private double[] computeNetValue(List <StockTransaction> etf, double[] longSignal, double[] shortSignal, ref List <OneByOneTransaction> data)
{
double[] netvalue = new double[etf.Count()];
data = new List <OneByOneTransaction>();
OneByOneTransaction transaction = new OneByOneTransaction();
double nv = 0;
double position = 0;
double cash = 1;
double stopPrice = 0;
double shortStopPrice = 0;
double stopRatio = 0.95;
double shortStopRatio = 1.05;
double slipRatio = 0.0002;
double count = 0;
for (int i = 0; i < etf.Count(); i++)
{
DateTime time = etf[i].DateTime;
double stockPrice = etf[i].Close;
if (time.TimeOfDay > new TimeSpan(14, 55, 00) && position != 0) //超过14点55分有仓位，强制平仓
{
cash = cash + (stockPrice * position) - Math.Abs(stockPrice * position * slipRatio);
position = 0;
stopPrice = 0;
shortStopPrice = 0;
transaction.closeTime = time;
transaction.closePrice = stockPrice;
data.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position == 0 && time.TimeOfDay < new TimeSpan(14, 45, 00) && time.TimeOfDay > new TimeSpan(9, 35, 00)) //未开仓
{
if (longSignal[i] > 0) //开多头
{
position = cash * (1 - slipRatio) / stockPrice;
cash = 0;
stopPrice = stockPrice * stopRatio;
count++;
transaction = new OneByOneTransaction();
transaction.openTime = time;
transaction.openPrice = stockPrice;
transaction.position = 1;
}
else if (shortSignal[i] < 0)//开空头
{
position = -cash * (1 - slipRatio) / stockPrice;
cash = cash - position * stockPrice;
shortStopPrice = stockPrice * shortStopRatio;
count++;
transaction = new OneByOneTransaction();
transaction.openTime = time;
transaction.openPrice = stockPrice;
transaction.position = -1;
}
}
else //已开仓
{
if (position > 0) //已开多仓
{
//记录追踪止损的点位
if (stopPrice < stockPrice * stopRatio)
{
stopPrice = stockPrice * stopRatio;
}
if (stockPrice < stopPrice || shortSignal[i] < 0) //平仓或者止损
{
cash = cash + stockPrice * position - Math.Abs(stockPrice * position * slipRatio);
position = 0;
stopPrice = 0;
transaction.closeTime = time;
transaction.closePrice = stockPrice;
data.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position == 0 && shortSignal[i] == -2 && time.TimeOfDay < new TimeSpan(14, 45, 00)) //平仓之后反手
{
position = -cash * (1 - slipRatio) / stockPrice;
cash = cash - position * stockPrice;
shortStopPrice = stockPrice * shortStopRatio;
count++;
transaction = new OneByOneTransaction();
transaction.openTime = time;
transaction.openPrice = stockPrice;
transaction.position = -1;
}
}
else if (position < 0) //已开空仓
{
//记录追踪止损的点位
if (shortStopPrice > stockPrice * shortStopRatio)
{
shortStopPrice = stockPrice * shortStopRatio;
}
if (stockPrice > shortStopPrice || longSignal[i] > 0) //平仓或者止损
{
cash = cash + stockPrice * position - Math.Abs(stockPrice * position * slipRatio);
position = 0;
shortStopPrice = 0;
transaction.closeTime = time;
transaction.closePrice = stockPrice;
data.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position == 0 && longSignal[i] == 2 && time.TimeOfDay < new TimeSpan(14, 45, 00)) //平仓之后反手
{
position = cash * (1 - slipRatio) / stockPrice;
cash = 0;
stopPrice = stockPrice * stopRatio;
count++;
transaction = new OneByOneTransaction();
transaction.openTime = time;
transaction.openPrice = stockPrice;
transaction.position = 1;
}
}
}
nv = cash + position * etf[i].Close;
netvalue[i] = nv;
}
return(netvalue);
}
private bool ComputeDualTrust(List <DateTime> tradedays, List <StockTransaction> underlying, double[] signal, double[] range, double trailingParameter, ref List <OneByOneTransaction> data, ref List <netvalueDaily> netvalueList)
