public void MaximizeEulerWithConstraints()
{
var resetEvent = new ManualResetEvent(false);
var packet = new OptimizationNodePacket
{
OptimizationStrategy = "QuantConnect.Optimizer.Strategies.EulerSearchOptimizationStrategy",
Criterion = new Target("Profit", new Maximization(), null),
OptimizationParameters = new HashSet <OptimizationParameter>
{
new OptimizationStepParameter("ema-slow", 1, 10, 1),
new OptimizationStepParameter("ema-fast", 10, 100, 10m, 0.1m)
},
Constraints = new List <Constraint>
{
new Constraint("Drawdown", ComparisonOperatorTypes.LessOrEqual, 0.15m)
},
MaximumConcurrentBacktests = 20,
OptimizationStrategySettings = new StepBaseOptimizationStrategySettings {
DefaultSegmentAmount = 10
}
};
var optimizer = new FakeLeanOptimizer(packet);
OptimizationResult result = null;
optimizer.Ended += (s, solution) =>
{
result = solution;
optimizer.DisposeSafely();
resetEvent.Set();
};
optimizer.Start();
resetEvent.WaitOne();
Assert.NotNull(result);
Assert.AreEqual(
15,
JsonConvert.DeserializeObject <BacktestResult>(result.JsonBacktestResult).Statistics.Profit);
Assert.AreEqual(
0.15m,
JsonConvert.DeserializeObject <BacktestResult>(result.JsonBacktestResult).Statistics.Drawdown);
}
public void MaximizeNoTarget(string strategyName)
{
var resetEvent = new ManualResetEvent(false);
var packet = new OptimizationNodePacket
{
OptimizationStrategy = strategyName,
Criterion = new Target("Profit",
new Maximization(),
null),
OptimizationParameters = new HashSet <OptimizationParameter>
{
new OptimizationStepParameter("ema-slow", 1, 10, 1),
new OptimizationStepParameter("ema-fast", 10, 100, 3)
},
MaximumConcurrentBacktests = 20,
OptimizationStrategySettings = new StepBaseOptimizationStrategySettings {
DefaultSegmentAmount = 10
}
};
var optimizer = new FakeLeanOptimizer(packet);
OptimizationResult result = null;
optimizer.Ended += (s, solution) =>
{
result = solution;
optimizer.DisposeSafely();
resetEvent.Set();
};
optimizer.Start();
resetEvent.WaitOne();
Assert.NotNull(result);
Assert.AreEqual(
110,
JsonConvert.DeserializeObject <BacktestResult>(result.JsonBacktestResult).Statistics.Profit);
Assert.AreEqual(10, result.ParameterSet.Value["ema-slow"].ToDecimal());
Assert.AreEqual(100, result.ParameterSet.Value["ema-fast"].ToDecimal());
}
public void MinimizeWithTargetAndConstraints()
{
var resetEvent = new ManualResetEvent(false);
var packet = new OptimizationNodePacket
{
Criterion = new Target("Profit", new Minimization(), 20),
OptimizationParameters = new HashSet <OptimizationParameter>
{
new OptimizationStepParameter("ema-slow", 1, 10, 1),
new OptimizationStepParameter("ema-fast", 10, 100, 3)
},
Constraints = new List <Constraint>
{
new Constraint("Drawdown", ComparisonOperatorTypes.LessOrEqual, 0.15m)
},
MaximumConcurrentBacktests = 20
};
var optimizer = new FakeLeanOptimizer(packet);
OptimizationResult result = null;
optimizer.Ended += (s, solution) =>
{
result = solution;
optimizer.DisposeSafely();
resetEvent.Set();
};
optimizer.Start();
resetEvent.WaitOne();
Assert.NotNull(result);
Assert.GreaterOrEqual(
20,
JsonConvert.DeserializeObject <BacktestResult>(result.JsonBacktestResult).Statistics.Profit);
Assert.GreaterOrEqual(
0.15m,
JsonConvert.DeserializeObject <BacktestResult>(result.JsonBacktestResult).Statistics.Drawdown);
}
public void TrackEstimation()
{
Config.Set("optimization-update-interval", 1);
OptimizationResult result = null;
var resetEvent = new ManualResetEvent(false);
var packet = new OptimizationNodePacket
{
Criterion = new Target("Profit", new Minimization(), null),
OptimizationParameters = new HashSet <OptimizationParameter>
{
new OptimizationStepParameter("ema-slow", 1, 10, 1),
new OptimizationStepParameter("ema-fast", 10, 100, 10)
