private static double RunAlgorithm(Chromosome chromosome)
{
var sum_sharpe = 0.0;
var i = 0;
foreach (var gene in chromosome.Genes)
{
Console.WriteLine("Running gene number {0}", i);
var val = (ConfigVars)gene.ObjectValue;
AppDomain ad = null;
RunClass rc = CreateRunClassInAppDomain(ref ad);
foreach (KeyValuePair <string, object> kvp in val.vars)
{
Console.WriteLine("Running algorithm with variable {0}:, value {1}", kvp.Key, kvp.Value.ToString());
}
var res = (double)rc.Run(val);
Console.WriteLine("Sharpe ratio: {0}", res);
sum_sharpe += res;
AppDomain.Unload(ad);
Console.WriteLine("Sum Sharpe ratio: {0}", sum_sharpe);
i++;
}
return(sum_sharpe);
}
private static double RunAlgorithm(List <string> algos, Dictionary <string, DateRange> daysDictionary)
{
var sum_sharpe = 0.0;
foreach (string s in algos)
{
foreach (string key in daysDictionary.Keys)
{
var val = s;
var startDate = daysDictionary[key].startDate;
var endDate = daysDictionary[key].endDate;
AppDomain ad = null;
RunClass rc = CreateRunClassInAppDomain(ref ad);
Console.WriteLine("Running algorithm {0} for: {1} to {2}", val, startDate, endDate);
try
{
sum_sharpe += (double)rc.Run(val, startDate, endDate);
}
catch (Exception e)
{
Log.Error(e.Message + e.StackTrace);
}
AppDomain.Unload(ad);
// After the Lean Engine has run and is deallocated,
// rename my custom mylog.csv file to include the algorithm name.
// mylog.csv is written in the algorithm. Replace with your custom logs.
try
{
string f = AssemblyLocator.ExecutingDirectory();
string sourcefile = f + @"mylog.csv";
if (File.Exists(sourcefile))
{
string destfile = f + string.Format(@"mylog{0}.csv", s);
if (File.Exists(destfile))
{
File.Delete(destfile);
}
File.Move(sourcefile, destfile);
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
runnumber++;
}
}
return(sum_sharpe);
}
static RunClass CreateRunClassInAppDomain(ref AppDomain ad)
{
// Create the second AppDomain.
var name = Guid.NewGuid().ToString("x");
ad = AppDomain.CreateDomain(name, null, _ads);
// Create an instance of MarshalbyRefType in the second AppDomain.
// A proxy to the object is returned.
RunClass rc = (RunClass)ad.CreateInstanceAndUnwrap(_exeAssembly, typeof(RunClass).FullName);
return(rc);
}