public NFoldCrossSharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
var folds = config.Fitness?.Folds ?? 2;
if (folds > 0)
{
_folds = folds;
}
}
public WalkForwardSharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
if (config.Fitness == null)
{
config.Fitness = new FitnessConfiguration {
OptimizerTypeName = Enums.OptimizerTypeOptions.RandomSearch.ToString()
};
}
config.Fitness.Folds = config.Fitness?.Folds ?? 2;
}
public NFoldCrossSharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
var folds = config.Fitness?.Folds ?? 2;
if (folds > 0)
{
_folds = folds;
}
if (config.EndDate == null || config.StartDate == null)
{
throw new ArgumentException("Must supply start and end dates");
}
}
public void Setup()
{
_config = new OptimizerConfiguration {
Genes = new[] { new GeneConfiguration {
Key = "p1", Min = 1, Max = 2
}, new GeneConfiguration {
Key = "p2", Min = 1, Max = 2
} }
};
_list = new Dictionary <string, object> {
{ "p1", 1.0 }, { "p2", 0.1 }, { "Id", "abc123" }
};
IFitnessFilter filter = null;
_unit = new WalkForwardWeightedMetricSharpeMaximizer(_config, filter);
_unit.WalkForwardSharpeMaximizerFactory = new Factory();
}
public OptimizerFitness(IOptimizerConfiguration config, IFitnessFilter filter)
{
Config = config;
Filter = filter;
}
public SharpeMaximizer Create(IOptimizerConfiguration config, IFitnessFilter filter)
{
return(new SharpeMaximizer(config, filter));
}
const int days = 250; // trading days for annualization
#endregion
public DeflatedSharpeRatioFitness(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public SharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
_resultIndex = new ConditionalWeakTable <OptimizerResult, string>();
}
public AdaptiveSharpeRatioFitness(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public CompoundingAnnualReturnFitness(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public NestedCrossSharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public Wrapper(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public DualPeriodSharpeFitness(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public WalkForwardWeightedMetricSharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
//one thread for parent and max threads for fold optimizer
_foldMaxThreads = config.MaxThreads;
config.MaxThreads = 1;
WalkForwardSharpeMaximizerFactory = new WalkForwardSharpeMaximizerFactory();
}
public NFoldCrossReturnMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
}
public IWalkForwardSharpeMaximizer Create(IOptimizerConfiguration config, IFitnessFilter filter)
{
var mock = new Mock <IWalkForwardSharpeMaximizer>();
mock.Setup(m => m.Evaluate(It.IsAny <IChromosome>())).Returns(2);
var allBest = new List <Dictionary <string, object> > {
new Dictionary <string, object> {
{ "p1", 0.1 }, { "p2", 10.0 }
}, new Dictionary <string, object> {
{ "p1", 0.2 }, { "p2", 11.0 }
}
};
mock.Setup(m => m.AllBest).Returns(allBest);
var allScores = new List <FitnessResult> {
new FitnessResult {
Fitness = 1, Value = 2
}, new FitnessResult {
Fitness = 2, Value = 3
}
};
mock.Setup(m => m.AllScores).Returns(allScores);
return(mock.Object);
}
