/// <summary>
/// 根据个股S点卖出
/// </summary>
/// <param name="bouts"></param>
/// <param name="ds"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public void DoSell1(TradeRecords tradeRecords, TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
TimeSeries <ITimeSeriesItem <char> > dayTradePt = ds.CubePtCreateOrLoad();
if (dayTradePt == null)
{
return;
}
if (tradeRecords == null || tradeRecords.Bouts == null || tradeRecords.Bouts.Count <= 0)
{
return;
}
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
return;
}
foreach (TradeBout bout in tradeRecords.Bouts)
{
DateTime buyDate = bout.BuyInfo.TradeDate;
KeyValuePair <int, ITimeSeriesItem> dayTradePtItem = dayTradePt.GetNearest(buyDate, false);
if (dayTradePtItem.Key < 0)
{
continue;
}
if (dayTradePtItem.Value == null)
{
continue;
}
int index = dayTradePt.IndexOf(dayTradePtItem.Value.Date);
for (int k = index; k < dayTradePt.Count; k++)
{
if (dayTradePt[k].Value == 'S')
{
KLineItem dayLineItem = dayLine[dayTradePt[k].Date];
if (dayLineItem == null)
{
break;
}
bout.RecordTrade(2, dayLineItem.Date, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, 0, 0, "发S点");
break;
}
}
}
}
/// <summary>
/// 根据个股主力线高位卖出
/// </summary>
/// <param name="bouts"></param>
/// <param name="ds"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public void DoSell2(TradeRecords tradeRecords, TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
if (tradeRecords == null || tradeRecords.Bouts == null || tradeRecords.Bouts.Count <= 0)
{
return;
}
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
return;
}
foreach (TradeBout bout in tradeRecords.Bouts)
{
DateTime buyDate = bout.BuyInfo.TradeDate;
//找20个工作日的收盘价最高值
KLineItem klineItem = dayLine.GetNearest(buyDate, false);
if (klineItem == null)
{
continue;
}
int index = dayLine.IndexOf(klineItem);
DateTime sellDate = buyDate;
double sellPrice = 0;
for (int i = index + 1; i < Math.Min(index + 41, dayLine.Count); i++)
{
if (dayLine[i].CLOSE > sellPrice)
{
sellPrice = dayLine[i].CLOSE;
sellDate = dayLine[i].Date;
}
}
bout.RecordTrade(2, sellDate, TradeDirection.Sell, sellPrice, bout.BuyInfo.Amount, 0, 0, "");
}
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
public override bool DoSell(string code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out string reason)
{
reason = "";
if (bout == null)
{
return(false);
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(false);
}
//跳过已完成的
if (bout.Completed)
{
return(false);
}
TimeSeries <ITimeSeriesItem <char> > btpoints = ds.DayTradeLine.buysellPoints;
if (btpoints == null || btpoints.Count <= 0)
{
return(false);
}
ITimeSeriesItem <char> item = btpoints[d];
if (item == null || item.Value == 'B')
{
return(false);
}
KLineItem klineItemDay = kline[d];
if (klineItemDay == null)
{
return(false);
}
double price = klineItemDay.CLOSE;
//if (price < bout.BuyInfo.TradePrice)
// return true;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "日线出S点");
return(false);
}
public override TradeRecords Execute(String code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//取得策略参数
double buy_mainlow = strategyParam.Get <double>("buy_mainlow"); //主力线低位买入
int buy_cross = strategyParam.Get <int>("buy_cross");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
//取得行情数据
TradeRecords tr = new TradeRecords(code);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
MACD macd = (MACD)ds.Create("macd", TimeUnit.day, false);
if (macd == null)
{
return(null);
}
//买入条件判定
for (int i = 0; i < macd.Count; i++)
{
MACDItem macdItem = macd[i];
if (macdItem.Date < backtestParam.BeginDate || macdItem.Date >= backtestParam.EndDate)
{
continue;
}
if (macdItem.CROSS <= 0)
{
continue;
}
if (macdItem.DIF > buy_mainlow)
{
continue;
}
DateTime d = macdItem.Date;
KLineItem klineItem = kline[d];
if (klineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(code);
bout.RecordTrade(1, d, TradeDirection.Buy, klineItem.CLOSE, (int)(p_getinMode.Value / klineItem.CLOSE), backtestParam.Volumecommission, backtestParam.Stampduty, "低位金叉" + macdItem.DIF.ToString("F2"));
tr.Bouts.Add(bout);
}
return(tr);
}
public override List <TradeInfo> DoBuy(Properties strategyParam, DateTime d, StrategyContext context)
{
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//读取代码
List <String> codes = LoadCodes(strategyParam, context);
if (codes == null || codes.Count <= 0)
{
return(null);
}
//取得策略参数
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
List <TradeInfo> results = new List <TradeInfo>();
//遍历
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
KLine klineDay = ds.DayKLine;
if (klineDay == null)
{
continue;
}
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
continue;
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null)
{
continue;
}
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int index = fundDay.IndexOf(fundItemDay);
if (index <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > prevfundItemDay = fundDay[index - 1];
if (!p_grail.CanBuy(d, code)) //大盘禁止买入的跳过
{
continue;
}
if (p_mainforcelow > 0)//判断主力线上穿p_mainforcelow
{
if (fundItemDay.Value[0] < p_mainforcelow)
{
continue;
}
if (prevfundItemDay.Value[0] > p_mainforcelow)
{
continue;
}
}
if (p_mainforceslope > 0) //判断主力线上升速度超过p_mainforceslope
{
if (fundItemDay.Value[0] - prevfundItemDay.Value[0] < p_mainforceslope)
{
continue;
}
}
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Buy,
Code = code,
Amount = (int)(p_fundpergetin.Value / klineItemDay.CLOSE),
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = (p_mainforcelow <= 0 ? "" : "[主力线低位" + p_mainforcelow.ToString("F2") + "]") + (p_mainforceslope <= 0 ? "" : "[主力线上升速度超过" + p_mainforceslope.ToString("F2") + "]")
};
results.Add(tradeInfo);
