public SimAccount sim_ga(int from, int to, Gene2 chromo, SimAccount ac)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNInputData(ac, i);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnit(nn_outputs);
var actions = strategy.GAStrategy(pred, amount, ac);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
public SimAccount sim_win_ga_market(int from, int to, Gene2 chromo, SimAccount ac, double nn_threshold)
{
var nn = new NN();
var strategy = new Strategy();
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNWinGA(i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnitOnlyBuySell(nn_outputs, nn_threshold);
var actions = strategy.GAWinMarketStrategy(i, pred, ac);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
public SimAccount sim_ga_market_limit(int from, int to, int max_amount, Gene2 chromo, SimAccount ac, double nn_threshold, bool stop_no_trade)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
var zero_trade_check_point = 0.1; //to - fromの間のx%進捗した時にnum trade=0だったらsimを打ち切る。
for (int i = from; i < to - 1; i++)
{
//check num trade=0 discontinue sim
if (stop_no_trade && i - from > ((to - from) * zero_trade_check_point) && ac.performance_data.num_trade == 0)
{
//Console.WriteLine("Stopped sim due to zero trade.");
break;
}
var nn_inputs = nn_input_data_generator.generateNNInputDataLimit(ac, i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
//var pred = nn.getActivatedUnitLimitMarket(nn_outputs, nn_threshold);
var pred = nn.getActivatedUnitLimitMarket2(nn_outputs, nn_threshold);
var actions = strategy.GALimitMarketStrategy(i, pred, amount, max_amount, ac);
//check invalid ac situation
if (ac.order_data.order_side.Count > 1)
{
Console.WriteLine("Sim: # of order is more than 1 !");
}
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
else if (actions.action[j] == "cancel")
{
ac.cancel_all_order(i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update amount")
{
ac.update_order_amount(actions.order_size[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update price")
{
ac.update_order_price(actions.order_price[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else
{
Console.WriteLine("Sim: Unknown strategy action !");
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
/*
* Window内の右端からbuy or sellの有無を確認して、buy / sellがあれば記録する。
* Buy / selが記録された状態で反対のbuy / sellがあれば値幅として記録。最後に残ったbuy / sellは無視。（最後のプライスで値幅を考慮すると結局全てbuy出すようになる気がする）
*/
public SimAccount sim_win_market(int from, int to, List <int[]> sim_windows, Gene2 chromo, SimAccount ac, double nn_threshold)
{
var nn = new NN();
var nn_input_data_generator = new NNInputDataGenerator();
var pred_list = new List <int>();
for (int i = from; i < to + 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNWinGA(i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
pred_list.Add(nn.getActivatedUnitOnlyBuySell(nn_outputs, nn_threshold));
}
double maker_fee = -0.00025;
int num_trade = 0;
double total_nehaba = 0;
for (int i = 0; i < sim_windows.Count; i++)
{
var buy_price = new List <double>();
var sell_price = new List <double>();
for (int j = sim_windows[i][0]; j <= sim_windows[i][1]; j++)
{
if (pred_list[j - from] == 1 && sell_price.Count == 0)
{
buy_price.Add(MarketData.Bid[j] * (1 + maker_fee));
}
else if (pred_list[j - from] == 2 && buy_price.Count == 0)
{
sell_price.Add(MarketData.Ask[j] * (1 - maker_fee));
}
else if (pred_list[j - from] == 1 && sell_price.Count > 0) //exit sell position
{
var pl = (sell_price[0] - MarketData.Bid[j] * (1 + maker_fee));
ac.performance_data.total_pl += pl;
ac.performance_data.sell_pl_list.Add(pl);
ac.performance_data.realized_pl_list.Add(pl);
ac.performance_data.num_trade++;
total_nehaba += pl;
num_trade++;
sell_price.RemoveAt(0);
}
else if (pred_list[j - from] == 2 && buy_price.Count > 0) //exit buy position
{
var pl = (MarketData.Ask[j] * (1 - maker_fee) - buy_price[0]);
ac.performance_data.total_pl += pl;
ac.performance_data.buy_pl_list.Add(pl);
ac.performance_data.realized_pl_list.Add(pl);
ac.performance_data.num_trade++;
total_nehaba += pl;
num_trade++;
buy_price.RemoveAt(0);
}
}
}
return(ac);
}
public SimAccount sim_ga_limit(int from, int to, int max_amount, Gene2 chromo, SimAccount ac)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNInputDataLimit(ac, i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnit(nn_outputs);
var actions = strategy.GALimitStrategy2(i, pred, amount, max_amount, ac);
//check invalid ac situation
if (ac.order_data.order_side.Count > 1)
{
Console.WriteLine("Sim: # of order is more than 1 !");
}
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
else if (actions.action[j] == "cancel")
{
ac.cancel_all_order(i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update amount")
{
ac.update_order_amount(actions.order_size[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update price")
{
ac.update_order_price(actions.order_price[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else
{
Console.WriteLine("Sim: Unknown strategy action !");
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
