public override Dictionary <string, decimal> GetScore(Dictionary <string, object> list, IOptimizerConfiguration config)
{
config.MaxThreads = _foldMaxThreads;
if (!string.IsNullOrEmpty(config.Fitness?.FoldOptimizerTypeName))
{
config.Fitness.OptimizerTypeName = config.Fitness.FoldOptimizerTypeName;
}
if (config.Fitness?.FoldGenerations.HasValue ?? false)
{
config.Generations = config.Fitness.FoldGenerations.Value;
}
_maximizer = WalkForwardSharpeMaximizerFactory.Create(config, Filter);
foreach (var item in config.Genes)
{
item.Actual = (double)list[item.Key];
}
var chromosome = new Chromosome(true, config.Genes);
LogProvider.GenerationsLogger.Info(Newtonsoft.Json.JsonConvert.SerializeObject(chromosome.GetGenes()));
//returns non-normalized average sharpe
var score = _maximizer.Evaluate(chromosome);
//parameter matrix
var flattened = GetBestGenes().ToArray();
var cost = WeightedMetricCost.Calculate(_maximizer.AllScores.Select(a => (double)a.Value).ToArray(), flattened);
//if success, contrain future genes by min max range of current best
if (score > -10)
{
var pairs = _maximizer.AllBest.SelectMany(s => s.Where(w => !excluding.Contains(w.Key)).Select(v => ConvertToDouble(v)));
var minmax = pairs.GroupBy(g => g.Key).Select(s => new { Key = s.Key, Min = s.Min(m => m.Value), Max = s.Max(m => m.Value) });
foreach (var item in minmax)
{
var gene = Config.Genes.Single(g => g.Key == item.Key);
if (Math.Round(item.Max, gene.Precision ?? 0) == Math.Round(item.Min, gene.Precision ?? 0))
{
LogProvider.GenerationsLogger.Info($"{item.Key} parameter could not be constrained.");
continue;
}
gene.Max = item.Max;
gene.Min = item.Min;
}
}
else
{
LogProvider.GenerationsLogger.Info($"All parameters could not be constrained.");
throw new Exception("All folds failed on out-samples. ");
}
return(new Dictionary <string, decimal>()
{
{ Name, (decimal)cost }, { AverageSharpe, (decimal)score }
});
}
public WalkForwardWeightedMetricSharpeMaximizer(IOptimizerConfiguration config, IFitnessFilter filter) : base(config, filter)
{
//one thread for parent and max threads for fold optimizer
_foldMaxThreads = config.MaxThreads;
config.MaxThreads = 1;
WalkForwardSharpeMaximizerFactory = new WalkForwardSharpeMaximizerFactory();
}