private void gaIsland2()
{
TickData.readTickData(0);
using (StreamWriter sw = new StreamWriter("./multi ga.csv", false, Encoding.Default))
{
int opt_period = 420000;
int sim_period = 180000;
int slide = 100000;
sw.WriteLine("pl per min,num trade,vola,fired[0],fired[1],fired[2],pl per min,num trade,vola,fired[0],fired[1],fired[2]");
for (int i = 0; i < 30; i++)
{
var gim = new GAIslandMaster2();
int from = TickData.price.Count - 6000000 + i * slide;
int to = from + opt_period;
var chro = gim.startGA(from, to, 3, 15, 15, 3, 0.05, 10, 30, 10, 10, false);
var s = new SIM2();
var ac = s.startContrarianTrendFollowSashine(from, to, chro, false, false);
Form1.Form1Instance.addListBox2(i.ToString() + " - " + "GA period - pl per min=" + Math.Round(ac.pl_per_min, 2) + ",num trade=" + Math.Round(ac.num_trade_per_hour, 2) + ", vola=" + Math.Round(ac.total_pl_vola, 2) + ", fired box num=" + ac.fired_box_ind_num[0] + " : " + ac.fired_box_ind_num[1] + " : " + ac.fired_box_ind_num[2]);
s = new SIM2();
var ac2 = s.startContrarianTrendFollowSashine(to, to + sim_period, chro, true, false);
//var ac2 = s.startContrarianTrendFollowSashine(from, to, chro, true, false);
Form1.Form1Instance.addListBox2("SIM period - pl per min=" + Math.Round(ac2.pl_per_min, 2) + ",num trade=" + Math.Round(ac2.num_trade_per_hour, 2) + ", vola=" + Math.Round(ac2.total_pl_vola, 2) + ", fired box num=" + ac2.fired_box_ind_num[0] + " : " + ac2.fired_box_ind_num[1] + " : " + ac2.fired_box_ind_num[2]);
sw.WriteLine(Math.Round(ac.pl_per_min, 2) + "," + Math.Round(ac.num_trade_per_hour, 6) + "," + Math.Round(ac.total_pl_vola) + "," + ac.fired_box_ind_num[0] + "," + ac.fired_box_ind_num[1] + "," + ac.fired_box_ind_num[2] +
"," + Math.Round(ac2.pl_per_min, 2) + "," + Math.Round(ac2.num_trade_per_hour, 6) + "," + