public void compute()
{
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//标记当日跨式组合多空信号。1表示多头，0表示无信号，-1表示空头。
double orignalSignal = 0;
Straddle holdingStatus = new Straddle();
//统计历史波动率分位数,从回测期开始前一天，统计到最后一天
double[][] fractile = new double[backTestingDuration + 1][];
fractile = computeRollingFractile(startIndex - 1, etfDailyData.Count() - 1, 100);
//统计隐含波动率
computeImpv();
//统计隐含波动率和历史波动率之差 epsilon=max[E(IV-HV),0]
computeEpsilon();
//按时间遍历，2015年02月09日50ETF期权上市开始,2月10日开始昨日收盘的隐含波动率数据。
for (int i = startIndex + 1; i < startIndex + backTestingDuration; i++)
{
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double fractile90Yesterday = fractile[i - 1][9]; //昨日历史波动率90分位数
double fractile70Yesterday = fractile[i - 1][7]; //昨日历史波动率70分位数
double fractile50Yesterday = fractile[i - 1][5]; //昨日历史波动率50分位数
double fractile30Yesterday = fractile[i - 1][3]; //昨日历史波动率30分位数
double volYesterday = etfVol[i - 1]; //昨日历史波动率
double impvYesterday = optionVol[i - 1]; //昨日隐含波动率
//获取当日ATM期权合约代码
DateTime today = etfDailyData[i].time;
double etfPrice = etfDailyData[i].close;
double duration;
//获取当日期限结构,选取当月合约,若当日合约到日期小于等于3天，直接开仓下月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
// double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
//double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
//整合当日分钟线数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", today);
dataToday.Add("510050.SH", etfData.Cast <KLine>().ToList());
dataToday.Add(callATM.optionCode, callPrice.Cast <KLine>().ToList());
dataToday.Add(putATM.optionCode, putPrice.Cast <KLine>().ToList());
//策略信号处理
////信号1
//orignalSignal = 0;
//if (volYesterday >= fractile70Yesterday)
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//else if (optionVol[i - 1] < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (optionVol[i - 1] - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile70Yesterday)
{
//买入跨式期权
//orignalSignal = 1;
}
else if (impvYesterday - volYesterday > 2 * epsilon[i - 1])
{
//卖出跨式期权
orignalSignal = -1;
}
//指定平仓时间为开盘第一个分钟。
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), 0);
Console.WriteLine("time: {0}, 昨日历史波动率: {1}, 历史波动率70分位数: {2}, 昨日隐含波动率: {3}", now, volYesterday.ToString("N"), fractile70Yesterday.ToString("N"), optionVol[i - 1].ToString("N"));
//如果有持仓先判断持仓状态和信号方向是否相同，如果不同先平仓
if (holdingStatus.callPosition != 0)
{
//平仓之前获取IH数据
if (holdingStatus.IHCode != null)
{
var IHData = Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.IHCode, today);
dataToday.Add(holdingStatus.IHCode, IHData.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
if (holdingStatus.callPosition * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, slipPoint);
holdingStatus = new Straddle();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, slipPoint);
holdingStatus = new Straddle();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
int openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPosition == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = optionVolume;
holdingStatus.putPosition = optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
else if (orignalSignal == -1) //做空跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = -optionVolume;
holdingStatus.putPosition = -optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
benchmark.Add(etfData[thisIndex].close);
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
//在控制台上数据每日持仓信息
if (holdingStatus.callPosition != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate);
}
//Console.WriteLine("time: {0}, total: {1}, cash: {2}, option: {3}, margin: {4}", thisTime, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
/// <summary>
/// 策略回测部分，期权时间价值策略
/// 在日循环上判断（1）选择操作标的（2）是否开平仓，在分钟循环上进行具体操作
/// 分钟上的操作：（1）开仓（2）到期平仓（3）调仓平值期权（4）止盈止损
/// （1）若直接开平仓，在开盘15分钟时进行操作（2）若判断止盈止损，在收盘15分钟时进行操作
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startdate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
List <DateTime> tradeDays = DateUtils.GetTradeDays(startdate, endDate);
//var ETFDaily = Platforms.container.Resolve<StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", Kit.ToDate(20150101),Kit.ToDate(20160731));
