private static void Stop(TestSignals signal)
{
signal.Exit();
foreach (Process p in Running)
{
p.WaitForExit();
}
Running.Clear();
}
protected void CalculateTradingResults()
{
double[] trainingSignals = TrainingSignals.ToArray(); // cache values
IEnumerable <double> trainingReturns = ProblemData.Dataset.GetDoubleValues(ProblemData.PriceChangeVariable, ProblemData.TrainingIndices);
double[] testSignals = TestSignals.ToArray(); // cache values
IEnumerable <double> testReturns = ProblemData.Dataset.GetDoubleValues(ProblemData.PriceChangeVariable, ProblemData.TestIndices);
OnlineCalculatorError errorState;
double trainingSharpeRatio = OnlineSharpeRatioCalculator.Calculate(trainingReturns, trainingSignals, ProblemData.TransactionCosts, out errorState);
TrainingSharpeRatio = errorState == OnlineCalculatorError.None ? trainingSharpeRatio : double.NaN;
double testSharpeRatio = OnlineSharpeRatioCalculator.Calculate(testReturns, testSignals, ProblemData.TransactionCosts, out errorState);
TestSharpeRatio = errorState == OnlineCalculatorError.None ? testSharpeRatio : double.NaN;
double trainingProfit = OnlineProfitCalculator.Calculate(trainingReturns, trainingSignals, ProblemData.TransactionCosts, out errorState);
TrainingProfit = errorState == OnlineCalculatorError.None ? trainingProfit : double.NaN;
double testProfit = OnlineProfitCalculator.Calculate(testReturns, testSignals, ProblemData.TransactionCosts, out errorState);
TestProfit = errorState == OnlineCalculatorError.None ? testProfit : double.NaN;
}
private static int RunAll(ICollection <string> args)
{
if (args.Count == 0)
{
args = new List <string>(Tests.Keys);
}
int failures = 0;
foreach (string key in args)
{
try
{
Tests[key]();
int clientRuns = 3;
foreach (int numclients in new[] { 5 })
{
foreach (int numthreads in new[] { 3 })
{
foreach (int repeated in new[] { -50000 })
{
foreach (int recordSize in new[] { 1000 })
{
TestSignals signal = new TestSignals(Guid.NewGuid().ToString("N"));
try
{
using (Semaphore clients = new Semaphore(numclients, numclients, signal.Name + ".clients"))
{
Start("server", key, signal, recordSize);
signal.ReadyWait();
for (int ixclient = 0; ixclient < numclients; ixclient++)
{
Start("client", key, signal, ixclient, numthreads, clientRuns, repeated, recordSize);
signal.ReadyWait(ixclient);
}
signal.Begin();
int lockCount = 0;
try
{
for (int ixclient = 0; ixclient < numclients; ixclient++)
{
clients.WaitOne();
lockCount++;
}
}
finally
{
for (int ixclient = 0; ixclient < lockCount; ixclient++)
{
clients.Release();
}
}
}
}
finally
{
Stop(signal);
signal.Dispose();
}
}
}
}
}
}
catch (Exception e)
{
Console.Error.WriteLine("test '{0}' failed: {1}", key, e.Message);
failures++;
}
}
return(failures);
}