/// <summary>
/// Initializes a new instance of the <see cref="WalkForwardOptimizationManager"/> class
/// </summary>
/// <param name="start">Algorithm start date</param>
/// <param name="end">Algorithm end date</param>
/// <param name="fitScore">Argument of <see cref="FitnessScore"/> type. Fintess function to rank the backtest results</param>
/// <param name="filterEnabled">Indicates whether to apply fitness filter to backtest results</param>
public WalkForwardOptimizationManager(DateTime start, DateTime end, FitnessScore fitScore, bool filterEnabled)
{
StartDate = start;
EndDate = end;
FitnessScore = fitScore;
_filterEnabled = filterEnabled;
}
/// <summary>
/// Calculates fitness by given metric (fitness score).
/// </summary>
/// <remarks></remarks>
/// <param name="result">Full results dictionary</param>
/// <param name="fitScore">Existing score of effectivness of an algorithm</param>
/// <param name="filterEnabled">Indicates whether need to filter the results</param>
/// <returns></returns>
public static decimal CalculateFitness(Dictionary <string, decimal> result, FitnessScore fitScore, bool filterEnabled)
{
// Calculate fitness using the chosen fitness finction
decimal fitness;
switch (fitScore)
{
case FitnessScore.SharpeRatio:
fitness = result["SharpeRatio"];
break;
case FitnessScore.TotalNetProfit:
fitness = result["TotalNetProfit"];
break;
default:
throw new ArgumentOutOfRangeException(fitScore.ToString(), "StatisticsAdapter.CalculateFitness() : default");
}
// apply filter if enabled
if (filterEnabled)
{
if (!FitnessFilter.IsSuccess(result) || fitness < 0)
{
fitness = FitnessFilter.ErrorValue;
}
}
return(fitness);
}
/// <summary>
/// Method called in the backgound to validate the chromosome on out-of-sample data
/// </summary>
protected void ValidateOutOfSample(
FitnessResult insampeResult,
FitnessScore fitScore,
DateTime validationStartDate,
DateTime validationEndDate)
{
// Create a deep copy
var copy = (Chromosome)insampeResult.Chromosome.CreateNew();
// Run a backtest.
// Do not apply fitness filtering to validation results - let it expose a true picture ->
IFitness fitness;
if (Shared.Config.TaskExecutionMode == TaskExecutionMode.Azure)
{
fitness = new AzureFitness(validationStartDate, validationEndDate, fitScore, false);
fitness.EvaluateAsync(copy).GetAwaiter().GetResult();
}
else
{
fitness = new OptimizerFitness(validationStartDate, validationEndDate, fitScore, false);
fitness.EvaluateAsync(copy).GetAwaiter().GetResult();;
}
// Raise an event
ValidationCompleted?.Invoke(this, e:
new WalkForwardValidationEventArgs(insampeResult, copy.FitnessResult));
}
/// <summary>
/// Base class constructor for all custom fitness objects implementations
/// </summary>
/// <param name="start">Start date</param>
/// <param name="end">End date</param>
/// <param name="fitScore">Fitness value calculation method</param>
/// <param name="filterEnabled">Indicates whether to apply filter to backtest results</param>
protected LeanFitness(DateTime start, DateTime end, FitnessScore fitScore, bool filterEnabled)
{
StartDate = start;
EndDate = end;
FitnessScore = fitScore;
FilterEnabled = filterEnabled;
}
public static void SetScores(Evaluation.Solution temp, FitnessScore fitness, Evaluator ev)
{
temp.Scores.Total = fitness.Score;
temp.Scores.Validity = fitness.ValidSolution;
temp.Scores.ValidScore = fitness.MaxValidScore;
temp.Scores.E2EScore = fitness.E2EPenalty;
temp.Scores.E2EViolation = fitness.E2EViolations;
