public void Init(IndicatorRepository repository)
{
if (repository == null)
{
return;
}
for (int i = 0; i < codes.Length; i++)
{
String code = codes[i];
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return;
}
bspts[i] = ds.CubePtCreateOrLoad(TimeUnit.day);
}
}
/// <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;
}
}
}
}
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);
}