{
int lengthOfDays = tradedays.Count();
double originalCash = 10000;
double cash = originalCash;
double position = 0;
double maxProfit = 0;
bool tradable = false;
OneByOneTransaction transaction = new OneByOneTransaction();
for (int i = 0; i < lengthOfDays; i++)
{
if (range[i] < 10)
{
continue;
}
int j = 0;
int index = 0;
StockTransaction dataNow = new StockTransaction();
double avgPrice = 0;
for (j = 0; j < minutes - 5; j++)
{
index = i * minutes + j;
dataNow = underlying[index];
if (dataNow.Volume > 0)
{
tradable = true;
}
else
{
tradable = false;
continue;
}
avgPrice = dataNow.Amount / dataNow.Volume / multiplicator;
if (position == 0) //开仓
{
if (signal[index] == 1) //开多头
{
position = 1;
cash = cash - avgPrice - avgPrice * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = 1;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
if (signal[index] == -1) //开空头
{
position = -1;
cash = cash + avgPrice - avgPrice * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = -1;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
}
else
{
if (position == 1)
{
if ((dataNow.Open / transaction.openPrice - 1) < maxProfit - trailingParameter)
{
cash = cash + avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
}
if (position == -1)
{
if ((transaction.openPrice / dataNow.Open - 1) < maxProfit - trailingParameter)
{
cash = cash - avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
}
}
if (position == 1)
{
if ((dataNow.Close / transaction.openPrice - 1) > maxProfit)
{
maxProfit = (dataNow.Close / transaction.openPrice - 1);
}
}
if (position == -1)
{
if ((transaction.openPrice / dataNow.Close - 1) > maxProfit)
{
maxProfit = (transaction.openPrice / dataNow.Close - 1);
}
}
}
//日内最后3分钟平仓
j = minutes - 3;
index = i * minutes + j;
dataNow = underlying[index];
if (dataNow.Volume > 0)
{
tradable = true;
}
else
{
tradable = false;
}
avgPrice = dataNow.Amount / dataNow.Volume / multiplicator;
if (position == 1 && tradable)
{
cash = cash + avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position == -1 && tradable)
{
cash = cash - avgPrice - avgPrice * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
data.Add(transaction);
transaction = new OneByOneTransaction();
}
//计算每日收盘时候的净值
index = i * minutes + minutes - 1;
dataNow = underlying[index];
netvalueDaily nvToday = new netvalueDaily();
nvToday.date = dataNow.DateTime.Date;
nvToday.netvalue = cash + position * dataNow.Close;
netvalueList.Add(nvToday);
}
return(true);
}
//第二类布林带的使用，当价格上穿上轨1的时候买入，当下轨下穿下轨1的时候卖出
private bool bollingerBrand2(List <StockTransaction> underlying1, List <StockTransaction> underlying2, double[] signal, int duration, List <BollingerBandwithPrice> myboll, ref List <OneByOneTransaction> data, ref List <netvalueDaily> netvalueList)
{
netvalueList = new List <netvalueDaily>();
data = new List <OneByOneTransaction>();
OneByOneTransaction transaction = new OneByOneTransaction();
double position1 = 0;
double position2 = 0;
double cash = 1;
double slipRatio = 0.003;
double nv = 1;
double trailingProfit = 0;
bool trailingStop = false;
double trailingParameter = 0.02;
netvalueDaily nvToday = new netvalueDaily();
nvToday.netvalue = nv;
nvToday.date = underlying1[0].DateTime;
bool trade = true;
int length = signal.Length;
netvalueList.Add(nvToday);
for (int i = 1; i < length; i++)
{
trade = true;
if (underlying1[i].TradeStatus != "交易" || underlying2[i].TradeStatus != "交易")
{
trade = false;
}