}
return(results);
}
/// <summary>
/// 执行回测
/// </summary>
/// <param name="props"></param>
/// <returns></returns>
public virtual TotalStat doTestByDate(List <TradeRecords> tradeRecoreds)
{
List <TradeBout> bouts = new List <TradeBout>();
tradeRecoreds.ForEach(x => bouts.AddRange(x.Bouts));
double marketValueMin = backtestParam.Initfunds; //日最低市值
double marketValueMax = backtestParam.Initfunds; //日最高市值
double lastmarketValueMax = backtestParam.Initfunds; //上一个日最高市值
DateTime lastmarketValueMaxDate = backtestParam.BeginDate;
double curFund = backtestParam.Initfunds; //当前资金
TotalStat stat = new TotalStat();
List <DateDetailRecord> records = new List <DateDetailRecord>(); //日详细记录
List <TradeBout> holdTrades = new List <TradeBout>(); //日持仓回合
List <int> holdDays = new List <int>(); //持仓日期
List <String> codes = new List <string>(); //交易的股票代码
List <int> buyCounts = new List <int>(); //每天买入的回合数
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
String reason = "";
//遍历每一天
for (DateTime d = backtestParam.BeginDate; d <= backtestParam.EndDate; d = d.AddDays(1))
{
//跳过非工作日
//if (!CalendarUtils.IsWorkDay(d))
// continue;
//生成空的当日记录
DateDetailRecord record = new DateDetailRecord();
record.date = d;
//找到当日的买入回合、卖出回合
bouts.ForEach(y =>
{
if (y.BuyInfo.TradeDate.Date == d.Date)
{
record.buyBouts.Add(y);
}
else if (y.SellInfo.TradeDate.Date == d.Date)
{
record.sellBouts.Add(y);
}
});
//当日没有发生买卖操作，也没有持仓，跳过
if (record.buyBouts.Count <= 0 && record.sellBouts.Count <= 0 && holdTrades.Count <= 0)
{
continue;
}
//将buyTrades按照优先规则排序,待实现
//计算当日买入的花销，如果超过了资金允许买入的量，则删除一部分
record.willBuyCount = record.buyBouts.Count;
for (int i = 0; i < record.buyBouts.Count; i++)
{
if (record.buyBouts[i].BuyInfo.TradeCost > curFund)//资金不够
{
bouts.Remove(record.buyBouts[i]);
record.buyBouts.RemoveAt(i--);
}
else if (isForbidBuy(d, record.buyBouts[i].Code, out reason))//如果策略实现禁止买入
{
bouts.Remove(record.buyBouts[i]);
record.buyBouts.RemoveAt(i--);
}
else
{
curFund -= record.buyBouts[i].BuyInfo.TradeCost; //买入
holdTrades.Add(record.buyBouts[i]); //买入后变成持仓
}
}
record.buyCount = record.buyBouts.Count;
if (stat.MaxTradeCountPerDay < record.buyBouts.Count)
{
stat.MaxTradeCountPerDay = record.buyBouts.Count;
}
buyCounts.Add(record.buyBouts.Count);
//判断持仓中的股票是否被禁止持仓
for (int i = 0; i < holdTrades.Count; i++)
{
TradeBout info = holdTrades[i];
if (!isForbidHold(d, info.Code, out reason))
{
continue;
}
info.SellInfo.Reason = reason + "(" + info.SellInfo.Reason + ")";
record.sellBouts.Add(info);
holdTrades.RemoveAt(i--);
}
//卖出收入放回资金
for (int i = 0; i < record.sellBouts.Count; i++)
{
if (!codes.Contains(record.sellBouts[i].Code))//记录交易的股票
{
codes.Add(record.sellBouts[i].Code);
}
stat.BoutNum += 1; //回合数加1
if (record.sellBouts[i].Win) //胜数加1
{
stat.WinNum += 1;
}
holdDays.Add(record.sellBouts[i].PositionDays); //记录持仓日期
curFund += record.sellBouts[i].SellInfo.TradeCost; //回收资金
holdTrades.Remove(record.sellBouts[i]); //从持仓中拿掉
}
record.SellCount = record.sellBouts.Count;
//计算市值
record.holdCount = holdTrades.Count;
if (holdTrades.Count <= 0)//如果没有持仓，市值就是资金量
{
marketValueMax = marketValueMin = curFund;
records.Add(record);
}
else//如果有持仓，则计算市值=资金量+持仓当日市值
{
double min = 0, max = 0;
foreach (TradeBout info in holdTrades)
{
TimeSerialsDataSet ds = repository[info.Code];
KLine kline = ds.DayKLine;
KLineItem klineitem = kline.GetNearest(d, true, -1);
if (klineitem == null)//有一个回合找不到当日K线数据，则当日市值不再计算
{
min = max = 0;
this.log.Warn("日期" + d.ToString("yyyyMMdd") + "中有回合缺少当日和历史K线：" + info.Code);
break;
}
min += info.BuyInfo.Amount * klineitem.LOW;
max += info.BuyInfo.Amount * klineitem.HIGH;
record.holdBouts.Add(info.Code + "," + info.BuyInfo.Amount + "," + info.BuyInfo.TradePrice.ToString("F2") + "," + klineitem.CLOSE);
}
if (min != 0)
{
marketValueMin = curFund + min;
}
if (max != 0)
{
marketValueMax = curFund + max;
}
if (min != 0 && max != 0)
{
records.Add(record);
}
}
//记录资金和市值数据
record.curFund = curFund;
record.marketValueMin = marketValueMin;
record.marketValueMax = marketValueMax;
if (marketValueMin < backtestParam.Initfunds)
{
record.retracement = (backtestParam.Initfunds - marketValueMin) / backtestParam.Initfunds;
}
if (stat.MaxInitRetracementRate < record.retracement)
{
stat.MaxInitRetracementRate = record.retracement;
stat.MaxInitRetracementDate = d;
}
if (marketValueMax > lastmarketValueMax)
{
lastmarketValueMax = marketValueMax;
lastmarketValueMaxDate = d;
record.retracement = 0;
}
else
{
record.retracement = (lastmarketValueMax - marketValueMax) / lastmarketValueMax;
stat.MaxRetracementRate = record.retracement;
stat.MaxRetracementDate = d;
}
}
//清除没有卖出的回合
for (int i = 0; i < holdTrades.Count; i++)
{
curFund += holdTrades[i].BuyInfo.TradeCost;
bouts.Remove(holdTrades[i]);
}
holdTrades.Clear();
marketValueMin = marketValueMax = curFund;
if (records.Count > 0)
{
DateDetailRecord extends = new DateDetailRecord();
extends.date = records[records.Count - 1].date.AddDays(1);
extends.curFund = curFund;
extends.marketValueMax = marketValueMax;
extends.marketValueMin = marketValueMin;
records.Add(extends);
}
//结果统计
stat.Records = records;
stat.AverageTradeCountPerDay = buyCounts.Count <= 0?0:buyCounts.Average();
stat.AvgHoldDays = holdDays.Count <= 0?0:(int)holdDays.Average();
stat.Count = codes.Count;
stat.MaxHoldDays = holdDays.Count <= 0 ? 0 : holdDays.Max();
stat.TotalFund = curFund;
stat.TotalProfilt = (curFund - backtestParam.Initfunds) / backtestParam.Initfunds;
stat.WinRate = stat.WinNum * 1.0 / stat.BoutNum;
return(stat);
}
/// <summary>
/// 执行卖出操作
/// </summary>
/// <param name="tradeRecord"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public virtual void Execute(TradeRecords tradeRecord, Properties strategyParam, BacktestParameter backtestParam)
