private void createNewConstructors()
{
NameReference type_name = this.Name.CreateNameReference(null, this.InstanceOf, isLocal: true);
if (!this.NestedFunctions.Any(it => it.IsNewConstructor()))
{
foreach (FunctionDefinition init_cons in this.NestedFunctions.Where(it => it.IsInitConstructor()).StoreReadOnly())
{
//if (this.NestedFunctions.Any(it => it.IsNewConstructor()
// && it.Name.Arity == init_cons.Name.Arity && it.NOT_USED_CounterpartParameters(init_cons)))
//continue;
const string local_this = "__this__";
var new_cons = FunctionDefinition.CreateHeapConstructor(init_cons.Modifier, init_cons.Parameters,
type_name,
Block.CreateStatement(new IExpression[] {
VariableDeclaration.CreateStatement(local_this, null, Alloc.Create(type_name, useHeap: true)),
FunctionCall.Create(NameReference.Create(NameReference.Create(local_this), NameFactory.InitConstructorName),
init_cons.Parameters.Select(it => FunctionArgument.Create(it.Name.CreateNameReference())).ToArray()),
Return.Create(NameReference.Create(local_this))
}));
this.AddNode(new_cons);
}
}
}
public void destroy()
{
Alloc.free(WaitSemaphores);
Alloc.free(Swapchains);
Alloc.free(ImageIndices);
Alloc.free(Results);
}
private ByteBuf AllocBuffer(int capacity)
{
if (_direct)
{
return(Alloc.DirectBuffer(capacity));
}
return(Alloc.HeapBuffer(capacity));
}
// New Alloc, Push, read memory
public static void Push(string msg)
{
if (check)
{
Alloc alloc = new Alloc(++count, 0, msg);
mem.Push(alloc);
alloc.mem = GC.GetTotalMemory(true);
Console.WriteLine(string.Format("<{0}, {1}>, Start <{2}>", alloc.count, msg, alloc.mem));
}
}
// New Alloc, Push, read memory
public static void Push(string msg)
{
if(check)
{
Alloc alloc = new Alloc(++count, 0, msg);
mem.Push(alloc);
alloc.mem = GC.GetTotalMemory(true);
Console.WriteLine(string.Format("<{0}, {1}>, Start <{2}>", alloc.count, msg, alloc.mem));
}
}
internal byte *ProcessString(WCString pString)
{
if (!Initialized)
{
Initializer.Initialize(this);
}
if (Settings.SanityCheck && SanityChecks.IsBadCodePtr(pString))
{
return(pString);
}
var String = pString;
foreach (var Rld in Reloads)
{
var New = Rld.BeforeReload(String, true);
if (New != null)
{
String = New;
}
}
var Rst = ProcessString((string)String);
if (Rst == null)
{
return(String);
}
var Output = (WCString)Rst;
foreach (var Rld in Reloads)
{
var New = Rld.AfterReload(pString, Output, true);
if (New != null)
{
Output = New;
}
}
if (Settings.Overwrite && Output != null && ((string)Output) != null)
{
return((WCString)Alloc.Overwrite(Output.ToArray(), pString));
}
if (Settings.HeapAlloc && Output != null && ((string)Output) != null)
{
return((WCString)Alloc.CreateHeap(Output.ToArray()));
}
return(Output);
}
// Indicates whether the transform id assigned to an element has changed. It does not care who the owner is.
static bool TransformIDHasChanged(Alloc before, Alloc after)
{
if (before.size == 0 && after.size == 0)
{
// Whatever start is, both are invalid allocations.
