iquant-master xmljava系统源码-iquant一个关于量化回测的开源系统.zip

package com.iquant.util; import com.iquant.common.DateUtil; import net.sf.json.JSONArray; import net.sf.json.JSONObject; import java.text.DecimalFormat; import java.text.SimpleDateFormat; import java.util.*; public class CountKRIUtil { /** * 计算整体风险指标数据 * @param output * @return */ public static Map<String, Object> countKRI(String output) { Map<String, Object> data = new HashMap<String, Object>(); KriUtil kriUtil = new KriUtil(); JSONObject outputJson = JSONObject.fromObject(output); JSONArray strategyReturnRateJson = JSONArray.fromObject(outputJson .getString("account")); JSONArray benchmarkReturnRateJson = JSONArray.fromObject(outputJson .getString("benchmark")); JSONArray worthJson = JSONArray.fromObject(outputJson .getString("worth")); JSONArray orderJson = JSONArray.fromObject(outputJson .getString("order")); // JSONArray buyAdjustJson = JSONArray.fromObject(outputJson // .getString("buyAdjust")); JSONArray logJson = JSONArray.fromObject(outputJson .getString("log")); List<Double> strategyReturnRateArray = new ArrayList<Double>(); for (int i = 0; i < strategyReturnRateJson.size(); i++) { String[] str = strategyReturnRateJson.getString(i).split(":"); strategyReturnRateArray.add(Double.parseDouble(str[1]) / 100); } List<Double> strategyWorth = new ArrayList<Double>(); List<Double> strategyGain = new ArrayList<Double>(); for (int i = 0; i < worthJson.size(); i++) { String[] str = worthJson.getString(i).split(":"); String[] str2 = str[1].split(","); strategyWorth.add(Double.parseDouble(str2[0])); if (i > 0) strategyGain.add(strategyWorth.get(i) / strategyWorth.get(i - 1) - 1); } List<Double> benchmarkWorth = new ArrayList<Double>(); List<Double> benchmarkGain = new ArrayList<Double>(); for (int i = 0; i < benchmarkReturnRateJson.size(); i++) { String[] str = benchmarkReturnRateJson.getString(i).split(":"); String[] str2 = str[1].split(","); if (i == 0) { benchmarkReturnRateJson.set(i, str[0] + ":" + str2[0]); benchmarkWorth.add(Double.parseDouble(str2[2])); } else { String[] lastStr = benchmarkReturnRateJson.getString(i - 1) .split(":"); String[] lastStr2 = lastStr[1].split(","); double newReturnRate = ((1 + Double.parseDouble(lastStr2[0]) / 100) * (1 + Double.parseDouble(str2[0]) / 100) - 1) * 100; benchmarkReturnRateJson.set(i, str[0] + ":" + newReturnRate); benchmarkWorth.add(Double.parseDouble(str2[2])); benchmarkGain.add(benchmarkWorth.get(i) / benchmarkWorth.get(i - 1) - 1); } } double buy = 0.0; double sell = 0.0; // order[] 数组 for (int i = 0; i < orderJson.size(); i++) { // order的对象 JSONObject dataObject = JSONObject.fromObject(orderJson.get(i)); for (Iterator it2 = dataObject.keys(); it2.hasNext();) { // 时间日期的key值 String key2 = (String) it2.next(); // 日期下的时间值 JSONObject dataObject2 = JSONObject.fromObject(dataObject .getString(key2)); // 遍历日期下的所有分钟 for (Iterator it3 = dataObject2.keys(); it3.hasNext();) { // 分钟的key值 String key3 = (String) it3.next(); // String[] str = dataObject2.getString(key3).split(","); // double tradePrice = Double.parseDouble(str[2]); // if (tradePrice > 0) // buy += tradePrice; // else // sell += tradePrice; JSONObject dataObject3 = dataObject2.getJSONObject(key3); for(Iterator it4 = dataObject3.keys(); it4.hasNext();){ String key4 = (String) it4.next(); String[] str = dataObject3.getString(key4).split(","); double tradePrice = Double.parseDouble(str[2]); if (tradePrice > 0) buy += tradePrice; else sell += tradePrice; } } } } double strategyReturnRate = 0.0; if(strategyWorth != null && strategyWorth.size() > 0){ strategyReturnRate = kriUtil.annualizedReturnRate( strategyWorth.get(0), strategyWorth.get(strategyWorth.size() - 1), strategyWorth.size()); } double benchmarkReturnRate = 0.0; if(benchmarkWorth != null && benchmarkWorth.size() > 0){ benchmarkReturnRate = kriUtil.annualizedReturnRate( benchmarkWorth.get(0), benchmarkWorth.get(benchmarkWorth.size() - 1), benchmarkWorth.size()); } double beta = kriUtil.beta(strategyGain, benchmarkGain); double alpha = kriUtil.alpha(beta, strategyReturnRate, benchmarkReturnRate); double volatility = kriUtil.annualizedVolatility(strategyGain); double sharpeRatio = kriUtil .sharpeRatio(volatility, strategyReturnRate); double informationRatio = kriUtil.annualizedInformationRatio( strategyReturnRate, benchmarkReturnRate, strategyGain, benchmarkGain); double maxDrawdown = kriUtil.maxDrawdown(strategyWorth); double turnoverRate = kriUtil.turnoverRate(buy, sell, strategyWorth); String logStr = logJson.toString(); // String logStr = ""; // for (int i = 0; i < logJson.size(); i++) { // String temp = logJson.getString(i); // String[] str1 = temp.split(":"); // if(str1.length > 1){ // String[] str2 = str1[1].split(","); // if (Integer.parseInt(str2[1]) > 0) { // logStr += str1[0] + " 09:30:00 - INFO - 原始下单数量为" + str2[1] // + "，买入股票数量必须是100的倍数，调整为" + str2[2] + "<br>"; // logStr += str1[0] + " 09:30:00 - INFO - Buying " + str2[0] // + "<br>"; // } else if (Integer.parseInt(str2[1]) < 0) { // logStr += str1[0] + " 09:30:00 - INFO - Selling " + str2[0] // + "<br>"; // } // } // } data.put("strategy", strategyReturnRateJson); data.put("benchmark", benchmarkReturnRateJson); data.put("strategyReturnRate", strategyReturnRate); data.put("benchmarkReturnRate", benchmarkReturnRate); data.put("alpha", alpha); data.put("beta", beta); data.put("sharpeRatio", sharpeRatio); data.put("volatility", volatility); data.put("informationRatio", informationRatio); data.put("maxDrawdown", maxDrawdown); data.put("turnoverRate", turnoverRate); data.put("log", logStr); return data; } /** * 计算风险指标按月详细数据 * @param output * @return * @throws Exception */ public static Map<String, Object> countKRIDetail(String output) throws Exception { Map<String, Object> data = new HashMap<String, Object>(); KriUtil kriUtil = new KriUtil(); DecimalFormat precentFormat = new DecimalFormat("0.00%"); SimpleDateFormat sformat = new SimpleDateFormat("yyyy-MM"); JSONObject outputJson = JSONObject.fromObject(output); JSONArray strategyReturnRateJson = JSONArray.fromObject(outputJson .getString("account")); JSONArray benchmarkReturnRateJson = JSONArray.fromObject(outputJson .getString("benchmark")); JSONArray worthJson = JSONArray.fromObject(outputJson .getString("worth")); JSONArray orderJson = JSONArray.fromObject(outputJson .getString("order")); // JSONArray buyAdjustJson = JSONArray.fromObject(outputJson // .getString("buyAdjust")); JSONArray logJson = JSONArray.fromObject(outputJson .getString("log")); String start = outputJson.getString("start"); String end = outputJson.getString("end"); /* * 将原始数据分割成每月一份放入对应MAP中 */ Map<Date, List<Double>> strategyReturnRateMap = new HashMap<Date, List<Double>>(); List<Double> strategyReturnRateTemp = new ArrayList<Double>(); int strategyReturnRateMonth = 0; for (int i = 0; i < strategyReturnRateJson.size(); i++) { String[] str = strategyReturnRateJson.getString(i).split(":"); Date date = DateUtil.getString2Date(str[0], "yyyy-MM-dd"); if (i == 0) { strategyReturnRateMonth = DateUtil.getDateMonth(date); strategyReturnRateTemp.add(Double.parseDouble(str[1]) / 100); } else { if (DateUtil.getDateMonth(date) == strategyReturnRateMonth) { strategyReturnRateTemp .add