///账户初始化
//初始化position
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//日内数据准备
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
var list = OptionUtilities.getOptionListByDate(optionInfoList, Kit.ToInt_yyyyMMdd(day));
List <DateTime> endDate = OptionUtilities.getEndDateListByAscending(list);
var ETFtoday = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", day);
data.Add("510050.SH", ETFtoday.Cast <KLine>().ToList());
foreach (var info in list)
{
string IHCode = OptionUtilities.getCorrespondingIHCode(info, Kit.ToInt_yyyyMMdd(day));
var repoOption = Platforms.container.Resolve <OptionMinuteRepository>();
var optionToday = repoOption.fetchFromLocalCsvOrWindAndSave(info.optionCode, day);
data.Add(info.optionCode, optionToday.Cast <KLine>().ToList());
}
int index = 0;
//交易开关设置，控制day级的交易开关
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = true; //平仓开关
//是否为交割日
bool isExpiredDay = day.Equals(endDate[0]);
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
while (index < 240)
{
int nextIndex = index + 1;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double etfPrice = ETFtoday[index].close;
//按strike price与etf价格的接近程度排序
List <double> strikeTodayArr = OptionUtilities.getStrikeListByAscending(list).OrderBy(x => Math.Abs(x - etfPrice)).ToList();
try
{
/*
* if (index != 225)
* {
* index = nextIndex;
* continue;
* }
*/
//持仓查询，先平后开
//若当前有持仓 且 允许平仓
//是否是空仓,若position中所有品种volum都为0，则说明是空仓
bool isEmptyPosition = positions.Count != 0 ? positions[positions.Keys.Last()].Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
if ((positions.Count != 0 && !isEmptyPosition) && tradingOn)
{
//平仓条件
//（1）若当天为交割日或回测结束日，平仓，且关闭开仓开关，次日才能开仓；
//（2）若closingOn为false，平仓；
//（3）检查持仓期权是否为平价期权，若否，清掉当前头寸并建立新的持仓；
//--------------------------------------------------------------------
//（1）若当天为交割日或回测结束日，平仓，且关闭开仓开关，次日才能开仓；
//（2）若closingOn为false，平仓；
//取出当前持仓期权的strike
double strikePriceOfPositions = optionInfoList[optionInfoList.FindIndex(a => a.optionCode == positions[positions.Keys.Last()].Values.First().code)].strike;
bool isParPriceOption = strikePriceOfPositions == strikeTodayArr[0];
//--------------------------------------------------------------------
if (!isEmptyPosition && (isExpiredDay || isLastDayOfBackTesting || closingOn == false))
{
//全部平仓
DateTime next = MinuteCloseAllPositonsWithSlip.closeAllPositions(data, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
//当天不可再开仓
openingOn = false;
}
//（3）检查持仓期权是否为平价期权，若否，清掉当前头寸并建立新的持仓；
else if (!isEmptyPosition && !isParPriceOption)
{
//全部平仓
DateTime next = MinuteCloseAllPositonsWithSlip.closeAllPositions(data, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
//当天不可再开仓
openingOn = false;
}
}
//若当前无持仓 且 允许开仓
//若当前为交割日，则不开仓
if (isExpiredDay == true)
{
openingOn = false;
}
else if ((positions.Count == 0 || isEmptyPosition) && openingOn && tradingOn)
{
//标的池构建
//选择目标期权品种放入标的池：
//四个头寸（1）short当月平价认购（2）short当月平价认沽（3）long下月平价认购（4）long下月平价认沽
OptionInfo callCandidateFront = OptionUtilities.getSpecifiedOption(list, endDate[0], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateFront = OptionUtilities.getSpecifiedOption(list, endDate[0], "认沽", strikeTodayArr[0])[0];
OptionInfo callCandidateNext = OptionUtilities.getSpecifiedOption(list, endDate[1], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateNext = OptionUtilities.getSpecifiedOption(list, endDate[1], "认沽", strikeTodayArr[0])[0];
//检查四个标的strike是否相同，若相同则开仓，若不相同是，说明下月平价期权尚未挂出，则continue
bool isSameStrike = callCandidateFront.strike == callCandidateFront.strike;
//生成开仓信号
if (isSameStrike)
{
//查询可用资金
double nowFreeCash = myAccount.freeCash;
//计算每个头寸的建仓量,原则：尽量使各头寸等金额
double openVolumeOfCallFront = Math.Floor(nowFreeCash / 4 / data[callCandidateFront.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfPutFront = Math.Floor(nowFreeCash / 4 / data[putCandidateFront.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfCallNext = Math.Floor(nowFreeCash / 4 / data[callCandidateNext.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfPutNext = Math.Floor(nowFreeCash / 4 / data[putCandidateNext.optionCode][index].close / optionContractTimes) * optionContractTimes;
