public async Task CouldFindMaximumUsingMaximizeMethodWithBigStep()
{
var sw = new Stopwatch();
var startMemory = GC.GetTotalMemory(true);
sw.Restart();
var par0 = new Parameter("par0", 0, 100, 1, 10);
var par1 = new Parameter("par1", 0, 100, 1, 10);
var par2 = new Parameter("par2", 0, 100, 1, 10);
var pars = new Parameters(new[] { par0, par1, par2 });
var total = pars.TotalInterations;
Console.WriteLine($"Total iterations: {total}");
Func <Parameters, ValueTask <double> > targetFunc = (args) =>
{
var result = -(Math.Pow(200 - args[0].Current, 2) + Math.Pow(10 - args[1].Current, 2) +
Math.Pow(70 - args[2].Current, 2));
return(new ValueTask <double>(result));
};
var opt = await GridOptimizer.MaximizeWithBigStep(pars, targetFunc, false);
var optParams = opt.Parameters;
var endMemory = GC.GetTotalMemory(false);
sw.Stop();
Console.WriteLine($"Elapsed: {sw.ElapsedMilliseconds}");
Console.WriteLine($"Memory: {endMemory - startMemory}");
Console.WriteLine($"Optimum: {optParams[0].Current} - {optParams[1].Current} - {optParams[2].Current}");
}
public void Initialize()
{
_instance = new GridOptimizer();
_grid = new GridState
{
CellsMatrix = Utils.BuildCellMatrix(4, 4)
};
}
public async Task CouldFindMaximumWithSpinWait()
{
var par0 = new Parameter("par0", 0, 10, 1);
var par1 = new Parameter("par1", 0, 10, 1);
var par2 = new Parameter("par2", 0, 10, 1);
var pars = new Parameters(new[] { par0, par1, par2 });
var total = pars.TotalInterations;
Console.WriteLine($"Total iterations: {total}");
Func <Parameters, ValueTask <double> > targetFunc = (args) =>
{
var task = Task.Run(() =>
{
var sum = 0L;
for (var i = 0; i < 10000000; i++)
{
sum = sum + i;
}
// avoid any release optimization
if (sum == int.MaxValue)
{
throw new ApplicationException();
}
var result = -(Math.Pow(2 - args[0].Current, 2) + Math.Pow(1 - args[1].Current, 2) + Math.Pow(7 - args[2].Current, 2));
return(result);
});
return(new ValueTask <double>(task));
};
// true for memoize, second run is almost instant
var maximizer = new GridOptimizer <double>(pars, targetFunc, true);
EvalFolderFunc <double, EvalAddress> folder = FolderFunc;
for (int i = 0; i < 2; i++)
{
var sw = new Stopwatch();
var startMemory = GC.GetTotalMemory(true);
sw.Restart();
var optimum = await maximizer.FoldGrid(EvalAddress.Worst, folder);
var optParams = pars.SetPositionsFromLinearAddress(optimum.LinearAddress);
var endMemory = GC.GetTotalMemory(false);
sw.Stop();
Console.WriteLine($"Elapsed: {sw.ElapsedMilliseconds}");
Console.WriteLine($"Memory: {endMemory - startMemory}");
Console.WriteLine($"Optimum: {optParams[0].Current} - {optParams[1].Current} - {optParams[2].Current}");
}
}
public async Task CouldFindMaximum()
{
var sw = new Stopwatch();
var startMemory = GC.GetTotalMemory(true);
sw.Restart();
var par0 = new Parameter("par0", 0, 100, 1);
var par1 = new Parameter("par1", 0, 100, 1);
var par2 = new Parameter("par2", 0, 100, 1);
var pars = new Parameters(new[] { par0, par1, par2 });
var total = pars.TotalInterations;
Console.WriteLine($"Total iterations: {total}");
Func <Parameters, ValueTask <double> > targetFunc = (args) =>
{
//return Task.Run(() => {
// //await Task.Delay(0);
// var result = -(Math.Pow(200 - args[0].Current, 2) + Math.Pow(10 - args[1].Current, 2) +
// Math.Pow(70 - args[2].Current, 2));
// return result;
//});
var result = -(Math.Pow(20 - args[0].Current, 2) + Math.Pow(10 - args[1].Current, 2) +
Math.Pow(70 - args[2].Current, 2));
return(new ValueTask <double>(result));
};
var maximizer = new GridOptimizer <double>(pars, targetFunc);
EvalFolderFunc <double, EvalAddress> folder = FolderFunc;
// NB Func<> cannot have byref params
//Func<EvalAddress, GridOptimizer.EvalParametersResult, EvalAddress> folder = (state, item) => {
// if (item.Value > state.Value) {