{
#region 1初始化行情库
if (tradeRecord == null)
{
return;
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return;
}
#endregion
#region 2 取得策略参数
int p_maxbuynum = strategyParam.Get <int>("maxbuynum", 0);
double p_maxprofilt = strategyParam.Get <double>("maxprofilt");
int p_maxholddays = strategyParam.Get <int>("maxholddays");
double p_stoploss = strategyParam.Get <double>("stoploss");
int p_choosedays = strategyParam.Get <int>("choosedays");
double p_chooseprofilt = strategyParam.Get <double>("chooseprofilt");
double p_addholdprofilt = strategyParam.Get <double>("addholdprofilt");
double p_addholdamount = strategyParam.Get <double>("addholdamount");
#endregion
String code = tradeRecord.Code;
List <TradeBout> bouts = tradeRecord.Bouts;
#region 3 遍历每一个买入回合
for (int i = 0; i < bouts.Count; i++)
{
#region 3.1 取得该回合的行情数据
TradeBout bout = bouts[i];
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
continue;
}
if (bout.Completed)
{
continue; //跳过已完成的
}
KLine kline = ds.DayKLine;
if (kline == null)
{
continue;
}
bool chooseToSell = false;//择机卖出状态，是指持仓价值较低
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
if (bIndex < 0)
{
continue;
}
KLineItem klineItemDay = kline[bIndex];
DateTime d = klineItemDay.Date;
#endregion
#region 3.2 如果超过了最大持仓数限制，该回合跳过
if (p_maxbuynum > 0)
{
//计算当前回合的买入日期这天有多少持仓
int count = 0;
bouts.ForEach(x => { if (x.Completed && bout.BuyInfo.TradeDate.Date >= x.BuyInfo.TradeDate.Date && bout.BuyInfo.TradeDate.Date < x.SellInfo.TradeDate.Date)
{
count++;
}
});
if (count > p_maxbuynum)
{
continue;
}
}
#endregion
#region 3.3 寻找卖点
String reason = "";
for (int index = bIndex + 1; index < kline.Count; index++)
{
klineItemDay = kline[index];
d = klineItemDay.Date;
#region A 计算以当日最高价和收盘价卖出的盈利
double diff = klineItemDay.HIGH - bout.BuyInfo.TradePrice;
double percentHigh = diff / bout.BuyInfo.TradePrice;
diff = klineItemDay.CLOSE - bout.BuyInfo.TradePrice;
double percentClose = diff / bout.BuyInfo.TradePrice;
#endregion
#region B 盈利超过预定
if (p_maxprofilt > 0 && percentHigh >= p_maxprofilt) //盈利超过预定
{
double price = bout.BuyInfo.TradePrice * (1 + p_maxprofilt);
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "盈利>=" + p_maxprofilt.ToString("F2"));
break;
}
#endregion
#region C 择机卖出状态
if (chooseToSell)
{
for (int t = 0; t < p_choosedays; t++)
{
index += t;
if (index >= kline.Count)
{
break;
}
double percent = (kline[index].HIGH - bout.BuyInfo.TradePrice) / bout.BuyInfo.TradePrice;
if (percent >= p_chooseprofilt)
{
double price = bout.BuyInfo.TradePrice * (1 + p_chooseprofilt);
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, kline[index].Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, (reason == "" ? "" : reason + ",并") + "在第" + (t + 1).ToString() + "天择机卖出");
break;
}
}
if (!bout.Completed)
{
if (index >= kline.Count)
{
return;
}
double price = kline[index].CLOSE;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, kline[index].Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, (reason == "" ? "" : reason + ",并") + "择机强制卖出");
}
break;
}
#endregion
#region D 持仓超过n天进入到择机卖出状态
if (p_maxholddays != 0 && CalendarUtils.WorkDayCount(bout.BuyInfo.TradeDate, klineItemDay.Date) >= p_maxholddays)
{
reason = "持仓超过" + p_maxholddays.ToString() + "天";
chooseToSell = true;
continue;
}
#endregion
#region E 达到止损线,进入到择机卖出状态
double loss = (klineItemDay.LOW - bout.BuyInfo.TradePrice) / bout.BuyInfo.TradePrice;
if (p_stoploss > 0 && loss < 0 && loss < -1 * p_stoploss)
{
reason = "达到止损" + p_stoploss.ToString("F2");
bout.RecordTrade(2, d, TradeDirection.Sell, bout.BuyInfo.TradePrice * (1 - p_stoploss), bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, reason);
break;
}
#endregion
#region F调用子类的算法来寻找卖点
if (!bout.Completed)
{
chooseToSell = DoSell(code, bout, d, strategyParam, backtestParam, out reason);
}
if (bout.Completed)
{
break;
}
#endregion
#region 判断是否加仓或者减仓
if (p_addholdprofilt > 0 && p_addholdamount > 0)
{
if (percentClose > p_addholdprofilt)
{
int addamount = (int)(bout.BuyInfo.Amount * p_addholdamount);
TradeInfo tradeInfo = new TradeInfo();
tradeInfo.Code = bout.Code;
tradeInfo.Amount = addamount;
tradeInfo.Direction = TradeDirection.Buy;
tradeInfo.Reason = "加仓";
tradeInfo.Fee = backtestParam.Volumecommission;
tradeInfo.Stamps = backtestParam.Stampduty;
tradeInfo.TradeDate = klineItemDay.Date;
tradeInfo.TradePrice = klineItemDay.CLOSE;
bout.BuyInfo.TradePrice = (bout.BuyInfo.Amount * bout.BuyInfo.TradePrice + addamount * klineItemDay.CLOSE) / (bout.BuyInfo.Amount + addamount);
bout.BuyInfo.Amount += addamount;
}
}
#endregion
}
#endregion //寻找卖点结束
}
#endregion //遍历每一个买入回合结束
}
public override TradeRecords DoBuy(TimeSerialsDataSet ds, Properties strategyParam, BacktestParameter backtestParam)
{
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weekCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
if (dayFunds == null || dayFunds.Count <= 0 || weekFunds == null || weekFunds.Count <= 0 || dayCross == null || dayCross.Count <= 0 || weekCross == null || weekCross.Count <= 0)
{
return(null);
}
TradeRecords tr = new TradeRecords(ds.Code);
DateTime begin = backtestParam.BeginDate;
DateTime end = backtestParam.EndDate;
double p_day_low = strategyParam.Get <double>("day_low");
double p_day_bias = strategyParam.Get <double>("day_bias");
double p_week_low = strategyParam.Get <double>("week_low");
double p_week_bias = strategyParam.Get <double>("week_bias");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <Object>("getinMode");
for (int i = 0; i < dayFunds.Count; i++)
{
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[i];
if (dayFundItem == null)
{
continue;
}
