//複数chromを使ったsimを行い、それらの結果の総合したパフォーマンスを表示する。
public SimAccount sim_ga_multi_chromo(int from, int to, int max_amount, List <Gene2> chromo, string title, bool chart, List <double> nn_threshold)
{
var ac_list = new List <SimAccount>();
for (int i = 0; i < chromo.Count; i++)
{
var sim = new Sim();
var ac = new SimAccount();
ac = sim.sim_ga_market_limit(from, to, max_amount, chromo[i], ac, nn_threshold[i], false);
ac_list.Add(ac);
Console.WriteLine("Chromo-" + i.ToString() + ":");
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
}
//各chrom sim結果を平均する。
var ac_master = new SimAccount();
var buy_pl_sum = 0.0;
var sell_pl_sum = 0.0;
for (int i = 0; i < ac_list[0].total_pl_list.Count; i++)
{
ac_master.total_pl_list.Add(ac_list[0].total_pl_list[i]);
ac_master.total_pl_ratio_list.Add(ac_list[0].total_pl_ratio_list[i]);
}
for (int i = 0; i < chromo.Count; i++)
{
ac_master.performance_data.num_trade += ac_list[i].performance_data.num_trade;
ac_master.performance_data.num_buy += ac_list[i].performance_data.num_buy;
ac_master.performance_data.num_sell += ac_list[i].performance_data.num_sell;
ac_master.performance_data.num_win += ac_list[i].performance_data.num_win;
ac_master.performance_data.total_pl += ac_list[i].performance_data.total_pl;
ac_master.performance_data.total_pl_ratio += ac_list[i].performance_data.total_pl_ratio;
buy_pl_sum += ac_list[i].performance_data.buy_pl_list.Sum();
sell_pl_sum += ac_list[i].performance_data.sell_pl_list.Sum();
for (int j = 0; j < ac_list[i].total_pl_list.Count; j++)
{
if (i > 0)
{
ac_master.total_pl_list[j] += ac_list[i].total_pl_list[j];
ac_master.total_pl_ratio_list[j] += ac_list[i].total_pl_ratio_list[j];
}
}
}
for (int i = 0; i < ac_list[0].total_pl_list.Count; i++)
{
ac_master.total_pl_list[i] = ac_master.total_pl_list[i] / Convert.ToDouble(ac_list.Count);
ac_master.total_pl_ratio_list[i] = ac_master.total_pl_ratio_list[i] / Convert.ToDouble(ac_list.Count);
}
Console.WriteLine("");
Console.WriteLine("Master Results:");
Console.WriteLine("pl=" + ac_master.performance_data.total_pl / Convert.ToDouble(ac_list.Count));
Console.WriteLine("num trade=" + ac_master.performance_data.num_trade / Convert.ToDouble(ac_list.Count));
Console.WriteLine("num market order=" + ac_master.performance_data.num_maker_order);
if (ac_master.performance_data.num_trade > 0)
{
Console.WriteLine("win rate=" + ac_master.performance_data.num_win / ac_master.performance_data.num_trade);
}
else
{
Console.WriteLine("win rate=" + "0");
}
Console.WriteLine("num_buy=" + ac_master.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac_master.performance_data.num_sell);
Console.WriteLine("buy_pl=" + buy_pl_sum);
Console.WriteLine("sell_pl=" + sell_pl_sum);
if (chart)
{
LineChart.DisplayLineChart(ac_master.total_pl_ratio_list, title);
}
return(ac_master);
}
public static void Main(string[] args)
{
Console.WriteLine("# of CPU cores=" + System.Environment.ProcessorCount.ToString());
var key = "";
while (true)
{
Console.WriteLine("\"ga\" : island GA");
Console.WriteLine("\"sim\" : read sim");
Console.WriteLine("\"mul ga\" : multi strategy ga");
Console.WriteLine("\"mul sim\" : multi strategy sim");
Console.WriteLine("\"conti\" : do ga / sim continuously");
Console.WriteLine("\"win ga\" : do win ga");
Console.WriteLine("\"win sim\" : do win sim");
Console.WriteLine("\"sa1\" : statistics analysis1");
Console.WriteLine("\"sa2\" : statistics analysis2");
Console.WriteLine("\"sa3\" : statistics analysis3");
Console.WriteLine("\"ptlc sim\" : ptlc periodical entry sim");
Console.WriteLine("\"write\" : write MarketData");
Console.WriteLine("\"test\" : test");
key = Console.ReadLine();
if (key == "ga" || key == "sim" || key == "mul ga" || key == "mul sim" || key == "win ga" || key == "conti" || key == "win ga" || key == "win sim" || key == "write" || key == "test" || key == "sa1" || key == "sa2" || key == "sa3" || key == "ptlc sim")
{
break;
}
}
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
Console.WriteLine("started program.");
List <int> terms = new List <int>();
for (int i = 10; i < 100; i = i + 10)
{
terms.Add(i);
}
MarketData.initializer(terms);
var from = 1000;
var to = MarketData.Close.Count - 1;
int max_amount = 1;
