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test_Simple_SYS_for_tp.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_tp) {
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  TPPtr tp = ST_Indicator(OP(MA(5)), "CLOSE");
58  SYSPtr sys;
59 
61  sys = SYS_Simple();
62  sys->setParam("delay", false);
63  sys->setTM(tm->clone());
64  sys->setSG(sg->clone());
65  sys->setMM(mm->clone());
66  sys->setST(st->clone());
67  sys->setTP(tp->clone());
68  BOOST_CHECK(sys->readyForRun() == true);
69  sys->run(stk, query);
70  BOOST_CHECK(sys->getTM()->currentCash() != init_cash);
71  tr_list = sys->getTM()->getTradeList();
72  BOOST_CHECK(tr_list.size() != 1);
73  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
74 
75  BOOST_CHECK(tr_list[1].stock == stk);
76  BOOST_CHECK(tr_list[1].datetime == Datetime(199912150000LL));
77  BOOST_CHECK(tr_list[1].business == BUSINESS_BUY);
78  BOOST_CHECK(std::fabs(tr_list[1].planPrice - 26.45) < 0.00001);
79  BOOST_CHECK(std::fabs(tr_list[1].realPrice - 26.45) < 0.00001);
80  BOOST_CHECK(tr_list[1].goalPrice == Null<price_t>());
81  BOOST_CHECK(tr_list[1].number == 100);
82  BOOST_CHECK(std::fabs(tr_list[1].cost.total - 0) < 0.00001);
83  BOOST_CHECK(std::fabs(tr_list[1].stoploss - 26.19) < 0.00001);
84  current_cash = init_cash - 2645;
85  BOOST_CHECK(std::fabs(tr_list[1].cash - current_cash) < 0.00001);
86  BOOST_CHECK(tr_list[1].from == PART_SIGNAL);
87 
88  BOOST_CHECK(tr_list[2].stock == stk);
89  BOOST_CHECK(tr_list[2].datetime == Datetime(199912160000LL));
90  BOOST_CHECK(tr_list[2].business == BUSINESS_SELL);
91  BOOST_CHECK(std::fabs(tr_list[2].planPrice - 26.00) < 0.00001);
92  BOOST_CHECK(std::fabs(tr_list[2].realPrice - 26.00) < 0.00001);
93  BOOST_CHECK(tr_list[2].goalPrice == Null<price_t>());
94  BOOST_CHECK(tr_list[2].number == 100);
95  BOOST_CHECK(std::fabs(tr_list[2].cost.total - 0) < 0.00001);
96  BOOST_CHECK(std::fabs(tr_list[2].stoploss - 25.74) < 0.00001);
97  current_cash += 2600;
98  BOOST_CHECK(std::fabs(tr_list[2].cash - current_cash) < 0.00001);
99  BOOST_CHECK(tr_list[2].from == PART_STOPLOSS);
100 
101  BOOST_CHECK(tr_list[3].stock == stk);
102  BOOST_CHECK(tr_list[3].datetime == Datetime(200001050000LL));
103  BOOST_CHECK(tr_list[3].business == BUSINESS_BUY);
104  BOOST_CHECK(std::fabs(tr_list[3].planPrice - 25.28) < 0.00001);
105  BOOST_CHECK(std::fabs(tr_list[3].realPrice - 25.28) < 0.00001);
106  BOOST_CHECK(tr_list[3].goalPrice == Null<price_t>());
107  BOOST_CHECK(tr_list[3].number == 100);
108  BOOST_CHECK(std::fabs(tr_list[3].cost.total - 0) < 0.00001);
109  BOOST_CHECK(std::fabs(tr_list[3].stoploss - 25.03) < 0.00001);
110  current_cash -= 2528;
111  BOOST_CHECK(std::fabs(tr_list[3].cash - current_cash) < 0.00001);
112  BOOST_CHECK(tr_list[3].from == PART_SIGNAL);
113 
114  BOOST_CHECK(tr_list[4].stock == stk);
115  BOOST_CHECK(tr_list[4].datetime == Datetime(200001110000LL));
116  BOOST_CHECK(tr_list[4].business == BUSINESS_SELL);
117  BOOST_CHECK(std::fabs(tr_list[4].planPrice - 26.20) < 0.00001);
118  BOOST_CHECK(std::fabs(tr_list[4].realPrice - 26.20) < 0.00001);
119  BOOST_CHECK(tr_list[4].goalPrice == Null<price_t>());
120  BOOST_CHECK(tr_list[4].number == 100);
121  BOOST_CHECK(std::fabs(tr_list[4].cost.total - 0) < 0.00001);
122  BOOST_CHECK(std::fabs(tr_list[4].stoploss - 25.94) < 0.00001);
123  current_cash += 2620;
124  BOOST_CHECK(std::fabs(tr_list[4].cash - current_cash) < 0.00001);
125  BOOST_CHECK(tr_list[4].from == PART_TAKEPROFIT);
