C语言量化投资策略代码

以下是一个简单的 C 量化投资策略代码示例：

#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <math.h>

#define MAX_LEN 1024

// 定义股票结构体
typedef struct Stock {
    char date[MAX_LEN];
    float open;
    float high;
    float low;
    float close;
    float volume;
    float adj_close;
} Stock;

int main() {
    // 获取股票数据
    FILE *fp = fopen("data.csv", "r");
    char line[MAX_LEN];
    fgets(line, MAX_LEN, fp); // 跳过第一行标题
    int num_stocks = 0;
    while (fgets(line, MAX_LEN, fp)) {
        num_stocks++;
    }
    rewind(fp); // 将文件指针重新移动到文件开头
    fgets(line, MAX_LEN, fp); // 再次跳过第一行标题
    Stock *stocks = (Stock*)malloc(num_stocks * sizeof(Stock));
    int i = 0;
    while (fgets(line, MAX_LEN, fp)) {
        char *token = strtok(line, ",");
        strcpy(stocks[i].date, token);
        token = strtok(NULL, ",");
        stocks[i].open = atof(token);
        token = strtok(NULL, ",");
        stocks[i].high = atof(token);
        token = strtok(NULL, ",");
        stocks[i].low = atof(token);
        token = strtok(NULL, ",");
        stocks[i].close = atof(token);
        token = strtok(NULL, ",");
        stocks[i].volume = atof(token);
        token = strtok(NULL, ",");
        stocks[i].adj_close = atof(token);
        i++;
    }
    fclose(fp);

    // 计算收益率
    float *returns = (float*)malloc(num_stocks * sizeof(float));
    for (i = 1; i < num_stocks; i++) {
        returns[i] = (stocks[i].close - stocks[i - 1].close) / stocks[i - 1].close;
    }

    // 计算移动平均线
    int window_size = 5;
    float *MA_5 = (float*)malloc(num_stocks * sizeof(float));
    for (i = window_size - 1; i < num_stocks; i++) {
        float sum = 0.0;
        for (int j = i - window_size + 1; j <= i; j++) {
            sum += stocks[j].close;
        }
        MA_5[i] = sum / window_size;
    }
    window_size = 20;
    float *MA_20 = (float*)malloc(num_stocks * sizeof(float));
    for (i = window_size - 1; i < num_stocks; i++) {
        float sum = 0.0;
        for (int j = i - window_size + 1; j <= i; j++) {
            sum += stocks[j].close;
        }
        MA_20[i] = sum / window_size;
    }

    // 生成交易信号
    int *signals = (int*)malloc(num_stocks * sizeof(int));
    for (i = window_size - 1; i < num_stocks; i++) {
        if (MA_5[i] > MA_20[i]) {
            signals[i] = 1;
        } else {
            signals[i] = -1;
        }
    }

    // 计算策略收益率
    float *strategy_returns = (float*)malloc(num_stocks * sizeof(float));
    for (i = window_size; i < num_stocks; i++) {
        strategy_returns[i] = signals[i - 1] * returns[i];
    }

    // 计算累计收益率
    float *cum_returns = (float*)malloc(num_stocks * sizeof(float));
    cum_returns[0] = 0.0;
    for (i = 1; i < num_stocks; i++) {
        cum_returns[i] = cum_returns[i - 1] + strategy_returns[i];
    }

    // 绘制累计收益率曲线
    FILE *gp = popen("gnuplot -persist", "w");
    fprintf(gp, "plot '-' with lines\n");
    for (i = 0; i < num_stocks; i++) {
        fprintf(gp, "%d %f\n", i, cum_returns[i]);
    }
    fprintf(gp, "e\n");
    fflush(gp);
    pclose(gp);

    // 释放内存
    free(stocks);
    free(returns);
    free(MA_5);
    free(MA_20);
    free(signals);
    free(strategy_returns);
    free(cum_returns);

    return 0;
}

以上代码实现了一个简单的均线策略，根据股价的 5 日和 20 日移动平均线的交叉来生成交易信号，进而计算出策略收益率和累计收益率，并绘制出累计收益率曲线。需要注意的是，C 语言的绘图库较少，这里使用了 `gnuplot` 来绘制图表。