MinuteSignal callFront = new MinuteSignal()
{
code = callCandidateFront.optionCode, volume = -openVolumeOfCallFront, time = now, tradingVarieties = "option", price = data[callCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal putFront = new MinuteSignal()
{
code = putCandidateFront.optionCode, volume = -openVolumeOfPutFront, time = now, tradingVarieties = "option", price = data[putCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal callNext = new MinuteSignal()
{
code = callCandidateNext.optionCode, volume = openVolumeOfCallNext, time = now, tradingVarieties = "option", price = data[callCandidateNext.optionCode][index].close, minuteIndex = index
};
MinuteSignal putNext = new MinuteSignal()
{
code = putCandidateNext.optionCode, volume = openVolumeOfPutNext, time = now, tradingVarieties = "option", price = data[putCandidateNext.optionCode][index].close, minuteIndex = index
};
signal.Add(callFront.code, callFront);
signal.Add(putFront.code, putFront);
signal.Add(callNext.code, callNext);
signal.Add(putNext.code, putNext);
DateTime next = MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, data, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
}
}
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, now, data);
}
catch (Exception)
{
throw;
}
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
}
//遍历输出到console
foreach (var account in accountHistory)
{
Console.WriteLine("time:{0},netWorth:{1,8:F3}\n", account.time, account.totalAssets / initialCapital);
}
//将accountHistory输出到csv
var resultPath = ConfigurationManager.AppSettings["CacheData.ResultPath"] + "accountHistory.csv";
var dt = DataTableUtils.ToDataTable(accountHistory); // List<MyModel> -> DataTable
CsvFileUtils.WriteToCsvFile(resultPath, dt); // DataTable -> CSV File
Console.ReadKey();
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
///数据准备
//记录牛市价差两条腿的信息
BullSpread myLegs = new BullSpread();
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
//计算50ETF的EMA
var closePrice = dailyData.Select(x => x.close).ToArray();
List <double> ema7 = TA_MA.EMA(closePrice, 5).ToList();
List <double> ema50 = TA_MA.EMA(closePrice, 20).ToList();
List <double> ema10 = TA_MA.EMA(closePrice, 10).ToList();
double maxProfit = 0;
for (int day = 1; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
var today = tradeDays[day];
myAccount.time = today;
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
double duration = 0;
for (int i = 0; i < dateStructure.Count(); i++)
{
if (dateStructure[i] >= 20 && dateStructure[i] <= 40)
{
duration = dateStructure[i];
break;
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
if (ema7[day + number - 1] - ema50[day + number - 1] > 0 && dailyData[number + day - 1].close > ema10[day + number - 1] && myLegs.strike1 == 0) // EMA7日线大于EMA50日线，并且ETF价格站上EMA10,开牛市价差
{
//取出指定日期
double lastETFPrice = dailyData[number + day - 1].close;
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), 0);
//MinuteSignal openSignal = new MinuteSignal() { code = targetVariety, volume = 10000, time = now, tradingVarieties = "stock", price =averagePrice, minuteIndex = day };
//signal.Add(targetVariety, openSignal);
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, tradeDays[day], duration), "认购"), lastETFPrice, lastETFPrice + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
//如果可以构成看涨期权牛市价差，就开仓
if (list.Count() >= 2)
{
var option1 = list[0];
var option2 = list[list.Count() - 1];
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option1.optionCode, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option2.optionCode, today);
if ((option1Data[0].close > 0 && option2Data[0].close > 0) == true)
{
dataToday.Add(option1.optionCode, option1Data.Cast <KLine>().ToList());
dataToday.Add(option2.optionCode, option2Data.Cast <KLine>().ToList());
//var vol1 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option1.strike, duration / 252.0, 0.04, 0, option1.optionType, option1Data[0].close, etfData[0].close);
//var vol2 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option2.strike, duration / 252.0, 0.04, 0, option2.optionType, option2Data[0].close, etfData[0].close);
