public static void Main(string[] args)
{
Console.WriteLine("# of CPU cores=" + System.Environment.ProcessorCount.ToString());
var key = "";
while (true)
{
Console.WriteLine("\"ga\" : island GA");
Console.WriteLine("\"sim\" : read sim");
Console.WriteLine("\"mul ga\" : multi strategy ga");
Console.WriteLine("\"mul sim\" : multi strategy sim");
Console.WriteLine("\"conti\" : do ga / sim continuously");
Console.WriteLine("\"win ga\" : do win ga");
Console.WriteLine("\"write\" : write MarketData");
Console.WriteLine("\"test\" : test");
key = Console.ReadLine();
if (key == "ga" || key == "sim" || key == "mul ga" || key == "mul sim" || key == "win ga" || key == "conti" || key == "win ga" || key == "write" || key == "test")
{
break;
}
}
if (key == "test")
{
RandomSeed.initialize();
for (int i = 0; i < 100; i++)
{
Console.WriteLine(RandomSeed.rnd.Next());
}
Environment.Exit(0);
}
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
Console.WriteLine("started program.");
List <int> terms = new List <int>();
for (int i = 10; i < 1000; i = i + 100)
{
terms.Add(i);
}
MarketData.initializer(terms);
var from = 1000;
var to = 501000;//MarketData.Close.Count-1;
int max_amount = 1;
var index = new int[] { 0, 0, 0, 1, 1, 0, 0 };
double nn_threshold = 0.3;
int best_island_id = 4;
bool display_chart = true;
var sim_type = 1; //0:limit, 1:market/limit
//read weight sim
if (key == "sim")
{
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
}
//island ga
else if (key == "ga")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
var units = new int[] { 67, 5, 5, 5, 5 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
doSim(to, MarketData.Close.Count - 1, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
}
//multi strategy combination sim
else if (key == "mul ga")
{
var index_list = new List <int[]> {
new int[] { 0, 0, 0, 1, 1, 0, 0 }, new int[] { 0, 0, 0, 0, 1, 1, 1 }
};
var units_list = new List <int[]> {
new int[] { 77, 5, 5, 5, 5 }, new int[] { 77, 5, 5, 5, 5 }
};
var best_pl_list = new List <List <double> >();
var best_ac_list = new List <SimAccount>();
int num_island = 2;
int num_chromos = 4;
int num_generations = 3;
int banned_move_period = 2;
var mutation_rate = 0.5;
var move_ratio = 0.2;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < index_list.Count; i++)
{
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units_list[i], mutation_rate, move_ratio, index_list[i], display_chart, nn_threshold);
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
best_pl_list.Add(ac.total_pl_ratio_list);
best_ac_list.Add(ac);
if (File.Exists(@"./log_best_weight_ID-" + i.ToString() + ".csv"))
{
File.Delete(@"./log_best_weight_ID-" + i.ToString() + ".csv");
}
File.Copy(@"./best_weight_ID-" + best_island_id.ToString() + ".csv", @"./log_best_weight_ID-" + i.ToString() + ".csv");
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
doMultiSim(to, MarketData.Close.Count - 1, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "mul sim")
{
var num_best_chromo = 4;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < num_best_chromo; i++)
{
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "win ga")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
int num_random_windows = 10;
index = new int[] { 0, 0, 0, 1, 0, 0, 0 };
var units = new int[] { 10, 30, 5, 3 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
best_island_id = doWinGA(from, to, num_random_windows, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doWinSim(from, to, best_island_id, true, nn_threshold);
doWinSim(to, MarketData.Close.Count - 1, best_island_id, true, nn_threshold);
}
else if (key == "conti")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
var units = new int[] { 67, 5, 5, 5, 5 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
var sim_period = 5000;
var ga_period = 10000;
var conti_from = from;
var ac_list = new List <SimAccount>();
var all_pl_list = new List <double>();
all_pl_list.Add(0);
var all_num_trade = 0;
while (to > sim_period + ga_period + conti_from)
{
best_island_id = doGA(conti_from, conti_from + ga_period, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
ac_list.Add(doSim(conti_from + ga_period, conti_from + ga_period + sim_period, max_amount, sim_type, best_island_id, true, nn_threshold));
foreach (var p in ac_list.Last().total_pl_list)
{
all_pl_list.Add(all_pl_list.Last() + p);
}
all_num_trade += ac_list.Last().performance_data.num_trade;
conti_from += sim_period;
}
Console.WriteLine("Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
LineChart.DisplayLineChart(all_pl_list, "from=" + (from + ga_period).ToString() + ", to=" + (conti_from + ga_period + sim_period).ToString() + ", Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
}
else if (key == "write")
{
MarketData.writeData();
}
stopWatch.Stop();
Console.WriteLine("Completed all processes.");
Console.WriteLine("Time Elapsed (sec)=" + stopWatch.Elapsed.TotalSeconds.ToString());
}