回测平台小例子BKT：收盘前2分钟买，第二天卖

来源：互联网发布：db2数据库用户编辑：程序博客网时间：2024/04/29 20:11

#回测平台BKT受后台服务限制，速度稳定性上可能有问题。

dobkttest<-function(begintime="20130829",endtime="20140829",strategyname="autotest")
{
   library(WindR)
   w.start(0,FALSE);

   bktnote=paste(strategyname,Sys.time(),"Go");
   #begintime="20130329";
   #endtime="20140329";


   dates<-w.tdays(begintime,endtime)$Data$DATETIME;
   if(length(dates)<10)
   {
   print(dates);
   print("w.tdays error.....");
   return(1);
   }

   out<-w.bktstart(strategyname,begintime,endtime,'Period=1m;InitialFund=3000000');
   if(out$ErrorCode!=0)
   {
       print(out);
       print("Error on w.bktstart!");
       return (2);
   }
   bktid <- out$Data$BktId;#回测的id
   codes <- '600000.sh';
   print(paste('bktid=',bktid,'codes=',codes,'begintime=',begintime,'endtime=',endtime));

   for(i in c(1:length(dates))){
   print(paste('do i=',i, dates[i]));
   #查仓位
       out<-w.bktquery('position',paste(dates[i],'09:30:00'))
       if(out$ErrorCode!=0)
       {
           print(out);
           print("Error on w.bktquery--position!");
           return (3);
       }
       positions <-out$Data;

       #每天收盘前2分钟买，开盘2分钟卖
       if(! is.null(positions))
       {#有持仓则卖出
               out<-w.bktorder(paste(dates[i],' 09:30:00'),positions$SecurityCode,'sell',positions$SecurityVolume);
               if(out$ErrorCode!=0)
               {
                   print(out);
                   print("Error on w.bktorder sell!");
                   return (6);
               }
       }

   #查资金
   out<-w.bktquery('Capital',paste(dates[i],'09:30:00'))
       if(out$ErrorCode!=0)
       {
           print(out);
           print("Error on w.bktquery--Capital!");
           return (4);
       }

       totalfund<-out$Data$AvailableFund;
       if(is.null(totalfund) || is.nan(totalfund) )
       {
       print("totalfund is invalid");
       print(out);
       return(5.5);
       }


       out<-w.wsi(codes,'close',paste(dates[i]," 14:58:00"),paste(dates[i]," 14:59:00"));
       if(out$ErrorCode!=0)
       {
          if(out$ErrorCode == -40520007) #no data available
          {
          print(out);
             next;
          }
           print(out);
           print("Error on w.wsi!");
           return (5);
       }
       price <- out$Data$close;

       volume <- totalfund / sum(price) *0.9;

       if(is.null(volume) || is.nan(volume) )
       {
       print("volume is invalid");
       print(out);
       next;
       #return(5.5);
       }
       if(volume<100)
       {
       print(paste("volume",volume));
          next;
       }

       out<-w.bktorder(paste(dates[i],' 14:59:00'),codes,'buy',floor(volume/100)*100);
       if(out$ErrorCode!=0)
       {
           print(out);
           print("Error on w.bktorder buy!");
           return (6);
       }

   }

   w.bktend();

   print('BKT has finished!');
   return(1);
}

dobkttest(begintime='20130912')

0 0