = allWinMoney / allCount;
loss_result = loss_final;
win_result = win_final;
orderCount = orderCount_final;
}
catch (Exception ex)
{
avg_win = 5;
loss_result = -80;
win_result = 120;
orderCount = 0;
Debugger.Error("没有合适的止损止盈，用默认值 -80 120");
}
if (loss_final == 0 || win_final == 0)
{
return(0);
}
return(all_ResultDic[loss_final][win_final]);
}
public static void TestRun(BaseTaticsHelper helper)
{
int win = 0, loss = 0, count = 999999, allCount = 0, allWinCount = 0;
float avg_win = 0;
if (helper is ICycleTatics)
{
float maxMoney = 0;
string best_Cycle = "";
float avg_win_max = 0;
string[] cycleList = AppSetting.Ins.GetValue("CycleList").Split(';');
for (int i = 0; i < cycleList.Length; i++)
{
((ICycleTatics)helper).SetCycle(cycleList[i]);
int temp_loss = 0, temp_win = 0, temp_count = 0, temp_allCount = 0, temp_allWinCount = 0;
float temp = OnTestRun(helper, ref temp_loss, ref temp_win, ref avg_win_max, ref temp_count, ref temp_allWinCount, ref temp_allCount);
//if (maxMoney < temp)
//{
// maxMoney = temp;
// best_Cycle = cycleList[i];
// loss = temp_loss;
// win = temp_win;
// avg_win = avg_win_max;
// count = temp_count;
//}
if (avg_win < avg_win_max && temp > Init_Money)
{
maxMoney = temp;
best_Cycle = cycleList[i];
loss = temp_loss;
win = temp_win;
avg_win = avg_win_max;
count = temp_count;
allWinCount = temp_allWinCount;
allCount = temp_allCount;
}
//if (temp > TaticsTestRunner.Init_Money)
//{
// if (count > temp_count)
// {
// maxMoney = temp;
// best_Cycle = cycleList[i];
// loss = temp_loss;
// win = temp_win;
// avg_win = avg_win_max;
// count = temp_count;
// }
//}
//Console.WriteLine(helper.V_Instrument_id+": 周期 " + cycleList[i]);
}
if (string.IsNullOrEmpty(best_Cycle))
{
best_Cycle = cycleList[0];
loss = -20;
win = 60;
Console.WriteLine("{0}:无盈利方案，将采用默认值", helper.V_Instrument_id);
Debugger.Warn(string.Format("{0}:无盈利方案，将采用默认值", helper.V_Instrument_id));
}
((ICycleTatics)helper).SetCycle(best_Cycle);
helper.SetStopPercent(loss, win);
Console.WriteLine("{0}:最佳周期 {1} 止损 {2} 止盈{3} 剩余{4} 盈利平均值 {5} 开单次数{6} 盈利情况：{7}/{8}", helper.V_Instrument_id, best_Cycle, loss, win, maxMoney, avg_win, count, allWinCount, allCount);
Debugger.Warn(string.Format("{0}:最佳周期 {1} 止损 {2} 止盈{3} 剩余{4} 盈利平均值 {5} 开单次数{6} 盈利情况：{7}/{8}", helper.V_Instrument_id, best_Cycle, loss, win, maxMoney, avg_win, count, allWinCount, allCount));
}
else
{
OnTestRun(helper, ref loss, ref win, ref avg_win, ref count, ref allWinCount, ref allCount);
}
}