double underlying1AvgPrice = underlying1[i].AdjFactor * underlying1[i].Amount / underlying1[i].Volume;
double underlying2AvgPrice = underlying2[i].AdjFactor * underlying2[i].Amount / underlying2[i].Volume;
double underlying1ClosePrice = underlying1[i].AdjFactor * underlying1[i].Close;
double underlying2ClosePrice = underlying2[i].AdjFactor * underlying2[i].Close;
double pairPriceYesterday = Math.Log(underlying1[i - 1].AdjFactor * underlying1[i - 1].Close / (underlying2[i - 1].AdjFactor * underlying2[i - 1].Close));
var today = underlying1[i].DateTime;
//空仓情况,看情况开仓
if (position1 == 0 && position2 == 0 && trade == true)
{
//上穿上轨1
if (signal[i - 1] == 3)
{
cash = cash * (1 - slipRatio);
position1 = cash / 2 / underlying1AvgPrice;
position2 = -cash / 2 / underlying2AvgPrice;
transaction.openTime = today;
transaction.position = 1;
transaction.openPrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
trailingProfit = 0;
trailingStop = false;
}
//下穿上轨1
else if (signal[i - 1] == -1)
{
cash = cash * (1 - slipRatio);
position1 = -cash / 2 / underlying1AvgPrice;
position2 = cash / 2 / underlying2AvgPrice;
transaction.openTime = today;
transaction.position = -1;
transaction.openPrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
trailingProfit = 0;
trailingStop = false;
}
}
//多头情况
else if (position1 > 0 && position2 < 0 && trade == true)
{
//追踪止损
if (trailingStop == true)
{
cash += position1 * underlying1AvgPrice * (1 - slipRatio) + position2 * underlying2AvgPrice * (1 + slipRatio);
position1 = 0;
position2 = 0;
transaction.closeTime = today;
transaction.closePrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
trailingStop = false;
trailingProfit = 0;
}
}
//空头情况
else if (position1 < 0 && position2 > 0 && trade == true)
{
//追踪止损
if (trailingStop == true)
{
cash += position1 * underlying1AvgPrice * (1 + slipRatio) + position2 * underlying2AvgPrice * (1 - slipRatio);
position1 = 0;
position2 = 0;
transaction.closeTime = today;
transaction.closePrice = Math.Log(underlying1AvgPrice / underlying2AvgPrice);
transaction.closeStatus = "追踪止损";
data.Add(transaction);
transaction = new OneByOneTransaction();
trailingStop = false;
trailingProfit = 0;
}
}
//计算追踪止损点位
double closePrice = Math.Log(underlying1ClosePrice / underlying2ClosePrice);
if (position1 > 0 && position2 < 0) //多头
{
if (closePrice > trailingProfit + transaction.openPrice)
{
trailingProfit = closePrice - transaction.openPrice;
}
else if (trailingProfit - (closePrice - transaction.openPrice) > trailingParameter)
{
trailingStop = true;
}
}
else if (position1 < 0 && position2 > 0) //空头
{
if (closePrice < -trailingProfit + transaction.openPrice)
{
trailingProfit = -closePrice + transaction.openPrice;
}
else if (trailingProfit - (-closePrice + transaction.openPrice) > trailingParameter)
{
trailingStop = true;
}
}
nv = cash + position1 * underlying1ClosePrice + position2 * underlying2ClosePrice;
nvToday = new netvalueDaily();
nvToday.netvalue = nv;
nvToday.date = today;
netvalueList.Add(nvToday);
}
return(true);
}
private bool dualTrust(stockInfo stock, Dictionary <DateTime, parameterPair> parameters, ref List <netvalueDaily> nv, ref List <OneByOneTransaction> transactionData)
{
if (allStocks.ContainsKey(stock.code) == false)
{
return(false);
}
var data = allStocks[stock.code];
double cash = 10000;
double position = 0;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
OneByOneTransaction transaction = new OneByOneTransaction();
//观察期限30分钟
int duration = 30;
int minutes = 240;
foreach (var date in myTradeDays)