var index = new int[] { 0, 0, 0, 1, 1, 0, 0 };
double nn_threshold = 0.7;
int best_island_id = 0;
bool display_chart = true;
var sim_type = 1; //0:limit, 1:market/limit
if (key == "test")
{
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
LineChart.DisplayLineChart2(ac.total_pl_list, ac.log_data.close_log, ac.log_data.buy_points.Values.ToList(), ac.log_data.sell_points.Values.ToList(), "test");
System.Diagnostics.Process.Start(@"/Applications/Google Chrome.app/Contents/MacOS/Google Chrome", @"./line_chart.html");
}
//read weight sim
if (key == "sim")
{
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
LineChart.DisplayLineChart2(ac.total_pl_list, ac.log_data.close_log, ac.log_data.buy_points.Values.ToList(), ac.log_data.sell_points.Values.ToList(), "test");
System.Diagnostics.Process.Start(@"/Applications/Google Chrome.app/Contents/MacOS/Google Chrome", @"./line_chart.html");
}
//island ga
else if (key == "ga")
{
int num_island = 1;
int num_chromos = 4;
int num_generations = 100;
int banned_move_period = 5;
var units = new int[] { 42, 90, 5 };
var mutation_rate = 0.7;
var move_ratio = 0.5;
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
doSim(to, MarketData.Close.Count - 1, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
}
//multi strategy combination sim
else if (key == "mul ga")
{
var index_list = new List <int[]> {
new int[] { 1, 0, 0, 0, 0, 0, 0 }, new int[] { 0, 1, 0, 0, 0, 0, 0 }, new int[] { 0, 0, 1, 0, 0, 0, 0 }
};
var units_list = new List <int[]> {
new int[] { 34, 10, 5 }, new int[] { 34, 10, 5 }, new int[] { 34, 10, 5 }
};
var best_pl_list = new List <List <double> >();
var best_ac_list = new List <SimAccount>();
int num_island = 2;
int num_chromos = 4;
int num_generations = 30;
int banned_move_period = 3;
var mutation_rate = 0.7;
var move_ratio = 0.5;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < index_list.Count; i++)
{
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units_list[i], mutation_rate, move_ratio, index_list[i], display_chart, nn_threshold);
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
best_pl_list.Add(ac.total_pl_ratio_list);
best_ac_list.Add(ac);
if (File.Exists(@"./log_best_weight_ID-" + i.ToString() + ".csv"))
{
File.Delete(@"./log_best_weight_ID-" + i.ToString() + ".csv");
}
File.Copy(@"./best_weight_ID-" + best_island_id.ToString() + ".csv", @"./log_best_weight_ID-" + i.ToString() + ".csv");
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
doMultiSim(to, MarketData.Close.Count - 1, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "mul sim")
{
var num_best_chromo = 3;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < num_best_chromo; i++)
{
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "win ga")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 200;
int banned_move_period = 5;
int num_random_windows = 10;
index = new int[] { 0, 0, 0, 1, 0, 0, 0 };
var units = new int[] { 10, 30, 3 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
best_island_id = doWinGA(from, to, num_random_windows, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doWinSim(from, to, best_island_id, true, nn_threshold);
doWinSim(to, MarketData.Close.Count - 1, best_island_id, true, nn_threshold);
}
else if (key == "win sim")
{
doWinSim(from, to, best_island_id, true, nn_threshold);
}
else if (key == "sa1")
{
var sa = new StatisticsAnalysis();
var data_entry_points = Enumerable.Range(0, MarketData.Close.Count).Where(i => i % 1000 == 0).ToList();
//var entry_num = Enumerable.Range(1, 100).Where(i => i % 5 == 0).ToList();
var entry_num = new List <int>()
{
1, 5, 50, 100
};
//var entry_interval = Enumerable.Range(1, 100).Where(i => i % 5 == 0).ToList();
var entry_interval = new List <int>()
{
1, 5, 50, 100
};
//var ptlc_ratio = Enumerable.Range(2, 100).ToList().ConvertAll(x => Math.Round(x * 0.1,1)).ToList();
var ptlc_ratio = new List <double>()
{
0.2, 1, 5, 15
};
sa.startAnalysis1(data_entry_points, entry_num, entry_interval, entry_interval, ptlc_ratio);
}
else if (key == "sa2")
{
var sa = new StatisticsAnalysis();
/*var leverages = new List<double>() { 0.5,1,1.5,2,2.5,3,5};
* var entry_num = new List<int>() { 1, 5, 50, 100 };
