public Chrome2 startGA(int from, int to, int numbox, int num_chrom, int num_generation, int num_island, double immig_rate, int elite_crossover_generation, double pl_per_min_importance, double num_trade_importance, double pl_vola_importance, bool writelog)
{
Form1.Form1Instance.setLabel("GA - from:" + TickData.time[from].ToString() + " to:" + TickData.time[to].ToString());
initialize(num_chrom, num_island);
generateIsland(num_chrom, num_island, from, to, numbox);
for (int i = 0; i < num_generation; i++)
{
for (int j = 0; j < num_island; j++)
{
islands[j].evaluateChrom(i, pl_per_min_importance, num_trade_importance, 0, pl_vola_importance);
islands[j].roulettteSelectionNonElite(i, elite_crossover_generation);
islands[j].crossOver();
islands[j].mutation();
islands[j].goToNextGeneration();
}
immigration(immig_rate, num_island, num_chrom);
checkBestChrome(i);
var s = new SIMGA2();
s.startContrarianTrendFollowSashine(from, to, best_chrome[best_chrome.Count - 1]);
Form1.Form1Instance.addListBox("#" + i.ToString() + ", pl per min=" + Math.Round(best_ac[best_ac.Count - 1].pl_per_min, 2).ToString() + ", num trade per hour=" + Math.Round(best_ac[best_ac.Count - 1].num_trade_per_hour, 2).ToString()
+ ", total pl vola=" + Math.Round(best_ac[best_ac.Count - 1].total_pl_vola, 2).ToString());
}
if (writelog)
{
writeResults();
}
return(best_chrome[num_generation - 1]);
}
public void evaluateChrom(int num_generation, double pl_per_min_importance, double num_trade_importance, double profit_factor_importance, double pl_vola_importance)
{
//do sim for all chromes
eva = new List <double>();
ac_list = new Dictionary <int, AccountGA2>();
Parallel.For(0, chromes.Count, i => {
SIMGA2 sim = new SIMGA2();
addAcList(i, sim.startContrarianTrendFollowSashine(from, to, chromes[i]));
});
//calc for performance eva
var aclists = new List <AccountGA2>();
for (int i = 0; i < chromes.Count; i++)
{
aclists.Add(ac_list[i]);
}
var pl_per_min = aclists.Select(x => x.pl_per_min).ToList();
var num_trade = aclists.Select(x => x.num_trade_per_hour).ToList();
var profit_factor = aclists.Select(x => x.profit_factor).ToList();
var pl_vola = aclists.Select(x => (1.0 / x.total_pl_vola)).ToList();
if (num_generation == 0)
{
min_pl_per_min = pl_per_min.Min();
max_pl_per_min = (pl_per_min.Max() - min_pl_per_min) * 10000;
base_pl_per_min = (pl_per_min_importance * max_pl_per_min) / (pl_per_min.Max() - min_pl_per_min);
min_num_trade = num_trade.Min();
max_num_trade = (num_trade.Max() - min_num_trade) * 10000;
base_num_trade = (num_trade_importance * max_num_trade) / (num_trade.Max() - num_trade.Min());
min_profit_factor = profit_factor.Min();
max_profit_factor = (profit_factor.Max() - min_profit_factor) * 10000;
base_profit_factor = (profit_factor_importance * max_profit_factor) / (profit_factor.Max() - profit_factor.Min());
min_pl_vola = pl_vola.Min();
max_pl_vola = (pl_vola.Max() - min_pl_vola) * 10000;
base_pl_vola = (pl_vola_importance * max_pl_vola) / (pl_vola.Max() - pl_vola.Min());
}
for (int i = 0; i < aclists.Count; i++)
{
double eva_pl_per_min = (pl_per_min[i] >= min_pl_per_min) ? base_pl_per_min * (pl_per_min[i] - min_pl_per_min) / max_pl_per_min : min_pl_per_min;
double eva_num_trade = (num_trade[i] >= min_num_trade) ? base_num_trade * (num_trade[i] - min_num_trade) / max_num_trade : min_num_trade;
double eva_profit_factor = (profit_factor[i] >= min_profit_factor) ? base_profit_factor * (profit_factor[i] - min_profit_factor) / max_profit_factor : min_profit_factor;
double eva_pl_vola = (pl_vola[i] >= min_pl_vola) ? base_pl_vola * (pl_vola[i] - min_pl_vola) / max_pl_vola : min_pl_vola;
eva.Add(pl_per_min_importance * calcPowerFunction(2, eva_pl_per_min) + num_trade_importance * calcLN(eva_num_trade) + pl_vola_importance * calcLinerFunction(1, eva_pl_vola));
}
//check for max eva inde
double max = eva.Max();
var m = eva.Select((p, i) => new { Content = p, Index = i })
.Where(ano => ano.Content >= max)
.Select(ano => ano.Index).ToList();
best_chrom_ind.Add(m[0]);
best_eva_log.Add(eva[m[0]]);
best_ac_log.Add(aclists[m[0]]);
}
