public double EstimateFunction(StrategyParameter sParam, string directory)
{
if (previosResult.ContainsKey(sParam.ToString()))
{
return(previosResult[sParam.ToString()]);
}
using (Log4Smart.Logger logger = new Log4Smart.Logger(false))
{
Engine engine = new Engine(logger, logger);
SuperAdaptStrategy strategy = new SuperAdaptStrategy(sParam, logger);
int initialMoney = 10000000;
Account acc = new Account(initialMoney);
engine.StartTest(SampleData, strategy, acc);
if (!engine.IsTestSuccessfull)
{
logger.SaveLogToFile("errors", SampleData.Symbol + "_" + StartTime.ToString("yyyyMMdd"));
previosResult[sParam.ToString()] = 0;
return(0);
}
if (directory != string.Empty)
{
logger.SaveLogToFile(directory + "/" + this.StartTime.ToString("yyyyMMdd") + "_" + (acc.Balance.ToString()) + "$", "allData");
}
previosResult[sParam.ToString()] = acc.Balance;
return(acc.Balance);
}
}
protected void InitComment()
{
if (TestingMode)
{
return;
}
TickComment.Clear();
previousID = -1;
previousIDstring = string.Empty;
TickComment.Append(param.ToString());
IsWasChanged = false;
}
public override double OptimizationFunction(StrategyParameter sParam, string directory)
{
if (!IsValid(sParam))
{
return(0);
}
if (previosResult.ContainsKey(sParam.ToString()))
{
return(previosResult[sParam.ToString()]);
}
using (Log4Smart.Logger logger = new Log4Smart.Logger(false))
{
Engine engine = new Engine(logger, logger);
MartinGaleStrategy strategy = new MartinGaleStrategy(sParam, logger);
int initialMoney = 10000000;
Account acc = new Account(initialMoney);
engine.StartTest(SampleData, strategy, acc);
if (!engine.IsTestSuccessfull)
{
logger.SaveLogToFile(directory + "/errors", SampleData.Symbol + "_" + StartTime.ToString("yyyyMMdd"));
previosResult[sParam.ToString()] = 0;
return(0);
}
if (directory != string.Empty)
{
logger.SaveLogToFile(directory + "/" + this.StartTime.ToString("yyyyMMdd") + "_" + (acc.Balance.ToString()) + "$", "allData");
}
if (acc.Balance > initialMoney && this.EstimationFunctionType == EstimationFunctionType.MostMoney8Deviation)
{
previosResult[sParam.ToString()] = initialMoney + (acc.Balance - initialMoney) * (1 - acc.Statistics.GetDeviation);
}
else
{
previosResult[sParam.ToString()] = acc.Balance;
}
return(previosResult[sParam.ToString()]);
}
}
public SuperAdaptStrategy(StrategyParameter param, IStrategyLogger logger)
{
this.logger = logger;
this.param = param;
this.logger.AddMessage("Start strategy with parameter {0}", param.ToString());
}
static string CreateKey(string symbol, StrategyParameter sParam, DateTime start, DateTime end)
{
return(symbol + sParam.ToString() + start.Ticks.ToString() + end.Ticks.ToString());
}