public List <OriginalRecord> prepareRecordList()
{
recordList = new List <OriginalRecord>();
try
{
for (int i = 0; i < sourceFileList.Count; i++)
{
sourceFile = sourceFileList[i];
sourceFile.prepareReader();
while (sourceFile.hasNext())
{
nowLine = sourceFile.getLine();
record = OriginalRecordConverter.getOriginalRecord(nowLine);
recordList.Add(record);
}//end while
sourceFile.close();
}//end for
return(recordList);
}
catch (Exception e)
{
Console.WriteLine(e.StackTrace);
return(null);
}
}
}//end startTrade(guid)
private void showMsg(TradeFile file, string msg)
{
try
{
if (DEBUG)
{
Console.WriteLine(msg);
}
if (isReport)
{
file.writeLine(msg);
}
}
catch (Exception e)
{
throw e;
}
}
public void setSourceFile(TradeFile sourceFile)
{
this.sourceFile = sourceFile;
sourceFile.prepareReader();
}
public void startTest(int guid)
{
this.guid = guid;
try
{
testReportFileName = reportDir + now.Year + "_" + now.Month + "_" + now.Day + "_" + now.Hour + "_" + now.Minute + "_" + now.Second + "_";
if (loseLine != null)
{
testReportFileName += loseLine[1] + "_";
}
if (winLine != null)
{
testReportFileName += winLine[1] + "_";
}
if (reverseLine != null)
{
for (int i = 1; i <= reverseLine.Count; i++)
{
testReportFileName += reverseLine[i] + "_";
}
}
testReportFileName += guid + ".rpt";
testReportFile = new TradeFile(testReportFileName);
testReportFile.prepareWriter();
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
Console.WriteLine(ex.Source);
Console.WriteLine(ex.StackTrace);
reportMsg(ex.Source + ex.Message + ex.StackTrace);
}
double totalProfit = 0; //所有測試日期，各自跑了XX次之後的總利潤
double oneDayProfit = 0; //某日的單日利潤
int winDayCount = 0; //獲利日數
int loseDayCount = 0; //賠錢日數
int winCountInOneDayTradeRunManyTimes = 0; //一日交易中有幾次獲利，執行數次測試之後的結果
int loseCountInOneDayTradeRunManyTimes = 0; //一日交易中有幾次賠錢，執行數次測試之後的結果
int totalWinCountRumManyTimes = 0; //總獲利次數
int totalLoseCountRunManyTimes = 0; //總賠錢次數
int[] profitRange = new int[45]; //獲利的範圍
double maxWinPureProfit = 0; //單日最大獲利
double maxLosePureProfit = 0; //單日最大賠錢
for (int i = 0; i < 45; i++)
{
profitRange[i] = 0;
}
FileManager fm = new FileManager();
List <TradeFile> oFileList = fm.getTradeFileList(sourceFileDir);
testDayCount = oFileList.Count;
if (oFileList == null || oFileList.Count <= 0)
{
reportMsg("目錄內無檔案!");
return;
}
//for (int j = 0; j < oFileList.Count; j++)
{
double oneDayRunManyTimesTotalProfit = 0;
double oneDayMaxLossSetting = -9999999;//單日最大停損設定
TradeManager manager = new TradeManager();
//List<TradeFile> fileList = new List<TradeFile>();
//fileList.Add(oFileList[j]);
//manager.setSourceFileList(fileList);
manager.setSourceFileList(oFileList);
recordList = manager.prepareRecordList();
for (int i = 0; i < runCount; i++)
{
oneDayRunManyTimesTotalProfit = 0; //某日跑了XX次之後的總利潤
winCountInOneDayTradeRunManyTimes = 0; //一日交易中有幾次獲利
loseCountInOneDayTradeRunManyTimes = 0; //一日交易中有幾次賠錢
manager = new TradeManager();
manager.RecordList = recordList;
manager.ReportFile = testReportFile;
if (maxLoss != null && !maxLoss.Equals(""))
{
manager.setMaxProfitLoss(Convert.ToDouble(maxLoss));
}
if (checkCount > 0)
{
manager.setCheckCount(checkCount);
}
manager.LotLimit = lotLimit;
manager.setDebugEnabled(DEBUG);