return(false);
}
if (before.size != after.size || before.start != after.start)
{
return(true);
}
return(false);
}
// Pop, del Alloc, read memory
public static void Pop()
{
if (check)
{
end = GC.GetTotalMemory(true);
Alloc alloc = (Alloc)mem.Pop();
long count = alloc.count;
long start = alloc.mem;
string msg = alloc.msg;
// Log it
Console.WriteLine(string.Format(CultureInfo.CurrentCulture, "<{0}, {1}>, Start <{2}>, End <{3}>, Diff <{4}>",
count, msg, start, end, end - start));
}
}
/// <summary>
/// 异步激活
/// </summary>
/// <returns></returns>
public override Task ActiveAsync()
{
var promise = new TaskCompletionSource();
Execute(() =>
{
receivingByteBuf = Alloc.Buffer(this.ReceivingBufferSize);
receivingSocketAsyncEventArgs.ByteBuf = receivingByteBuf;
SetConnection();
//设置读取缓冲区,将状态设置为Activity之后就可以直接完成任务了
invoker.fireOnChannelActive(promise);
TryReceiving();
});
return(promise.Task);
}
public _SwapchainCreateInfoKHR(SwapchainCreateInfoKHR info)
{
SType = info.type;
Next = info.next;
Flags = info.flags;
Surface = info.surface;
MinImageCount = info.minImageCount;
ImageFormat = info.imageFormat;
ImageColorSpace = info.imageColorSpace;
ImageExtent = info.imageExtent;
ImageArrayLayers = info.imageArrayLayers;
ImageUsage = info.imageUsage;
ImageSharingMode = info.imageSharingMode;
QueueFamilyIndexCount = (UInt32)(info.queueFamilyIndices?.Count ?? 0);
QueueFamilyIndices = info.queueFamilyIndices != null?Alloc.alloc(info.queueFamilyIndices) : IntPtr.Zero;
PreTransform = info.preTransform;
CompositeAlpha = info.compositeAlpha;
PresentMode = info.presentMode;
Clipped = info.clipped;
OldSwapchain = info.oldSwapchain;
}
public void Begin(VisualElement ve, UIRenderDevice device)
{
Debug.Assert(ve.renderChainData.usesLegacyText && ve.renderChainData.textEntries.Count > 0);
this.m_CurrentElement = ve;
this.m_TextEntryIndex = 0;
Alloc allocVerts = ve.renderChainData.data.allocVerts;
NativeSlice <Vertex> slice = ve.renderChainData.data.allocPage.vertices.cpuData.Slice((int)allocVerts.start, (int)allocVerts.size);
device.Update(ve.renderChainData.data, ve.renderChainData.data.allocVerts.size, out this.m_MeshDataVerts);
RenderChainTextEntry renderChainTextEntry = ve.renderChainData.textEntries[0];
bool flag = ve.renderChainData.textEntries.Count > 1 || renderChainTextEntry.vertexCount != this.m_MeshDataVerts.Length;
if (flag)
{
this.m_MeshDataVerts.CopyFrom(slice);
}
int firstVertex = renderChainTextEntry.firstVertex;
this.m_XFormClipPages = slice[firstVertex].xformClipPages;
this.m_IDsFlags = slice[firstVertex].idsFlags;
this.m_OpacityPagesSettingsIndex = slice[firstVertex].opacityPageSVGSettingIndex;
}
public void ShouldClear()
{
using var alloc = new Alloc(128);
alloc.Size.ShouldBe(128);
var ptr = (int *)alloc.AlignedPointer;
for (var i = 0; i < alloc.Size / 4; i++)
{
ptr[i] = 0x5a5a5a5a;
}
Unsafe.ClearAlign16((void *)alloc.AlignedPointer, alloc.Size);
for (var i = 0; i < alloc.Size / 4; i++)
{
ptr[i].ShouldBe(0);
}
Unsafe.ClearAlign16((void *)alloc.AlignedPointer, alloc.Size, 0x5aa5aa55);
for (var i = 0; i < alloc.Size / 4; i++)
{
ptr[i].ShouldBe(0x5aa5aa55);
}
}
public _PresentInfoKHR(PresentInfoKHR info)
{
SType = info.type;
Next = info.next;
WaitSemaphoreCount = (UInt32)info.waitSemaphores.Count;
SwapchainCount = (UInt32)info.swapchains.Count;
