基于SAS平台证券回溯系统的搭建构想-经管之家官网！

最近完成了SAS回溯系统的架构和底层demo，自己摸索着总共有四大模块，然后通过统一标准的策略编辑窗口就可以实现策略的回溯代码了。
1、数据通信（Loading Data API.sas）
2、信号检测（Long And Short API.sas ）
3、模拟交易（Calculation Performance API.sas）
4、绩效报告（Performance Report API.sas ）
这四个模块初具成形，但还有待提高。系统介绍如下：
|*****************The Information of SAS Back Trading System****************|
|--Description--------------------------------------------------------------|
| This is a Programming Trading Back System that provide accurate |
|back transaction record executive bag and detailed transaction report |
|package,applicable to all kinds of securities. |
| |
|--Routine Package----------------------------------------------------------|
| 1. Loading Data API.sas |
| 2. Long And Short API.sas |
| 3. Calculation Performance API.sas |
| 4. Performance Report API.sas |
| |
|--Loading Data API.sas-----------------------------------------------------|
| This routine package contains three Macro Programs,Their main task|
|is to read dataset.Three Macro Program name areLoadingDataAlone(1), |
|LoadingDataMore(2) and LoadingDataFromYahoo(3) respectively,Now to |
|describe their usage. |
|(1)LoadingDataAlone(Dir=,DataTableType=,Library=,DataSetName=,getnames=) |
|Call methods: |
| % LoadingDataAlone( |
| Dir = "C:\Documents\IF300.csv", |
| DataTableType = csv, |
| Library =work, |
| DataSetName = a4, |
| getnames = yes ) |
|Each variable meaning:Dir外部数据表的路径 DataTableType数据类型 |
| Library逻辑库名 DataSetName输出数据集名称 getnames是否读入变量名YES NO|
|(2) LoadingDataMore(dir= ,Library = ) |
|Call methods: |
| % LoadingDataMore( dir=E:\期货EXCEL表,Library =work ) |
|(3)LoadingDataFromYahoo(code=, start=, end=, prompt=NO) |
|Call methods: |
| % LoadingDataFromYahoo(code=000001.SZ, start=1/1/2005, end=11/16/2012) |
|Each variable meaning:code为股票代码,美票不用加后缀,深市代码后加.SZ, |
|沪市代码后加.SS,如000001.SZ为深发展代码.start和end分别为起止日期,格式为|
|mm/dd/yyyy .prompt:是否弹出窗口输入上述参数(一般为NO) |
| |
|--Long And Short API.sas---------------------------------------------------|
| This routine package contains eight Macro Programs,their main task |
|is to detection trading signal in market.Now to describe their usage. |
|(1)OpenLong(BuyPrice = ) |
| This is a Macro that opening Long Position. |
|(2)OpenShort(SellShortPrice = ) |
| This is a Macro that opening Short Position. |
|(3)CloseLong(SellPrice = ) |
| This is a Macro that closing Long Position. |
|(4)CloseShort(BuytoCoverPrice = ) |
| This is a Macro that closing Short Position. |
|(5)CloseLongAndOpenShort(SellPrice = ,SellShortPrice = ) |
| This is a Macro that closing Long and opening Short Position. |
|(6)CloseShortAndOpenLong(BuytoCoverPrice = , BuyPrice = ) |
| This is a Macro that closing Short and opening Long Position. |
|(7)ForceCloseLong(SellPrice = ) |
| This is a Macro that force closing Long Position. |
|(8)ForceCloseShort(BuytoCoverPrice = ) |
| This is a Macro that force closing Short Position. |
| |
|--Calculation Performance API.sas------------------------------------------|
| This routine package contains one Macro Program,it main task is to |
|place an order and excution simulation trade in market.This Macro need |
|to use macro variable -Short- to specify strategy have shorting mechanism|
|Now to describe it usage. |
|Call methods: |
| % computePerformace(Short = NO) |
|Note: The strategy have no shorting mechanism then variable Short to be|
|set NO,and they have shorting mechanism then Short to be set YES must. |
策略编辑界面：

1. /***************************************************************************/
   
2. /*Subject: Programming Trading Strategy Editor */
   
3. /*策略描述：*/
   
4. /*作 者： */
   
5. /*通讯方式：*/
   
6. /*完成日期：*/
   
7. /***************************************************************************/
   
8. Options mprint mlogic;
   
9. /*接口程序目录*/
   
10. filename Frame "E:\工作\SAS程序化交易系统\Framework API";
    
11. /*调用并编译各API的源文件*/
    
12. %include Frame(LoadingDataAPI.sas);
    
13. %include Frame(LoadingStockDataFromYahoo.sas);
    
14. %include Frame(LongAndShortAPI.sas);
    
15. %include Frame(CalculationPerformanceAPI.sas);
    
16. 
    
17. *****************Step1:数据装载;
    
18. 
    
19. 
    
20. 
    
21. *****************Step2:策略算法;
    
22. 
    
23. 
    
24. 
    
25. *****************Step3:检查信号;
    
26. 
    
27. 
    
28. *****************Step3:模拟交易，并输出策略评估报告;

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