manager.setStopRatio(stopRatio);
manager.setRatio(ratio);
manager.setCore(coreMethod);
manager.setLots(lotArray);
manager.setWinLine(winLine);
manager.setLoseLine(loseLine);
manager.setReverseLine(reverseLine);
//manager.setSourceFile(oFileList[j]);//當沖
oneDayProfit = manager.startTrade();
//recordList.Clear();//當沖
int tmpMaxLot = manager.getMaxLot();
if (tmpMaxLot > maxLot)
{
maxLot = tmpMaxLot;
}
maxContinueLossMoney = manager.MaxContinueLossMoney;
maxContinueLossMoneyTime = manager.MaxContinueLossMoneyTime;
maxContinueWinMoney = manager.MaxContinueWinMoney;
maxContinueWinMoneyTime = manager.MaxContinueWinMoneyTime;
winCountInOneDayTradeRunManyTimes += manager.WinVolume;
loseCountInOneDayTradeRunManyTimes += manager.LoseVolume;
oneDayPureProfit = oneDayProfit * valuePerPoint - (manager.WinVolume + manager.LoseVolume) * cost;
if (oneDayPureProfit > 0)
{
winDayCount++;
}
else
{
loseDayCount++;
}
if (oneDayPureProfit > maxWinPureProfit)
{
maxWinPureProfit = oneDayPureProfit;
//maxWinPureProfitFileName = oFileList[j].getFileName();
}
if (oneDayPureProfit < maxLosePureProfit)
{
maxLosePureProfit = oneDayPureProfit;
//maxLosePureProfitFileName = oFileList[j].getFileName();
}
if (oneDayPureProfit > 0 && oneDayPureProfit < 2000)
{
profitRange[0]++;
}
else if (oneDayPureProfit > 100000)
{
profitRange[38]++;
}
else if (oneDayPureProfit > 90000)
{
profitRange[37]++;
}
else if (oneDayPureProfit > 80000)
{
profitRange[36]++;
}
else if (oneDayPureProfit > 70000)
{
profitRange[35]++;
}
else if (oneDayPureProfit > 60000)
{
profitRange[34]++;
}
else if (oneDayPureProfit > 50000)
{
profitRange[33]++;
}
else if (oneDayPureProfit > 40000)
{
profitRange[32]++;
}
else if (oneDayPureProfit > 30000)
{
profitRange[31]++;
}
else if (oneDayPureProfit > 20000)
{
profitRange[10]++;
}
else if (oneDayPureProfit > 10000)
{
profitRange[9]++;
}
else if (oneDayPureProfit > 9000)
{
profitRange[8]++;
}
else if (oneDayPureProfit > 8000)
{
profitRange[7]++;
}
else if (oneDayPureProfit > 7000)
{
profitRange[6]++;
}
else if (oneDayPureProfit > 6000)
{
profitRange[5]++;
}
else if (oneDayPureProfit > 5000)
{
profitRange[4]++;
}
else if (oneDayPureProfit > 4000)
{
profitRange[3]++;
}
else if (oneDayPureProfit > 3000)
{
profitRange[2]++;
}
else if (oneDayPureProfit > 2000)
{
profitRange[1]++;
}
else if (oneDayPureProfit < -50000)
{
profitRange[41]++;
}
else if (oneDayPureProfit < -40000)
{
profitRange[40]++;
}
else if (oneDayPureProfit < -30000)
{
profitRange[39]++;
}
else if (oneDayPureProfit < -20000)
{
profitRange[30]++;
}
else if (oneDayPureProfit < -10000)
{
profitRange[29]++;
}
else if (oneDayPureProfit < -9000)
{
profitRange[28]++;
}
else if (oneDayPureProfit < -8000)
{
profitRange[27]++;
}
else if (oneDayPureProfit < -7000)
{
profitRange[26]++;
}
else if (oneDayPureProfit < -6000)
{
profitRange[25]++;
}
else if (oneDayPureProfit < -5000)
{
profitRange[24]++;
}
else if (oneDayPureProfit < -4000)
{
profitRange[23]++;
}
else if (oneDayPureProfit < -3000)
{
profitRange[22]++;
}
else if (oneDayPureProfit < -2000)
{
profitRange[21]++;
}
if (oneDayPureProfit < 0 && oneDayPureProfit > -2000)
{
profitRange[20]++;
}
totalProfit += oneDayProfit;
