/// <summary>
/// Set master instance to parameters from optimzation result.
/// </summary>
/// <param name="result">optimization result</param>
public void SetParametersFromResult(OptimizerResult result)
{
foreach (var parameter in result.Parameters)
{
MasterInstance.OptimizerParams[parameter.Key].Value = parameter.Value;
}
}
private Algorithm RunIteration()
{
// create algorithm instance to run
Algorithm instanceToRun = MasterInstance.Clone();
// mark this as an optimizer run
instanceToRun.IsOptimizing = true;
// create result entry
OptimizerResult result = new OptimizerResult();
foreach (OptimizerParam parameter in MasterInstance.OptimizerParams.Values)
{
result.Parameters[parameter.Name] = parameter.Value;
}
result.Fitness = null;
Results.Add(result);
// run algorithm with these values
_jobQueue.QueueJob(() =>
{
instanceToRun.Run();
result.NetAssetValue = instanceToRun.NetAssetValue[0];
result.MaxDrawdown = instanceToRun.NetAssetValueMaxDrawdown;
result.Fitness = instanceToRun.FitnessValue;
instanceToRun = null;
lock (_optimizerLock)
{
_numIterationsCompleted++;
TimeSpan t = DateTime.Now - _startTime;
TimeSpan eta = TimeSpan.FromSeconds(
(_numIterationsTotal - _numIterationsCompleted)
* t.TotalSeconds / _numIterationsCompleted);
_maxFitness = Math.Max(_maxFitness, (double)result.Fitness);
Output.WriteLine("GridOptimizer: {0} of {1} iterations completed, max fitness = {2:F4}, eta = {3}h{4}m{5}s",
_numIterationsCompleted, _numIterationsTotal, _maxFitness,
Math.Floor(eta.TotalHours), eta.Minutes, eta.Seconds);
}
});
return(instanceToRun);
}
/// <summary>
/// Export optimizer results to Excel.
/// </summary>
/// <param name="excelPath"></param>
public void ResultsToExcel(string excelPath)
{
Plotter logger = new Plotter();
logger.SelectChart("Optimizer Results", "iteration");
for (int i = 0; i < Results.Count; i++)
{
OptimizerResult result = Results[i];
logger.SetX(i);
logger.Plot("NetAssetValue", (result.NetAssetValue != null) ? string.Format("{0}", result.NetAssetValue) : "");
logger.Plot("Fitness", (result.Fitness != null) ? string.Format("{0}", result.Fitness) : "");
foreach (var parameter in result.Parameters)
{
logger.Plot(parameter.Key, parameter.Value);
}
}
logger.OpenWith(excelPath);
}
private void RunIteration()
{
if (!MasterInstance.CheckParametersValid())
{
// parameters are invalid. skip this iteration
_numIterationsTotal--;
return;
}
// create algorithm instance to run
Algorithm instanceToRun = MasterInstance.Clone();
// mark this as an optimizer run
instanceToRun.IsOptimizing = true;
// create result entry
OptimizerResult result = new OptimizerResult();
foreach (OptimizerParam parameter in MasterInstance.OptimizerParams.Values)
{
result.Parameters[parameter.Name] = parameter.Value;
}
result.Fitness = null;
Results.Add(result);
// run algorithm with these values
_jobQueue.QueueJob(() =>
{
try
{
// make sure to enter the extended Run method
// the default implementation will forward
// to the simple Run method, if required
// also, we need to convert the result to a list,
// in order to circumvent lazy execution
var noLazyExec = instanceToRun.Run(_algoStart, _algoEnd)
.ToList();
result.NetAssetValue = instanceToRun.NetAssetValue[0];
result.MaxDrawdown = instanceToRun.NetAssetValueMaxDrawdown;
result.Fitness = instanceToRun.FitnessValue;
instanceToRun = null;
}
catch (Exception e)
{
// we ignore any exeption while running the algo
lock (_optimizerLock)
{
if (_verbose)
{
Output.WriteLine("{0}: Iteration failed. {1}", this.GetType().Name, e.Message);
}
}
}
finally
{
lock (_optimizerLock)
{
_numIterationsCompleted++;
TimeSpan t = DateTime.Now - _optimizationStart;
TimeSpan eta = TimeSpan.FromSeconds(
(_numIterationsTotal - _numIterationsCompleted)
* t.TotalSeconds / _numIterationsCompleted);
if (result.Fitness != null)
{
_maxFitness = _maxFitness != null
? Math.Max((double)_maxFitness, (double)result.Fitness)
: (double)result.Fitness;
}
if (_verbose)
{
Output.WriteLine("GridOptimizer: {0} of {1} iterations completed, max fitness = {2:F4}, eta = {3}h{4}m{5}s",
_numIterationsCompleted, _numIterationsTotal, _maxFitness,
Math.Floor(eta.TotalHours), eta.Minutes, eta.Seconds);
}
}
}
});
}