* var entry_interval = new List<int>() { 1, 5, 50, 100 };
* var pt_ratio = new List<double>() { 0.05, 0.07, 0.1, 0.15, 0.2, 0.25 };
* var lc_ratio = new List<double>() { -0.05, -0.07, -0.1, -0.15, -0.2, -0.25 };*/
var leverages = new List <double>()
{
0.5, 5
};
var entry_num = new List <int>()
{
1, 5
};
var entry_interval = new List <int>()
{
1, 5
};
var pt_ratio = new List <double>()
{
0.05, 0.15
};
var lc_ratio = new List <double>()
{
-0.05, -0.15
};
sa.startAnalysis2(pt_ratio, lc_ratio, leverages, entry_interval, entry_num);
}
else if (key == "sa3")
{
var sa = new StatisticsAnalysis();
var buy_price_change_minutes = new List <int>()
{
10, 30, 60, 90, 300, 600
};
var buy_price_change_ratio = new List <double>()
{
-0.01, -0.05, -0.07, -0.1, -0.15, -0.25
};
var sell_price_change_minutes = new List <int>()
{
10, 30, 60, 90, 300, 600
};
var sell_price_change_ratio = new List <double>()
{
0.01, 0.05, 0.07, 0.1, 0.15, 0.25
};
var param_data = new List <Dictionary <string, double> >();
var param1 = new Dictionary <string, double>()
{
{ "leverage", 3.0 }, { "entry_num", 100 }, { "entry_interval", 5 }, { "pt", 0.25 }, { "lc", -0.2 }
};
var param2 = new Dictionary <string, double>()
{
{ "leverage", 2.0 }, { "entry_num", 50 }, { "entry_interval", 5 }, { "pt", 0.07 }, { "lc", -0.2 }
};
var param3 = new Dictionary <string, double>()
{
{ "leverage", 2.0 }, { "entry_num", 5 }, { "entry_interval", 5 }, { "pt", 0.15 }, { "lc", -0.2 }
};
param_data.Add(param1);
param_data.Add(param2);
param_data.Add(param3);
sa.startAnalysis3(param_data, buy_price_change_minutes, buy_price_change_ratio, sell_price_change_minutes, sell_price_change_ratio);
}
else if (key == "conti")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
var units = new int[] { 67, 5, 5, 5, 5 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
var sim_period = 5000;
var ga_period = 10000;
var conti_from = from;
var ac_list = new List <SimAccount>();
var all_pl_list = new List <double>();
all_pl_list.Add(0);
var all_num_trade = 0;
while (to > sim_period + ga_period + conti_from)
{
best_island_id = doGA(conti_from, conti_from + ga_period, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
ac_list.Add(doSim(conti_from + ga_period, conti_from + ga_period + sim_period, max_amount, sim_type, best_island_id, true, nn_threshold));
foreach (var p in ac_list.Last().total_pl_list)
{
all_pl_list.Add(all_pl_list.Last() + p);
}
all_num_trade += ac_list.Last().performance_data.num_trade;
conti_from += sim_period;
}
Console.WriteLine("Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
LineChart.DisplayLineChart(all_pl_list, "from=" + (from + ga_period).ToString() + ", to=" + (conti_from + ga_period + sim_period).ToString() + ", Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
}
else if (key == "ptlc sim")
{
var pt = 0.07;
var lc = -0.2;
var leverage = 2;
var side = "buy";
var entry_interval_minutes = 5;
var entry_num = 50;
var ac = new SimAccount();
var sim = new Sim();
ac = sim.sim_entry_timing_ptlc(from, to, ac, side, leverage, entry_interval_minutes, entry_num, pt, lc);
displaySimResult(ac, "ptlc sim from:" + from.ToString() + " to:" + to.ToString() + ", pl=" + ac.performance_data.total_pl.ToString() + ", num=" + ac.performance_data.num_trade.ToString());
}
else if (key == "write")
{
MarketData.writeData();
}
stopWatch.Stop();
Console.WriteLine("Completed all processes.");
Console.WriteLine("Time Elapsed (sec)=" + stopWatch.Elapsed.TotalSeconds.ToString());
}
public static void Main(string[] args)
{
Console.WriteLine("# of CPU cores=" + System.Environment.ProcessorCount.ToString());
var key = "";
while (true)
{
Console.WriteLine("\"ga\" : island GA");
Console.WriteLine("\"sim\" : read sim");
Console.WriteLine("\"mul ga\" : multi strategy ga");
Console.WriteLine("\"mul sim\" : multi strategy sim");
Console.WriteLine("\"conti\" : do ga / sim continuously");
Console.WriteLine("\"win ga\" : do win ga");
Console.WriteLine("\"write\" : write MarketData");
Console.WriteLine("\"test\" : test");
key = Console.ReadLine();
if (key == "ga" || key == "sim" || key == "mul ga" || key == "mul sim" || key == "win ga" || key == "conti" || key == "win ga" || key == "write" || key == "test")
{
break;