if (dayFundItem.Date < begin || dayFundItem.Date >= end)
{
continue;
}
if ((dayFundItem.Value[0] - dayFundItem.Value[1]) < p_day_bias)
{
continue;
}
DateTime td = CalendarUtils.GetWeek(dayFundItem.Date, DayOfWeek.Friday);
ITimeSeriesItem <List <double> > weekFundItem = weekFunds[td];
if (weekFundItem == null)
{
continue;
}
if ((weekFundItem.Value[0] - weekFundItem.Value[1]) < p_week_bias)
{
continue;
}
KLine dayLine = ds.DayKLine;
if (dayLine == null)
{
continue;
}
KLineItem dayLineItem = dayLine[dayFundItem.Date];
if (dayLineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(ds.Code);
bout.RecordTrade(1, dayFundItem.Date, TradeDirection.Buy, dayLineItem.CLOSE, (int)(p_getinMode.Value / dayLineItem.CLOSE), 0, 0, Name);
tr.Bouts.Add(bout);
}
return(tr);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//创建数据集
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine klineDay = ds.DayKLine;
if (klineDay == null || klineDay.Count < 0)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null || fundDay.Count <= 0)
{
return(null);
}
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
TradeRecords tradeRecords = new TradeRecords(code);
//遍历回测中的每一天
DateTime d = backtestParam.BeginDate;
int beginIndex = klineDay.IndexOf(d, true);
if (beginIndex < 0)
{
return(tradeRecords);
}
for (int index = beginIndex; index < klineDay.Count; index++)
{
KLineItem klineItemDay = klineDay[index];
if (klineItemDay == null)
{
continue;
}
d = klineItemDay.Date;
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int fIndex = fundDay.IndexOf(fundItemDay);
//是否进入到主力线低位
if (p_mainforcelow != 0 && fundItemDay.Value[0] >= p_mainforcelow)
{
continue;
}
//是否主力线爬升离开低位
if (p_mainforcelow != 0)
{
for (fIndex = fIndex + 1; fIndex < fundDay.Count; fIndex++)
{
fundItemDay = fundDay[fIndex];
if (fundItemDay == null)
{
continue;
}
if (fundItemDay.Value[0] <= p_mainforcelow)
{
continue;
}
if (fundItemDay.Date < backtestParam.BeginDate || fundItemDay.Date > backtestParam.EndDate)//数据错误
{
return(tradeRecords);
}
d = fundItemDay.Date;
index = klineDay.IndexOf(d);
klineItemDay = klineDay[index];
break;
}
if (fIndex >= fundDay.Count)
{
return(tradeRecords);
}
}
//看主力线爬升速度
if (p_mainforceslope != 0 && fIndex > 0)
{
//爬升速度不够快
if ((fundItemDay.Value[0] - fundDay[fIndex - 1].Value[0]) < p_mainforceslope)
{
continue;
}
}
//看主力线是否持续爬升
if (p_mainforcerough > 0)
{
bool cont = true;
for (int temp = 0; temp < p_mainforcerough; temp++)
{
fIndex += temp;
if (fIndex >= fundDay.Count)
{
cont = false;
break;
}
fundItemDay = fundDay[fIndex];
if (fundItemDay.Value[0] < fundDay[fIndex - 1].Value[0])
{
cont = false;
break;
}
}
if (!cont)
{
continue;
}
d = fundItemDay.Date;
index = klineDay.IndexOf(d);
klineItemDay = klineDay[index];
}
//看是否在买点附近
TradingLine tradingLine = ds.DayTradeLine;
if (p_buypointdays >= 0 && tradingLine != null && tradingLine.buysellPoints != null && tradingLine.buysellPoints.Count > 0)
{
int bsptIndex = tradingLine.buysellPoints.IndexOf(d, true);
ITimeSeriesItem <char> bsptItemDay = bsptIndex < 0 ? null : tradingLine.buysellPoints[bsptIndex];
if (bsptItemDay != null && bsptItemDay.Value == 'S')
{
bsptItemDay = bsptIndex >= tradingLine.buysellPoints.Count - 1 ? null : tradingLine.buysellPoints[bsptIndex + 1];
}
if (bsptItemDay == null || (bsptItemDay.Date.Date - d).TotalDays > p_buypointdays)
{
continue;
}
}
//月线买点才能买入
TimeSeries <ITimeSeriesItem <char> > ptMonths = ds.CubePtCreateOrLoad(TimeUnit.month);
if (p_monthbutpt == 1 && ptMonths != null && ptMonths.Count > 0)
{
int t1 = 0;
for (; t1 < ptMonths.Count - 1; t1++)
{
if (d.Date >= ptMonths[t1].Date.Date && d.Date <= ptMonths[t1 + 1].Date.Date)
{
break;
}
}
if (t1 < ptMonths.Count - 1)
{
if (ptMonths[t1].Value != 'B')
{
continue;
}
}
}
//准备执行买入
String reason = "";
double price = klineItemDay.CLOSE;
double fund = p_fundpergetin.Value;// price * p_maxholdnum;
int amount = (int)(fund / price);
TradeBout newBout = new TradeBout(ds.Code);
newBout.RecordTrade(1, d, TradeDirection.Buy, price, amount, backtestParam.Volumecommission, 0, reason);
tradeRecords.Bouts.Add(newBout);
}
return(tradeRecords);
}
public override bool DoSell(String code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out String reason)
{
reason = "";
if (bout == null)
{
return(false);
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(false);
}
//跳过已完成的
if (bout.Completed)
{
return(false);
}
//取得策略参数
int p_spoints = strategyParam.Get <int>("spoints");
int p_totaldropcount = strategyParam.Get <int>("totaldropcount");
int p_continuedropcount = strategyParam.Get <int>("continuedropcount");
#region 判断发出S点卖出：p_spoints=1表示日线出S点，p_spoints=2表示60分钟线出S点
if (p_spoints > 0 && ds.DayTradeLine != null && ds.DayTradeLine.buysellPoints != null && ds.DayTradeLine.buysellPoints.Count > 0)
{
ITimeSeriesItem <char> bsptItemDay = ds.DayTradeLine.buysellPoints[d];
if (bsptItemDay != null && bsptItemDay.Value == 'S')
{
KLineItem klineItemDay = kline[d];
if (klineItemDay != null)
{
double price = klineItemDay.CLOSE;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "日线出S点");
return(false);
}
}
}
#endregion
#region 根据价格下降情况判断是否卖出
if (p_continuedropcount > 0 || p_totaldropcount > 0)
{
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
int index = bIndex + 1;
if (index >= kline.Count)
{
return(false);
}
KLineItem item = kline[index];
DateTime td = item.Date;
int totaldropcount = 0, continuedropcount = 0;
double prevPrice = bout.BuyInfo.TradePrice;
bool prevDrop = item.Average < prevPrice;
while (td <= d && index < kline.Count - 1)
{
double price = item.Average;
if (price < prevPrice)
{
totaldropcount += 1;
if (prevDrop)
{
continuedropcount += 1;
}
prevDrop = true;
}
else
{
prevDrop = false;
}
index += 1;
