public static StockPersonality CreateDefaultPersonality()
{
StockPersonality newPersonality = new StockPersonality();
newPersonality.BuyMargin = 0.035f;
newPersonality.SellMargin = 0.035f;
return newPersonality;
}
public StockPersonality Clone()
{
StockPersonality stockPersonality = new StockPersonality();
stockPersonality.BuyMargin = this.BuyMargin;
stockPersonality.SellMargin = this.SellMargin;
foreach (StockIndicator indicator in this.IndicatorDictionary.Values)
{
stockPersonality.IndicatorDictionary.Add(indicator.Type, indicator.Clone());
}
return stockPersonality;
}
private void TuneOneByOneIndicators(StockSerie stockSerie, List<StockIndicator> indicatorsToTune)
{
StockPersonality bestPersonality = null;
float bestReturn = 0;
StockPersonality newPersonality = new StockPersonality();
foreach (StockIndicator indicator in indicatorsToTune)
{
List<StockIndicator> indicatorList = new List<StockIndicator>();
indicatorList.Add(indicator);
this.GAIndicatorList(indicatorList, stockSerie, 3, 10, ref bestPersonality, ref bestReturn);
Console.WriteLine("Best return = " + bestReturn.ToString() + " best personality = " + bestPersonality.ToString());
newPersonality.IndicatorDictionary.Add(indicator.Type, indicator.Clone());
}
stockSerie.StockAnalysis.StockPersonality = newPersonality;
}
private void GAIndicatorList(List<StockIndicator> indicatorList, StockSerie stockSerie, int maxGeneration, int populationSize, ref StockPersonality bestPersonality, ref float bestReturn)
{
int nbFittest = 5;
float impact, range, step, bestResult = float.MinValue;
List<StockPersonality> personalityList = new List<StockPersonality>();
List<StockPersonality> tmpPersonalityList = null;
List<StockPersonality> personalityNewGenList = new List<StockPersonality>();
StockPersonality personality = null;
StockPersonality newPersonality = null;
StockIndicator newIndicator = null;
int nbTryPerIndicator = 10;
// Generate initial population
foreach (StockIndicator indicator in indicatorList)
{
if (personalityList.Count == 0)
{
impact = indicator.Range.Min;
step = (indicator.Range.Max - indicator.Range.Min) / (float)(nbTryPerIndicator -1);
for (int i = 0; i < nbTryPerIndicator; i++)
{
newIndicator = new StockIndicator(indicator.Type, true, impact, indicator.SmoothingType, impact - step, impact + step, step / 10.0f);
newPersonality = new StockPersonality();
newPersonality.IndicatorDictionary.Add(indicator.Type, newIndicator);
personalityList.Add(newPersonality);
impact += step;
}
}
else
{
tmpPersonalityList = new List<StockPersonality>();
foreach (StockPersonality currentPersonality in personalityList)
{
impact = indicator.Range.Min;
step = (indicator.Range.Max - indicator.Range.Min) / (float)(nbTryPerIndicator-1);
for (int i = 0; i < nbTryPerIndicator; i++)
{
newIndicator = new StockIndicator(indicator.Type, true, impact, indicator.SmoothingType, impact - step, impact + step, step / 10.0f);
newPersonality = currentPersonality.Clone();
newPersonality.IndicatorDictionary.Add(indicator.Type, newIndicator);
tmpPersonalityList.Add(newPersonality);
impact += step;
}
}
personalityList = tmpPersonalityList;
}
}
// Start GA
SortedDictionary<float, StockPersonality> returnDico = null;
for (int n = 0; n < maxGeneration; n++)
{
// Calculate fittest personalities
returnDico = this.EvalPersonalityList(stockSerie, personalityList);
// Select the best personalities
personalityList.Clear();
for (int i = 0; i < Math.Min(nbFittest, returnDico.Count); i++)
{
personality = returnDico.Values.ElementAt(returnDico.Count - i - 1);
// Calculate new indicator min/max values
foreach (StockIndicator stockIndicator in personality.IndicatorDictionary.Values)
{
range = (stockIndicator.Range.Max - stockIndicator.Range.Min) / 4.0f;
stockIndicator.Range.Max = stockIndicator.Impact + range;
stockIndicator.Range.Min = stockIndicator.Impact - range;
}
personalityList.Add(personality);
} // at this point the nbFittest are stored in the array.