// return new EvalAddress() { Value = item.Value, LinearAddress = item.Parameters.LinearAddress() };
// }
// return state;
//};
var optimum = await maximizer.FoldGrid(EvalAddress.Worst, folder);
var optParams = pars.SetPositionsFromLinearAddress(optimum.LinearAddress);
var endMemory = GC.GetTotalMemory(false);
sw.Stop();
Console.WriteLine($"Elapsed: {sw.ElapsedMilliseconds}");
Console.WriteLine($"Memory: {endMemory - startMemory}");
Console.WriteLine($"Optimum: {optParams[0].Current} - {optParams[1].Current} - {optParams[2].Current}");
}
public GridOptimizerTests()
{
var startTime = DateTimeOffset.Now.AddDays(-10);
var endTime = DateTimeOffset.Now;
_optimizerSettings = new OptimizerSettings
{
AccountBalance = 10000,
AccountLeverage = 500,
BacktesterType = typeof(OhlcBacktester),
BacktestSettingsType = typeof(BacktestSettings),
};
var data = SampleDataGenerator.GetSampleData(200, startTime, endTime, TimeSpan.FromDays(1));
var symbol = new OhlcSymbol(new TimeBasedBars(TimeSpan.FromDays(1)))
{
Name = "Main"
};
var symbolData = new SymbolBacktestData(symbol, data);
_optimizerSettings.SymbolsData = new List <ISymbolBacktestData> {
symbolData
};
_optimizerSettings.BacktestSettingsParameters = new List <object>
{
startTime,
endTime,
}.ToArray();
_optimizerSettings.TradeEngineType = typeof(BacktestTradeEngine);
_optimizerSettings.TimerContainerType = typeof(TimerContainer);
_optimizerSettings.ServerType = typeof(Server);
_optimizerSettings.RobotSettingsType = typeof(RobotParameters);
_optimizerSettings.RobotType = typeof(SampleBot);
_optimizerSettings.Parameters = new List <OptimizeParameter>()
{
new OptimizeParameter("Periods", 30, 50, 10),
new OptimizeParameter("Deviation", 2),
new OptimizeParameter("Range", 2000, 6000, 2000)
};
_optimizerSettings.BacktesterInterval = TimeSpan.FromHours(1);
_optimizer = new GridOptimizer(_optimizerSettings);
}
private static void Optimize(ISymbol symbol, IEnumerable <IBar> data)
{
var startTime = data.Min(iBar => iBar.Time);
var endTime = data.Max(iBar => iBar.Time);
var symbolsData = new List <ISymbolBacktestData> {
new SymbolBacktestData(symbol, data)
};
var optimizerSettings = new OptimizerSettings
{
AccountBalance = 10000,
AccountLeverage = 500,
BacktesterType = typeof(OhlcBacktester),
BacktestSettingsType = typeof(BacktestSettings),
BacktesterInterval = TimeSpan.FromHours(1),
};
optimizerSettings.SymbolsData = symbolsData;
optimizerSettings.BacktestSettingsParameters = new object[]
{
startTime,
endTime,
};
optimizerSettings.TradeEngineType = typeof(BacktestTradeEngine);
optimizerSettings.TimerContainerType = typeof(TimerContainer);
optimizerSettings.ServerType = typeof(Server);
optimizerSettings.RobotSettingsType = typeof(RobotParameters);
optimizerSettings.RobotType = typeof(SingleSymbolMaCrossOverBot);
optimizerSettings.Parameters = new List <OptimizeParameter>()
{
new OptimizeParameter("Fast MA Period", 5, 15, 5),
new OptimizeParameter("Slow MA Period", 20),
new OptimizeParameter("Volume", 1)
};
var optimizer = new GridOptimizer(optimizerSettings);
optimizer.OnOptimizationPassCompletionEvent += Optimizer_OnOptimizationPassCompletionEvent;
optimizer.OnOptimizationStoppedEvent += Optimizer_OnOptimizationStoppedEvent;
optimizer.OnOptimizationStartedEvent += Optimizer_OnOptimizationStartedEvent;
optimizer.Start();
}
public TablePlugin(WordprocessingDocument wpDoc)
{
var styles =
wpDoc.MainDocumentPart?.StyleDefinitionsPart?.Styles ?? new Styles();
var stylesCollector = new StyleCollector
{
Styles = styles
};
var layoutFactory = new LayoutFactory
{
StyleCollector = stylesCollector
};
var gridOptimizer = new GridOptimizer();
GridStateFactory = new GridStateFactory
{
StyleCollector = stylesCollector,
LayoutFactory = layoutFactory,
GridOptimizer = gridOptimizer
};
}
