public static string GenerateBacktestGroupGUID(string responseType, ConfigurationSpace configSpace)
{
string GUID = responseType + "|";
foreach (var param in configSpace.ParameterSpace)
{
GUID += param.Name + "=[" + param.Min + "," + param.Max + "]|";
}
GUID += configSpace.TemporalSpace.Min.ToString("MM/dd/yyy") + "|" + configSpace.TemporalSpace.Max.ToString("MM/dd/yyy");
return(GUID);
}
/*
* public static BacktestGroupRecord CreateBacktestGroupRecord(string guid)
* {
* var record = new BacktestGroupRecord();
* record.GUID = guid;
*
* var responseConfigArr = guid.Split(new[] { "|" }, 2, StringSplitOptions.None);
*
* record.ResponseType = responseConfigArr[0];
* record. = CreateConfigurationSpace(responseConfigArr[1]);
*
* return record;
* }
*/
public static ConfigurationSpace CreateConfigurationSpace(string configString)
{
int indexLastTrade = configString.LastIndexOf("|");
int indexFirstTrade = configString.Substring(0, indexLastTrade).LastIndexOf("|");
var minDateString = configString.Substring(indexFirstTrade + 1, indexLastTrade - indexFirstTrade - 1);
var maxDateString = configString.Substring(indexLastTrade + 1, configString.Length - indexLastTrade - 1);
var minDate = Convert.ToDateTime(minDateString);
var maxDate = Convert.ToDateTime(maxDateString);
var temporalSpace = new ConfigurationVariableSpace <DateTime>("TradeDate", minDate, maxDate, 1);
string paramString = configString.Substring(0, indexFirstTrade);
var paramSpaceList = ParseParameterSpace(paramString);
var configSpace = new ConfigurationSpace {
ParameterSpace = paramSpaceList, TemporalSpace = temporalSpace
};
return(configSpace);
}
private List <OrthogonalLine> GetDoors(IntVector2 position, ConfigurationSpace configurationSpace)
{
var doors = new List <OrthogonalLine>();
foreach (var doorInfo in configurationSpace.ReverseDoors)
{
var line = doorInfo.Item1;
var doorLine = doorInfo.Item2;
var index = line.Contains(position);
if (index == -1)
{
continue;
}
var offset = line.Length - doorLine.Line.Length;
var numberOfPositions = Math.Min(Math.Min(offset, Math.Min(index, line.Length - index)), doorLine.Line.Length) + 1;
if (numberOfPositions == 0)
{
throw new InvalidOperationException();
}
for (var i = 0; i < numberOfPositions; i++)
{
var doorStart = doorLine.Line.GetNthPoint(Math.Max(0, index - offset) + i);
var doorEnd = doorStart + doorLine.Length * doorLine.Line.GetDirectionVector();
doors.Add(new OrthogonalLine(doorStart, doorEnd, doorLine.Line.GetDirection()));
}
}
if (doors.Count == 0)
{
throw new InvalidOperationException();
}
return(doors);
}
public static List <BacktestGroupRecord> GenerateBacktestGroupRecords(int numGroups)
{
var groupRecords = new List <BacktestGroupRecord>();
Random random = new Random();
int iRandomResponseIndex = random.Next(1, _responseTypes.Length + 1) - 1;
var responseType = _responseTypes[iRandomResponseIndex];
for (int i = 0; i < numGroups; i++)
{
var paramSpaceList = new List <ConfigurationVariableSpace <double> >();
paramSpaceList.Add(new ConfigurationVariableSpace <double>("XMACoefficient", 0, random.Next(10, 20), 1));
int intervalMin = random.Next(1, 3) * 5 + 5;
int intervalMax = random.Next(2, 3) * 5 + intervalMin;
paramSpaceList.Add(new ConfigurationVariableSpace <double>("IntervalSize", intervalMin, intervalMax, 1));
int daysBack = -random.Next(25, 35);
int daysLong = random.Next(1, 2) * 4 + 3;
var startDate = DateTime.Now.AddDays(daysBack);
var endDate = startDate.AddDays(daysLong);
var temporalSpace = new ConfigurationVariableSpace <DateTime>("TradeDate", startDate, endDate, 1);
var configurationSpace = new ConfigurationSpace();
configurationSpace.ParameterSpace = paramSpaceList;
configurationSpace.TemporalSpace = temporalSpace;
groupRecords.Add(new BacktestGroupRecord
{
GUID = CommonFunctions.GenerateBacktestGroupGUID(responseType, configurationSpace),
CreateDate = DateTime.Now.AddDays(-random.Next(1, 7)).AddSeconds(random.Next(0, 59)),
NumBacktests = configurationSpace.GetSpaceSize(),
MaxPNL = Math.Round(100 * random.NextDouble(), 2),
MinPNL = Math.Round(-100 * random.NextDouble(), 2)
});
}
return(groupRecords);
}
public bool Exists()
{
return(ConfigurationSpace.Valid());
}