public void EstimateAll(InputData inData, OptimizationFunctionIntNDFactory optFuncFactory)
{
OptimizationFunctionIntND optTestFunction = optFuncFactory.CreateOptimizationFunctionIntND(
inData, inData.Data[0].DateTime, EstimationFunctionType.RelativeStudent, new Account(Settings1.Default.Balance, Settings1.Default.Commision));
optTestFunction.EstimateAll(string.Format("{0}-{1}-{2}", inData.Symbol, inData.Data.First().DateTime.ToString("yyyyMMdd"), inData.Data.Last().DateTime.ToString("yyyyMMdd")));
}
public void RunSinglePeriodBruteForceTest(object objParam)
{
try
{
TestParameters testParam = objParam as TestParameters;
InputData inData = testParam.inData;
DateTime startDate = testParam.startDate;
DateTime endDate = testParam.endDate;
string outputPath = System.IO.Path.Combine(testParam.DefaultDirectory, inData.Symbol);
if (!System.IO.Directory.Exists(outputPath))
{
System.IO.Directory.CreateDirectory(outputPath);
}
List <StrategyParameter> listParams = testParam.OptimizationFunctionFactory.StratergyParameterRange.GetAllParameters();
using (System.IO.StreamWriter completionLog = new System.IO.StreamWriter(string.Format("{2}\\ProgressIS_{0}_{1}.txt", inData.Symbol, startDate.ToString("yyyyMMdd"), outputPath)))
{
List <KeyValuePair <StrategyParameter, StrategyResultStatistics> > listResult = new List <KeyValuePair <StrategyParameter, StrategyResultStatistics> >();
OptimizationFunctionIntND optTestFunction = testParam.OptimizationFunctionFactory.CreateOptimizationFunctionIntND(inData, startDate, EstimationFunctionType.RelativeStudent, new Account(10000000, 4));
bool IsCreateLogFiles = true;
foreach (StrategyParameter strategyParam in listParams)
{
StrategyResultStatistics sr;
double result;
if (IsCreateLogFiles)
{
optTestFunction.OptimizationFunction(strategyParam, out sr, outputPath);
IsCreateLogFiles = false;
}
else
{
result = optTestFunction.OptimizationFunction(strategyParam, out sr);
}
listResult.Add(new KeyValuePair <StrategyParameter, StrategyResultStatistics>(strategyParam, sr));
completionLog.WriteLine(listResult.Last().ToString());
completionLog.Flush();
}
IEnumerable <KeyValuePair <StrategyParameter, StrategyResultStatistics> > arrayResult =
listResult.OrderByDescending(p => p.Value.CalculateConfidenceIntervalLow);
using (System.IO.StreamWriter inSampleLog = new System.IO.StreamWriter(string.Format("{2}\\IS_{0}_{1}.txt", inData.Symbol, startDate.ToString("yyyyMMdd"), outputPath)))
{
DataContractSerializer ser = new DataContractSerializer(typeof(IEnumerable <KeyValuePair <StrategyParameter, StrategyResultStatistics> >));
ser.WriteObject(inSampleLog.BaseStream, arrayResult);
}
}
}
finally
{
semaphore.Release();
}
}
public void RunSinglePeriodBruteForceTest(object objParam)
{
try
{
TestParameters testParam = objParam as TestParameters;
InputData inData = testParam.inData;
DateTime startDate = testParam.startDate;
int daysInterval = testParam.daysInterval;
int daysTestInterval = testParam.daysTestInterval;
string outputPath = System.IO.Path.Combine(testParam.DefaultDirectory, string.Format("{0}-{1}-{2}", inData.Symbol, daysInterval, daysTestInterval));
if (!System.IO.Directory.Exists(outputPath))
{
System.IO.Directory.CreateDirectory(outputPath);
}
DateTime endDate = startDate.AddWorkingDay(daysInterval);
DateTime startTestDate = endDate;
DateTime endTestDate = startTestDate.AddWorkingDay(daysTestInterval);
InputData inSampleData = inData.Select(startDate, endDate);
InputData inTestData = inData.Select(startTestDate, endTestDate);
List <StrategyParameter> listParams = testParam.OptimizationFunctionFactory.StratergyParameterRange.GetAllParameters();
using (System.IO.StreamWriter completionLog = new System.IO.StreamWriter(string.Format("{2}\\ProgressIS_{0}_{1}.txt", inData.Symbol, startTestDate.ToString("yyyyMMdd"), outputPath)))
{
List <KeyValuePair <StrategyParameter, StrategyResultStatistics> > listResult = new List <KeyValuePair <StrategyParameter, StrategyResultStatistics> >();
OptimizationFunctionIntND optTestFunction = testParam.OptimizationFunctionFactory.CreateOptimizationFunctionIntND(inSampleData, startDate, EstimationFunctionType.RelativeStudent, new Account(Settings1.Default.Balance, Settings1.Default.Commision));
foreach (StrategyParameter strategyParam in listParams)
{
StrategyResultStatistics sr;
double result = optTestFunction.OptimizationFunction(strategyParam, out sr);
listResult.Add(new KeyValuePair <StrategyParameter, StrategyResultStatistics>(strategyParam, sr));
completionLog.WriteLine(listResult.Last().ToString());
completionLog.Flush();
}
IEnumerable <KeyValuePair <StrategyParameter, StrategyResultStatistics> > arrayResult =
listResult.OrderByDescending(p => p.Value.CalculateConfidenceIntervalLow);
using (System.IO.StreamWriter inSampleLog = new System.IO.StreamWriter(string.Format("{2}\\IS_{0}_{1}.txt", inData.Symbol, startTestDate.ToString("yyyyMMdd"), outputPath)))