oneDayRunManyTimesTotalProfit += oneDayProfit;
oneDayMaxLossSetting = manager.getMaxProfitLoss();
Console.WriteLine("交易結束，單日交易總利潤 : " + oneDayPureProfit);
}
totalWinCountRumManyTimes += winCountInOneDayTradeRunManyTimes;
totalLoseCountRunManyTimes += loseCountInOneDayTradeRunManyTimes;
reportMsg(//oFileList[j].getFullPath() +
"交易結束，單日交易平均利潤 : " + ((oneDayRunManyTimesTotalProfit * valuePerPoint) - (winCountInOneDayTradeRunManyTimes + loseCountInOneDayTradeRunManyTimes) * cost) / runCount);
reportMsg(//oFileList[j].getFullPath() +
"交易結束，單日獲利口數 : " + winCountInOneDayTradeRunManyTimes);
reportMsg(//oFileList[j].getFullPath() +
"交易結束，單日賠錢口數 : " + loseCountInOneDayTradeRunManyTimes);
reportMsg(//oFileList[j].getFullPath() +
"交易結束，單日獲利口數的總比率 : " + Convert.ToDouble(winCountInOneDayTradeRunManyTimes) / ((Convert.ToDouble(winCountInOneDayTradeRunManyTimes) + Convert.ToDouble(loseCountInOneDayTradeRunManyTimes))) * 100 + " %");
reportMsg("最大連續贏錢" + maxContinueWinMoney);
reportMsg("最大連續贏錢日" + maxContinueWinMoneyTime);
reportMsg("最大連續賠錢" + maxContinueLossMoney);
reportMsg("最大連續賠錢日" + maxContinueLossMoneyTime);
reportMsg("----------------------------------------------------------------------------------------------");
reportMsg("----------------------------------------------------------------------------------------------");
reportMsg("----------------------------------------------------------------------------------------------");
}//end for fileList
reportMsg("程式版本 :" + Version);
reportMsg("說明 :" + Comment);
reportMsg(" 測試編號 : " + guid);
reportMsg(" 每個交易日的測試次數 : " + runCount);
reportMsg("獲利口數 : " + totalWinCountRumManyTimes);
reportMsg("賠錢口數 : " + totalLoseCountRunManyTimes);
reportMsg("交易結束，獲利口數的總比率 : " + Convert.ToDouble(totalWinCountRumManyTimes) / ((Convert.ToDouble(totalWinCountRumManyTimes) + Convert.ToDouble(totalLoseCountRunManyTimes))) * 100 + " %");
reportMsg("獲利日數 : " + winDayCount);
reportMsg("賠錢日數" + loseDayCount);
winDayRate = Convert.ToDouble(winDayCount) / ((Convert.ToDouble(winDayCount) + Convert.ToDouble(loseDayCount)));
reportMsg("交易結束，獲利日數的總比率 : " + winDayRate * 100 + " %");
reportMsg("單日最大獲利 : " + maxWinPureProfit);
reportMsg("最大獲利 是哪一天: " + maxWinPureProfitFileName);
reportMsg("單日最大賠錢 : " + maxLosePureProfit);
reportMsg("最大賠錢 是哪一天: " + maxLosePureProfitFileName);
reportMsg("單日設定最大停損" + maxLoss);
reportMsg("曾經最大交易口數 : " + maxLot);
reportMsg("總獲利口數 : " + totalWinCountRumManyTimes);
reportMsg("總賠錢口數 : " + totalLoseCountRunManyTimes);
reportMsg("總手續費 : " + (totalWinCountRumManyTimes + totalLoseCountRunManyTimes) * cost);
reportMsg("平均手續費 : " + ((totalWinCountRumManyTimes + totalLoseCountRunManyTimes) * cost) / (runCount * testDayCount));
double pureProfit = ((totalProfit * valuePerPoint - (totalWinCountRumManyTimes + totalLoseCountRunManyTimes) * cost)) / (runCount * testDayCount);
reportMsg(runCount * oFileList.Count + "次，總利潤 : " + totalProfit * valuePerPoint);
reportMsg(runCount * oFileList.Count + "次，扣除手續費後，總平均利潤 : " + pureProfit);
reportMsg("獲利兩千以下次數 : " + profitRange[0]);
reportMsg("獲利兩千以上次數 : " + profitRange[1]);
reportMsg("獲利三千以上次數 : " + profitRange[2]);
reportMsg("獲利四千以上次數 : " + profitRange[3]);
reportMsg("獲利五千以上次數 : " + profitRange[4]);