}
}
if (key == "test")
{
RandomSeed.initialize();
for (int i = 0; i < 100; i++)
{
Console.WriteLine(RandomSeed.rnd.Next());
}
Environment.Exit(0);
}
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
Console.WriteLine("started program.");
List <int> terms = new List <int>();
for (int i = 10; i < 1000; i = i + 100)
{
terms.Add(i);
}
MarketData.initializer(terms);
var from = 1000;
var to = 501000;//MarketData.Close.Count-1;
int max_amount = 1;
var index = new int[] { 0, 0, 0, 1, 1, 0, 0 };
double nn_threshold = 0.3;
int best_island_id = 4;
bool display_chart = true;
var sim_type = 1; //0:limit, 1:market/limit
//read weight sim
if (key == "sim")
{
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
}
//island ga
else if (key == "ga")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
var units = new int[] { 67, 5, 5, 5, 5 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
doSim(to, MarketData.Close.Count - 1, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
}
//multi strategy combination sim
else if (key == "mul ga")
{
var index_list = new List <int[]> {
new int[] { 0, 0, 0, 1, 1, 0, 0 }, new int[] { 0, 0, 0, 0, 1, 1, 1 }
};
var units_list = new List <int[]> {
new int[] { 77, 5, 5, 5, 5 }, new int[] { 77, 5, 5, 5, 5 }
};
var best_pl_list = new List <List <double> >();
var best_ac_list = new List <SimAccount>();
int num_island = 2;
int num_chromos = 4;
int num_generations = 3;
int banned_move_period = 2;
var mutation_rate = 0.5;
var move_ratio = 0.2;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < index_list.Count; i++)
{
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units_list[i], mutation_rate, move_ratio, index_list[i], display_chart, nn_threshold);
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
best_pl_list.Add(ac.total_pl_ratio_list);
best_ac_list.Add(ac);
if (File.Exists(@"./log_best_weight_ID-" + i.ToString() + ".csv"))
{
File.Delete(@"./log_best_weight_ID-" + i.ToString() + ".csv");
}
File.Copy(@"./best_weight_ID-" + best_island_id.ToString() + ".csv", @"./log_best_weight_ID-" + i.ToString() + ".csv");
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
doMultiSim(to, MarketData.Close.Count - 1, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "mul sim")
{
var num_best_chromo = 4;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < num_best_chromo; i++)
{
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "win ga")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
int num_random_windows = 10;
index = new int[] { 0, 0, 0, 1, 0, 0, 0 };
var units = new int[] { 10, 30, 5, 3 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
best_island_id = doWinGA(from, to, num_random_windows, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doWinSim(from, to, best_island_id, true, nn_threshold);
doWinSim(to, MarketData.Close.Count - 1, best_island_id, true, nn_threshold);
}
else if (key == "conti")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
var units = new int[] { 67, 5, 5, 5, 5 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
var sim_period = 5000;
var ga_period = 10000;
var conti_from = from;
var ac_list = new List <SimAccount>();
var all_pl_list = new List <double>();
all_pl_list.Add(0);
var all_num_trade = 0;
while (to > sim_period + ga_period + conti_from)
{
best_island_id = doGA(conti_from, conti_from + ga_period, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
ac_list.Add(doSim(conti_from + ga_period, conti_from + ga_period + sim_period, max_amount, sim_type, best_island_id, true, nn_threshold));
foreach (var p in ac_list.Last().total_pl_list)
{
all_pl_list.Add(all_pl_list.Last() + p);
}
all_num_trade += ac_list.Last().performance_data.num_trade;
conti_from += sim_period;
}
Console.WriteLine("Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
LineChart.DisplayLineChart(all_pl_list, "from=" + (from + ga_period).ToString() + ", to=" + (conti_from + ga_period + sim_period).ToString() + ", Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
}
else if (key == "write")
{
MarketData.writeData();
}
stopWatch.Stop();
Console.WriteLine("Completed all processes.");
Console.WriteLine("Time Elapsed (sec)=" + stopWatch.Elapsed.TotalSeconds.ToString());
}