public static StrategyVariant[] BruteForceGeneration(OptimiseParameter[] ops)
{
List <StrategyVariant> variants = new List <StrategyVariant>();
List <List <object> > values = new List <List <object> >();
foreach (OptimiseParameter op in ops)
{
values.Add(new List <object>(op.GetValues()));
}
int[] indexArray = new int[ops.Length];
int floater = indexArray.Length - 1;
bool exitLoop = false;
while (indexArray[floater] < values[floater].Count && !exitLoop)
{
StrategyVariant variant = new StrategyVariant();
variants.Add(variant);
for (int i = 0; i < indexArray.Length; i++)
{
variant.Parameters.Add(values[i][indexArray[i]]);
}
if (indexArray[floater] >= values[floater].Count - 1)
{
indexArray[floater] = 0;
int carry = floater - 1;
while (carry >= 0)
{
if (indexArray[carry] >= values[carry].Count - 1)
{
indexArray[carry] = 0;
carry--;
if (carry < 0)
{
exitLoop = true;
}
}
else
{
indexArray[carry]++;
break;
}
}
}
else
{
indexArray[floater]++;
}
}
return(variants.ToArray());
}
public static StrategyVariant Default(StrategyParameter[] strateyParameters)
{
StrategyVariant svar = new StrategyVariant();
foreach (StrategyParameter sp in strateyParameters)
{
svar.Parameters.Add(sp.Value);
}
return(svar);
}
public void Run(string strategyName, string strategiesDLL, bool optimise = false)
{
start = DateTime.Now;
TestSummary = new TestSummary();
Optimise = optimise;
//Get the strategy
Strategy strategy = Strategy.Load(strategyName, strategiesDLL);
//Copy across the strategy back test setup
if (strategy.StartDate != null)
{
TestSummary.StartDate = strategy.StartDate;
}
if (strategy.EndDate != null)
{
TestSummary.EndDate = strategy.EndDate;
}
TestSummary.ReduceCorrelatedParams = strategy.ReduceCorrelatedParams;
TestSummary.ReduceByRankParams = strategy.ReduceByRankParams;
TestSummary.TradeDataLabels = strategy.TradeDataLabels;
//Get all the possible variants from this strategies parameters
StrategyVariant[] variants;
if (optimise)
{
variants = StrategyVariant.BruteForceGeneration(strategy.OptimiseParameters.ToArray());
}
else
{
variants = new StrategyVariant[] { StrategyVariant.Default(strategy.Parameters.ToArray()) }
};
threadTasks = new Queue <BackTestTask> [strategy.Cpus];
//Load in the asset details and add these to the strategy if selected in TradeAssetList
Dictionary <string, Asset> assetDetails = Asset.LoadAssetFile(strategy.AssetDetailsFile);
foreach (string assetName in strategy.TradeAssetList)
{
Asset asset = assetDetails[assetName];
MessageDelegate?.Invoke("Loading in data " + assetName);
//load in the data before we start
foreach (ExternalFeatureData externalFeature in strategy.ExternalFeatures)
{
if (!asset.Data.ContainsKey(externalFeature.Timeframe))
{
DataBuilder.LoadExternalFeatureBinary(asset, externalFeature, MessageDelegate);
}
}
//Read all the bytes from the datapath from the 1 min timeframe if the data is not already loaded
//this is very fast about 0.9 seconds for 10 years of minute data
if (asset.Dataset == null)
{
asset.Dataset = DataBuilder.LoadBinary(asset.DataPath);
}
}
tasksRequired = 0;
int threadIndex = 0;
foreach (string assetName in strategy.TradeAssetList)
{
foreach (StrategyVariant currentVariant in variants)
{
Strategy localStrategy = Strategy.Load(strategyName, strategiesDLL);
Asset asset = assetDetails[assetName];
localStrategy.Assets.Add(assetName, asset);
//set the strategy parameters
for (int pIndex = 0; pIndex < localStrategy.Parameters.Count; pIndex++)
{
localStrategy.SetParameter(localStrategy.Parameters[pIndex].Name, currentVariant.Parameters[pIndex]);
}
localStrategy.Description = asset.Name + " " + currentVariant.ToString();
if (threadIndex >= threadTasks.Length)
{
threadIndex = 0;
}
BackTestTask btt = new BackTestTask(asset, localStrategy);
if (threadTasks[threadIndex] == null)
{
threadTasks[threadIndex] = new Queue <BackTestTask>();
}
threadTasks[threadIndex].Enqueue(btt);
tasksRequired++;
threadIndex++;
}
}
MessageDelegate?.Invoke("Starting " + tasksRequired + " tests ...");
foreach (Queue <BackTestTask> threadQueue in threadTasks)
{
if (threadQueue != null)
{
if (threadQueue.Count > 0)
{
Thread thread = new Thread(() => Test(threadQueue, OnCompleteTest));
thread.Start();
}
}
}
}