temp.Scores.E2EPossibleViolation = fitness.PossibleE2EViolation;
temp.Scores.DeadlineScore = fitness.DeadlinePenalty;
temp.Scores.DeadlineViolation = fitness.DeadlineViolations;
temp.Scores.DeadlinePossibleViolation = fitness.PossibleDeadlineViolation;
temp.Scores.JitterScore = fitness.JitterPenalty;
temp.Scores.JitterViolation = fitness.JitterViolations;
temp.Scores.JitterPossibleViolation = fitness.PossibleJitterViolation;
temp.Scores.OrderScore = fitness.OrderPenalty;
temp.Scores.OrderViolation = fitness.OrderViolations;
temp.Scores.OrderPossibleViolation = fitness.PossibleOrderViolation;
temp.Scores.QOCScore = fitness.ControlPenalty;
temp.Scores.DevControl = fitness.ControlDevPenalty;
temp.Scores.PartitionScore = fitness.PartitionPenalty;
temp.Scores.PartitionViolation = fitness.PartitionViolations;
foreach (var qoc in ev.Apps)
{
if (qoc.CA)
{
temp.Scores.CoC.Add(qoc.Cost);
}
}
foreach (var chain in ev.Apps)
{
temp.Scores.Chains.Add(chain.E2E);
}
foreach (var deadline in ev.Deadlines)
{
temp.Scores.Deadlines.Add(deadline.MaxDistance);
}
//temp.Scores.ExtensibilityScore = fitness.ExtensibilityPenalty;
}
/// <summary>
/// Creates a special format string for illustrative logging.
/// </summary>
/// <param name="ch">The chromosome to represent as a string</param>
/// <param name="result">Dictionary with backtest statistics results</param>
/// <param name="ftSc">Fitness Score enum value</param>
/// <param name="fitness">Fitness value</param>
/// <returns> Example:
/// 2019-12-02T13:13:41.3568607Z TRACE:: [chromosome #id: 771bca555a6c42fca30affe9e77d8018]
/// PARAMETERS: gold-fast-period 5
/// gold-slow-period 70
/// gold-drawdown-percent 0.2
/// RESULTS: SharpeRatio = -0.32 Drawdown = 2.20 TotalNumberOfTrades = 67 AnnualReturn = -1.55
/// </returns>
public static string EvaluationToLogOutput(this Chromosome ch, Dictionary <string, decimal> result, FitnessScore ftSc, decimal fitness)
{
// beginning string
var output = new StringBuilder($"[chromosome #id: {ch.Id}]{Environment.NewLine}PARAMETERS: ");
// newline and 12 spaces
string delimiter = Environment.NewLine + new string(' ', 12);
var pairs = ch.ToDictionary();
for (int i = 0; i < pairs.Count; i++)
{
var item = pairs.ElementAt(i);
output.Append(item.Key).Append(" ").Append(item.Value);
// if not the last item in collection append delimiter string
if (i != (pairs.Count - 1))
{
output.Append(delimiter);
}
}
// finally
output.Append($"{Environment.NewLine}RESULTS: ");
output.Append(fitness == FitnessFilter.ErrorValue ? $"ErrValue = {fitness:f2} " : $"{ftSc} = {fitness:f2} ");
output.Append($"NetProfit = {result["TotalNetProfit"] * 100:f2} ");
output.Append($"Drawdown = {result["Drawdown"] * 100:f2} ");
// new line starts with spaces
output.Append(Environment.NewLine + new string(' ', 9));
output.Append($"Trades = {result["TotalNumberOfTrades"]} ");
output.Append($"Fees = {result["TotalFees"]} ");
output.Append($"Expectancy = {result["Expectancy"]:f2} "); // Expectancy = WinRate * ProfitLossRatio - LossRate
return(output.ToString());
}
/// <summary>
/// Initializes a new instance of the <see cref="AzureFitness"/> class
/// </summary>
/// <param name="start">Start date</param>
/// <param name="end">End date</param>
/// <param name="fitScore">Fitness value calculation method</param>
/// <param name="filterEnabled">Indicates whether to apply filter to backtest results</param>
public AzureFitness(DateTime start, DateTime end, FitnessScore fitScore, bool filterEnabled) :
