private void getStockTickData(string code)
{
foreach (var date in tradedays)
{
var tick = tickRepo.GetStockTransaction(code, date, date);
var day = stockDailyRepo.GetStockTransaction("510050.SH", date, date);
double open = day[0].Open;
var minute = tranferTickToMinuteDayByDay(code, date, open, tick);
var minute2 = stockMinutelyRepo.GetStockTransaction("510050.SH", date, date);
}
}
private Dictionary <DateTime, StockTransaction> getUnderlyingDailyData(DateTime startDate, DateTime endDate)
{
Dictionary <DateTime, StockTransaction> underlyingDailyData = new Dictionary <DateTime, StockTransaction>();
var data = stockDailyRepo.GetStockTransaction(underlying, startDate, endDate);
foreach (var item in data)
{
underlyingDailyData.Add(item.DateTime, item);
}
this.underlyingDailyDataList = data;
return(underlyingDailyData);
}
public void compute(DateTime startDate, DateTime endDate)
{
var startday = DateTimeExtension.DateUtils.PreviousTradeDay(startDate, duration + 1);
var endday = DateTimeExtension.DateUtils.PreviousTradeDay(endDate, duration + 1);
priceList = stockDailyRepo.GetStockTransaction(code, startday, endDate);
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
if (priceDic == null || priceDic.Count() == 0)
{
foreach (var item in priceList)
{
priceDic.Add(item.DateTime, item.Close);
}
}
for (int i = 0; i < tradedays.Count() - duration; i++)
{
var call = -getHedgeCost(tradedays[i], tradedays[i + duration], code);
Console.WriteLine("call from {0} to {1} costs {2}!", tradedays[i], tradedays[i + duration], call);
}
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily1 = stockDailyRepo.GetStockTransaction(code1, tradedays.First(), tradedays.Last());
var underlyingDaily2 = stockDailyRepo.GetStockTransaction(code2, tradedays.First(), tradedays.Last());
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
double[] alphaList = new double[length];
double[] betaList = new double[length];
double[] cointegrationSequence = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
int duration = 30;
int duration1 = duration;
double lambda1 = 2;
double lambda2 = 3;
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
//z[i] = Math.Log(y[i] / x[i]);
z[i] = (y[i]) / (x[i]);
}
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
var dt = DataTableExtension.ToDataTable(myboll2);
DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = signal[i - 1];
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
//for (int i = duration+1; i < length; i++)
//{
// if (myboll[i - 1] == null || myboll[i - 1].std == 0)
// {
// signal[i - 1] = 0;
// continue;
// }
// if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
// {
// signal[i] = signal[i - 1];
// continue;
// }
// int j = i - duration;
// //上穿下轨1
// if (myboll2[j-1].area<=-2 && myboll2[j].area==-1)
// {
// double ratio = 0;
// for (int k = j-1; k >j-6; k--)
// {
// if (myboll2[k].area<=-2)
// {
// ratio += 1;
// }
// }
// ratio = ratio / 6;
// if (ratio<0.5)
// {
// signal[i] = 1;
// }
// }
// //上穿中轨
// else if (myboll2[j-1].area==-1 && myboll2[j].area==1)
// {
// signal[i] = 2;
// }
// //上穿上轨1
// else if (myboll2[j - 1].area == 1 && myboll2[j].area == 3)
// {
// signal[i] = 3;
// }
// //下穿下轨1
// else if (myboll2[j - 1].area == -1 && myboll2[j].area == -3)
// {
// signal[i] = -1;
// }
// //下穿中轨
// else if (myboll2[j - 1].area == 1 && myboll2[j].area == -1)
// {
// signal[i] = -2;
// }
// //下穿上轨1
// else if (myboll2[j - 1].area >= 2 && myboll2[j].area == 1)
// {
// double ratio = 0;
// for (int k = j - 1; k > j - 6; k--)
// {
// if (myboll2[k].area >=2)
// {
// ratio += 1;
// }
// }
// ratio = ratio / 6;
// if (ratio < 0.5)
// {
// signal[i] = -3;
// }
// }
// //上穿上轨2
// else if (myboll2[j - 1].area == 3 && myboll2[j].area == 5)
// {
// signal[i] = 4;
// }
// //下穿下轨2
// else if (myboll2[j - 1].area == -3 && myboll2[j].area == -5)
// {
// signal[i] = -4;
// }
// else
// {
// signal[i] = 0;
// }
//}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
List <OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
var dt2 = DataTableExtension.ToDataTable(netvalueList);
DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
var dt3 = DataTableExtension.ToDataTable(data);
DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
}
private void DataPreparation(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var etfDaily = stockDailyRepo.GetStockTransaction(code, startDate, endDate);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
List <ETFConsitituent> etfInfo = new List <ETFConsitituent>();
List <double> amountList = getAmount(code, startDate, endDate);
double[] arbitraryPurchase = new double[28802];
double[] arbitraryRedeem = new double[28802];
bool[] isNan = new bool[28802];
for (int i = 0; i < 28802; i++)
{
isNan[i] = true;
}
for (int k = 0; k < tradedays.Count(); k++)
{
DateTime date = tradedays[k];
etfInfo = getETFInfo(code, date);
foreach (var item in etfInfo)
{
if (item.cash_substitution_mark == "必须")
{
for (int i = 0; i < 28802; i++)
{
if (isNan[i] == true)
{
arbitraryPurchase[i] += -item.substitution_amout;
}
}
}
else
{
var stockData = stockRepo.GetStockTransaction(item.code, date, date.AddHours(17));
if (stockData != null && stockData.Count > 0)
{
var stock = DataTimeStampExtension.ModifyStockTickData(stockData);
for (int i = 0; i < stock.Count(); i++)
{
if (isNan[i] == true && stock[i] != null && stock[i].AskV1 != 0 && stock[i].BidV1 != 0)
{
arbitraryPurchase[i] += -item.volume * stock[i].Ask1;
//arbitraryRedeem[i] += item.volume * stock[i].Bid1;
}
if (stock[i] == null)
{
isNan[i] = false;
arbitraryPurchase[i] = 0;
//arbitraryRedeem[i] = 0;
}
}
}
else
{
if (item.cash_substitution_mark == "禁止")
{
for (int i = 0; i < 28802; i++)
{
arbitraryPurchase[i] = 0;
isNan[i] = false;
}
}
else
{
var stock = stockDailyRepo.GetStockTransaction(item.code, date, date);
for (int i = 0; i < 28802; i++)
{
if (isNan[i] == true)
{
arbitraryPurchase[i] += -item.volume * stock[stock.Count() - 1].Close * (1 + item.premium_ratio / 100.0);
}
}
}
}
}
}
var etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction(code, date, date.AddHours(17)));
for (int i = 0; i < etf.Count(); i++)
{
if (isNan[i] == true && etf[i] != null && etf[i].AskV1 != 0 && etf[i].BidV1 != 0)
{
arbitraryPurchase[i] += amountList[k] * etf[i].Bid1;
// arbitraryRedeem[i] += -amountList[k] * etf[i].Ask1;
}
if (etf[i] == null)
{
isNan[i] = false;
arbitraryPurchase[i] = 0;
//arbitraryRedeem[i] = 0;
}
}
Console.WriteLine("today {0} change {1}", date, arbitraryPurchase.Max());
}
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily = stockDailyRepo.GetStockTransaction(code, tradedays.First(), tradedays.Last());
//获取分钟线数据
foreach (var date in tradedays)
{
var underlyingToday = stockMinutelyRepo.GetStockTransaction(code, date, date);
underlying.Add(date, underlyingToday);
minutes = underlyingToday.Count();
underlyingAll.AddRange(underlyingToday);
}
double bestSharpe = 0;
double bestf1 = 0.64;
double bestf2 = 0.48;
double bestf3 = 0.08;
double step = 0.04;
//for (int i = 1; i <= 1/step; i=i+1)
//{
// for (int j = 1; j <= 1 / step; j = j + 1)
// {
// for (int k = 1; k <= 1 / step; k = k + 1)
// {
// double f1 = i * step;
// double f2 = j * step;
// double f3 = k * step;
// double[] netvalue0 = getPerformance(startDate, endDate, tradedays, underlyingDaily, f1, f2, f3);
// var nv = getNetValueCurveDaily(getNetValueDaily(underlyingAll, netvalue0));
// double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
// if (sharpe>bestSharpe)
// {
// bestf1 = f1;
// bestf2 = f2;
// bestf3 = f3;
// bestSharpe = sharpe;
// Console.WriteLine("Best parameters:f1={0}, f2={1}, f3={2}, sharpe={3}", f1, f2, f3, sharpe);
// }
// }
// }
//}
double[] netvalue = getPerformance(startDate, endDate, tradedays, underlyingDaily, bestf1, bestf2, bestf3);
var nvDaily = getNetValueDaily(underlyingAll, netvalue);
DataTableExtension.SaveCSV(DataTableExtension.ToDataTable <netvalueDaily>(nvDaily), "E:\\result\\break\\netvalue.csv");
statisticDataOfTransaction(transactionData, tradedays);
double mean = 0;
double num = 0;
for (int i = -5; i <= 5; i = i + 1)
{
for (int j = -5; j <= 5; j = j + 1)
{
for (int k = -5; k <= 5; k = k + 1)
{
double f1 = bestf1 + i * step * 0.25;
double f2 = bestf2 + j * step * 0.25;
double f3 = bestf3 + k * step * 0.25;
if (f1 <= 0 || f2 <= 0 || f3 <= 0)
{
continue;
}