item = kline[index];
td = item.Date;
}
//进入到伺机卖出状态
if (p_continuedropcount != 0 && continuedropcount >= p_continuedropcount)
{
return(true);
}
//进入到伺机卖出情况
if (p_totaldropcount != 0 && totaldropcount >= p_totaldropcount)
{
return(true);
}
}
#endregion
return(false);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <char> > ts = ds.DayTradeLine.buysellPoints;
if (ts == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > fundTrends = ds.DayFundTrend;
KLine kline = ds.DayKLine;
TradeRecords tr = new TradeRecords(code);
GetInMode getin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
int diffdays = strategyParam.Get <int>("diffdays");
for (int i = 0; i < ts.Count; i++)
{
if (ts[i].Date.Date < backtestParam.BeginDate)
{
continue;
}
if (ts[i].Date.Date >= backtestParam.EndDate)
{
continue;
}
if (ts[i].Value == 'S')
{
continue;
}
TradeBout bout = new TradeBout(code);
//主力线大于散户线，且连续diffdays天与散户线拉大距离
if (diffdays > 0 && fundTrends != null)
{
int fi = fundTrends.IndexOf(ts[i].Date);
if (fi < 0 || fi < diffdays - 1)
{
continue;
}
ITimeSeriesItem <List <double> > ftItem = fundTrends[fi];
if (ftItem.Value[0] >= 30)
{
continue;
}
double diff = ftItem.Value[0] - ftItem.Value[1];
if (diff <= 0)
{
continue;
}
bool continuekuoda = true;
for (int t = 1; t < diffdays; t++)
{
ftItem = fundTrends[fi - i];
double tDiff = ftItem.Value[0] - ftItem.Value[1];
if (diff < tDiff)
{
continuekuoda = false;
break;
}
diff = tDiff;
}
if (!continuekuoda)
{
continue;
}
}
KLineItem item = kline[ts[i].Date];
bout.RecordTrade(1, ts[i].Date, TradeDirection.Buy, item.CLOSE, (int)(getin.Value / item.CLOSE), backtestParam.Volumecommission, backtestParam.Stampduty, "B");
tr.Bouts.Add(bout);
}
return(tr);
}
/// <summary>
/// 导入数据
/// </summary>
public bool doMergeToRepository()
{
showBeginMessage("开始合并数据...");
if (repository == null)
{
repository = new IndicatorRepository(FileUtils.GetDirectory(props.Get <String>("repository")));
repository.Initilization();
}
String datapath = FileUtils.GetDirectory(props.Get <String>("datapath"));
DirectoryInfo dInfo = new DirectoryInfo(datapath);
FileInfo[] fInfos = dInfo.GetFiles("*.scv");
if (fInfos == null || fInfos.Length <= 0)
{
showResultMessage("没有需要导入的新文件", 1);
return(false);
}
try
{
foreach (FileInfo fInfo in fInfos)
{
String code = fInfo.Name.Substring(3, 6);
TimeSerialsDataSet ds = repository[code];
KLine kline = ds.DayKLine;
if (ds == null)
{
continue;
}
showProgressMessage(code);
CSVFile csvFile = new CSVFile();
csvFile.Load(fInfo.FullName, Encoding.UTF8, false, ",");
List <String> lines = csvFile.Lines;
for (int i = lines.Count - 1; i >= 0; i--)
{
if (lines[i] == null || lines[i].Trim() == "")
{
continue;
}
String[] ss = lines[i].Split(',');
if (ss == null || ss.Length < 7)
{
continue;
}
DateTime d = DateUtils.Parse(ss[0]);
KLineItem item = kline[d];
if (item != null)
{
break;
}
double[] v = new double[6];
for (int j = 0; j < v.Length; j++)
{
v[j] = double.Parse(ss[j + 1]);
}
item = new KLineItem();
item.Date = d;
item.SetValue <double>("OPEN", v[0]);
item.SetValue <double>("HIGH", v[1]);
item.SetValue <double>("LOW", v[2]);
item.SetValue <double>("CLOSE", v[3]);
item.SetValue <double>("VOLUME", v[4]);
item.SetValue <double>("TURNOVER", v[5]);
kline.Add(item);
}
ds.Save("kline", TimeUnit.day);
}
showResultMessage("");
return(true);
}
catch (Exception e)
{
showResultMessage("导入失败", -1, e.Message);
return(false);
}
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
//获取行情数据
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
DateTime beginDate = backtestParam.BeginDate;
DateTime endDate = backtestParam.EndDate;
int bIndex = kline.IndexOf(beginDate, false);
if (bIndex < 0)
{
return(null);
}
//获取参数
int maxholddays = strategyParam.Get <int>("maxholddays");
double maxprofilt = strategyParam.Get <double>("maxprofilt");
//遍历K线
List <Object[]> listEarn = new List <object[]>();
List <Object[]> listLoss = new List <object[]>();
TradeRecords tr = new TradeRecords();
for (int index = bIndex; index < kline.Count; index++)
{
KLineItem item = kline[index];
if (item.Date >= endDate)
{
break;
}
double buyPrice = item.CLOSE;
double maxProfiltEffenicePerStock = double.MinValue + 1;
double maxLossEffenicePerStock = double.MaxValue - 1;
int maxProfiltHoldDays = 0;
int maxLossHoldDays = 0;
KLineItem sellEarnItem = null;
KLineItem sellLossItem = null;
for (int i = 1; i < maxholddays; i++)
{
if (index + i >= kline.Count)
{
break;
}
KLineItem item2 = kline[index + i];
if ((item2.Date - item.Date).TotalDays > maxholddays)
{
break;
}
double eraningRates = (item2.CLOSE - buyPrice) / buyPrice;
if (eraningRates > 0 && eraningRates >= maxprofilt && maxProfiltEffenicePerStock < eraningRates)
{
maxProfiltEffenicePerStock = eraningRates / i;
maxProfiltHoldDays = i;
sellEarnItem = item2;
}
if (eraningRates < 0 && maxLossEffenicePerStock > eraningRates)
{
maxLossEffenicePerStock = eraningRates;
maxLossHoldDays = i;
sellLossItem = item2;
}
}
if (maxProfiltHoldDays > 0)
{
Object[] objs = new Object[] { item, sellEarnItem, maxProfiltEffenicePerStock, (sellEarnItem.CLOSE - buyPrice) / buyPrice };
listEarn.Add(objs);
index = kline.IndexOf(sellEarnItem);
}
if (maxLossHoldDays > 0)
{
Object[] objs = new Object[] { item, sellLossItem, maxLossEffenicePerStock, (sellLossItem.CLOSE - buyPrice) / buyPrice };
listLoss.Add(objs);
}
}
if (listEarn.Count <= 0)
{
return(null);
}
Comparison <Object[]> comparsionEran = (x, y) =>
{
return((int)((double)y[2] - (double)x[2]));
};
listEarn.Sort(comparsionEran);
List <String> strs = new List <string>();
foreach (Object[] objs in listEarn)
{
KLineItem buyItem = (KLineItem)objs[0];
KLineItem sellItem = (KLineItem)objs[1];
