// -- MAIN --
public static void Main()
{
try
{
// some initialization before the start, that will depend on task execution mode chosen
Initialize();
if (Shared.Config.WalkingForward.Enabled)
{
var wfoManager = new WalkForwardOptimizationManager(Shared.Config.StartDate,
Shared.Config.EndDate,
Shared.Config.FitnessScore,
Shared.Config.FitnessFilter.Enabled)
{
WalkForwardConfiguration = Shared.Config.WalkingForward
};
// register event callback
wfoManager.ValidationCompleted +=
(sender, vdarg) => {
Shared.Logger.Trace("Validation Comparsion");
Shared.Logger.Trace($"{vdarg.InsampleResults.Chromosome.Fitness} / {vdarg.ValidationResults.Chromosome.Fitness}");
Shared.Logger.Trace(" <->");
};
// and launch
wfoManager.Start();
}
else
{
// otherwise create regular optimizator
var easyManager = new AlgorithmOptimumFinder(
Shared.Config.StartDate,
Shared.Config.EndDate,
Shared.Config.FitnessScore,
Shared.Config.FitnessFilter.Enabled);
easyManager.Start();
}
// release earlier deployed resources
Dispose();
Console.WriteLine();
Console.WriteLine("Press any key to exit .. ");
Console.ReadLine();
}
catch (Exception e)
{
Shared.Logger.Trace("Main(): " + e.Message);
throw;
}
}
/// <summary>
/// Starts and continues the process till the end
/// </summary>
public void Start()
{
// Check for required config values presence
if (!WalkForwardConfiguration.InSamplePeriod.HasValue ||
!WalkForwardConfiguration.Step.HasValue ||
!WalkForwardConfiguration.Anchored.HasValue)
{
throw new ApplicationException("WalkForwardOptimizationManager.Start(): InSamplePeriod, Step, Anchored values must be assigned");
}
// Make sure that provided time frame is long enough.
// We substract 1 as Lean includes the date boundaries into the backtest period
var minDaysBtwStartEndRequired = WalkForwardConfiguration.InSamplePeriod.Value + WalkForwardConfiguration.Step.Value - 1;
if (StartDate.AddDays(minDaysBtwStartEndRequired) > EndDate)
{
throw new ArgumentOutOfRangeException($"WalkForwardOptimizationManager.Start(): Provided time period [{StartDate} - {EndDate}] is short.");
}
// Init datetime variables will be used in first iteration
var insampleStartDate = StartDate;
var insampleEndDate = insampleStartDate.AddDays(WalkForwardConfiguration.InSamplePeriod.Value - 1);
var validationStartDate = insampleEndDate.AddDays(1);
var validationEndDate = insampleEndDate.AddDays(WalkForwardConfiguration.Step.Value);
var step = WalkForwardConfiguration.Step.Value;
// While insampleEndDate is less then fixed optimization EndDate we may crank one more iteration
while (insampleEndDate < EndDate)
{
// Find optimum solutions
var optimumFinder = new AlgorithmOptimumFinder(insampleStartDate, insampleEndDate, FitnessScore, _filterEnabled);
optimumFinder.Start();
// Once completed retrieve N best results
var n = 10;
var take = optimumFinder.ProfitableChromosomes.Count > n
? n
: optimumFinder.ProfitableChromosomes.Count;
var bestResults = optimumFinder.ProfitableChromosomes.Take(take).ToList();
// Validate the chosen best results
var validationTasks = new List <Task>();
var startDate = validationStartDate;
var endDate = validationEndDate;
Shared.Logger.Trace($"Taking {take} best solutions and launching the validation tasks");
Shared.Logger.Trace($"Validation period: {startDate:M/d/yy} to {endDate:M/d/yy}");
// For each good chromosome add the task to collection
foreach (var c in bestResults)
{
var cBase = (Chromosome)c;
validationTasks.Add(Task.Run(() => ValidateOutOfSample(cBase.FitnessResult, FitnessScore, startDate, endDate)));
}
// Wait for all tasks to complete before to continue
Task.WaitAll(validationTasks.ToArray());
// Increment the variables and step to the next iteration.
// If anchored do not increment insample Start Date
if (!WalkForwardConfiguration.Anchored.Value)
{
insampleStartDate = insampleStartDate.AddDays(step);
}
insampleEndDate = insampleEndDate.AddDays(step);
validationStartDate = validationStartDate.AddDays(step);
validationEndDate = validationEndDate.AddDays(step);
}
}