// Generate new generation
personalityNewGenList = GenerateNewGeneration(personalityList, populationSize);
personalityList.AddRange(personalityNewGenList);
bestPersonality = returnDico.Values.Last();
bestReturn = returnDico.Keys.Last();
Console.WriteLine("Best return = " + bestReturn.ToString() + " best personality = " + bestPersonality.ToString());
if (bestReturn <= bestResult)
{
break;
}
else
{
bestResult = bestReturn;
}
}
}
public int CompareIndicators(StockPersonality other)
{
if (this.IndicatorDictionary.Values.Count(i => i.IsActive) == other.IndicatorDictionary.Values.Count(i => i.IsActive))
{
foreach (StockIndicator indicator in this.IndicatorDictionary.Values)
{
if (other.IndicatorDictionary.Keys.Contains(indicator.Type))
{
if (indicator.CompareTo(other.IndicatorDictionary[indicator.Type]) != 0)
{
return -1;
}
}
else
{
return -1;
}
}
}
else
{
return -1;
}
return 0;
}
private void UpdateBestForValue(StockSerie stockSerie, FloatPropertyRange range, bool refreshGUI,
ref StockPortofolio bestPortofolio, ref StockPersonality bestPersonality, float currentValue)
{
stockSerie.StockAnalysis.StockPersonality.SetFloatPropertyValue(range, currentValue);
stockSerie.ResetSAREX();
//Console.WriteLine("Fixed Fee:" + this.simulationParameterControl.fixedFee + " Tax Rate:" + this.simulationParameterControl.taxRate);
StockPortofolio currentPortofolio = GenerateTradingSimulation(stockSerie, this.simulationParameterControl.StartDate, this.simulationParameterControl.EndDate.AddHours(18),
this.simulationParameterControl.amount, this.simulationParameterControl.reinvest,
this.simulationParameterControl.amendOrders, this.simulationParameterControl.supportShortSelling,
this.simulationParameterControl.fixedFee, this.simulationParameterControl.taxRate);
//if (generateReportCheckBox.Checked)
//{
// this.simulationParameterControl.Personality = currentPersonality;
// this.simulationParameterControl.GenerateReportLine("TuningReport_"+stockSerie.StockName+".csv", stockSerie, currentPortofolio);
//}
if ((bestPortofolio == null || bestPortofolio.TotalAddedValue < currentPortofolio.TotalAddedValue) && currentPortofolio.OrderList.Count != 0)
{
bestPersonality = stockSerie.StockAnalysis.StockPersonality.Clone();
//Console.WriteLine("new best" + bestPersonality.ToString());
//Console.WriteLine("new best" + currentPortofolio.ToString());
// Update new best portofolio
bestPortofolio = currentPortofolio;
// Refresh GUI
if (refreshGUI)
{
this.simulationParameterControl.Personality = bestPersonality;
}
}
if (!this.allStocksCheckBox.Checked)
{
if (this.progressBar.Value < this.progressBar.Maximum)
{
this.progressBar.Value++;
}
else
{
this.progressBar.Value = 0;
}
}
}
private void TuneSarexParams(StockSerie stockSerie, List<FloatPropertyRange> propertyRangeList,
ref StockPortofolio bestPortofolio, ref StockPersonality bestPersonality)
{
try
{
int nbIterations = 1;
if (this.allStocksCheckBox.Checked)
{
nbIterations = this.stockComboBox.Items.Count;
}
else
{
foreach (FloatPropertyRange propRange in propertyRangeList)
{
nbIterations *= propRange.NbStep();
}
}
this.progressBar.Maximum = nbIterations;
