/// <summary>
/// 分析历史数据
/// </summary>
/// <returns></returns>
public override async Task RunHistory()
{
await base.RunHistory();
Console.WriteLine(V_Instrument_id + ":分析结果");
Debugger.Warn(V_Instrument_id + ":分析结果");
TaticsTestRunner.TestRun(this);
Console.WriteLine(V_Instrument_id + ":分析历史数据完毕");
Debugger.Warn(V_Instrument_id + ":分析历史数据完毕");
}
public override void F_HandleOrderTest(TaticsTestRunner testRunner)
{
List <OrderOperation> result = HandleOrder(testRunner.V_Positions, true);
if (result != null && result.Count > 0)
{
foreach (var item in result)
{
if (item.Operation != 0 && item.Dir != 0)
{
if (item.Operation == 1)
{
//开仓
testRunner.OpenOrder(item.Dir, V_Cache.V_KLineData[0], item.Percent);
}
else
{
//平仓
testRunner.CloseOrder(V_Cache.V_KLineData[0], item.Dir, item.Percent, false);
}
}
}
}
}
private static float OnTestRun(BaseTaticsHelper helper, ref int loss_result, ref int win_result, ref float avg_win, ref int orderCount, ref int allWinCount, ref int allCount)
{
Dictionary <int, List <float> > winResultDic = new Dictionary <int, List <float> >();
Dictionary <int, List <float> > lossResultDic = new Dictionary <int, List <float> >();
Dictionary <int, Dictionary <int, float> > all_ResultDic = new Dictionary <int, Dictionary <int, float> >();
Dictionary <int, Dictionary <int, int> > all_CountDic = new Dictionary <int, Dictionary <int, int> >();
allWinCount = 0;
allCount = 0;
int minLoss = -30;
int maxLoss = -60;
int minWin = 30;
int maxWin = 100;
string[] stopValue = AppSetting.Ins.GetValue("StopValue").Split('_');
if (stopValue.Length >= 4)
{
minLoss = int.Parse(stopValue[0]);
maxLoss = int.Parse(stopValue[1]);
minWin = int.Parse(stopValue[2]);
maxWin = int.Parse(stopValue[3]);
}
for (int loss = minLoss; loss >= maxLoss; loss -= 5)
{
for (int win = minWin; win <= maxWin; win += 5)
{
allCount++;
TaticsTestRunner run = new TaticsTestRunner();
run.Cur_Cache = new KLineCache();
helper.SetStopPercent(loss, win);
run.Data_All = helper.V_HistoryCache.V_KLineData;
run.helper = helper;
run.ResetData();
float money = run.Run();
if (money > TaticsTestRunner.Init_Money)
{
allWinCount++;
}
if (!winResultDic.ContainsKey(win))
{
winResultDic[win] = new List <float>();
}
winResultDic[win].Add(money);
if (!lossResultDic.ContainsKey(loss))
{
lossResultDic[loss] = new List <float>();
}
lossResultDic[loss].Add(money);
if (!all_ResultDic.ContainsKey(loss))
{
Dictionary <int, float> temp = new Dictionary <int, float>();
all_ResultDic[loss] = temp;
}
all_ResultDic[loss][win] = money;
if (!all_CountDic.ContainsKey(loss))
{
Dictionary <int, int> temp = new Dictionary <int, int>();
all_CountDic[loss] = temp;
}
all_CountDic[loss][win] = run.V_OrderCount;
}
}
int loss_final = 0, win_final = 0, orderCount_final = 0;
float maxMoney = 0;
foreach (var item in winResultDic)
{
List <float> resultList = item.Value;
float value = resultList.Sum();
if (maxMoney < value)
{
maxMoney = value;
win_final = item.Key;
}
}
maxMoney = 0;
foreach (var item in lossResultDic)
{
List <float> resultList = item.Value;