String str = code + "," + ((double)objs[2]).ToString("F3") + "," + ((double)objs[3]).ToString("F3") + "," + (sellItem.Date - buyItem.Date).TotalDays.ToString() + "," +
buyItem.Date.ToString("yyyyMMdd") + "," + sellItem.Date.ToString("yyyyMMdd") + "," +
buyItem.CLOSE.ToString("F2") + "," + sellItem.CLOSE.ToString("F2");
strs.Add(str);
logger.Info(str);
}
System.IO.File.AppendAllLines(backtestParam.Resultpath + "temp.csv", strs.ToArray(), Encoding.UTF8);
return(null);
}
public override bool DoSell(string code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out string reason)
{
reason = "";
if (bout == null)
{
return(false);
}
if (bout.Completed)
{
return(false);
}
//取得策略参数
int sell_maxholddays = strategyParam.Get <int>("maxholddays"); //最大持仓天数
int sell_notrun_num = strategyParam.Get <int>("sell_notrun_num"); //主力线与价格趋势不符允许出现的最大次数
int sell_selectnum = strategyParam.Get <int>("sell_selectnum"); //可以尝试的最大卖出次数
double sell_mainvalve = strategyParam.Get <double>("sell_mainvalve"); //主力线高位阈值
double sell_mainvalve_diff = strategyParam.Get <double>("sell_mainvalve_diff"); //主力线高位增幅
double sell_slopediff = strategyParam.Get <double>("sell_slopediff"); //主力线和收盘价的斜率差阈值
sell_slopediff = (sell_slopediff / 180) * Math.PI;
double sell_slopepoint = strategyParam.Get <double>("sell_slopepoint"); //线性回归斜率的卖点
sell_slopepoint = (sell_slopepoint / 180) * Math.PI;
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
//取得行情数据
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
TimeSeries <ITimeSeriesItem <double> > dayFundsCross = ds.DayFundTrendCross;
DateTime curDate = d;
DateTime buyDate = bout.BuyInfo.TradeDate;//买入日期
d = buyDate.AddDays(1);
int days = 1; //买入后的第几天
double prevMainFundValue = 0; //前一日的主力值
double mainFunddiff = 0; //主力线当日与前一日的差值
int is_slope_run = 0; //主力线和收盘价走势是否一致，0未知；1一致；-1，-2不一致
int sellnum = 0; //择机卖出次数
int state = 0; //当日状态；0未知；1 择机卖出(在连续sell_selectnum内只要不亏损就卖)
String stateReason = ""; //卖出原因
while (d <= curDate)
{
//查找d日的资金线,找不到则跳过这天
int dayFundIndex = dayFunds.IndexOf(d);
if (dayFundIndex < 0)
{
d = d.AddDays(1);
continue;
}
ITimeSeriesItem <List <double> > dayFundsItem = dayFunds[dayFundIndex];
//查找当日K线,找不到则跳过这天
int dayKLineIndex = kline.IndexOf(d);
if (dayKLineIndex < 0)
{
d = d.AddDays(1);
continue;
}
KLineItem dayLineItem = kline[dayKLineIndex];
//对买入后的每一天
//1.计算以d日收盘价卖出的盈利情况
bout.RecordTrade(2, d, TradeDirection.Sell, kline[dayKLineIndex].CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty);
double earnRate = bout.EarningsRate;
bout.TradeInfos[1] = null;
//如果是择机卖出状态
if (state == 1)
{
if (sellnum > sell_selectnum || earnRate > 0)
{
bout.RecordTrade(2, d, TradeDirection.Sell, kline[dayKLineIndex].CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, stateReason + ",延迟天数=" + sellnum.ToString());
break;
}
sellnum += 1;
d = d.AddDays(1);
days += 1;
continue;
}
//如果超过最大持仓天数，则进入到择机卖出
if (days >= sell_maxholddays)
{
state = 1;
continue;
}
//趋势不一致出现sell_notrun_num次，择机卖出
if (is_slope_run <= -1 * sell_notrun_num)
{
stateReason = "主力线趋势不符" + is_slope_run.ToString() + "次数";
state = 1;
d = d.AddDays(1);
days += 1;
continue;
}
//主力线超出预定值
if (sell_mainvalve != 0 && dayFunds[dayFundIndex].Value[0] >= sell_mainvalve)
{
if (prevMainFundValue == 0)
{
prevMainFundValue = dayFunds[dayFundIndex].Value[0];
d = d.AddDays(1);
days += 1;
continue;
}
else if ((dayFunds[dayFundIndex].Value[0] - prevMainFundValue) > sell_mainvalve_diff)
{
d = d.AddDays(1);
days += 1;
continue;
}
mainFunddiff = (dayFunds[dayFundIndex].Value[0] - prevMainFundValue);
//如果盈利率小于0，延迟数天卖出
if (earnRate <= 0)
{
state = 1;
stateReason = "主力线突破高位且增幅减缓" + mainFunddiff.ToString("F3");
d = d.AddDays(1);
days += 1;
continue;
}
//卖出操作
bout.RecordTrade(2, d, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, "主力线突破高位且增幅减缓" + mainFunddiff.ToString("F3"));
break;
}
//计算线性回归斜率
int begin = dayFunds.IndexOf(buyDate);
int end = dayFundIndex;
List <double> list1 = new List <double>();
for (int k = begin; k <= end; k++)
{
list1.Add(dayFunds[k].Value[0]);
}
double fundT = list1.Normalization().SLOPE();
begin = kline.IndexOf(buyDate);
end = dayKLineIndex;
List <double> list2 = new List <double>();
for (int k = begin; k <= end; k++)
{
list2.Add(kline[k].CLOSE);
}
double closeT = list2.Normalization().SLOPE();
//log.Info("斜率=" + fundT.ToString("F3") + "-" + closeT.ToString("F3") + "=" + Math.Abs(fundT - closeT).ToString("F3"));
//两个线性回归斜率不一致
if (Math.Abs(fundT - closeT) >= sell_slopediff)
{
is_slope_run -= 1;
}
else //两个线性回归斜率一致
{
if (fundT <= sell_slopepoint)
{
KLineItem prevKlineItem = kline[dayKLineIndex - 1];
if (prevKlineItem.CLOSE > dayLineItem.CLOSE)//价格下降了
{
if (earnRate > 0)
{
bout.RecordTrade(2, d, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, "斜率一致且增幅小于阈值(" + fundT.ToString("F2") + "<" + sell_slopepoint.ToString("F2"));
break;
}
}
/*if(earnRate>0)
* {
* bout.RecordTrade(2, d, TradeDirection.Sell, dayLineItem.CLOSE, bout.BuyInfo.Amount, backtestParam.volumecommission, backtestParam.stampduty, "斜率一致且增幅小于阈值("+ fundT.ToString("F2")+"<"+ sell_slopepoint.ToString("F2"));
* break;
* }*/
}
}
//进入下一天
d = d.AddDays(1);
days += 1;
continue;
}
return(false);
}
/// <summary>
/// 执行方法
/// </summary>
/// <param name="context"></param>
public override void Execute(CommandContext context)
{
logger.Debug("执行命令:" + this.ToString());
//取得参数
everydayLinePath = (String)context.GetExternalValue(everydayLinePath);
dayLineReposorityPath = (String)context.GetExternalValue(dayLineReposorityPath);
mergeDateString = (String)context.GetExternalValue(mergeDateString);
mergeDate = DateUtils.Parse(mergeDateString);
logger.Debug("取得参数:源路径=" + everydayLinePath + ",合并路径=" + dayLineReposorityPath + ",日期=" + mergeDateString);
if (!everydayLinePath.EndsWith("\\"))
