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test_Simple_SYS_for_st.cpp
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1 /*
2  * test_SYS_Simple.cpp
3  *
4  * Created on: 2013-4-20
5  * Author: fasiondog
6  */
7 
8 
9 #ifdef TEST_ALL_IN_ONE
10  #include <boost/test/unit_test.hpp>
11 #else
12  #define BOOST_TEST_MODULE test_hikyuu_trade_sys_suite
13  #include <boost/test/unit_test.hpp>
14 #endif
15 
16 #include "test_sys.h"
17 #include <hikyuu/StockManager.h>
18 #include <hikyuu/indicator/crt/MA.h>
19 #include <hikyuu/trade_manage/crt/crtTM.h>
20 #include <hikyuu/trade_sys/system/crt/SYS_Simple.h>
21 #include <hikyuu/trade_sys/signal/crt/SG_Cross.h>
22 #include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
23 #include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
24 #include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
25 
26 
27 using namespace hku;
28 
36 BOOST_AUTO_TEST_CASE( test_SYS_Simple_for_st) {
37  TradeRecordList tr_list;
38  price_t current_cash;
39 
40  StockManager& sm = StockManager::instance();
41 
42  //初始参数
43  Datetime init_date(199001010000LL); //账户初始日期
44  price_t init_cash = 100000; //账户初始金额
45  TradeCostPtr costfunc = TC_Zero(); //零成本函数
46  Stock stk = sm["sh600000"]; //选定标的
47  Datetime start_date(199911100000LL); //测试起始日期
48  Datetime end_date(200002250000LL); //测试结束日期
49 
50  KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
51 
52  //构建系统部件
53  TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
54  SGPtr sg = SG_Cross(OP(MA(5)), OP(MA(10)), "CLOSE");
55  MMPtr mm = MM_FixedCount(100);
56  STPtr st = ST_FixedPercent(0.01);
57  SYSPtr sys;
58 
60  sys = SYS_Simple();
61  sys->setParam("delay", false);
62  sys->setTM(tm->clone());
63  sys->setSG(sg->clone());
64  sys->setMM(mm->clone());
65  sys->setST(st->clone());
66  BOOST_CHECK(sys->readyForRun() == true);
67  sys->run(stk, query);
68  BOOST_CHECK(sys->getTM()->currentCash() != init_cash);
69  tr_list = sys->getTM()->getTradeList();
70  BOOST_CHECK(tr_list.size() != 1);
71  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
72 
73  BOOST_CHECK(tr_list[1].stock == stk);
74  BOOST_CHECK(tr_list[1].datetime == Datetime(199912150000LL));
75  BOOST_CHECK(tr_list[1].business == BUSINESS_BUY);
76  BOOST_CHECK(std::fabs(tr_list[1].planPrice - 26.45) < 0.00001);
77  BOOST_CHECK(std::fabs(tr_list[1].realPrice - 26.45) < 0.00001);
78  BOOST_CHECK(tr_list[1].goalPrice == Null<price_t>());
79  BOOST_CHECK(tr_list[1].number == 100);
80  BOOST_CHECK(std::fabs(tr_list[1].cost.total - 0) < 0.00001);
81  BOOST_CHECK(std::fabs(tr_list[1].stoploss - 26.19) < 0.00001);
82  current_cash = init_cash - 2645;
83  BOOST_CHECK(std::fabs(tr_list[1].cash - current_cash) < 0.00001);
84  BOOST_CHECK(tr_list[1].from == PART_SIGNAL);
85 
86  BOOST_CHECK(tr_list[2].stock == stk);
87  BOOST_CHECK(tr_list[2].datetime == Datetime(199912160000LL));
88  BOOST_CHECK(tr_list[2].business == BUSINESS_SELL);
89  BOOST_CHECK(std::fabs(tr_list[2].planPrice - 26.00) < 0.00001);
90  BOOST_CHECK(std::fabs(tr_list[2].realPrice - 26.00) < 0.00001);
91  BOOST_CHECK(tr_list[2].goalPrice == Null<price_t>());
92  BOOST_CHECK(tr_list[2].number == 100);
93  BOOST_CHECK(std::fabs(tr_list[2].cost.total - 0) < 0.00001);
94  BOOST_CHECK(std::fabs(tr_list[2].stoploss - 25.74) < 0.00001);
95  current_cash += 2600;
96  BOOST_CHECK(std::fabs(tr_list[2].cash - current_cash) < 0.00001);
97  BOOST_CHECK(tr_list[2].from == PART_STOPLOSS);
