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- 시뮬레이션 수정중 : 표준편차 이용

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This commit is contained in:
mjjo
2017-02-20 04:15:45 +09:00
parent 0aec121fd5
commit dd7a1322e4
4 changed files with 191 additions and 60 deletions
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121
SimulationHelper.cs
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@@ -15,11 +15,13 @@ namespace AutoSellerNS
{
class SimulationHelper
{
AutoSeller m_AutoSeller = null;
CybosHelper m_CybosHelper = null;
RichTextBox m_tbLogView = null;
public SimulationHelper(CybosHelper CybosHelper, RichTextBox tbLog)
public SimulationHelper(AutoSeller autoSeller, CybosHelper CybosHelper, RichTextBox tbLog)
{
m_AutoSeller = autoSeller;
m_CybosHelper = CybosHelper;
m_tbLogView = tbLog;
}
@@ -130,7 +132,7 @@ namespace AutoSellerNS
DateTime StartDT;
DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
string strOutFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
string strOutFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-" + strCodeName + "StockChart" + ".xlsx";
if(File.Exists(strOutFileName) == true)
{
if(StartDT.DayOfYear == DateTime.Now.DayOfYear)
@@ -216,7 +218,7 @@ namespace AutoSellerNS
DateTime StartDT;
DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
string strOutFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
string strOutFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-" + strCodeName + "StockChart" + ".xlsx";
if(File.Exists(strOutFileName) == true)
{
if(StartDT.DayOfYear == DateTime.Now.DayOfYear)
@@ -298,7 +300,7 @@ namespace AutoSellerNS
int iStartPrice;
int.TryParse(strStartPrice, NumberStyles.AllowThousands, CultureInfo.CurrentCulture, out iStartPrice);
string strFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
string strFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-JpBid-" + strCodeName + ".xlsx";
FileInfo newFile = new FileInfo(strFileName);
@@ -414,6 +416,7 @@ namespace AutoSellerNS
var strNewTime = tokens[1];
var strSimulationTime = tokens[2];
var strCodeName = tokens[3];
strCodeName = strCodeName.Trim();
var strCode = tokens[4];
var strStartPrice = tokens[5];
@@ -423,7 +426,7 @@ namespace AutoSellerNS
int iStartPrice;
int.TryParse(strStartPrice, NumberStyles.AllowThousands, CultureInfo.CurrentCulture, out iStartPrice);
string strFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
string strFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-JpBid-" + strCodeName + ".xlsx";
FileInfo newFile = new FileInfo(strFileName);
@@ -448,10 +451,27 @@ namespace AutoSellerNS
bool bPrevAsk = false;
int iMaxAskPrice = 0;
int iCheckCount = 50;
List<int> m_PriceList = new List<int>();
int iListCnt;
double dFastSD;
int iFastCnt;
double dSlowSD;
int iSlowCnt;
int.TryParse(m_AutoSeller.tbSMListSize.Text, out iListCnt);
double.TryParse(m_AutoSeller.tbSMFastSD.Text, out dFastSD);
int.TryParse(m_AutoSeller.tbSMFastCnt.Text, out iFastCnt);
double.TryParse(m_AutoSeller.tbSMSlowSD.Text, out dSlowSD);
int.TryParse(m_AutoSeller.tbSMSlowCnt.Text, out iSlowCnt);
int iPrevAskPrice = 0;
for(int iRow = 2; iRow<=iMaxRow; iRow++)
{
if(Sheet.Cells[iRow, 2].Value == "*")
continue;
int iTime = (int)(double)Sheet.Cells[iRow, 1].Value;
int iPrice = (int)(double)Sheet.Cells[iRow, 3].Value;
int iAskPrice = (int)(double)Sheet.Cells[iRow, 4].Value;
@@ -469,10 +489,39 @@ namespace AutoSellerNS
iStartRow = iRow;
iMaxAskPrice = iAskPrice;
iPrevAskPrice = iAskPrice;
m_PriceList.Clear();
m_PriceList.Add(iPrice);
}
}
else
{
m_PriceList.Add(iPrice);
if(m_PriceList.Count > iListCnt)
m_PriceList.RemoveAt(0);
double dAverage = (float)m_PriceList.Average();
double sumOfSquaresOfDifferences = m_PriceList.Select(val => Math.Pow((val-dAverage)/m_CybosHelper.GetUnitValue(val), 2)).Sum();