WaitSemaphores = Alloc.alloc(info.waitSemaphores);
Swapchains = Alloc.alloc(info.swapchains);
ImageIndices = Alloc.alloc(info.indices);
List <UInt32> res;
if (info.results == null || info.results.Count == 0)
{
Results = IntPtr.Zero;
}
else
{
res = new List <UInt32>(info.results.Count);
Results = Alloc.alloc(res);
}
}
public static AmiVar GetExtraData(string ticker, string name, int arraySize, Periodicity periodicity, Alloc alloc)
{
return(new AmiVar());
}
extern public static void Log4JSetAllocator(Alloc alloc, Free free);
public static extern IntPtr NewState( Alloc alloc, IntPtr baton );
public static extern IntPtr NewState(Alloc alloc, IntPtr baton);
public IMemory CreateAlloc(int size)
{
return(Alloc.Create(size));
}
public static AmiVar GetExtraData(string ticker, string name, int arraySize, Periodicity periodicity, Alloc alloc)
{
return new AmiVar();
}
public void destroy()
{
Alloc.free(QueueFamilyIndices);
}
public static extern SshSessionHandle libssh2_session_init_ex(
Alloc alloc,
Free free,
Realloc realloc,
IntPtr context);
public override IEnumerable <Bar> Run(DateTime?startTime, DateTime?endTime)
{
//========== initialization ==========
#if USE_CLENOWS_RANGE
// matching Clenow's charts
StartTime = DateTime.Parse("01/01/1999", CultureInfo.InvariantCulture);
WarmupStartTime = StartTime - TimeSpan.FromDays(180);
EndTime = DateTime.Parse("12/31/2014", CultureInfo.InvariantCulture);
#else
WarmupStartTime = Globals.WARMUP_START_TIME;
StartTime = Globals.START_TIME;
EndTime = Globals.END_TIME;
#endif
Deposit(IsChildAlgorithm ? 0.0 : Globals.INITIAL_CAPITAL);
CommissionPerShare = Globals.COMMISSION; // Clenow is not considering commissions
var all = AddDataSources(UNIVERSE.Constituents);
var sp500 = AddDataSource(SP500);
var benchmark = AddDataSource(BENCHMARK);
//========== simulation loop ==========
double?sp500Initial = null;
// loop through all bars
foreach (DateTime simTime in SimTimes)
{
if (!HasInstrument(benchmark))
{
continue;
}
sp500Initial = sp500Initial ?? sp500.Instrument.Open[0];
// calculate indicators exactly once per bar
// we are doing this on all available instruments,
// as we don't know when they will become S&P500 constituents
var indicators = Instruments
.ToDictionary(
i => i,
i => new
{
regression = i.Close.LogRegression(MOM_PERIOD),
maxMove = i.Close.SimpleMomentum(1).AbsValue().Highest(MOM_PERIOD),
avg100 = i.Close.SMA(INSTR_TREND),
atr20 = i.AverageTrueRange(ATR_PERIOD),
});;
// index filter: only buy any shares, while S&P-500 is trading above its 200-day moving average
// NOTE: the 10-day SMA on the benchmark is _not_ mentioned in
// the book. We added it here, to compensate for the
// simplified re-balancing schedule.
bool allowNewEntries = sp500.Instrument.Close.SMA(INDEX_FLT)[0]
> sp500.Instrument.Close.SMA(INDEX_TREND)[0];
// determine current S&P 500 constituents
var constituents = Instruments
.Where(i => i.IsConstituent(UNIVERSE))
.ToList();
// trade once per week
// this is a slight simplification from Clenow's suggestion to adjust positions
// every week, and adjust position sizes only every other week
if (IsTradingDay)
{
// rank by volatility-adjusted momentum and pick top 20% (top-100)
var topRankedInstruments = constituents
// FIXME: how exactly are we multiplying the regression slope with R2?