98 
99  BOOST_CHECK(tr_list[3].stock == stk);
100  BOOST_CHECK(tr_list[3].datetime == Datetime(200001050000LL));
101  BOOST_CHECK(tr_list[3].business == BUSINESS_BUY);
102  BOOST_CHECK(std::fabs(tr_list[3].planPrice - 25.28) < 0.00001);
103  BOOST_CHECK(std::fabs(tr_list[3].realPrice - 25.28) < 0.00001);
104  BOOST_CHECK(tr_list[3].goalPrice == Null<price_t>());
105  BOOST_CHECK(tr_list[3].number == 100);
106  BOOST_CHECK(std::fabs(tr_list[3].cost.total - 0) < 0.00001);
107  BOOST_CHECK(std::fabs(tr_list[3].stoploss - 25.03) < 0.00001);
108  current_cash -= 2528;
109  BOOST_CHECK(std::fabs(tr_list[3].cash - current_cash) < 0.00001);
110  BOOST_CHECK(tr_list[3].from == PART_SIGNAL);
111 
113  sys = SYS_Simple();
114  sys->setParam("delay", true);
115  sys->setTM(tm->clone());
116  sys->setSG(sg->clone());
117  sys->setMM(mm->clone());
118  sys->setST(st->clone());
119  BOOST_CHECK(sys->readyForRun() == true);
120  sys->run(stk, query);
121  BOOST_CHECK(sys->getTM()->currentCash() != init_cash);
122  tr_list = sys->getTM()->getTradeList();
123  BOOST_CHECK(tr_list.size() != 1);
124  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
125 
126  BOOST_CHECK(tr_list[1].stock == stk);
127  BOOST_CHECK(tr_list[1].datetime == Datetime(199912160000LL));
128  BOOST_CHECK(tr_list[1].business == BUSINESS_BUY);
129  BOOST_CHECK(std::fabs(tr_list[1].planPrice - 26.50) < 0.00001);
130  BOOST_CHECK(std::fabs(tr_list[1].realPrice - 26.50) < 0.00001);
131  BOOST_CHECK(tr_list[1].goalPrice == Null<price_t>());
132  BOOST_CHECK(tr_list[1].number == 100);
133  BOOST_CHECK(std::fabs(tr_list[1].cost.total - 0) < 0.00001);
134  BOOST_CHECK(std::fabs(tr_list[1].stoploss - 26.24) < 0.00001);
135  current_cash = init_cash - 2650;
136  BOOST_CHECK(std::fabs(tr_list[1].cash - current_cash) < 0.00001);
137  BOOST_CHECK(tr_list[1].from == PART_SIGNAL);
138 
139  BOOST_CHECK(tr_list[2].stock == stk);
140  BOOST_CHECK(tr_list[2].datetime == Datetime(199912170000LL));
141  BOOST_CHECK(tr_list[2].business == BUSINESS_SELL);
142  BOOST_CHECK(std::fabs(tr_list[2].planPrice - 26.00) < 0.00001);
143  BOOST_CHECK(std::fabs(tr_list[2].realPrice - 26.00) < 0.00001);
144  BOOST_CHECK(tr_list[2].goalPrice == Null<price_t>());
145  BOOST_CHECK(tr_list[2].number == 100);
146  BOOST_CHECK(std::fabs(tr_list[2].cost.total - 0) < 0.00001);
147  BOOST_CHECK(std::fabs(tr_list[2].stoploss - 25.74) < 0.00001);
148  current_cash += 2600;
149  BOOST_CHECK(std::fabs(tr_list[2].cash - current_cash) < 0.00001);
150  BOOST_CHECK(tr_list[2].from == PART_STOPLOSS);
151 
152  BOOST_CHECK(tr_list[3].stock == stk);
153  BOOST_CHECK(tr_list[3].datetime == Datetime(200001060000LL));
154  BOOST_CHECK(tr_list[3].business == BUSINESS_BUY);
155  BOOST_CHECK(std::fabs(tr_list[3].planPrice - 25.18) < 0.00001);
156  BOOST_CHECK(std::fabs(tr_list[3].realPrice - 25.18) < 0.00001);
157  BOOST_CHECK(tr_list[3].goalPrice == Null<price_t>());
158  BOOST_CHECK(tr_list[3].number == 100);
159  BOOST_CHECK(std::fabs(tr_list[3].cost.total - 0) < 0.00001);
160  BOOST_CHECK(std::fabs(tr_list[3].stoploss - 24.93) < 0.00001);
161  current_cash -= 2518;
162  BOOST_CHECK(std::fabs(tr_list[3].cash - current_cash) < 0.00001);
163  BOOST_CHECK(tr_list[3].from == PART_SIGNAL);
164 }
165 
BOOST_AUTO_TEST_CASE
BOOST_AUTO_TEST_CASE(test_SYS_Simple_for_st)
Definition: test_Simple_SYS_for_st.cpp:36
test_sys.h
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