public Account2 startContrarianTrendFollowSashine(int from, int to, Chrome2 chro, bool no_trade_non_fired_box, bool writelog)
{
var ac = new Account2(chro);
var pre_dd = new DecisionData2();
for (int i = from; i < to; i++)
{
var tdd = Strategy2.contrarianSashine(ac, i, chro, pre_dd, no_trade_non_fired_box);
if (tdd.fired_box_ind != -1)
{
chro.box_fired_num[tdd.fired_box_ind]++;
}
pre_dd = tdd;
if (tdd.position == "Exit_All")
{
ac.exitAllOrder(i);
}
else if (tdd.price_tracing_order)
{
if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryPriceTracingOrder(i, tdd.position, tdd.lot);
}
else if (tdd.position == "Cancel_All")
{
ac.cancelAllOrders(i);
}
else if (tdd.position == "Cancel_PriceTracingOrder")
{
ac.cancelPriceTracingOrder(i);
}
else if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryOrder(i, tdd.position, tdd.price, tdd.lot);
}
}
ac.moveToNext(i, tdd.fired_box_ind);
}
ac.lastDayOperation(to, chro, pre_dd.fired_box_ind, writelog);
return(ac);
}
private bool checkUpdateStrategy(int i, int last_str_ind, int from, int last_str_num_trade, Account2 ac, Account2 ac_best)
{
bool res = false;
double expected_num_trade = (Convert.ToDouble(ac_best.num_trade) / Convert.ToDouble(ac_best.end_ind - ac_best.start_ind)) * Convert.ToDouble(i - last_str_ind);
if ((i - last_str_ind) >= 30000)
{
double current_pl_per_min = (ac.total_pl_log[i - 1] - ac.total_pl_log[i - 10000]) / (TickData.time[i - 1] - TickData.time[i - 10000]).TotalMinutes;
if (ac_best.pl_per_min * 0.7 >= current_pl_per_min)
{
Form1.Form1Instance.setLabel3("num:" + (i - ac.start_ind).ToString() + " recalc because of pl per min" + ", current pl_per_min=" + current_pl_per_min.ToString());
res = true;
}
}
return(res);
}
public Account2 startContrarianSashine(int from, int to, int num_chrom, int num_generation, int num_islands, int elite_crossover_start, double immigration_rate, int num_box, int search_period, bool write_result)
{
var ac = new Account2(new Chrome2(from, to, num_box));
int last_str_changed_ind = from;
int last_str_num_trade = 0;
var chro = new Chrome2(from - search_period, from - 1, num_box);
chro = getOptStrategy(from - search_period, from - 1, num_chrom, num_generation, num_box, num_islands, immigration_rate, elite_crossover_start, 30, 10, 10);
var sim = new SIM2();
Account2 ac_best = sim.startContrarianTrendFollowSashine(from - search_period, from - 1, chro, false, false);
int num_recalc = 0;
var pre_dd = new DecisionData2();
for (int i = from; i < to; i++)
{
var tdd = Strategy2.contrarianSashine(ac, i, chro, pre_dd, true);
if (tdd.fired_box_ind >= 0)
{
chro.box_fired_num[tdd.fired_box_ind]++;
}
pre_dd = tdd;
if (tdd.position == "Exit_All")
{
ac.exitAllOrder(i);
}
else if (tdd.price_tracing_order)
{
if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryPriceTracingOrder(i, tdd.position, tdd.lot);
}
}
else
{
if (tdd.position == "Cancel" && tdd.cancel_index >= 0)
{
ac.cancelOrder(i, tdd.cancel_index);
}
else if (tdd.position == "Cancel_All")
{
ac.cancelAllOrders(i);
}
else if (tdd.position == "Cancel_PriceTracingOrder")
{
ac.cancelPriceTracingOrder(i);
}
else if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryOrder(i, tdd.position, tdd.price, tdd.lot);
}
}
if (checkUpdateStrategy(i, last_str_changed_ind, from, last_str_num_trade, ac, ac_best))
{
ac.cancelAllOrders(i);
num_recalc++;
last_str_changed_ind = i;
last_str_num_trade = ac.num_trade;
chro = getOptStrategy(i - search_period, i, num_chrom, num_generation, num_box, num_islands, immigration_rate, elite_crossover_start, 30, 10, 10);
sim = new SIM2();
Form1.Form1Instance.addListBox2("recalc=" + num_recalc);
ac_best = sim.startContrarianTrendFollowSashine(i - search_period, i, chro, false, false);
ac.takeActionLog(i, "applied new strategy:num trade=" + ac_best.num_trade.ToString() + " :pl per min=" + ac_best.pl_per_min.ToString() + " :win rate=" + ac_best.win_rate.ToString());
}
ac.moveToNext(i, tdd.fired_box_ind);
