/// <summary>
/// Applies standard filters to eliminate some false positive optimizer results
/// </summary>
/// <param name="result">The statistic results</param>
/// <param name="fitness">The calling fitness</param>
/// <returns></returns>
public bool IsSuccess(Dictionary <string, decimal> result, OptimizerFitness fitness)
{
if (!fitness.Config.EnableFitnessFilter)
{
return(true);
}
//using config ignore a result with negative return or disable this single filter and still apply others
if (fitness.GetType() != typeof(CompoundingAnnualReturnFitness) && !fitness.Config.IncludeNegativeReturn && result["CompoundingAnnualReturn"] < 0)
{
return(false);
}
//must meet minimum trading activity if configured
if (fitness.Config.MinimumTrades > 0 && result["TotalNumberOfTrades"] < fitness.Config.MinimumTrades)
{
return(false);
}
//Consider not trading a failure
if (result["TotalNumberOfTrades"] == 0)
{
return(false);
}
//Consider 100% loss rate a failure
if (result["LossRate"] == 1)
{
return(false);
}
return(true);
}
public void Initialize(string[] args)
{
_config = LoadConfig(args);
_file.File.Copy(_config.ConfigPath, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, "config.json"), true);
string path = _config.AlgorithmLocation;
if (!string.IsNullOrEmpty(path) && (path.Contains('\\') || path.Contains('/')) && !path.EndsWith("py"))
{
_file.File.Copy(path, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(path)), true);
string pdb = path.Replace(System.IO.Path.GetExtension(path), ".pdb");
//due to locking issues, need to manually clean to update pdb
if (!_file.File.Exists(pdb))
{
_file.File.Copy(pdb, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(pdb)), true);
}
}
var fitnessTypeName = _config.FitnessTypeName.Contains(".") ? _config.FitnessTypeName : "Jtc.Optimization.LeanOptimizer." + _config.FitnessTypeName;
OptimizerFitness fitness = (OptimizerFitness)Assembly.GetExecutingAssembly().CreateInstance(fitnessTypeName, false, BindingFlags.Default, null,
new object[] { _config, new FitnessFilter() }, null, null);
if (_manager == null)
{
if (new[] { typeof(SharpeMaximizer), typeof(NFoldCrossReturnMaximizer), typeof(NestedCrossSharpeMaximizer), typeof(NFoldCrossSharpeMaximizer), typeof(WalkForwardSharpeMaximizer),
typeof(WalkForwardWeightedMetricSharpeMaximizer) }.Contains(fitness.GetType()))
{
_manager = new MaximizerManager();
if (fitness.GetType() == typeof(OptimizerFitness))
{
LogProvider.ErrorLogger.Info("Fitness for shared app domain was switched to the default: SharpeMaximizer.");
fitness = new SharpeMaximizer(_config, new FitnessFilter());
}
}
else
{
_manager = new GeneManager();
}
}
//todo: some constraints for running python
if (_config.AlgorithmLanguage == "Python")
{
_config.UseSharedAppDomain = true;
_config.MaxThreads = 1;
}
_manager.Initialize(_config, fitness);
_manager.Start();
}