MinuteSignal openSignal1 = new MinuteSignal()
{
code = option1.optionCode, volume = 10000, time = now, tradingVarieties = "option", price = option1Data[0].close, minuteIndex = 0
};
MinuteSignal openSignal2 = new MinuteSignal()
{
code = option2.optionCode, volume = -10000, time = now, tradingVarieties = "option", price = option2Data[0].close, minuteIndex = 0
};
Console.WriteLine("开仓！");
signal.Add(option1.optionCode, openSignal1);
signal.Add(option2.optionCode, openSignal2);
myLegs.code1 = option1.optionCode;
myLegs.code2 = option2.optionCode;
myLegs.strike1 = option1.strike;
myLegs.strike2 = option2.strike;
myLegs.endDate = option1.endDate;
myLegs.spreadPrice_Open = option1Data[0].close - option2Data[0].close;
myLegs.etfPrice_Open = etfData[0].close;
myLegs.spreadOpenDate = now;
maxProfit = 0;
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", now, etfData[0].close, myLegs.strike1, option1Data[0].close, myLegs.strike2, option2Data[0].close);
}
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
if (positions.Count() > 0 && myLegs.strike1 != 0)
{
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code1, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code2, today);
dataToday.Add(myLegs.code1, option1Data.Cast <KLine>().ToList());
dataToday.Add(myLegs.code2, option2Data.Cast <KLine>().ToList());
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
var etfPriceNow = etfData[thisIndex].close;
var durationNow = DateUtils.GetSpanOfTradeDays(today, myLegs.endDate);
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", thisTime, etfPriceNow, myLegs.strike1, option1Data[thisIndex].close, myLegs.strike2, option2Data[thisIndex].close);
//多个退出条件①收益达到最大收益的60%以上②多日之内不上涨③迅速下跌
double spreadPrice = option1Data[thisIndex].close - option2Data[thisIndex].close;
maxProfit = (spreadPrice - myLegs.spreadPrice_Open) > maxProfit ? spreadPrice - myLegs.spreadPrice_Open : maxProfit;
double holdingDays = DateUtils.GetSpanOfTradeDays(myLegs.spreadOpenDate, today);
//止盈
bool profitTarget = (spreadPrice) > 0.6 * (myLegs.strike2 - myLegs.strike1) && durationNow >= 10;
//止损
bool lossTarget1 = (spreadPrice - myLegs.spreadPrice_Open) < 0 && holdingDays > 20;
bool lossTarget2 = etfPriceNow < myLegs.strike1 - 0.2;
bool lossTarget3 = spreadPrice / myLegs.spreadPrice_Open < 0.6;
bool lossTarget4 = maxProfit > 0.02 && (spreadPrice - myLegs.spreadPrice_Open) / maxProfit < 0.8;
if (profitTarget || lossTarget1 || lossTarget2 || lossTarget3 || lossTarget4 || durationNow <= 1 || holdingDays >= 7)
{
Console.WriteLine("平仓！");
maxProfit = 0;
myLegs = new BullSpread();
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, thisTime, slipPoint);
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
else
{
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
tempAccount.initialAssets = myAccount.initialAssets;
accountHistory.Add(tempAccount);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
/// <summary>
/// 50ETF择时策略测试，N-Days Reversion
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
///账户初始化
//初始化positions
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
//记录benchmark数据
List <double> benchmark = new List <double>();
///数据准备
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//50etf分钟数据准备，取全回测期的数据存放于data
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
foreach (var tempDay in tradeDays)
{
var ETFData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tempDay);
if (!data.ContainsKey(targetVariety))
{
data.Add(targetVariety, ETFData.Cast <KLine>().ToList());
}
else
{
data[targetVariety].AddRange(ETFData.Cast <KLine>().ToList());
}
}
//频率转换测试
//List<KLine> data_5min = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Minutely", 3);
//List<KLine> data_1Day = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Daily", 1);
//List<KLine> data_1Month = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Monthly", 1);
// List<KLine> data_1Week = MinuteFrequencyTransferUtils.MinuteToNPeriods(data[targetVariety], "Weekly", 1);
//计算需要指标
//（1）回看长度内的高低极值点（值）
