public virtual double Evaluate(IChromosome chromosome)
{
try
{
string output = "";
var list = ((Chromosome)chromosome).ToDictionary();
foreach (var item in list)
{
output += item.Key + ": " + item.Value.ToString() + ", ";
}
var result = OptimizerAppDomainManager.RunAlgorithm(list);
var fitness = CalculateFitness(result);
output += string.Format("{0}: {1}", this.Name, fitness.Value);
Program.Logger.Info(output);
return(fitness.Fitness);
}
catch (Exception ex)
{
Program.Logger.Error(ex);
return(0);
}
}
public void Initialize(string[] args)
{
_config = LoadConfig(args);
_file.File.Copy(_config.ConfigPath, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, "config.json"), true);
string path = _config.AlgorithmLocation;
if (!string.IsNullOrEmpty(path) && (path.Contains('\\') || path.Contains('/')))
{
_file.File.Copy(path, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(path)), true);
string pdb = path.Replace(System.IO.Path.GetExtension(path), ".pdb");
//due to locking issues, need to manually clean to update pdb
if (!_file.File.Exists(pdb))
{
_file.File.Copy(pdb, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(pdb)), true);
}
}
OptimizerAppDomainManager.Initialize();
OptimizerFitness fitness = (OptimizerFitness)Assembly.GetExecutingAssembly().CreateInstance(_config.FitnessTypeName, false, BindingFlags.Default, null,
new object[] { _config, new FitnessFilter() }, null, null);
_manager.Initialize(_config, fitness);
_manager.Start();
}
public Dictionary <string, decimal> Run(Dictionary <string, object> items, IOptimizerConfiguration config)
{
Dictionary <string, Dictionary <string, decimal> > results = OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain);
_config = config;
_id = (items.ContainsKey("Id") ? items["Id"] : Guid.NewGuid()).ToString();
if (_config.StartDate.HasValue && _config.EndDate.HasValue)
{
if (!items.ContainsKey("startDate"))
{
items.Add("startDate", _config.StartDate);
}
if (!items.ContainsKey("endDate"))
{
items.Add("endDate", _config.EndDate);
}
}
string jsonKey = JsonConvert.SerializeObject(items);
if (results.ContainsKey(jsonKey))
{
return(results[jsonKey]);
}
//just ignore id gene
foreach (var pair in items.Where(i => i.Key != "Id"))
{
if (pair.Value is DateTime?)
{
var cast = ((DateTime?)pair.Value);
if (cast.HasValue)
{
Config.Set(pair.Key, cast.Value.ToString("O"));
}
}
else
{
Config.Set(pair.Key, pair.Value.ToString());
}
}
if (EngineContext.SystemHandlers == null || EngineContext.Engine == null)
{
LaunchLean();
}
RunJob();
if (_resultsHandler.FullResults != null && _resultsHandler.FullResults.Any())
{
results.Add(jsonKey, _resultsHandler.FullResults);
OptimizerAppDomainManager.SetResults(AppDomain.CurrentDomain, results);
}
return(_resultsHandler.FullResults);
}
public virtual Dictionary <string, decimal> RunAlgorithm(Dictionary <string, object> list, IOptimizerConfiguration config)
{
if (config.UseSharedAppDomain)
{
return(SingleAppDomainManager.RunAlgorithm(list, config));
}
else
{
return(OptimizerAppDomainManager.RunAlgorithm(list, config));
}
}
public void Initialize(string[] args)
{
_config = LoadConfig(args);
_file.File.Copy(_config.ConfigPath, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, "config.json"), true);
string path = _config.AlgorithmLocation;
if (!string.IsNullOrEmpty(path) && (path.Contains('\\') || path.Contains('/')))
{
_file.File.Copy(path, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(path)), true);
string pdb = path.Replace(System.IO.Path.GetExtension(path), ".pdb");
//due to locking issues, need to manually clean to update pdb