{
everydayLinePath += "\\";
}
if (!dayLineReposorityPath.EndsWith("\\"))
{
dayLineReposorityPath += "\\";
}
IndicatorRepository repository = (IndicatorRepository)context.GetExternalValue("{$repository}");
//检查路径
DirectoryInfo dFromInfo = new DirectoryInfo(everydayLinePath);
if (!dFromInfo.Exists)
{
throw new Exception("单日日线存储路径不存在:" + everydayLinePath);
}
DirectoryInfo dToInfo = new DirectoryInfo(dayLineReposorityPath);
if (!dToInfo.Exists)
{
throw new Exception("日线存储仓库路径不存在:" + dayLineReposorityPath);
}
FileInfo[] finfos = dFromInfo.GetFiles("*.txt");
logger.Debug("共有" + (finfos == null ? "0" : finfos.Length.ToString()) + "个单日K线数据待合并...");
foreach (FileInfo fInfo in finfos)
{
logger.Debug("处理" + fInfo.Name + "...");
String market = fInfo.Name.Substring(0, fInfo.Name.IndexOf("#"));
String code = fInfo.Name.substring(0, "#", ".");
String[] lines = File.ReadAllLines(fInfo.FullName);
for (int i = 0; i < lines.Length; i++)
{
if (lines[i] == null || lines[i] == "")
{
continue;
}
if (!lines[i].Contains(","))
{
continue;
}
String[] ss = lines[i].Trim().Split(',');
if (ss == null || ss.Length != 7)
{
continue;
}
if (ss[0] == null)
{
continue;
}
DateTime d = DateUtils.InitDate;
if (!DateUtils.TryParse(ss[0].Trim(), out d))
{
continue;
}
if (d.Date != this.mergeDate.Date)
{
continue;
}
KLineItem item = new KLineItem();
item.SetValue <String>(KLineItem.PD_CODE.Name, code);
item.SetValue <DateTime>(KLineItem.PD_TIME.Name, d);
item.SetValue <double>(KLineItem.PD_OPEN.Name, ConvertUtils.ConvertTo <double>(ss[1].Trim()));
item.SetValue <double>(KLineItem.PD_HIGH.Name, ConvertUtils.ConvertTo <double>(ss[2].Trim()));
item.SetValue <double>(KLineItem.PD_LOW.Name, ConvertUtils.ConvertTo <double>(ss[3].Trim()));
item.SetValue <double>(KLineItem.PD_CLOSE.Name, ConvertUtils.ConvertTo <double>(ss[4].Trim()));
item.SetValue <double>(KLineItem.PD_VOLUMN.Name, ConvertUtils.ConvertTo <double>(ss[5].Trim()));
item.SetValue <double>(KLineItem.PD_TURNOVER.Name, ConvertUtils.ConvertTo <double>(ss[6].Trim()));
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
ds.DayKLine[d.Date] = item;
ds.Save("kline", TimeUnit.day);
logger.Debug("合并到" + market.ToUpper() + code + ".csv");
}
}
}
private void createTrainTestData()
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
String filename = textBox7.Text;
FileInfo fInfo = new FileInfo(filename);
String[] lines = File.ReadAllLines(filename);
for (int i = 0; i < lines.Length; i++)
{
if (lines[i] == null || lines[i].Trim() == "")
{
continue;
}
int index = lines[i].IndexOf("\"");
if (index < 0)
{
continue;
}
index = lines[i].IndexOf("\"", index + 1);
if (index < 0)
{
continue;
}
index = lines[i].IndexOf("\"", index + 1);
if (index < 0)
{
continue;
}
String label = lines[i].substring(index - 1, "\"", "\"");
//"[-6.4500000000000002, '2007-05-17', 6]"
String[] ss = label.Split(',');
if (ss == null || ss.Length < 3)
{
continue;
}
String sDate = ss[1].Trim().Substring(1, 10);
String code = ss[2].Substring(0, ss[2].Length - 2).Trim();
int len = code.Length;
for (int j = 0; j < 6 - len; j++)
{
code = "0" + code;
}
DateTime d = DateTime.ParseExact(sDate, "yyyy-MM-dd", null);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
lines[i] = lines[i].Substring(0, index) + "\"[0.0,'" + sDate + "'," + code + "]\"";
continue;
}
KLine kline = ds.DayKLine;
KLineItem item = kline[d];
if (item == null)
{
lines[i] = lines[i].Substring(0, index) + "\"[0.0,'" + sDate + "'," + code + "]\"";
continue;
}
double maxprofilt = -100;
int itemIndex = kline.IndexOf(item);
for (int k = itemIndex + 1; k < itemIndex + 5; k++)
{
if (k >= kline.Count)
{
break;
}
double p = (kline[k].CLOSE - item.CLOSE) / item.CLOSE;
if (maxprofilt < p)
{
maxprofilt = p;
}
}
if (maxprofilt == -100)
{
lines[i] = lines[i].Substring(0, index) + "\"[0.0,'" + sDate + "'," + code + "]\"";
continue;
}
lines[i] = lines[i].Substring(0, index) + "\"[" + maxprofilt.ToString("F3") + ",'" + sDate + "'," + code + "]\"";
}
File.WriteAllLines(filename + "2", lines);
}
/// <summary>
/// 执行卖出操作
/// </summary>
/// <param name="tradeRecord"></param>
/// <param name="strategyParam"></param>
/// <param name="backtestParam"></param>
public override void Execute(TradeRecords tradeRecord, Properties strategyParam, BacktestParameter backtestParam)
{
//初始化行情库
if (tradeRecord == null)
{
return;
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return;
}
//取得策略参数
int p_maxday = strategyParam.Get <int>("maxholddays");
//遍历每一个买入回合
String code = tradeRecord.Code;
List <TradeBout> bouts = tradeRecord.Bouts;
for (int i = 0; i < bouts.Count; i++)
{
TradeBout bout = bouts[i];
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
continue;
}
if (bout.Completed)
{
continue; //跳过已完成的
}
KLine kline = ds.DayKLine;
if (kline == null)
{
continue;
}
int bIndex = kline.IndexOf(bout.BuyInfo.TradeDate);
//寻找p_maxday天内最大收益那天
KLineItem maxProfileItem = null;
for (int index = bIndex + 1; index <= bIndex + 1 + p_maxday; index++)
{
if (index >= kline.Count)
{
break;
}
KLineItem item = kline[index];
if (item.CLOSE > (maxProfileItem == null?0: maxProfileItem.CLOSE))
{
maxProfileItem = item;
}
}
if (maxProfileItem == null)
{
continue;
}
bout.RecordTrade(2, maxProfileItem.Date, TradeDirection.Sell, maxProfileItem.CLOSE, bout.BuyInfo.Amount, backtestParam.Volumecommission, backtestParam.Stampduty, "");
}
}
public override TradeInfo DoSell(HoldRecord holdRecord, DateTime d, Properties strategyParam, StrategyContext context)
{
if (holdRecord == null)
{
return(null);
}
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[holdRecord.code];
if (ds == null)
{
return(null);
}
KLine klineDay = ds.DayKLine;
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