double[] netvalue0 = getPerformance(startDate, endDate, tradedays, underlyingDaily, f1, f2, f3);
var nv = getNetValueCurveDaily(getNetValueDaily(underlyingAll, netvalue0));
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
mean += sharpe;
num += 1;
Console.WriteLine("parameters around best:f1={0}, f2={1}, f3={2}, sharpe={3}", f1, f2, f3, sharpe);
}
}
}
Console.WriteLine("mean:{0}", mean / num);
}
//计算从开始日期到结束日期的对冲成本
private double deltaHedgePerDate(DateTime startDate, DateTime endDate, Dictionary <DateTime, double> vol)
{
double option = 0;
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
int deltaIndex = 220;
//计算历史波动率参数
string hedgeCode = "";
double deltaNow = 0;
double pnl = 0;
double cash = 0;
//按第一天的开盘价确定期初价格和行权价
var stock = stockDailyRepo.GetStockTransaction(indexCode, startDate, endDate);
double startPrice = stock[0].Open;
double strike = startPrice;
foreach (var date in tradedays)
{
//获取当日期货合约代码
var list = getSpecialFutureList(date);
//获取当日收盘前标的价格
// var index = stockMinutelyRepo.GetStockTransaction(indexCode, date, date);
var index = allData[date][indexCode];
var indexPrice = index[deltaIndex].Close;
double duration = (DateUtils.GetSpanOfTradeDays(date, endDate) + 1 / 12) / 252.0;
//按标的计算收盘前delta值
double deltaTarget = ImpliedVolatilityExtension.ComputeOptionDelta(strike, duration, 0.04, 0, "认沽", vol[date], indexPrice);
//对冲未开仓进行开仓
if (hedgeCode == "")
{
hedgeCode = list.Last().Value.code;
double futurePrice = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += -futurePrice * deltaTarget;
deltaNow = deltaTarget;
}
//如果对冲的合约快到期时，进行移仓操作，移仓到季月合约
if (list.ContainsKey(hedgeCode) && list[hedgeCode].expireDate.Date.AddDays(-7) <= date.Date)
{
double futurePriceFront = allData[date][hedgeCode][deltaIndex + 1].Close;
hedgeCode = list.Last().Value.code;
double futurePriceNext = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += futurePriceFront * deltaNow - futurePriceNext * deltaTarget;
deltaNow = deltaTarget;
}
else if (list.ContainsKey(hedgeCode)) //对冲的合约未到期，继续对冲
{
double futurePrice = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += -futurePrice * (deltaTarget - deltaNow);
deltaNow = deltaTarget;
}
//错误情况
if (list.ContainsKey(hedgeCode) == false && hedgeCode != "")
{
throw new ArgumentOutOfRangeException("对冲选取错误!!");
}
}
//计算最后一天的PNL=cash+期货值的钱+付出去的期权收益
var lastDate = tradedays.Last();
double futureLastPrice = allData[lastDate][hedgeCode][239].Close;
double indexLastPrice = stock.Last().Close;
pnl = -(cash + deltaNow * futureLastPrice - Math.Max(startPrice - indexLastPrice, 0));
option = pnl / startPrice;
return(option);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily1 = stockDailyRepo.GetStockTransaction(code1, tradedays.First(), tradedays.Last());
var underlyingDaily2 = stockDailyRepo.GetStockTransaction(code2, tradedays.First(), tradedays.Last());
int duration = 15;
double lambda1 = 2.4;
double trailingParameter = 0.025;
getParameter(tradedays, underlyingDaily1, underlyingDaily2, ref duration, ref lambda1, ref trailingParameter);
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
double[] alphaList = new double[length];
double[] betaList = new double[length];
double[] cointegrationSequence = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
int duration1 = 1000000;
double lambda2 = 2.1;
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
z[i] = Math.Log(y[i] / x[i]);
}
//计算x,y收益率的相关性
double[] yy = new double[length - 1];
double[] xx = new double[length - 1];
for (int i = 1; i < length; i++)
{
yy[i - 1] = y[i] / y[i - 1] - 1;
xx[i - 1] = x[i] / x[i - 1] - 1;
}
double corr = MathUtility.correlation(y, x);
Console.WriteLine("corr:{0}", corr);
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
var dt = DataTableExtension.ToDataTable(myboll2);
DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = 0;
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, trailingParameter, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
List <OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
var dt2 = DataTableExtension.ToDataTable(netvalueList);
DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
var dt3 = DataTableExtension.ToDataTable(data);
DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
}