{
if (data.ContainsKey(date) == false || parameters.ContainsKey(date) == false)
{
return(false);
}
var stockToday = data[date];
var para = parameters[date];
double k1 = para.parameter1;
double k2 = para.parameter2;
double trailing = para.parameter3;
double maxProfit = 0;
bool tradable = true;
if (para.existGoodParameter == false)
{
tradable = false;
}
//通过每日前30分钟计算指标
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
double Range = 0;
double longPoint = -1;
double shortPoint = -1;
for (int j = 0; j < duration; j++)
{
var dataNow = stockToday[j];
if (dataNow.High > HH)
{
HH = dataNow.High;
}
if (dataNow.Close > HC)
{
HC = dataNow.Close;
}
if (dataNow.Close < LC)
{
LC = dataNow.Close;
}
if (dataNow.Low < LL)
{
LL = dataNow.Low;
}
}
Range = Math.Max(HH - LC, HC - LL);
longPoint = stockToday[duration].Open + k1 * Range;
shortPoint = stockToday[duration].Open - k2 * Range;
for (int j = duration; j < minutes; j++)
{
var dataNow = stockToday[j];
var dataLast = stockToday[j - 1];
double avgPrice = dataNow.Close;
if (dataNow.Volume == 0)
{
tradable = false;
}
else
{
avgPrice = dataNow.Amount / dataNow.Volume / multiple;
if (para.existGoodParameter == true)
{
tradable = true;
}
}
if (position == 0 && j <= minutes - 10 && tradable)
{
//多头信号
if (dataNow.Open > longPoint && dataLast.Open < longPoint)
{
position = 0.9 * Math.Floor(cash * 1000 / avgPrice) / 1000;
cash = cash - avgPrice * position - avgPrice * position * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = position;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
//空头信号
else if (dataNow.Open < shortPoint && dataLast.Open > shortPoint)
{
position = -0.9 * Math.Floor(cash * 1000 / avgPrice) / 1000;
cash = cash - avgPrice * position + avgPrice * position * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = position;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
}
else if (position != 0 && j <= minutes - 5 && tradable) //非收盘前5分钟，按追踪止损平仓
{
if (position > 0)
{
if ((dataNow.Open / transaction.openPrice - 1) < maxProfit - trailing)
{
cash = cash + avgPrice * position - avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
if (position < 0)
{
if ((transaction.openPrice / dataNow.Open - 1) < maxProfit - trailing)
{
cash = cash + avgPrice * position + avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
}
else if (position != 0 && j > minutes - 5 && tradable)//收盘前5分钟强制平仓
{
if (position > 0)
{
cash = cash + avgPrice * position - avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position < 0)
{
cash = cash + avgPrice * position + avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
//计算追踪止损的参数
if (position > 0)
{
if ((dataNow.Close / transaction.openPrice - 1) > maxProfit)
{
maxProfit = (dataNow.Close / transaction.openPrice - 1);
}
}
if (position < 0)
{
if ((transaction.openPrice / dataNow.Close - 1) > maxProfit)
{
maxProfit = (transaction.openPrice / dataNow.Close - 1);
}
}
if (j == minutes - 1)
{
dataNow = stockToday[j];
netvalueDaily nvToday = new netvalueDaily();
nvToday.date = dataNow.DateTime.Date;
nvToday.netvalue = cash + position * dataNow.Close;
nv.Add(nvToday);
}
}
}
return(true);
}
private List <OneByOneTransaction> computeDailyWithRecordByTick(DateTime date, string bond, string stock, double stopLossRatio)
{
List <OneByOneTransaction> record = new List <OneByOneTransaction>();
if (tickData.ContainsKey(date) == false || tickData[date].ContainsKey(bond) == false || tickData[date].ContainsKey(stock) == false)
{
return(record);
}