},
Constraints = new List <Constraint>
{
new Constraint("Drawdown", ComparisonOperatorTypes.LessOrEqual, 0.15m)
},
MaximumConcurrentBacktests = 5
};
var optimizer = new FakeLeanOptimizer(packet);
// keep stats up-to-date
int totalBacktest = optimizer.GetCurrentEstimate();
int totalUpdates = 0;
int completedTests = 0;
int failed = 0;
optimizer.Update += (s, e) =>
{
var runtimeStats = optimizer.GetRuntimeStatistics();
Assert.LessOrEqual(int.Parse(runtimeStats["Running"], CultureInfo.InvariantCulture), packet.MaximumConcurrentBacktests);
Assert.LessOrEqual(completedTests, int.Parse(runtimeStats["Completed"], CultureInfo.InvariantCulture));
Assert.LessOrEqual(failed, int.Parse(runtimeStats["Failed"], CultureInfo.InvariantCulture));
Assert.AreEqual(totalBacktest, optimizer.GetCurrentEstimate());
completedTests = int.Parse(runtimeStats["Completed"], CultureInfo.InvariantCulture);
failed = int.Parse(runtimeStats["Failed"], CultureInfo.InvariantCulture);
if (completedTests > 0)
{
// 'ms' aren't stored so might be 0
Assert.GreaterOrEqual(TimeSpan.Parse(runtimeStats["Average Length"], CultureInfo.InvariantCulture), TimeSpan.Zero);
}
totalUpdates++;
};
optimizer.Ended += (s, solution) =>
{
result = solution;
optimizer.DisposeSafely();
resetEvent.Set();
};
optimizer.Start();
resetEvent.WaitOne();
var runtimeStatistics = optimizer.GetRuntimeStatistics();
Assert.NotZero(int.Parse(runtimeStatistics["Completed"], CultureInfo.InvariantCulture));
Assert.NotZero(int.Parse(runtimeStatistics["Failed"], CultureInfo.InvariantCulture));
// we have 2 force updates at least, expect a few more over it.
Assert.Greater(totalUpdates, 2);
Assert.AreEqual(int.Parse(runtimeStatistics["Completed"], CultureInfo.InvariantCulture)
+ int.Parse(runtimeStatistics["Failed"], CultureInfo.InvariantCulture)
+ int.Parse(runtimeStatistics["Running"], CultureInfo.InvariantCulture), totalBacktest);
}
public void TrackEstimation()
{
Config.Set("optimization-update-interval", 1);
OptimizationEstimate estimate = null;
OptimizationResult result = null;
var resetEvent = new ManualResetEvent(false);
var packet = new OptimizationNodePacket
{
Criterion = new Target("Profit", new Minimization(), null),
OptimizationParameters = new HashSet <OptimizationParameter>
{
new OptimizationStepParameter("ema-slow", 1, 10, 1),
new OptimizationStepParameter("ema-fast", 10, 100, 3)
},
Constraints = new List <Constraint>
{
new Constraint("Drawdown", ComparisonOperatorTypes.LessOrEqual, 0.15m)
},
MaximumConcurrentBacktests = 5
};
var optimizer = new FakeLeanOptimizer(packet);
// keep stats up-to-date
int totalBacktest = optimizer.GetCurrentEstimate().TotalBacktest;
int totalUpdates = 0;
int completedTests = 0;
int failed = 0;
optimizer.Update += (s, e) =>
{
estimate = optimizer.GetCurrentEstimate();
Assert.LessOrEqual(estimate.RunningBacktest, packet.MaximumConcurrentBacktests);
Assert.LessOrEqual(completedTests, estimate.CompletedBacktest);
Assert.LessOrEqual(failed, estimate.FailedBacktest);
Assert.AreEqual(totalBacktest, estimate.TotalBacktest);
completedTests = estimate.CompletedBacktest;
failed = estimate.FailedBacktest;
if (completedTests > 0)
{
Assert.Greater(estimate.AverageBacktest, TimeSpan.Zero);
}
totalUpdates++;
};
optimizer.Ended += (s, solution) =>
{
result = solution;
estimate = optimizer.GetCurrentEstimate();
optimizer.DisposeSafely();
resetEvent.Set();
};
optimizer.Start();
resetEvent.WaitOne();
Assert.NotZero(estimate.CompletedBacktest);
Assert.NotZero(estimate.FailedBacktest);
// we have 2 force updates at least, expect a few more over it.
Assert.Greater(totalUpdates, 2);
Assert.AreEqual(estimate.CompletedBacktest + estimate.FailedBacktest + estimate.RunningBacktest, totalBacktest);
}