.OrderByDescending(i => (Math.Exp(252.0 * indicators[i].regression.Slope[0]) - 1.0) * indicators[i].regression.R2[0])
//.OrderByDescending(i => indicators[i].regression.Slope[0] * indicators[i].regression.R2[0])
.Take((int)Math.Round(TOP_PCNT / 100.0 * constituents.Count))
.ToList();
// disqualify
// - trading below 100-day moving average
// - maximum move > 15%
// FIXME: is maxMove > 1.0???
var availableInstruments = topRankedInstruments
.Where(i => i.Close[0] > indicators[i].avg100[0] &&
indicators[i].maxMove[0] < MAX_MOVE / 100.0)
.ToList();
// allocate capital until we run out of cash
var weights = Instruments
.ToDictionary(
i => i,
i => 0.0);
double availableCapital = 1.0;
int portfolioRisk = 0;
foreach (var i in availableInstruments)
{
// Clenow does not limit the total portfolio risk
if (portfolioRisk > RISK_TOTAL)
{
continue;
}
var currentWeight = NetAssetValue[0] > 0
? i.Position * i.Close[0] / NetAssetValue[0]
: 0.0;
var newWeight = Math.Min(Math.Min(availableCapital, MAX_PER_STOCK / 100.0),
RISK_PER_STOCK * 0.0001 / indicators[i].atr20[0] * i.Close[0]);
var w = allowNewEntries
? newWeight
: Math.Min(currentWeight, newWeight);
weights[i] = w;
availableCapital -= w;
portfolioRisk += RISK_PER_STOCK;
}
// perform customized money-management
ManageWeights(weights);
// submit trades
Alloc.LastUpdate = SimTime[0];
Alloc.Allocation.Clear();
foreach (var i in Instruments)
{
if (weights[i] > 0.005)
{
Alloc.Allocation[i] = weights[i];
}
var targetShares = (int)Math.Round(NetAssetValue[0] * weights[i] / i.Close[0]);
i.Trade(targetShares - i.Position, OrderType.openNextBar);
}
if (!IsOptimizing && (EndTime - SimTime[0]).TotalDays < 30)
{
string message = constituents
.Where(i => weights[i] != 0.0)
.Aggregate(string.Format("{0:MM/dd/yyyy}: ", SimTime[0]),
(prev, i) => prev + string.Format("{0}={1:P2} ", i.Symbol, weights[i]));
Output.WriteLine(message);
}
}
else // if (IsTradingDay)
{
Alloc.AdjustForPriceChanges(this);
}
// create charts
if (!IsOptimizing && TradingDays > 0)
{
_plotter.AddNavAndBenchmark(this, benchmark.Instrument);
_plotter.AddStrategyHoldings(this, constituents);
// plot strategy exposure
_plotter.SelectChart("Strategy Exposure", "Date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("Stock Exposure", constituents.Sum(i => i.Position * i.Close[0]) / NetAssetValue[0]);
_plotter.Plot("Number of Stocks", constituents.Where(i => i.Position != 0).Count());
if (Alloc.LastUpdate == SimTime[0])
{
_plotter.AddTargetAllocationRow(Alloc);
}
#if true
_plotter.SelectChart("Clenow-style Chart", "Date");
_plotter.SetX(SimTime[0]);
_plotter.Plot(Name, NetAssetValue[0] / Globals.INITIAL_CAPITAL);
_plotter.Plot(sp500.Instrument.Name, sp500.Instrument.Close[0] / sp500Initial);
_plotter.Plot(sp500.Instrument.Name + " 200-day moving average", sp500.Instrument.Close.SMA(200)[0] / sp500Initial);
_plotter.Plot("Cash", Cash / NetAssetValue[0]);
#endif
}
if (IsDataSource)
{
var v = 10.0 * NetAssetValue[0] / Globals.INITIAL_CAPITAL;
yield return(Bar.NewOHLC(
this.GetType().Name, SimTime[0],
v, v, v, v, 0));
}
}
//========== post processing ==========
if (!IsOptimizing)
{
_plotter.AddAverageHoldings(this);
_plotter.AddTargetAllocation(Alloc);
_plotter.AddOrderLog(this);
_plotter.AddPositionLog(this);
_plotter.AddPnLHoldTime(this);
_plotter.AddMfeMae(this);
_plotter.AddParameters(this);
}
FitnessValue = this.CalcFitness();
}