reportMsg("獲利六千以上次數 : " + profitRange[5]);
reportMsg("獲利七千以上次數 : " + profitRange[6]);
reportMsg("獲利八千以上次數 : " + profitRange[7]);
reportMsg("獲利九千以上次數 : " + profitRange[8]);
reportMsg("獲利一萬以上次數 : " + profitRange[9]);
reportMsg("獲利兩萬以上次數 : " + profitRange[10]);
reportMsg("獲利三萬以上次數 : " + profitRange[31]);
reportMsg("獲利四萬以上次數 : " + profitRange[32]);
reportMsg("獲利五萬以上次數 : " + profitRange[33]);
reportMsg("獲利六萬以上次數 : " + profitRange[34]);
reportMsg("獲利七萬以上次數 : " + profitRange[35]);
reportMsg("獲利八萬以上次數 : " + profitRange[36]);
reportMsg("獲利九萬以上次數 : " + profitRange[37]);
reportMsg("獲利十萬以上次數 : " + profitRange[38]);
reportMsg("----------------------------------------------------------------------------------------------");
reportMsg("賠錢兩千以下次數 : " + profitRange[20]);
reportMsg("賠錢兩千以上次數 : " + profitRange[21]);
reportMsg("賠錢三千以上次數 : " + profitRange[22]);
reportMsg("賠錢四千以上次數 : " + profitRange[23]);
reportMsg("賠錢五千以上次數 : " + profitRange[24]);
reportMsg("賠錢六千以上次數 : " + profitRange[25]);
reportMsg("賠錢七千以上次數 : " + profitRange[26]);
reportMsg("賠錢八千以上次數 : " + profitRange[27]);
reportMsg("賠錢九千以上次數 : " + profitRange[28]);
reportMsg("賠錢一萬以上次數 : " + profitRange[29]);
reportMsg("賠錢兩萬以上次數 : " + profitRange[30]);
reportMsg("賠錢三萬以上次數 : " + profitRange[39]);
reportMsg("賠錢四萬以上次數 : " + profitRange[40]);
reportMsg("賠錢五萬以上次數 : " + profitRange[41]);
reportMsg("----------------------------------------------------------------------------------------------");
reportMsg("----------------------------------------------------------------------------------------------");
if (pureProfit > 500 || winDayRate > 0.5)
{
conclusionMsg("----------------------------------------------------------------------------------------------");
conclusionMsg("交易結束，獲利口數的總比率 : " + Convert.ToDouble(totalWinCountRumManyTimes) / ((Convert.ToDouble(totalWinCountRumManyTimes) + Convert.ToDouble(totalLoseCountRunManyTimes))) * 100 + " %");
conclusionMsg("交易結束，獲利日數的總比率 : " + Convert.ToDouble(winDayCount) / ((Convert.ToDouble(winDayCount) + Convert.ToDouble(loseDayCount))) * 100 + " %");
if (loseLine != null)
{
for (int i = 1; i <= winLine.Count; i++)
{
conclusionMsg("測試規則LOSE 00" + i + ":" + loseLine[i]);
}
}
if (winLine != null)
{
for (int i = 1; i <= winLine.Count; i++)
{
conclusionMsg("測試規則WIN 00" + i + ":" + winLine[i]);
}
}
if (reverseLine != null)
{
for (int i = 1; i <= winLine.Count; i++)
{
conclusionMsg("測試規則REVERSE 00" + i + ":" + reverseLine[i]);
}
}
conclusionMsg("曾經最大交易口數 : " + maxLot);
conclusionMsg(runCount * oFileList.Count + "次，扣除手續費後，總平均利潤 : " + pureProfit);
conclusionMsg("----------------------------------------------------------------------------------------------");
}
}//end startTrade(guid)
public Boolean prepareTest()
{
appDir = System.IO.Directory.GetCurrentDirectory(); //主程式所在目錄
appDir = System.Windows.Forms.Application.StartupPath;
string configFilePath = appDir + "\\" + Config_Dir + "\\" + Config_File_Name;
ConfigFile configFile = new ConfigFile(configFilePath);
try
{
configFile.prepareReader();
coreMethod = configFile.readConfig("Core_Method");
ruleCountWin = Convert.ToInt32(configFile.readConfig("Rule_Count_Win"));