double ceilPrice = getCeilingPrice(date, stock);
double previousAmount = getPreviousAmount(date, stock);
double previousBondPrice = getPreviousBondClose(date, bond);
var bondData = tickData[date][bond];
var stockData = tickData[date][stock];
var bondDailyInfoNow = getBondDailyInfo(date, bond);
double strike = bondDailyInfoNow.conversionPrice;
double numbers = 100 / strike;
double delta = getOptionDelta(date, bond, stock);
delta = delta + 0.2;
double bondEstimatePrice = getEstimateBondPrice(date, bond, stock);
if (bondEstimatePrice < previousBondPrice)
{
previousBondPrice = bondEstimatePrice;
}
//if (ceilPrice<strike)
//{
// delta = 0.5;
//}
//else if (ceilPrice<1.5*strike)
//{
// delta = 0.8;
//}
//else
//{
// delta = 1;
//}
double stockPriceChanged = ceilPrice / 11;
//ceilPrice = stockData[0].HighLimit;
var allData = getMergeData(bondData, stockData);
double position = 0;
double openPrice = 0;
DateTime openTime = new DateTime();
DateTime closeTime = new DateTime();
double closePrice = 0;
double maxOpenAmount = 0;
double maxCloseAmount = 0;
double longMaxPrice = 0;
string status = "";
TimeSpan lastOpenTime = new TimeSpan(14, 55, 00);
TimeSpan firstOpenTime = new TimeSpan(9, 30, 00);
var recordNow = new OneByOneTransaction();
int index = 0;
while (index < allData.Count() - 1)
{
//正股涨停
if (allData[index].Code == stock && allData[index].AskV1 == 0 && allData[index].Bid1 == ceilPrice && allData[index + 1].Code == bond && allData[index + 1].AskV1 > 0 && position == 0 && allData[index].TransactionDateTime.TimeOfDay < lastOpenTime && allData[index].TransactionDateTime.TimeOfDay >= firstOpenTime)
{
double ceilAmount = allData[index].Bid1 * allData[index].BidV1;
if (ceilAmount > previousAmount * 0.2 && allData[index + 1].LastPrice < previousBondPrice + delta * numbers * stockPriceChanged)
{
recordNow = new OneByOneTransaction();
var bondDataNow = allData[index + 1];
maxOpenAmount = bondDataNow.Ask1 * bondDataNow.AskV1;
double bondVolume = bondDataNow.AskV1;
if (maxOpenAmount >= 10000 && (maxOpenAmount / bondVolume) < 1000)
{
position = 1;
openPrice = maxOpenAmount / bondVolume;
openTime = bondDataNow.TransactionDateTime;
recordNow.code = bond;
recordNow.maxOpenAmount = maxOpenAmount;
recordNow.openPrice = openPrice;
recordNow.openTime = openTime;
recordNow.date = date.Date;
}
index++;
}
}
//涨停打开或者将要打开卖出可转债
if (position == 1 && allData[index].Code == stock && (allData[index].Bid1 < ceilPrice || (allData[index].Bid1 == ceilPrice && allData[index].Bid1 * allData[index].BidV1 < previousAmount * 0.03)))
{
for (int i = 1; i < allData.Count() - index; i++)
{
if (allData[index + i].Code == bond)//找到bond对应的数据
{
position = 0;
var bondDataNow = allData[index + i];
maxCloseAmount = bondDataNow.Bid1 * bondDataNow.BidV1;
double bondVolume = bondDataNow.BidV1;
closePrice = maxCloseAmount / bondVolume;
if (bondVolume == 0)
{
closePrice = bondDataNow.LastPrice;
}
closeTime = bondDataNow.TransactionDateTime;
recordNow.maxCloseAmount = maxCloseAmount;
recordNow.closePrice = closePrice;
recordNow.closeTime = closeTime;
recordNow.closeStatus = "涨停即将打开或已经打开";
recordNow.yield = (recordNow.closePrice - recordNow.openPrice) / recordNow.openPrice;
record.Add(recordNow);
index = index + i;
break;
}
}
}
//正股封涨停但是可转债跌幅过大，止损卖出
if (position == 1 && allData[index].Code == bond && allData[index].LastPrice < (1 - stopLossRatio) * openPrice)
{
position = 0;
var bondDataNow = allData[index];
maxCloseAmount = bondDataNow.Bid1 * bondDataNow.BidV1;
double bondVolume = bondDataNow.BidV1;