base(start, end, fitScore, filterEnabled)
{
}
public override string ToString()
{
return("Id#" + m_network.Id + ", F=" + FitnessScore.ToString("F3"));
}
public override string MakeFitnessScore()
{
FitnessScore = HelperFunctions.ReflFitnessScore(ReflData.Instance.GetReflData, ReflectivityMap, HighQOffset, LowQOffset, ParamSize());
return(FitnessScore.ToString("#.### E-0"));
}
public override string MakeFitnessScore()
{
FitnessScore = HelperFunctions.EDFitnessScore(RealRho, ElectronDensityArray, 0, 0, ParamSize());
return(FitnessScore.ToString("##.### E-0"));
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmOptimumFinder"/> class
/// </summary>
/// <param name="start">Algorithm start date</param>
/// <param name="end">Algorithm end date</param>
/// <param name="fitScore">Argument of <see cref="FitnessScore"/> type. Fintess function to rank the backtest results</param>
/// <param name="filterEnabled">Indicates whether to apply fitness filter to backtest results</param>
public AlgorithmOptimumFinder(DateTime start, DateTime end, FitnessScore fitScore, bool filterEnabled)
{
// Assign Dates and Criteria to sort the results
StartDate = start;
EndDate = end;
FitnessScore = fitScore;
// Common properties
var selection = new RouletteWheelSelection();
// Properties specific to optimization modes
IFitness fitness;
PopulationBase population;
ITaskExecutor executor;
ITermination termination;
// Task execution mode
switch (Shared.Config.TaskExecutionMode)
{
// Enable fitness filtering while searching for optimum parameters
case TaskExecutionMode.Linear:
executor = new LinearTaskExecutor();
fitness = new OptimizerFitness(StartDate, EndDate, fitScore, filterEnabled);
break;
case TaskExecutionMode.Parallel:
executor = new ParallelTaskExecutor();
fitness = new OptimizerFitness(StartDate, EndDate, fitScore, filterEnabled);
break;
case TaskExecutionMode.Azure:
executor = new ParallelTaskExecutor();
fitness = new AzureFitness(StartDate, EndDate, fitScore, filterEnabled);
break;
default:
throw new Exception("Executor initialization failed");
}
// Optimization mode
switch (Shared.Config.OptimizationMode)
{
case OptimizationMode.BruteForce:
{
// Create cartesian population
population = new PopulationCartesian(Shared.Config.GeneConfigArray);
termination = new GenerationNumberTermination(1);
break;
}
case OptimizationMode.Genetic:
{
// Create random population
population = new PopulationRandom(Shared.Config.GeneConfigArray, Shared.Config.PopulationInitialSize)
{
GenerationMaxSize = Shared.Config.GenerationMaxSize
};
// Logical terminaton
var localTerm = new LogicalOrTermination();
localTerm.AddTermination(new FruitlessGenerationsTermination(3));
if (Shared.Config.Generations.HasValue)
{
localTerm.AddTermination(new GenerationNumberTermination(Shared.Config.Generations.Value));
}
if (Shared.Config.StagnationGenerations.HasValue)
{
localTerm.AddTermination(new FitnessStagnationTermination(Shared.Config.StagnationGenerations.Value));
}
termination = localTerm;
break;
}
default:
throw new Exception("Optimization mode specific objects were not initialized");
}
// Create GA itself
GenAlgorithm = new GeneticAlgorithm(population, fitness, executor)
{
// Reference types
Selection = selection,
Termination = termination,
// Values types
CrossoverParentsNumber = Shared.Config.CrossoverParentsNumber,
CrossoverMixProbability = Shared.Config.CrossoverMixProbability,
MutationProbability = Shared.Config.MutationProbability
};
}