126 
128  sys = SYS_Simple();
129  sys->setParam("delay", true);
130  sys->setTM(tm->clone());
131  sys->setSG(sg->clone());
132  sys->setMM(mm->clone());
133  sys->setST(st->clone());
134  sys->setTP(tp->clone());
135  BOOST_CHECK(sys->readyForRun() == true);
136  sys->run(stk, query);
137  BOOST_CHECK(sys->getTM()->currentCash() != init_cash);
138  tr_list = sys->getTM()->getTradeList();
139  BOOST_CHECK(tr_list.size() != 1);
140  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
141 
142  BOOST_CHECK(tr_list[1].stock == stk);
143  BOOST_CHECK(tr_list[1].datetime == Datetime(199912160000LL));
144  BOOST_CHECK(tr_list[1].business == BUSINESS_BUY);
145  BOOST_CHECK(std::fabs(tr_list[1].planPrice - 26.50) < 0.00001);
146  BOOST_CHECK(std::fabs(tr_list[1].realPrice - 26.50) < 0.00001);
147  BOOST_CHECK(tr_list[1].goalPrice == Null<price_t>());
148  BOOST_CHECK(tr_list[1].number == 100);
149  BOOST_CHECK(std::fabs(tr_list[1].cost.total - 0) < 0.00001);
150  BOOST_CHECK(std::fabs(tr_list[1].stoploss - 26.24) < 0.00001);
151  current_cash = init_cash - 2650;
152  BOOST_CHECK(std::fabs(tr_list[1].cash - current_cash) < 0.00001);
153  BOOST_CHECK(tr_list[1].from == PART_SIGNAL);
154 
155  BOOST_CHECK(tr_list[2].stock == stk);
156  BOOST_CHECK(tr_list[2].datetime == Datetime(199912170000LL));
157  BOOST_CHECK(tr_list[2].business == BUSINESS_SELL);
158  BOOST_CHECK(std::fabs(tr_list[2].planPrice - 26.00) < 0.00001);
159  BOOST_CHECK(std::fabs(tr_list[2].realPrice - 26.00) < 0.00001);
160  BOOST_CHECK(tr_list[2].goalPrice == Null<price_t>());
161  BOOST_CHECK(tr_list[2].number == 100);
162  BOOST_CHECK(std::fabs(tr_list[2].cost.total - 0) < 0.00001);
163  BOOST_CHECK(std::fabs(tr_list[2].stoploss - 25.74) < 0.00001);
164  current_cash += 2600;
165  BOOST_CHECK(std::fabs(tr_list[2].cash - current_cash) < 0.00001);
166  BOOST_CHECK(tr_list[2].from == PART_STOPLOSS);
167 
168  BOOST_CHECK(tr_list[3].stock == stk);
169  BOOST_CHECK(tr_list[3].datetime == Datetime(200001060000LL));
170  BOOST_CHECK(tr_list[3].business == BUSINESS_BUY);
171  BOOST_CHECK(std::fabs(tr_list[3].planPrice - 25.18) < 0.00001);
172  BOOST_CHECK(std::fabs(tr_list[3].realPrice - 25.18) < 0.00001);
173  BOOST_CHECK(tr_list[3].goalPrice == Null<price_t>());
174  BOOST_CHECK(tr_list[3].number == 100);
175  BOOST_CHECK(std::fabs(tr_list[3].cost.total - 0) < 0.00001);
176  BOOST_CHECK(std::fabs(tr_list[3].stoploss - 24.93) < 0.00001);
177  current_cash -= 2518;
178  BOOST_CHECK(std::fabs(tr_list[3].cash - current_cash) < 0.00001);
179  BOOST_CHECK(tr_list[3].from == PART_SIGNAL);
180 
181  BOOST_CHECK(tr_list[4].stock == stk);
182  BOOST_CHECK(tr_list[4].datetime == Datetime(200001120000LL));
183  BOOST_CHECK(tr_list[4].business == BUSINESS_SELL);
184  BOOST_CHECK(std::fabs(tr_list[4].planPrice - 26.00) < 0.00001);
185  BOOST_CHECK(std::fabs(tr_list[4].realPrice - 26.00) < 0.00001);
186  BOOST_CHECK(tr_list[4].goalPrice == Null<price_t>());
187  BOOST_CHECK(tr_list[4].number == 100);
188  BOOST_CHECK(std::fabs(tr_list[4].cost.total - 0) < 0.00001);
189  BOOST_CHECK(std::fabs(tr_list[4].stoploss - 25.74) < 0.00001);
190  current_cash += 2600;
191  BOOST_CHECK(std::fabs(tr_list[4].cash - current_cash) < 0.00001);
192  BOOST_CHECK(tr_list[4].from == PART_TAKEPROFIT);
193 }
194 
BOOST_AUTO_TEST_CASE
BOOST_AUTO_TEST_CASE(test_SYS_Simple_for_tp)
Definition: test_Simple_SYS_for_tp.cpp:36
test_sys.h
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