closePrice = maxCloseAmount / bondVolume;
if (bondVolume == 0)
{
closePrice = bondDataNow.LastPrice;
}
closeTime = bondDataNow.TransactionDateTime;
recordNow.maxCloseAmount = maxCloseAmount;
recordNow.closePrice = closePrice;
recordNow.closeTime = closeTime;
recordNow.closeStatus = "涨停未打开但可转债下跌";
recordNow.yield = (recordNow.closePrice - recordNow.openPrice) / recordNow.openPrice;
record.Add(recordNow);
index = index++;
}
//14点57分之后，强制平仓
if (position == 1 && allData[index].TransactionDateTime.TimeOfDay >= lastOpenTime)
{
for (int i = 1; i < allData.Count() - index; i++)
{
if (allData[index + i].Code == bond)//找到bond对应的数据
{
position = 0;
var bondDataNow = allData[index + i];
maxCloseAmount = bondDataNow.Bid1 * bondDataNow.BidV1;
double bondVolume = bondDataNow.BidV1;
closePrice = maxCloseAmount / bondVolume;
if (bondVolume == 0)
{
closePrice = bondDataNow.LastPrice;
}
closeTime = bondDataNow.TransactionDateTime;
recordNow.maxCloseAmount = maxCloseAmount;
recordNow.closePrice = closePrice;
recordNow.closeTime = closeTime;
recordNow.closeStatus = "收盘强平";
recordNow.yield = (recordNow.closePrice - recordNow.openPrice) / recordNow.openPrice;
record.Add(recordNow);
index = index + i;
break;
}
}
}
index++;
}
return(record);
}
private OneByOneTransaction computeDailyWithRecordByMinute(DateTime date, string bond, string stock, double stopLossRatio)
{
OneByOneTransaction record = new OneByOneTransaction();
if (minuteData.ContainsKey(date) == false || minuteData[date].ContainsKey(bond) == false || minuteData[date].ContainsKey(stock) == false)
{
return(record);
}
double ceilPrice = getCeilingPrice(date, stock);
var bondData = minuteData[date][bond];
var stockData = minuteData[date][stock];
double position = 0;
double openPrice = 0;
DateTime openTime = new DateTime();
DateTime closeTime = new DateTime();
double closePrice = 0;
double maxOpenAmount = 0;
double maxCloseAmount = 0;
double longMaxPrice = 0;
string status = "";
for (int i = 0; i < stockData.Count() - 5; i++)
{
if (stockData[i].High == ceilPrice && position == 0 && bondData[i + 1].Volume > 0)
{
position = 1;
openPrice = bondData[i + 1].Amount / bondData[i + 1].Volume;
maxOpenAmount = bondData[i + 1].Amount;
openTime = stockData[i + 1].DateTime;
longMaxPrice = openPrice;
}
if (position == 1 && (bondData[i].Close - longMaxPrice) / longMaxPrice < -stopLossRatio && stockData[i].Close < ceilPrice * 0.995)
{
position = 0;
if (bondData[i + 1].Volume > 0)
{
closePrice = bondData[i + 1].Amount / bondData[i + 1].Volume;
}
else
{
closePrice = bondData[i + 1].Close;
}
maxCloseAmount = bondData[i + 1].Amount;
closeTime = bondData[i + 1].DateTime;
status = "追踪止损";
break;
}
else if (position == 1 && bondData[i].Close > longMaxPrice)
{
longMaxPrice = bondData[i].Close;
}
}
//收盘之前3分钟平仓
if (position == 1)
{
position = 0;
if (bondData[stockData.Count() - 3].Volume > 0)
{
closePrice = bondData[stockData.Count() - 3].Amount / bondData[stockData.Count() - 3].Volume;
}
else
{
closePrice = bondData[stockData.Count() - 3].Close;
}
maxCloseAmount = bondData[stockData.Count() - 3].Amount;
closeTime = bondData[stockData.Count() - 3].DateTime;
status = "收盘强平";
}
record.openPrice = openPrice;
record.openTime = openTime;
record.closePrice = closePrice;
record.closeTime = closeTime;
record.maxOpenAmount = maxOpenAmount;
record.maxCloseAmount = maxCloseAmount;
record.position = position;
record.yield = (closePrice - openPrice) / openPrice;
record.date = date.Date;
record.closeStatus = status;
record.code = bond;