{
DataContractSerializer ser = new DataContractSerializer(typeof(IEnumerable <KeyValuePair <StrategyParameter, StrategyResultStatistics> >));
ser.WriteObject(inSampleLog.BaseStream, arrayResult);
}
//analyze result
OptimizationFunctionIntND optOOSFunction = testParam.OptimizationFunctionFactory.CreateOptimizationFunctionIntND(inTestData, startTestDate, EstimationFunctionType.RelativeStudent, new Account(Settings1.Default.Balance, Settings1.Default.Commision));
StrategyParameter bestParameter = arrayResult.First().Key;
optOOSFunction.OptimizationFunction(bestParameter, outputPath);
}
//temporary OOS result
//using (System.IO.StreamWriter completionLog = new System.IO.StreamWriter(string.Format("{2}\\ProgressOOS_{0}_{1}.txt", inData.Symbol, startTestDate.ToString("yyyyMMdd"), outputPath)))
//{
// List<KeyValuePair<StrategyParameter, StrategyResultStatistics>> listResult = new List<KeyValuePair<StrategyParameter, StrategyResultStatistics>>();
// OptimizationFunctionIntND optTestFunction = testParam.OptimizationFunctionFactory.CreateOptimizationFunctionIntND(inTestData, startTestDate, EstimationFunctionType.RelativeStudent, new Account(Settings1.Default.Balance, Settings1.Default.Commision));
// foreach (StrategyParameter strategyParam in listParams)
// {
// StrategyResultStatistics sr;
// double result = optTestFunction.OptimizationFunction(strategyParam, out sr);
// listResult.Add(new KeyValuePair<StrategyParameter, StrategyResultStatistics>(strategyParam, sr));
// completionLog.WriteLine(listResult.Last().ToString());
// completionLog.Flush();
// }
// using (System.IO.StreamWriter outSampleLog = new System.IO.StreamWriter(string.Format("{2}\\OOS_{0}_{1}.txt", inData.Symbol, startTestDate.ToString("yyyyMMdd"), outputPath)))
// {
// IEnumerable<KeyValuePair<StrategyParameter, StrategyResultStatistics>> arrayResult =
// listResult.OrderByDescending(p => p.Value.CalculateConfidenceIntervalLow);
// DataContractSerializer ser = new DataContractSerializer(typeof(IEnumerable<KeyValuePair<StrategyParameter, StrategyResultStatistics>>));
// ser.WriteObject(outSampleLog.BaseStream, arrayResult);
// }
//}
}
finally
{
semaphore.Release();
}
}
private void RunSinglePeriodGeneticTest(object objParam)
{
TestParameters testParam = objParam as TestParameters;
InputData inData = testParam.inData;
DateTime startDate = testParam.startDate;
int daysInterval = testParam.daysInterval;
int daysTestInterval = testParam.daysTestInterval;
string outputPath = System.IO.Path.Combine(testParam.DefaultDirectory, string.Format("{0}-{1}-{2}", inData.Symbol, daysInterval, daysTestInterval));
if (!System.IO.Directory.Exists(outputPath))
{
System.IO.Directory.CreateDirectory(outputPath);
}
try
{
DateTime endDate = startDate.AddWorkingDay(daysInterval);
DateTime startTestDate = endDate;
DateTime endTestDate = startTestDate.AddWorkingDay(daysTestInterval);
InputData inSampleData = inData.Select(startDate, endDate);
InputData inTestData = inData.Select(startTestDate, endTestDate);
OptimizationFunctionIntND optFunction = testParam.OptimizationFunctionFactory.CreateOptimizationFunctionIntND(
inSampleData, startDate, (EstimationFunctionType)Settings1.Default.EstimationFunctionType, new Account(Settings1.Default.Balance, Settings1.Default.Commision));
// create population
Population population = new Population(Settings1.Default.GeneticPopulationSize,
new ShortArrayChromosome(optFunction.StratergyParameterRange.ranges.Count),
optFunction,
(ISelectionMethod) new RankSelection()
);
using (System.IO.StreamWriter completionLog = new System.IO.StreamWriter(string.Format("{2}\\Progress_{0}_{1}.txt", inData.Symbol, startTestDate.ToString("yyyyMMdd"), outputPath)))
{
try
{
int epochCount = Settings1.Default.EpochCount;
while (--epochCount != 0)
{
population.RunEpoch();
if (population.BestChromosome != null)
{
completionLog.WriteLine("{0}: Best fitness {1}. Parameters {2}", DateTime.Now.ToString(),
population.BestChromosome.Fitness, (optFunction.Translate(population.BestChromosome)).ToString());
}
else
{
completionLog.WriteLine("{0}: Best fitness null.", DateTime.Now.ToString());
}
completionLog.Flush();
}
completionLog.WriteLine("Write results:");
if (population.BestChromosome != null)
{
OptimizationFunctionIntND optTestFunction = testParam.OptimizationFunctionFactory.CreateOptimizationFunctionIntND(inTestData, startTestDate, EstimationFunctionType.RelativeStudent, new Account(Settings1.Default.Balance, Settings1.Default.Commision));
StrategyParameter bestParameter = optFunction.Translate(population.BestChromosome);
bestParameter["FixedVolume"] = 1;
optTestFunction.OptimizationFunction(bestParameter, outputPath);
}
}
catch (Exception exc)
{
completionLog.WriteLine(exc.ToString());
}
}
}
finally
{
semaphore.Release();
}
}
