最佳配仓算法

ExampleUnitTestKT.kt

import org.junit.Test
import java.math.BigDecimal
import kotlin.math.abs

class ExampleUnitTestKT {
    @Test
    fun main() {
        val stocks = arrayListOf<StockConfig>(
                StockConfig("白马", 20.94, 0.2),
                StockConfig("韭菜", 3.13, 0.4),
                StockConfig("杂毛", 6.2, 0.4),
        )

        stocks.forEach { println(it) }
        println()

        tradingScheme(50000.0, stocks)
    }

    private fun tradingScheme(totalMoney: Double, stocks: List<StockConfig>): List<StockConfig> {
        println("初始资金配仓")

        var money = totalMoney

        var moneyOffset = money
        var ratioOffset = 0.0


        stocks.forEach {
            it.expectedMoney = totalMoney * it.expectedRatio
            it.actualRatio = it.actualMoney / totalMoney

            it.realActualUnit = it.actualUnit
            it.realActualMoney = it.actualMoney
            it.realActualRatio = it.actualRatio

            println("名称：${it.name}\t\t每手单价：${it.unitPrice}\t\t" +
                    "预期配比：${it.expectedRatio.format()}\t\t" +
                    "预期资金：${it.expectedMoney.format()}\t\t" +
                    "预期单位：${it.expectedUnit.format()}\t\t" +
                    "初步资金：${it.realActualMoney.format()}\t\t" +
                    "初步单位：${it.realActualUnit}\t\t" +
                    "初步配比：${it.realActualRatio.format()}\t\t" +
                    "最佳偏差：${it.moneyOffset.format()}\t\t")

            money = totalMoney - it.realActualRatio
            ratioOffset += abs(it.expectedRatio - it.realActualRatio)
            moneyOffset -= it.realActualMoney
        }

        println("资金偏差：${moneyOffset.format()}  " +
                "配仓偏差：${ratioOffset.format()}")
        println()

        println("优化资金配仓")

        var moneyOffsetTotal = 0.0
        stocks.forEach { moneyOffsetTotal += it.moneyOffset }
        var realMoneyOffset = totalMoney
        var realRatioOffset = 0.0

        stocks.forEach {
            if (moneyOffsetTotal > 0) {
                if (it.moneyOffset < 0) {
                    it.realActualUnit = it.actualUnit + 1
                    it.realActualMoney = it.realActualUnit * it.unitPrice
                    it.realActualRatio = it.realActualMoney / totalMoney
                }
//            } else {
//                // 总余不足，需要其他股票降仓补足
//                if (it.moneyOffset < 0 && abs(it.moneyOffset) < moneyOffset) {
//                    it.realActualUnit = it.actualUnit + 1
//                    it.realActualMoney = it.realActualUnit * it.unitPrice
//                    it.realActualRatio = it.realActualMoney / totalMoney
//
//                    moneyOffset -= abs(it.moneyOffset)
//                }
            }

            println("名称：${it.name}\t\t每手单价：${it.unitPrice}\t\t" +
                    "预期配比：${it.expectedRatio.format()}\t\t" +
                    "预期资金：${it.expectedMoney.format()}\t\t" +
                    "预期单位：${it.expectedUnit.format()}\t\t" +
                    "真实资金：${it.realActualMoney.format()}\t\t" +
                    "真实单位：${it.realActualUnit}\t\t" +
                    "真实配比：${it.realActualRatio.format()}\t\t" +
                    "最少偏差：${it.realMoneyOffset.format()}\t\t")

            realRatioOffset += abs(it.expectedRatio - it.realActualRatio)
            realMoneyOffset -= it.realActualMoney
        }

        println("资金偏差：${realMoneyOffset.format()}  " +
                "配仓偏差：${realRatioOffset.format()}")

        return stocks
    }

    data class StockConfig(
            val name: String,
            val price: Double,
            val expectedRatio: Double,
    ) {
        /**
         * 单位价（每手单价）
         */
        val unitPrice: Double = price * 100

        // 预期配资
        var expectedMoney: Double = 0.0


        // 预期单位
        val expectedUnit: Double get() = expectedMoney / unitPrice

        // 初步的 实际配比 & 实际单位 & 实际配资 & 最佳偏差
        val actualUnit: Int get() = expectedUnit.toInt()
        val actualMoney: Double get() = actualUnit * unitPrice
        var actualRatio: Double = 0.0
        val moneyOffset: Double
            get() {
                val less = expectedMoney - actualMoney
                val more = expectedMoney - (actualUnit + 1) * unitPrice
                return if (less < abs(more)) less else more
            }

        // 真实的 实际配比 & 实际单位 & 实际配资 & 最少偏差
        var realActualUnit: Int = actualUnit
        var realActualMoney: Double = actualMoney
        var realActualRatio: Double = actualRatio
        val realMoneyOffset: Double get() = realActualMoney - expectedMoney
    }

    private fun Double.format(): Double = BigDecimal(this).setScale(2, BigDecimal.ROUND_HALF_UP).toDouble()
}