return(record);
}
//按照给定参数回测
private OneByOneTransaction computeDailyWithRecord(DateTime date, int N, double K1, double K2, double lossStopRatio)
{
OneByOneTransaction result = new OneByOneTransaction();
return(result);
}
//按照给定参数回测
private OneByOneTransaction computeDailyWithRecord(DateTime date, int N, double K1, double K2, double lossStopRatio)
{
OneByOneTransaction result = new OneByOneTransaction();
if ((volDic.ContainsKey(N) && volDic[N].ContainsKey(date) && underlyingKLine.ContainsKey(date)) == false)
{
return(result);
}
result.date = date;
double yield = 0;
double vol = volDic[N][date];
var underlying = underlyingKLine[date];
double position = 0;
double positionflag = 0;
double openPrice = 0;
double closePrice = 0;
double longMaxPrice = 0;
double shortMinPrice = 99999;
double open = underlying[N].Open;
double range = open * vol;
result.parameter = vol;
double lossStopPoints = lossStopRatio * open;
double slipBuy = 0;
double slipSell = 0;
for (int i = 1; i < 60; i++)
{
if (vol < 0.005)
{
continue;
}
slipBuy = Math.Max(slipRatio * underlying[i].Open, priceUnit) + feeRatioBuy * underlying[i].Open;
slipSell = Math.Max(slipRatio * underlying[i].Open, priceUnit) + feeRatioSell * underlying[i].Open;
if (position == 0 && underlying[i].Open > open + K1 * range && underlying[i].Amount > 0)
{
openPrice = underlying[i].Open + slipBuy;
longMaxPrice = openPrice;
positionflag = 1;
position = 1;
result.openTime = underlying[i].DateTime;
result.openPrice = openPrice;
result.position = 1;
}
if (position == 0 && underlying[i].Open < open - K2 * range && underlying[i].Amount > 0)
{
openPrice = underlying[i].Open - slipSell;
shortMinPrice = openPrice;
positionflag = -1;
position = -1;
result.openTime = underlying[i].DateTime;
result.openPrice = openPrice;
result.position = -1;
}
if (position == 1 && underlying[i].Open > longMaxPrice && underlying[i].Amount > 0)
{
longMaxPrice = underlying[i].Open;
}
if (position == -1 && underlying[i].Open < shortMinPrice && underlying[i].Amount > 0)
{
shortMinPrice = underlying[i].Open;
}
if (position == 1 && underlying[i].Open < longMaxPrice - lossStopPoints && underlying[i].Amount > 0)
{
closePrice = underlying[i].Open - slipSell;
position = 0;
result.closeTime = underlying[i].DateTime;
result.closePrice = closePrice;
result.closeStatus = "追踪止损";
break;
}
if (position == -1 && underlying[i].Open > shortMinPrice + lossStopPoints && underlying[i].Amount > 0)
{
closePrice = underlying[i].Open + slipBuy;
position = 0;
result.closeTime = underlying[i].DateTime;
result.closePrice = closePrice;
result.closeStatus = "追踪止损";
break;
}
}
if (position != 0)
{
slipBuy = Math.Max(slipRatio * underlying[underlying.Count() - 3].Open, priceUnit) + feeRatioBuy * underlying[underlying.Count() - 3].Open;
slipSell = Math.Max(slipRatio * underlying[underlying.Count() - 3].Open, priceUnit) + feeRatioSell * underlying[underlying.Count() - 3].Open;
if (position == 1)
{
closePrice = underlying[underlying.Count() - 3].Open - slipSell;
position = 0;
result.closeTime = underlying[underlying.Count() - 3].DateTime;
result.closePrice = closePrice;
result.closeStatus = "收盘强平";
}
else if (position == -1)
{
closePrice = underlying[underlying.Count() - 3].Open + slipBuy;
position = 0;
result.closeTime = underlying[underlying.Count() - 3].DateTime;
result.closePrice = closePrice;
result.closeStatus = "收盘强平";
}
}
if (positionflag != 0)
{
yield = (closePrice / openPrice - 1) * positionflag;
}
result.yield = yield;
return(result);
}