public IEnumerable <Tick> GetData(Setup setup)
{
var ticks = new List <Tick>();
if (!DicTicks.TryGetValue(setup.SetupId, out ticks))
{
var s = DicStrategies[setup.SetupId];
s.setup = setup;
ticks = s.GetData(setup.OfflineStartTime).ToList();
if (ticks.Count > 0)
{
DicTicks.TryAdd(setup.SetupId, ticks);
}
}
return(ticks);
}
public double Fitness(double[] genes)
{
try
{
var id = OptimizationSetup.SetupId;
var strategy = DicStrategies[id];
var ticks = new List <Tick>();
DicTicks.TryGetValue(id, out ticks);
var monthly = ticks.GroupBy(t => t.Time.ToString("mm-yy")).ToList().Select(t =>
{
var trade = new Trade(1, t.First(), new Setup(id, "B&H"));
return(trade);
});
strategy.type = 0;
strategy.trades = new List <Trade>();
strategy.setup = strategy.Gene2Setup(OptimizationSetup, genes);
strategy.StatusChanged += (status) => OnInfoChanged(status);
strategy.WarmUp(ticks);
foreach (var tick in ticks)
{
strategy.Run(tick);
}
var result = strategy.Statistics(false);
ticks = null;
strategy = null;
if (result != null && result.TotalNetProfit > result.MaxDrawndown)
{
OnInfoChanged(result.ToShortString());
}
return(result == null ? -1e10 : id == 1 || id == 14
? (double)result.TotalNetProfit.Value
: (double)result.SharpeRatio.Value);
}
catch (Exception e)
{
OnInfoChanged(e.Message + Environment.NewLine + e.StackTrace);
return(double.MinValue);
}
}