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test.R
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test<- function(){
Cash <- NULL
Real_Position <- NULL
for(cursor in 1:nrow(RebalanceDate_Backtest)){
print(cursor)
TradeDate_ <- RebalanceDate_Backtest$BuyDate[cursor]
SellDate_ <- RebalanceDate_Backtest$SellDate[cursor]
BondQuote_Cut_ <- BondQuote_Cut_All %>% filter(TradingDay %in% c(TradeDate_,SellDate_))
#裁剪行情数据，加速回测,包含TradeDate、SellDate两天行情，关联时需要关联TradingDay
if(cursor ==1 ){#第一期单独处理
Real_Position[[cursor]] <- Signal_Total %>% filter(Date==TradeDate_) %>%
left_join(BondQuote_Cut_, by = c('InnerCode','Date'='TradingDay')) %>% #关联上当日行情计算购买量
mutate(SellDate=SellDate_) %>% #关联上SellDate的行情，以观察持仓期表现
left_join(BondQuote_Cut_[c('InnerCode','TradingDay','ReturnDaily')], by = c('InnerCode','SellDate'='TradingDay')) %>%
rename(Return_Buy=ReturnDaily.x,Return_Sell=ReturnDaily.y) %>%
mutate(Target_Asset = Weight*Cash_Initial*Trade_Ratio, #目标买入金额
Asset_BfTrade = 0, #盘前资产
Asset_AtTrade = 0, #换仓时资产
Trade_Orders = Target_Asset, #目标交易单
TurnoverValue = ifelse(is.na(TurnoverValue),0,TurnoverValue),
Buy_Ceiling = TurnoverValue*Buy_Proportion, #买入金额上限
Actual_Buying = ifelse(Buy_Ceiling>Target_Asset,Target_Asset,Buy_Ceiling), #实际能买入的金额
Asset_AfTrade = Actual_Buying, #盘后资产
Asset_HoldTmr = Asset_AfTrade*(1+Return_Sell)) %>%
select(Date,InnerCode,Weight,Target_Asset,Asset_BfTrade,Asset_AtTrade,Trade_Orders,
Asset_AfTrade,Asset_HoldTmr,everything())
Cash[cursor] <- Cash_Initial - sum(Real_Position[[cursor]]$Asset_AfTrade) #购买债券后的剩余资金
} else {#第二期开始
Prev_Position_ <- Real_Position[[cursor-1]] %>%
filter(Asset_AfTrade>0 | InnerCode=='AS0000') #去掉前一期中已经卖出的债券
Target_Position_ <- Signal_Total %>% filter(Date==TradeDate_)
#前后两期持仓权重
Position_Matrix <- rbind(distinct(Prev_Position_,InnerCode),distinct(Target_Position_,InnerCode)) %>%
distinct(InnerCode) %>% #前后两期所有债
left_join(Prev_Position_[c('InnerCode','Weight')], by = 'InnerCode') %>% #关联上前一期的持仓权重
rename(Weight_LT=Weight) %>%
left_join(Target_Position_[c('InnerCode','Weight')], by = 'InnerCode') %>% #关联上当前一期的持仓权重
mutate(Weight_LT=ifelse(is.na(Weight_LT),0,Weight_LT), Weight=ifelse(is.na(Weight),0,Weight)) #NA->0
if(sum(Position_Matrix$Weight_LT!=Position_Matrix$Weight)==0){
#如果后一期持仓权重和前一期相同，则不调仓，只对已有持仓的价值进行重新评估
Real_Position[[cursor]]<- Prev_Position_ %>%
mutate(Date=TradeDate_,SellDate=SellDate_) %>%
left_join(BondQuote_Cut_[c('InnerCode','TradingDay','ReturnDaily')], by = c('InnerCode','SellDate'='TradingDay')) %>%
select(Date,SellDate,InnerCode,SecuCode,SecuAbbr,Weight,
Asset_BfTrade = Asset_AfTrade,
Asset_AtTrade = Asset_HoldTmr,
Return_Buy = Return_Sell,
Return_Sell = ReturnDaily) %>%
mutate(Trade_Orders = 0,
Actual_Buying = 0,
Asset_AfTrade = Asset_AtTrade,
Asset_HoldTmr = Asset_AfTrade*(1+Return_Sell),
Target_Asset = (sum(Asset_AtTrade, na.rm=T)+Cash[cursor-1])*Trade_Ratio*Weight
)
Cash[cursor] <- Cash[cursor-1]
} else{#如果后一期持仓权重和前一期不同，则进行调仓
#先计算调仓时的总资产，然后按照总资金按权重进行分配，得到目标持仓
#最后根据目标持仓和原来持仓的差额进行先卖后买