ruleCountLose = Convert.ToInt32(configFile.readConfig("Rule_Count_Lose"));
string strRuleCountReverse = "Rule_Count_Reverse_";
for (int i = 1; i <= 10; i++)
{
ruleCountReverse[i - 1] = Convert.ToInt32(configFile.readConfig(strRuleCountReverse + Convert.ToString(i)));
}
runCount = Convert.ToInt32(configFile.readConfig("Run_Count"));
rulePeriod = Convert.ToInt32(configFile.readConfig("Rule_Period"));
maxLoss = configFile.readConfig("Max_Loss");
sourceDir = configFile.readConfig("Source_Dir");
ratio = Convert.ToDouble(configFile.readConfig("Ratio"));
lotLimit = Convert.ToInt32(configFile.readConfig("Lot_Limit"));
checkCount = Convert.ToInt32(configFile.readConfig("Check_Count"));
reversePeriod = Convert.ToDouble(configFile.readConfig("Reverse_Period"));
if (null == sourceDir)
{
sourceDir = Source_Dir;
}
}
catch (Exception e)
{
Console.WriteLine(e.Message);
Console.WriteLine(e.Source);
Console.WriteLine(e.StackTrace);
return(false);
}
List <int> lotList = new List <int>();
try
{
lots = configFile.readConfig("Lots");
lotArray = lots.Split(',');
}
catch (Exception ee)
{
Console.WriteLine(ee.StackTrace);
}
//-----------------------------------------------------------------------------------------------------------------------------------
//-----------------------------------------------------------------------------------------------------------------------------------
StrategyFile strategyInstance = StrategyFile.getInstance();
Boolean isRuleReady = false;
if (TradeManager.Core_Method_1.Equals(coreMethod) || TradeManager.Core_Method_2.Equals(coreMethod))
{
isRuleReady = strategyInstance.dealStrategyRule(appDir, "TestStrategy.txt");
this.winLine = strategyInstance.getWinLine();
this.loseLine = strategyInstance.getLoseLine();
this.reverseLine = strategyInstance.getReverseLine();
}
else if (TradeManager.Core_Method_3.Equals(coreMethod))
{
isRuleReady = strategyInstance.dealStopRatioRule(appDir, "TestStrategy.txt");
this.stopRatio = strategyInstance.getStopRatio();
}
if (!isRuleReady)
{
return(false);
}
//-----------------------------------------------------------------------------------------------------------------------------------
//-----------------------------------------------------------------------------------------------------------------------------------
reportDir = appDir + "\\" + Report_Dir + "\\";
conclusionDir = appDir + "\\" + Conclusion_Dir + "\\";
sourceFileDir = appDir + "\\" + sourceDir + "\\";
conclusionReportFileName = conclusionDir + now.Year + "_" + now.Month + "_" + now.Day + "_" + now.Hour + "_" + now.Minute + "_" + now.Second + "_Conclusion.rpt";
conclusionReport = new TradeFile(conclusionReportFileName);
conclusionReport.prepareWriter();
conclusionMsg("程式版本 :" + Version);
conclusionMsg("說明 :" + Comment);
conclusionMsg("使用核心:" + coreMethod);
conclusionMsg("單日設定最大停損" + maxLoss);
conclusionMsg("動態停利反轉比率:" + ratio);
conclusionMsg("下單口數:" + lots);
conclusionMsg("測試次數:" + runCount);
conclusionMsg("確定買賣方向的檢查機制，時間間隔次數:" + checkCount);
conclusionMsg("----------------------------------------------------------------------------------------------");
if (stopRatio != null)
{
conclusionMsg("逆勢動態停利規則 : " + stopRatio.ToString());
}
return(true);
}