//（2）各级别高低拐点的位置（值）
List <double> upReversionPoint = new List <double>();
List <double> downReversionPoint = new List <double>();
upReversionPoint = ComputeReversionPoint.findUpReversionPoint(data[targetVariety], NDays, lengthOfBackLooking);
downReversionPoint = ComputeReversionPoint.findDownReversionPoint(data[targetVariety], NDays, lengthOfBackLooking);
int indexOfNow = -1;//记录整个data的索引
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//取出当天的数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
foreach (var variety in data)
{
dataToday.Add(variety.Key, data[variety.Key].FindAll(s => s.time.Year == day.Year && s.time.Month == day.Month && s.time.Day == day.Day));
}
int index = 0;
//交易开关设置，控制day级的交易开关
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = true; //平仓开关
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
while (index < 240)
{
int nextIndex = index + 1;
indexOfNow++;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
DateTime next = new DateTime();
//int indexOfNow = data[targetVariety].FindIndex(s => s.time == now);
myAccount.time = now;
double nowClose = dataToday[targetVariety][index].close;
double nowUpReversionPoint = upReversionPoint[indexOfNow];
double nowDownReversionPoint = downReversionPoint[indexOfNow];
//实际操作从第一个回望期后开始
if (indexOfNow < lengthOfBackLooking - 1)
{
index = nextIndex;
continue;
}
try
{
//持仓查询，先平后开
//若当前有持仓 且 允许平仓
//是否是空仓,若position中所有品种volum都为0，则说明是空仓
bool isEmptyPosition = positions.Count != 0 ? positions[positions.Keys.Last()].Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
//若当前有持仓且允许交易
if (!isEmptyPosition && closingOn)
{
///平仓条件
/// （1）若当前为 回测结束日 或 tradingOn 为false，平仓
/// （2）若当前下穿下反转点*（1-容忍度），平多
//（1）若当前为 回测结束日 或 tradingOn 为false，平仓
if (isLastDayOfBackTesting || tradingOn == false)
{
next = MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
}
//（2）若当前下穿下反转点*（1-容忍度），平多
else if (data[targetVariety][indexOfNow - 1].close >= nowDownReversionPoint * (1 - toleranceDegree) && nowClose < nowDownReversionPoint * (1 - toleranceDegree))
{
next = MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
}
}
//空仓 且可交易 可开仓
else if (isEmptyPosition && tradingOn && openingOn)
{
///开仓条件
/// 可用资金足够，且出现上反转信号
double nowFreeCash = myAccount.freeCash;
//开仓量，满仓梭哈
double openVolume = Math.Truncate(nowFreeCash / data[targetVariety][indexOfNow].close / contractTimes) * contractTimes;
//若剩余资金至少购买一手 且 出上反转信号 开仓
if (openVolume >= 1 && data[targetVariety][indexOfNow - 1].close <= nowUpReversionPoint * (1 + toleranceDegree) && nowClose > nowUpReversionPoint * (1 + toleranceDegree))
{
MinuteSignal openSignal = new MinuteSignal()
{
code = targetVariety, volume = openVolume, time = now, tradingVarieties = "stock", price = dataToday[targetVariety][index].close, minuteIndex = index
};
signal.Add(targetVariety, openSignal);
next = MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
//当天买入不可卖出
closingOn = false;
}
}
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, now, dataToday);
}
catch (Exception)
{
throw;
}
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
//抓取benchmark
benchmark.Add(dataToday[targetVariety].Last().close);
//显示当前信息
Console.WriteLine("Time:{0,-8:F},netWorth:{1,-8:F3}", day, myAccount.totalAssets / initialCapital);
}
//遍历输出到console
/*
* foreach (var account in accountHistory)
* Console.WriteLine("time:{0,-8:F}, netWorth:{1,-8:F3}\n", account.time, account.totalAssets / initialCapital);
*/
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,-3:F} \n totalReturn:{1,-3:F} \n anualReturn:{2,-3:F} \n anualSharpe :{3,-3:F} \n winningRate:{4,-3:F} \n PnLRatio:{5,-3:F} \n maxDrawDown:{6,-3:F} \n maxProfitRatio:{7,-3:F} \n informationRatio:{8,-3:F} \n alpha:{9,-3:F} \n beta:{10,-3:F} \n averageHoldingRate:{11,-3:F} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
/*
* //将accountHistory输出到csv
* var resultPath = ConfigurationManager.AppSettings["CacheData.ResultPath"] + "accountHistory.csv";
* var dt = DataTableUtils.ToDataTable(accountHistory); // List<MyModel> -> DataTable
* CsvFileUtils.WriteToCsvFile(resultPath, dt); // DataTable -> CSV File
*/
Console.ReadKey();
}
