public override double Evaluate(IChromosome chromosome)
{
foreach (var item in _calculator.Calculate(Config))
{
var inSampleConfig = ((OptimizerConfiguration)Config).Clone();
inSampleConfig.StartDate = item.Value[0];
inSampleConfig.EndDate = item.Value[1];
var inSampleOptimizer = SharpeMaximizerFactory.Create(inSampleConfig, Filter);
inSampleOptimizer.Evaluate(chromosome);
Best = inSampleOptimizer.Best;
chromosome = Best;
//keep best to pass into out sample and next fold
foreach (var actual in ((Chromosome)Best).ToDictionary())
{
var bestActual = Config.Genes.Single(g => g.Key == actual.Key);
if (actual.Value.GetType() == typeof(double))
{
bestActual.Actual = (double)actual.Value;
}
else
{
bestActual.Actual = (int)actual.Value;
}
}
var list = ((Chromosome)Best).ToDictionary();
AllBest.Add(list);
var id = Guid.NewGuid().ToString("N");
list.Add("Id", id);
var outSampleConfig = ((OptimizerConfiguration)Config).Clone();
outSampleConfig.StartDate = item.Value[2];
outSampleConfig.EndDate = item.Value[3];
lock (Locker)
{
HasRunActual = false;
}
var score = this.GetScore(list, outSampleConfig);
var fitness = CalculateFitness(score);
AllScores.Add(fitness);
var output = new StringBuilder();
output.Append("Id: " + id + ", ");
output.Append(((Chromosome)Best).ToKeyValueString());
output.Append(", ");
output.AppendFormat("Start: {0}, End: {1}, ", outSampleConfig.StartDate, outSampleConfig.EndDate);
output.AppendFormat("{0}: {1}", Name, fitness.Value.ToString("0.##"));
LogProvider.GenerationsLogger.Info(output);
}
Best.Fitness = (double)AllScores.Average(a => a.Fitness);
return((double)AllScores.Average(a => a.Value));
}
public void AddThisScoreToScoreDistribution(double score)
{
// creates a distribution of scores for this PSM
int roundScore = (int)Math.Floor(score);
while (AllScores.Count <= roundScore)
{
AllScores.Add(0);
}
AllScores[roundScore]++;
}
/// <summary>
/// Adds a new score to the set.
/// </summary>
/// <param name="s">The score to add.</param>
public void Add(Score s)
{
AllScores.Add(s);
FilterScores(s.GameplayDifficulty).Add(s);
}