this.progressBar.Value = 0;
TuneIndicatorList(stockSerie, propertyRangeList, true, ref bestPortofolio, ref bestPersonality);
}
catch (Exception exception)
{
System.Windows.Forms.MessageBox.Show(exception.Message, "Check input parameters");
}
}
private void TuneProperty(StockSerie stockSerie, FloatPropertyRange range, bool refreshGUI,
ref StockPortofolio bestPortofolio, ref StockPersonality bestPersonality)
{
float mediumValue = (range.Max + range.Min) / 2.0f;
float maxWidth = (range.Max - range.Min) / 2.0f;
UpdateBestForValue(stockSerie, range, refreshGUI, ref bestPortofolio, ref bestPersonality, mediumValue);
float precision = range.Step / -100.0f;
for (float currentWidth = range.Step; (maxWidth - currentWidth) > precision; currentWidth += range.Step)
{
UpdateBestForValue(stockSerie, range, refreshGUI, ref bestPortofolio, ref bestPersonality, mediumValue + currentWidth);
UpdateBestForValue(stockSerie, range, refreshGUI, ref bestPortofolio, ref bestPersonality, mediumValue - currentWidth);
}
}
private void TuneIndicatorList(StockSerie stockSerie, List<FloatPropertyRange> rangeList,
bool refreshGUI, ref StockPortofolio bestPortofolio, ref StockPersonality bestPersonality)
{
int rangeCount = rangeList.Count;
if (rangeCount == 0)
{
return;
}
if (rangeCount == 1)
{
TuneProperty(stockSerie, rangeList[0], refreshGUI, ref bestPortofolio, ref bestPersonality);
}
else
{
FloatPropertyRange range = rangeList[0];
List<FloatPropertyRange> subList = rangeList.GetRange(1, rangeCount - 1);
float mediumValue = (range.Max + range.Min) / 2.0f;
float maxWidth = (range.Max - range.Min) / 2.0f;
stockSerie.StockAnalysis.StockPersonality.SetFloatPropertyValue(range, mediumValue);
TuneIndicatorList(stockSerie, subList, refreshGUI, ref bestPortofolio, ref bestPersonality);
float precision = range.Step / -100.0f;
for (float currentWidth = range.Step; (maxWidth - currentWidth) > precision; currentWidth += range.Step)
{
stockSerie.StockAnalysis.StockPersonality.SetFloatPropertyValue(range, mediumValue + currentWidth);
TuneIndicatorList(stockSerie, subList, refreshGUI, ref bestPortofolio, ref bestPersonality);
stockSerie.StockAnalysis.StockPersonality.SetFloatPropertyValue(range, mediumValue - currentWidth);
TuneIndicatorList(stockSerie, subList, refreshGUI, ref bestPortofolio, ref bestPersonality);
}
}
}
private void UpdateBestForValue(StockSerie stockSerie, FloatPropertyRange range, bool refreshGUI,
ref float bestReturn, ref StockPersonality bestPersonality, float currentValue)
{
stockSerie.StockAnalysis.StockPersonality.SetFloatPropertyValue(range, currentValue);
stockSerie.ResetSAREX();
float currentReturn = stockSerie.CalculateSarReturn(StockDataType.SAREX_FOLLOWER_CUSTOM);
if ( currentReturn > bestReturn)
{
bestPersonality = stockSerie.StockAnalysis.StockPersonality.Clone();
bestReturn = currentReturn;
// Refresh GUI
if (refreshGUI)
{
this.simulationParameterControl.Personality = bestPersonality;
}
}
if (!this.allStocksCheckBox.Checked)
{
if (this.progressBar.Value < this.progressBar.Maximum)
{
this.progressBar.Value++;
}
else
{
this.progressBar.Value = 0;
}
}
}