Sell_Side<- Position_Matrix %>% left_join(Prev_Position_[c('InnerCode','Asset_AfTrade','Asset_HoldTmr')], by = 'InnerCode') %>%
rename(Asset_BfTrade = Asset_AfTrade, Asset_AtTrade = Asset_HoldTmr) %>%
mutate(Asset_BfTrade = ifelse(is.na(Asset_BfTrade),0,Asset_BfTrade),
Asset_AtTrade = ifelse(is.na(Asset_AtTrade),0,Asset_AtTrade)) %>%
mutate(Date=TradeDate_,SellDate=SellDate_) %>%
mutate(Target_Asset = Weight*(sum(Asset_AtTrade, na.rm =T)+Cash[cursor-1])*Trade_Ratio) %>% #调仓时的目标持仓市值
mutate(Trade_Orders = Target_Asset - Asset_AtTrade) %>% #实际需要交易的差额形成的交易单
mutate(LongShort = ifelse(Trade_Orders>0,1,ifelse(Trade_Orders<0,-1,0))) %>%
left_join(BondQuote_Cut_, by = c('InnerCode','Date'='TradingDay')) %>% #关联调仓日行情
mutate(TurnoverValue=ifelse(is.na(TurnoverValue),0,TurnoverValue),
Sell_Ceiling = TurnoverValue*Sell_Proportion,
Buy_Ceiling = TurnoverValue*Buy_Proportion) %>%
mutate(Actual_Selling = ifelse(Sell_Ceiling>=abs(Trade_Orders),-Trade_Orders,Sell_Ceiling)*ifelse(LongShort==-1,1,0)) %>%#实际卖出额
mutate(Cash_Remain = (sum(Asset_AtTrade) + Cash[cursor-1])*(1-Trade_Ratio),
Cash_Usable = Cash[cursor-1] + sum(Actual_Selling) - Cash_Remain) %>% #卖出后可用的资金总额
mutate(Cash_Usable = ifelse(Cash_Usable>=0,Cash_Usable,0)) %>%
mutate(AnyLong = sum(LongShort>0),
Buy_Weight = ifelse(AnyLong>0,ifelse(Trade_Orders>0,Trade_Orders,0)/sum(Trade_Orders[Trade_Orders>0]),0),
Cash_AlloToBuy = Cash_Usable * Buy_Weight) %>%
mutate(Actual_Buying = ifelse(Buy_Ceiling>Cash_AlloToBuy, Cash_AlloToBuy, Buy_Ceiling)) %>%
mutate(Asset_AfTrade=Asset_AtTrade-Actual_Selling+Actual_Buying) %>%
mutate(SellDate=SellDate_) %>%
left_join(BondQuote_Cut_[c('InnerCode','TradingDay','ReturnDaily')], by = c('InnerCode','SellDate'='TradingDay')) %>%
rename(Return_Buy=ReturnDaily.x,Return_Sell=ReturnDaily.y) %>%
mutate(Asset_HoldTmr = Asset_AfTrade*(1+Return_Sell))
Real_Position[[cursor]] <- Sell_Side
Cash[cursor] <- sum(Prev_Position_$Asset_HoldTmr, na.rm =T) + Cash[cursor-1] -
sum(Real_Position[[cursor]]$Asset_AfTrade) #调仓日剩余现金
}
}
}
}
#合并每期的持仓
Total_Positions <- bind_rows(Real_Position) %>%
select(Date,SellDate,InnerCode,SecuCode,SecuAbbr,Weight_LT,Weight,Asset_BfTrade,Asset_AtTrade,Target_Asset,Trade_Orders,Actual_Selling,
Cash_AlloToBuy,Actual_Buying,Asset_AfTrade,Asset_HoldTmr,Return_Buy,Return_Sell,LongShort,Sell_Ceiling,Buy_Ceiling,
everything()) %>%
mutate(IfHold = ifelse(Asset_AfTrade>0 | InnerCode=='AS0000', 1, 0)) #是否是当期持仓的标志，若为0，则当期已全部卖出
#合并资金曲线,并计算最大回撤
Total_Asset <- Total_Positions %>% group_by(Date) %>% summarise(Asset_Securities = sum(Asset_AfTrade,na.rm=T)) %>%
select(Date,Asset_Securities) %>% ungroup %>%
arrange(Date) %>% cbind(.,Cash) %>% #关联上现金
mutate(Asset_Total = Asset_Securities + Cash) %>%
mutate(MaxDD = maxDrawdown(Asset_Total)) %>% #计算最大回撤
#计算当日收益
mutate(prev_Asset = lag(Asset_Total), Term_Return = Asset_Total/prev_Asset -1, Term_Return=ifelse(is.na(Term_Return),0,Term_Return))%>%
select(-prev_Asset)
Graph_Total_Asset <- ggplot(data = Total_Asset)+
geom_line(aes(x=Date, y= Asset_Total/Asset_Total[1]))+
labs(title = '累计收益曲线',
x = 'Time Line',
y = 'Cumulative Return')