Form1.Form1Instance.addListBox2(TickData.time[i] + ":total pl=" + Math.Round(ac.total_pl_log.Values.ToList()[ac.total_pl_log.Count - 1], 2) + " :num trade=" + ac.num_trade.ToString());
}
ac.lastDayOperation(to, chro, pre_dd.fired_box_ind, write_result);
return(ac);
}
public static DecisionData2 contrarianSashine(Account2 ac, int i, Chrome2 chro, DecisionData2 pre_dd, bool no_trade_non_fired_box)
{
DecisionData2 dd = new DecisionData2();
double kairi = (TickData.price[i] - TickData.makairi_500[i]) / TickData.makairi_500[i];
var entry_signs = new int[chro.num_box]; //1:Long, -1:Short
string entry_sign = "";
int selected_box = -1;
for (int j = 0; j < chro.num_box; j++)
{
if (chro.gene_ceil_vola[j] >= TickData.vola_500[i] && chro.gene_floor_vola[j] <= TickData.vola_500[i] &&
chro.gene_ceil_avevol[j] >= TickData.ave_vol_500[i] && chro.gene_floor_avevol[j] <= TickData.ave_vol_500[i])
{
if (kairi >= chro.gene_entry_kairi[j])
{
entry_signs[j] = (chro.gene_kirikae[j]) ? -1 : 1;
}
else if (kairi <= chro.gene_entry_kairi[j])
{
entry_signs[j] = (chro.gene_kirikae[j]) ? 1 : -1;
}
}
}
//prohibit trade using non fired box in GA period
if (no_trade_non_fired_box)
{
for (int j = 0; j < chro.box_fired_num.Length; j++)
{
entry_signs[j] = (chro.box_fired_num[j] < 3) ? 0 : entry_signs[j];
}
}
bool flg = true;
string s = "";
if (pre_dd.fired_box_ind >= 0)
{
if (entry_signs[pre_dd.fired_box_ind] == 1)
{
s = "Long";
}
else if (entry_signs[pre_dd.fired_box_ind] == -1)
{
s = "Short";
}
if (s == pre_dd.position)
{
selected_box = pre_dd.fired_box_ind;
entry_sign = s;
flg = false;
}
}
if (flg)
{
var r = RandomProvider.getRandom();
if (entry_signs.Sum() > 0)
{
entry_sign = "Long";
var selections = entry_signs.Select((p, ind) => new { Content = p, Index = ind })
.Where(ano => ano.Content == 1)
.Select(ano => ano.Index).ToList();
selected_box = selections[r.Next(0, selections.Count)];
}
else if (entry_signs.Sum() < 0)
{
entry_sign = "Short";
var selections = entry_signs.Select((p, ind) => new { Content = p, Index = ind })
.Where(ano => ano.Content == -1)
.Select(ano => ano.Index).ToList();
selected_box = selections[r.Next(0, selections.Count)];
}
if (selected_box >= 0)
{
entry_sign = (entry_signs[selected_box] == 1) ? "Long" : "Short";
}
}
if (entry_sign != "")
{
if (ac.holding_position == "None" && ac.price_tracing_order_flg == false)
{
dd = makeDDForEntryPriceTracingOrder(i, entry_sign, true, 0.05, selected_box);
}
else if (ac.holding_position != "None" && entry_sign != ac.holding_position && ac.price_tracing_order_flg && ac.cancel_all_orders == false)
{
dd = makeDDForEntryPriceTracingOrder(i, "Cancel_PriceTracingOrder", false, 0, selected_box);
}
else if (ac.holding_position != "None" && entry_sign != ac.holding_position && ac.price_tracing_order_flg == false && ac.cancel_all_orders == false)
{
dd = makeDDForEntryPriceTracingOrder(i, entry_sign, true, ac.ave_holding_lot + 0.05, selected_box);
}
else if (entry_sign == ac.holding_position && ac.unexe_position.Count == 0)
{
dd.position = (entry_sign == "Long") ? "Short" : "Long";
dd.cancel_index = -1;
dd.price_tracing_order = false;
dd.price = (ac.holding_position == "Long") ? Math.Round(ac.ave_holding_price * (1 + chro.gene_rikaku_percentage[selected_box])) : Math.Round(ac.ave_holding_price * (1 - chro.gene_rikaku_percentage[selected_box]));
dd.lot = ac.ave_holding_lot;
}
else if ((TickData.time[i] - ac.last_entry_time).TotalSeconds >= chro.gene_exit_time_sec[selected_box])
{
dd = makeDDForEntryPriceTracingOrder(i, (ac.holding_position == "Long") ? "Short" : "Long", true, ac.ave_holding_lot, selected_box);
}
/*else if (entry_sign == ac.holding_position && ac.unexe_position.Count == 0 && (TickData.time[i] - ac.last_entry_time).TotalSeconds >= chro.gene_exit_time_sec[selected_box])
* {
* dd = makeDDForEntryPriceTracingOrder(i, (ac.holding_position == "Long") ? "Short" : "Long", true, ac.ave_holding_lot, selected_box);
* }*/
}
else if (ac.holding_position != "None")
{
// dd.position = "Exit_All";
}
//if (dd.fired_box_ind != -1) chro.box_fired_num[dd.fired_box_ind]++; -> count in sim class
return(dd);
}