float value = resultList.Sum();
if (maxMoney < value)
{
maxMoney = value;
loss_final = item.Key;
}
}
orderCount_final = all_CountDic[loss_final][win_final];
helper.SetStopPercent(loss_final, win_final);
helper.ClearTempData();
float allWinMoney = 0;
foreach (var loss in all_ResultDic)
{
foreach (var win in loss.Value)
{
allWinMoney += win.Value;
//Console.WriteLine("止损 {0} 止盈 {1} 开单次数 {2} 模拟剩余 {3}", loss.Key, win.Key, all_CountDic[loss.Key][win.Key], win.Value);
}
}
try
{
if (!(helper is ICycleTatics))
{
Console.WriteLine("{0}:盈利情况：{1}/{2} 盈利平均值：{3}", helper.V_Instrument_id, allWinCount, allCount, allWinMoney / allCount);
Debugger.Warn(string.Format("{0}:盈利情况：{1}/{2} 盈利平均值：{3}", helper.V_Instrument_id, allWinCount, allCount, allWinMoney / allCount));
Console.WriteLine("{0}:最佳止盈止损百分比值: {1} {2} 开单次数 {3} \n模拟剩余资金: {4}", helper.V_Instrument_id, loss_final, win_final, all_CountDic[loss_final][win_final], all_ResultDic[loss_final][win_final]);
Debugger.Warn(string.Format("{0}:最佳止盈止损百分比值: {1} {2} 开单次数 {3} \n模拟剩余资金: {4}", helper.V_Instrument_id, loss_final, win_final, all_CountDic[loss_final][win_final], all_ResultDic[loss_final][win_final]));
}
avg_win = allWinMoney / allCount;
loss_result = loss_final;
win_result = win_final;
orderCount = orderCount_final;
}
catch (Exception ex)
{
avg_win = 5;
loss_result = -80;
win_result = 120;
orderCount = 0;
Debugger.Error("没有合适的止损止盈，用默认值 -80 120");
}
if (loss_final == 0 || win_final == 0)
{
return(0);
}
return(all_ResultDic[loss_final][win_final]);
}
public virtual void F_HandleOrderTest(TaticsTestRunner testRunner)
{
}
/// <summary>
/// 刷新历史数据
/// </summary>
public override async Task RunHistory()
{
await base.RunHistory();
Console.WriteLine(V_Instrument_id + ":分析结果");
Debugger.Warn(V_Instrument_id + ":分析结果");
List <float> resultList_add = new List <float>();
List <float> resultList_mul = new List <float>();
List <float> klineList_add = new List <float>();
List <float> klineList_mul = new List <float>();
int start = 150;
List <KLine> all_data = V_HistoryCache.V_KLineData;
for (int i = start; i < all_data.Count - start; i++)
{
List <KLine> data = all_data.GetRange(all_data.Count - 1 - start - i, start);
if (V_Cache == null)
{
V_Cache = new KLineCache();
}
V_Cache.RefreshData(data);
float result = GetResult();
if ((MathF.Abs(result) - 0.01f) > 0)
{
if (result > 0)
{
resultList_add.Add(result);
}
else
{
resultList_mul.Add(result);
}
}
//KLine line = data[0];
//float p = (line.V_ClosePrice - line.V_OpenPrice) / line.V_OpenPrice * V_Leverage * 100;
//if (MathF.Abs(p) >= 0.1f)
//{
// if (line.V_OpenPrice > line.V_ClosePrice)
// {
// //跌
// klineList_mul.Add(p);
// }
// else
// {
// //涨
// klineList_add.Add(p);
// }
//}
}
result_add_avg = Util.GetAvg(resultList_add);
result_mul_avg = Util.GetAvg(resultList_mul);
resultList_add.AddRange(resultList_mul);
result_avg = Util.GetAvg(resultList_add);
TaticsTestRunner.TestRun(this);
Console.WriteLine(V_Instrument_id + ":分析历史数据完毕");
Debugger.Warn(V_Instrument_id + ":分析历史数据完毕");
}