return(null);
}
//取得策略参数
double p_maxprofilt = strategyParam.Get <double>("maxprofilt");
int p_maxholddays = strategyParam.Get <int>("maxholddays");
double p_stoploss = strategyParam.Get <double>("stoploss");
int p_choosedays = strategyParam.Get <int>("choosedays");
double p_chooseprofilt = strategyParam.Get <double>("chooseprofilt");
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
//大盘要求必须卖
if (p_grail.MustSell(d, holdRecord.code))
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "大盘指数要求卖出"
};
return(tradeInfo);
}
double profilt = (klineItemDay.CLOSE - holdRecord.buyPrice) / holdRecord.buyPrice;
//判断是否到达最大收益
if (p_maxprofilt > 0)
{
if (profilt >= p_maxprofilt)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "盈利达到" + p_maxprofilt.ToString("F2")
};
return(tradeInfo);
}
}
//盈利超过个股预期
if (holdRecord.expect > 0)
{
if (profilt >= p_maxprofilt)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "盈利达到个股预期" + holdRecord.expect.ToString("F2")
};
return(tradeInfo);
}
}
//预期要求立即卖出
if (holdRecord.expect == -1)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "个股预期极低"
};
return(tradeInfo);
}
//个股观望天数超过预期
int holdDays = CalendarUtils.WorkDayCount(holdRecord.buyDate, d);
if (holdRecord.expect < 0)
{
if (holdDays >= holdRecord.expect * -1)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "个股预期观望超过" + (-1 * holdRecord.expect).ToString() + "天"
};
return(tradeInfo);
}
}
//达到止损线
if (p_stoploss > 0)
{
if (-1 * profilt > p_stoploss)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "到达止损线" + p_stoploss.ToString("F2")
};
return(tradeInfo);
}
}
//达到最大持仓天数
if (p_maxholddays > 0)
{
if (holdDays > p_maxholddays)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "到达最大持仓天数" + p_maxholddays.ToString()
};
return(tradeInfo);
}
}
return(null);
}
public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
//取得策略参数
double buy_mainlow = strategyParam.Get <double>("buy_mainlow"); //主力线低位买入
int buy_cross = strategyParam.Get <int>("buy_cross");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
TradeRecords tr = new TradeRecords(code);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.DayFundTrend;
TimeSeries <ITimeSeriesItem <double> > dayFundsCross = ds.DayFundTrendCross;
if (buy_cross == 0 && dayFunds == null)
{
return(null);
}
else if (buy_cross == 1 && (dayFundsCross == null || dayFunds == null))
{
return(null);
}
#region 判断主力线低位决定买入点
if (buy_cross == 0)
{
for (int i = 0; i < dayFunds.Count; i++)
{
if (dayFunds[i].Date.Date <backtestParam.BeginDate || dayFunds[i].Date.Date> backtestParam.EndDate)
{
continue;
}
if (double.IsNaN(dayFunds[i].Value[0]))
{
continue;
}
if (dayFunds[i].Value[0] > buy_mainlow)
{
continue;
}
//主力线开始低于buy_mainlow...
i += 1;
while (i < dayFunds.Count)
{
if (dayFunds[i].Value[0] <= buy_mainlow)
{
i += 1;
continue;
}
//主力线出了buy_mainlow
KLineItem klineItem = kline[dayFunds[i].Date];
if (klineItem == null)
{
break;
}
int tIndex = kline.IndexOf(klineItem);
if (tIndex >= kline.Count - 1)
{
break;
}
KLineItem klineItemNext = kline[tIndex + 1];
TradeBout bout = new TradeBout(code);
double price = klineItem.CLOSE;
if (price > klineItemNext.HIGH || price < klineItemNext.LOW)
{
break;
}
bout.RecordTrade(1, dayFunds[i].Date.Date, TradeDirection.Buy, price, (int)(p_getinMode.Value / price), backtestParam.Volumecommission, backtestParam.Stampduty, "主力线低于" + buy_mainlow.ToString("F2"));
tr.Bouts.Add(bout);
break;
}
}
}
#endregion
#region 判断金叉决定买入点
else if (buy_cross == 1)
{
for (int i = 0; i < dayFundsCross.Count; i++)
{
if (dayFundsCross[i].Date.Date <backtestParam.BeginDate || dayFundsCross[i].Date.Date> backtestParam.EndDate)
{
continue;
}
if (dayFundsCross[i].Value <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > dayFundItem = dayFunds[dayFundsCross[i].Date];
if (dayFundItem == null)
{
continue;
}
if (buy_mainlow != 0 && dayFundItem.Value[0] >= buy_mainlow)
{
continue;
}
KLineItem klineItem = kline[dayFundItem.Date];
if (klineItem == null)
{
continue;
}
int tIndex = kline.IndexOf(klineItem);
if (tIndex >= kline.Count - 1)
{
continue;
}
KLineItem klineItemNext = kline[tIndex + 1];
TradeBout bout = new TradeBout(code);
double price = klineItem.CLOSE;
if (price > klineItemNext.HIGH || price < klineItemNext.LOW)
{
continue;
}
bout.RecordTrade(1, dayFunds[i].Date.Date, TradeDirection.Buy, price, (int)(p_getinMode.Value / price), backtestParam.Volumecommission, backtestParam.Stampduty, "主力线低于" + buy_mainlow.ToString("F2"));
tr.Bouts.Add(bout);
}
}
#endregion
return(tr);
}
private void button12_Click(object sender, EventArgs e)
{
String code = textBox4.Text;
DateTime begin = dateTimePicker3.Value;
DateTime end = dateTimePicker4.Value;
int days = int.Parse(textBox5.Text);
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
TimeSerialsDataSet ds = repository[code];
if (ds == null || ds.DayKLine == null)
{
MessageBox.Show("代码" + code + "缺少K线数据");
}
KLine klineDay = ds.DayKLine;
KLineItem item = null;
List <double[]> datas = new List <double[]>();
for (int i = 0; i < klineDay.Count; i++)
{
item = klineDay[i];
if (item.Date < begin)
{
continue;
}
if (item.Date > end)
{
break;
}
double maxprofilt = -100;
for (int j = i + 1; j <= i + 1 + days; j++)
{
if (j >= klineDay.Count)
{
break;
}
double p = (klineDay[j].CLOSE - item.CLOSE) / item.CLOSE;
if (maxprofilt < p)
{
maxprofilt = p;
}
}
if (maxprofilt == -100)
{
continue;
}
double[] values = new double[2];
values[0] = item.CLOSE;
values[1] = maxprofilt;
datas.Add(values);
}
if (datas.Count <= 0)
{
MessageBox.Show("没有有效数据");
return;
}
String[] lines = datas.ConvertAll(x => x[0].ToString("F2") + "," + x[1].ToString("F3")).ToArray();
File.WriteAllLines("d:\\" + code + ".csv", lines);
}
