private parameterPair getBestParameters(stockInfo stock)
{
double max = -10;
parameterPair bestPara = new parameterPair();
double k1Max = 0;
double k2Max = 0;
double trailingParameterMax = 0;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
Dictionary <DateTime, parameterPair> parameters = new Dictionary <DateTime, parameterPair>();
for (double k1 = 1; k1 <= 3; k1 = k1 + 0.2)
{
for (double k2 = 1; k2 <= 3; k2 = k2 + 0.2)
{
for (double trailingParameter = 0.004; trailingParameter <= 0.03; trailingParameter = trailingParameter + 0.002)
{
parameters = new Dictionary <DateTime, parameterPair>();
foreach (var date in myTradeDays)
{
parameterPair para = new parameterPair();
para.parameter1 = k1;
para.parameter2 = k2;
para.parameter3 = trailingParameter;
para.date = date;
para.strategy = "DualTrust";
para.code = stock.code;
para.existGoodParameter = true;
parameters.Add(date, para);
}
List <netvalueDaily> nv = new List <netvalueDaily>();
List <OneByOneTransaction> transactionData = new List <OneByOneTransaction>();
dualTrust(stock, parameters, ref nv, ref transactionData);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv.Select(s => s.netvalue).ToList());
if (sharpe > max)
{
max = sharpe;
k1Max = k1;
k2Max = k2;
trailingParameterMax = trailingParameter;
//Console.WriteLine("sharpe:{0}, k1:{1}, k2:{2}, trailing:{3}", max, k1Max, k2Max, trailingParameterMax);
}
}
}
}
bestPara.parameter1 = k1Max;
bestPara.parameter2 = k2Max;
bestPara.parameter3 = trailingParameterMax;
bestPara.strategy = "DualTrust";
bestPara.code = stock.code;
bestPara.bestSharpe = max;
if (max > 0)
{
bestPara.existGoodParameter = true;
}
else
{
bestPara.existGoodParameter = false;
}
return(bestPara);
}
//算出一年的最优参数，给后面N天使用
private double rollingByTime(stockInfo stock, int trainingSetDuration = 120, int testSetDuration = 10)
{
stockInfo stockRollInfo = new stockInfo();
Dictionary <DateTime, parameterPair> parameters = new Dictionary <DateTime, parameterPair>();
DateTime startDate = stock.startDate;
DateTime endDate = stock.endDate;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
int length = tradedays.Count();
for (int i = 0; i < length - trainingSetDuration; i = i + testSetDuration)
{
DateTime trainStart = tradedays[i];
DateTime trainEnd = tradedays[i + trainingSetDuration];
int testStartIndex = i + trainingSetDuration + 1;
int testEndIndex = i + trainingSetDuration + testSetDuration;
if (i == 0)
{
testStartIndex = 0;
}
if (testEndIndex >= length)
{
testEndIndex = length - 1;
}
stockRollInfo.code = stock.code;
stockRollInfo.startDate = trainStart;
stockRollInfo.endDate = trainEnd;
var bestPara = getBestParameters(stockRollInfo);
Console.WriteLine("start:{0}, end:{1}, bestSharpe:{2}, para1:{3}, para2:{4}, para3:{5}", trainStart, trainEnd, bestPara.bestSharpe, bestPara.parameter1, bestPara.parameter2, bestPara.parameter3);
for (int j = testStartIndex; j <= testEndIndex; j++)
{
parameterPair para = new parameterPair();
para.code = stock.code;
para.date = tradedays[j];
para.parameter1 = bestPara.parameter1;
para.parameter2 = bestPara.parameter2;
para.parameter3 = bestPara.parameter3;
para.strategy = bestPara.strategy;
para.existGoodParameter = bestPara.existGoodParameter;
parameters.Add(para.date, para);
}
}
List <netvalueDaily> nv = new List <netvalueDaily>();
List <OneByOneTransaction> transactionData = new List <OneByOneTransaction>();
dualTrust(stock, parameters, ref nv, ref transactionData);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv.Select(s => s.netvalue).ToList());
return(sharpe);
}