if (!_file.File.Exists(pdb))
{
_file.File.Copy(pdb, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(pdb)), true);
}
}
if (_config.UseSharedAppDomain)
{
SingleAppDomainManager.Initialize();
}
else
{
OptimizerAppDomainManager.Initialize();
}
OptimizerFitness fitness = (OptimizerFitness)Assembly.GetExecutingAssembly().CreateInstance(_config.FitnessTypeName, false, BindingFlags.Default, null,
new object[] { _config, new FitnessFilter() }, null, null);
if (_manager == null)
{
if (new[] { typeof(SharpeMaximizer), typeof(NFoldCrossReturnMaximizer), typeof(NestedCrossSharpeMaximizer), typeof(NFoldCrossSharpeMaximizer) }.Contains(fitness.GetType()))
{
_manager = new MaximizerManager();
if (fitness.GetType() == typeof(OptimizerFitness))
{
LogProvider.ErrorLogger.Info("Fitness for shared app domain was switched to the default: SharpeMaximizer.");
fitness = new SharpeMaximizer(_config, new FitnessFilter());
}
}
else
{
_manager = new GeneManager();
}
}
_manager.Initialize(_config, fitness);
_manager.Start();
}
public Dictionary <string, decimal> Run(Dictionary <string, object> items)
{
Dictionary <string, Dictionary <string, decimal> > results = OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain);
_config = OptimizerAppDomainManager.GetConfig(AppDomain.CurrentDomain);
_id = (items.ContainsKey("Id") ? items["Id"] : Guid.NewGuid()).ToString();
items.Remove("Id");
if (_config.StartDate.HasValue && _config.EndDate.HasValue)
{
if (!items.ContainsKey("startDate"))
{
items.Add("startDate", _config.StartDate);
}
if (!items.ContainsKey("endDate"))
{
items.Add("endDate", _config.EndDate);
}
}
string plain = string.Join(",", items.Select(s => s.Value));
if (results.ContainsKey(plain))
{
return(results[plain]);
}
foreach (var pair in items)
{
if (pair.Value is DateTime?)
{
var cast = ((DateTime?)pair.Value);
if (cast.HasValue)
{
Config.Set(pair.Key, cast.Value.ToString("O"));
}
}
else
{
Config.Set(pair.Key, pair.Value.ToString());
}
}
LaunchLean();
results.Add(plain, _resultsHandler.FullResults);
OptimizerAppDomainManager.SetResults(AppDomain.CurrentDomain, results);
return(_resultsHandler.FullResults);
}
public virtual double Evaluate(IChromosome chromosome)
{
Name = "Sharpe";
try
{
string output = "";
var list = ((Chromosome)chromosome).ToDictionary();
list.Add("Id", ((Chromosome)chromosome).Id);
foreach (var item in list)
{
output += item.Key + ": " + item.Value.ToString() + ", ";
}
if (Config.StartDate.HasValue && Config.EndDate.HasValue)
{
output += string.Format("Start: {0}, End: {1}, ", Config.StartDate, Config.EndDate);
}
Dictionary <string, decimal> result = null;
if (Config.UseSharedAppDomain)
{
result = SingleAppDomainManager.RunAlgorithm(list, Config);
}
else
{
result = OptimizerAppDomainManager.RunAlgorithm(list, Config);
}
if (result == null)
{
return(0);
}
var fitness = CalculateFitness(result);
output += string.Format("{0}: {1}", Name, fitness.Value);
Program.Logger.Info(output);
return(fitness.Fitness);
}
catch (Exception ex)
{
Program.Logger.Error(ex);
return(0);
}
}
public virtual void Initialize()
{
var fullResults = OptimizerAppDomainManager.GetResults();
//let's exclude non-trading tests and any marked as error/failure with -10 Sharpe
var hasTraded = fullResults.Where(d => d.Value["TotalNumberOfTrades"] != 0 && d.Value["SharpeRatio"] > -10);
SharpeData = hasTraded.ToDictionary(k => k.Key, v => (double)v.Value["SharpeRatio"]);
ReturnsData = hasTraded.ToDictionary(k => k.Key, v => (double)v.Value["CompoundingAnnualReturn"]);
N = SharpeData.Count();
var statistics = new DescriptiveStatistics(ReturnsData.Select(d => d.Value));
