C#/.NET量化开发实现财富自由【6】回归测试——寻找属于你的财富策略的必经之路

 /// <summary>
 /// 回测结果
 /// </summary>
 public class BackTestInfo
 {
     /// <summary>
     /// 日期
     /// </summary>
    public DateTime DateTime { get; set; }

     /// <summary>
     /// 整体收益率
     /// </summary>
     public double RateOfReturn {  get; set; }

     /// <summary>
     /// 持股数量
     /// </summary>
     public double Count { get; set; }

     /// <summary>
     /// 买入/卖出价格
     /// </summary>
     public double Price {  get; set; }

     /// <summary>
     /// 记录上次买入价格，用于卖出计算收益
     /// </summary>
     public double OldPrice { get; set; }

     /// <summary>
     /// 实时资金
     /// </summary>
     public double Money {  get; set; }

     /// <summary>
     /// 起始资金
     /// </summary>
     public double SourceMoney { get; set; }

     /// <summary>
     /// 买入/卖出   true 买入
     /// </summary>
     public bool IsBuy {  get; set; }

     public BackTestInfo() { }
     public BackTestInfo(BackTestInfo info) {
         Count = info.Count;
         OldPrice = info.Price;
         Money = info.Money;
         SourceMoney = info.SourceMoney;
         IsBuy = info.IsBuy;
     }
 }

  if (testHistory[i - 1].MACD < 0 && testHistory[i].MACD >= 0 && testHistory[i - 1].DIF<0 && testHistory[i].DIF>=0) // 例如0轴金叉
  {
      // 买入
      if (backTestInfos.Any())
      {
          var newBackInfo = new BackTestInfo(backTestInfos.Last());
          newBackInfo.DateTime = testHistory[i].Date;
          newBackInfo.Price = testHistory[i].Close.Value;
          if (newBackInfo.IsBuy)
          {
              // 已经是持仓，跳过
              continue;
          }
          else
          {
              newBackInfo.IsBuy = true;
          }
          // 计算能买多少股,去掉小数点部分
          int buyCount = (int)((newBackInfo.Money / newBackInfo.Price));

          // 梭哈买入
          newBackInfo.Count = buyCount;
          // 扣除佣金，例如万分之一
          newBackInfo.Money = newBackInfo.Money - (buyCount * newBackInfo.Price * 0.0001);

          // 实时收益率
          newBackInfo.RateOfReturn = (newBackInfo.Money - newBackInfo.SourceMoney) / newBackInfo.SourceMoney * 100;


          backTestInfos.Add(newBackInfo);
      }
      else
      {
          // 第一个数据
          var newBackInfo = new BackTestInfo();
          newBackInfo.DateTime = testHistory[i].Date;
          newBackInfo.Price = testHistory[i].Close.Value;
          newBackInfo.IsBuy = true;

          newBackInfo.Money = money;
          newBackInfo.SourceMoney = money;
          // 计算能买多少股,去掉小数点部分
          int buyCount = (int)((newBackInfo.Money / newBackInfo.Price));

          // 梭哈买入
          newBackInfo.Count = buyCount;
          // 扣除佣金，例如万分之一
          newBackInfo.Money = newBackInfo.Money - (buyCount * newBackInfo.Price * 0.0001);

          // 实时收益率
          newBackInfo.RateOfReturn = (newBackInfo.Money - newBackInfo.SourceMoney) / newBackInfo.SourceMoney * 100;

          backTestInfos.Add(newBackInfo);

      }
  }
  else if (testHistory[i].MACD <= 0 || testHistory[i].DIF<0) // DIF或MACD死叉卖出
  {
      // 卖出
      if (backTestInfos.Any())
      {
          var newBackInfo = new BackTestInfo(backTestInfos.Last());
          newBackInfo.DateTime = testHistory[i].Date;
          newBackInfo.Price = testHistory[i].Close.Value;
          if (!newBackInfo.IsBuy)
          {
              // 没有持仓，跳过
              continue;
          }
          else
          {
              newBackInfo.IsBuy = false;
          }

          // 计算清仓卖出资金收益，数量*（卖出价 - 买入价）
          double saleMoney = newBackInfo.Count * newBackInfo.Price;
          double buyMoney = newBackInfo.Count * newBackInfo.OldPrice;

          newBackInfo.Money = newBackInfo.Money + (saleMoney - buyMoney - (saleMoney * 0.0001) -(saleMoney * 0.001)); // ETF不计算印花税，股票卖出计算印花税例如千分之一。计算收益后总资金量

          // 实时收益率
          newBackInfo.RateOfReturn = (newBackInfo.Money - newBackInfo.SourceMoney) / newBackInfo.SourceMoney * 100;

          backTestInfos.Add(newBackInfo);
      }
      else
      {
          // 第一个数据，没买入，就没有卖出，跳过
          continue;
      }
  }