double sd = Math.Sqrt(sumOfSquaresOfDifferences / m_PriceList.Count);
if(sd >= dFastSD)
{
if(iPrice >= m_PriceList[m_PriceList.Count-2])
iCheckCount += iFastCnt;
else if(iCheckCount > 30)
iCheckCount -= iFastCnt;
}
else if(sd <= dSlowSD)
{
if(iPrice >= m_PriceList[m_PriceList.Count-2])
iCheckCount += iSlowCnt;
else if(iCheckCount > 30)
iCheckCount -= iSlowCnt;
}
int k = 0;
//// 체결가 비교
//if(iPrice > iPrevPrice)
//{
@@ -545,20 +594,28 @@ namespace AutoSellerNS
//else
// iDealCountInSec = 1;
if(iAskCount >= Config.GetBidCount())
if(iAskCount >= Math.Round(iCheckCount/10.0f))
{
m_tbLogView.AppendText(string.Format("[{0,-10}] 조건1 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7}, line:{8})\n",
int iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
m_tbLogView.AppendText(string.Format("[{0}] 조건1 매도 (매수 : {1:n0}원, {2}, line:{3}) (매도 : {4:n0}원(매도가:{5:n0}원) {6} line:{7}) ({8}, {9:n0} : {10:n2}%) {11} \n",
strCodeName,
RowDT.ToString("yyyy-MM-dd HH:mm:ss"),
iRow,
iPrice,
iPrice-iStartPrice,
(iPrice-iStartPrice)*100/(float)iStartPrice,
iStartPrice,
StartDT.ToString("yyyy-MM-dd HH:mm:ss"),
iStartRow
StartDT.ToString("HH:mm:ss"),
iStartRow,
iPrice,
iSellPrice,
RowDT.ToString("HH:mm:ss"),
iRow,
iSellPrice-iStartPrice,
(iSellPrice-iStartPrice)*iStockCount,
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
iCheckCount
));
iTotalProfit += (iPrice-iStartPrice)*iStockCount;
iTotalProfit += (iSellPrice-iStartPrice)*iStockCount;
iTotalBid += iStartPrice*iStockCount;
break;
}
@@ -566,15 +623,15 @@ namespace AutoSellerNS
//if(aPrevDT.Count > 3 && aPrevDT.Last() - aPrevDT[aPrevDT.Count-3] > TimeSpan.FromSeconds(1) && iAskDownCount >= Config.GetBidCount())
//if(iAskDownCount >= 5)
//{
// m_tbLogView.AppendText(string.Format("[{0,-10}] 조건2 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7}, line:{8})\n",
// m_tbLogView.AppendText(string.Format("[{0}] 조건2 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7}, line:{8})\n",
// strCodeName,
// RowDT.ToString("yyyy-MM-dd HH:mm:ss"),
// RowDT.ToString("HH:mm:ss"),
// iRow,
// iPrice,
// iPrice-iStartPrice,
// (iPrice-iStartPrice)*100/(float)iStartPrice,
// iStartPrice,
// StartDT.ToString("yyyy-MM-dd HH:mm:ss"),
// StartDT.ToString("HH:mm:ss"),
// iStartRow
// ));
// iTotalProfit += (iPrice-iStartPrice)*iStockCount;
@@ -590,18 +647,26 @@ namespace AutoSellerNS
if(iTrailingCount >= Config.GetTrailingCnt())
{
m_tbLogView.AppendText(string.Format("[{0}] 트레일링 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7} line:{8})\n",
int iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
m_tbLogView.AppendText(string.Format("[{0}] 트레일링 매도 (매수 : {1:n0}원, {2}, line:{3}) (매도 : {4:n0}원(매도가:{5:n0}원) {6} line:{7}) ({8}, {9:n0} : {10:n2}%) \n",
strCodeName,
RowDT.ToString("yyyy-MM-dd HH:mm:ss"),
iRow,
iPrice,
iPrice-iStartPrice,
(iPrice-iStartPrice)*100/(float)iStartPrice,
iStartPrice,
StartDT.ToString("yyyy-MM-dd HH:mm:ss"),
iStartRow
StartDT.ToString("HH:mm:ss"),
iStartRow,
iPrice,
iSellPrice,
RowDT.ToString("HH:mm:ss"),
iRow,
iSellPrice-iStartPrice,
(iSellPrice-iStartPrice)*iStockCount,
(iSellPrice-iStartPrice)*100/(float)iStartPrice
));
iTotalProfit += (iPrice-iStartPrice)*iStockCount;
iTotalProfit += (iSellPrice-iStartPrice)*iStockCount;
iTotalBid += iStartPrice*iStockCount;
break;
}
@@ -615,7 +680,7 @@ namespace AutoSellerNS
}
}
m_tbLogView.AppendText(string.Format("[시뮬레이션 종료] 총수익 : {0:n0}원 : {1:n2}%\n\n", iTotalProfit, iTotalProfit*100/(float)iTotalBid));
m_tbLogView.AppendText(string.Format("[시뮬레이션 종료] 총수익 : {0:n0}원 : {1:n2}%\n\n", iTotalProfit, iTotalProfit*100/(float)1000000));
m_tbLogView.SelectionStart = m_tbLogView.TextLength;
m_tbLogView.ScrollToCaret();
}