V = new DescriptiveStatistics(SharpeData.Select(s => s.Value)).Variance;
//measure only trading days
T = ((Config.EndDate - Config.StartDate).Value.TotalDays / 365) * days;
Skewness = statistics.Skewness;
Kurtosis = statistics.Kurtosis;
}
//todo: configurable k-folds
public override Dictionary <string, decimal> GetScore(Dictionary <string, object> list, IOptimizerConfiguration config)
{
//todo: threads
var score = base.GetScore(list, config);
var period = Config.StartDate.Value - Config.EndDate.Value.Date.AddDays(1).AddMilliseconds(-1);
var oneThird = period.Ticks / 3;
var oneThirdConfig = Clone((OptimizerConfiguration)Config);
oneThirdConfig.EndDate = Config.StartDate.Value.AddTicks(oneThird);
OptimizerAppDomainManager.RunAlgorithm(list, oneThirdConfig).Select(s => score[s.Key] += s.Value);
var twoThirdsConfig = Clone((OptimizerConfiguration)Config);
twoThirdsConfig.EndDate = Config.StartDate.Value.AddTicks(oneThird * 2);
OptimizerAppDomainManager.RunAlgorithm(list, oneThirdConfig).Select(s => score[s.Key] += s.Value);
return(score.ToDictionary(d => d.Key, d => d.Value / 3));
}
protected void ExtendFailureKeys(DateTime extending)
{
var failures = OptimizerAppDomainManager.GetResults().Where(r => r.Value["SharpeRatio"] == -10m);
var previousKey = JsonConvert.SerializeObject(Config.StartDate);
var extendingKey = JsonConvert.SerializeObject(extending);
var switching = new List <Tuple <string, string> >();
foreach (var item in failures)
{
var after = item.Key.Replace(previousKey, extendingKey);
switching.Add(Tuple.Create(item.Key, after));
}
foreach (var item in switching)
{
var before = OptimizerAppDomainManager.GetResults()[item.Item1];
OptimizerAppDomainManager.GetResults().Remove(item.Item1);
OptimizerAppDomainManager.GetResults().Add(item.Item2, before);
}
}
public virtual Dictionary <string, decimal> RunAlgorithm(Dictionary <string, object> list, IOptimizerConfiguration config)
{
return(OptimizerAppDomainManager.RunAlgorithm(list, config));
}
public Dictionary <string, decimal> Run(Dictionary <string, object> items, IOptimizerConfiguration config)
{
Directory.SetCurrentDirectory(AppDomain.CurrentDomain.BaseDirectory);
Dictionary <string, Dictionary <string, decimal> > results = OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain);
_config = config;
_id = (items.ContainsKey("Id") ? items["Id"] : Guid.NewGuid().ToString("N")).ToString();
if (_config.StartDate.HasValue && _config.EndDate.HasValue)
{
if (!items.ContainsKey("startDate"))
{
items.Add("startDate", _config.StartDate);
}
if (!items.ContainsKey("endDate"))
{
items.Add("endDate", _config.EndDate);
}
}
string jsonKey = JsonConvert.SerializeObject(items.Where(i => i.Key != "Id"));
if (!config.EnableRunningDuplicateParameters && results.ContainsKey(jsonKey))
{
return(results[jsonKey]);
}
//just ignore id gene
foreach (var pair in items.Where(i => i.Key != "Id"))
{
if (pair.Value is DateTime?)
{
var cast = ((DateTime?)pair.Value);
if (cast.HasValue)
{
Config.Set(pair.Key, cast.Value.ToString("O"));
}
}
else
{
Config.Set(pair.Key, pair.Value.ToString());
}
}
LogProvider.TraceLogger.Trace($"id: {_id} started.");
LaunchLean();
LogProvider.TraceLogger.Trace($"id: {_id} finished.");
if (_resultsHandler.FullResults != null && _resultsHandler.FullResults.Any())
{
if (config.EnableRunningDuplicateParameters && results.ContainsKey(jsonKey))
{
results.Remove(jsonKey);
}
results.Add(jsonKey, _resultsHandler.FullResults);
OptimizerAppDomainManager.SetResults(AppDomain.CurrentDomain, results);
}
return(_resultsHandler.FullResults);
}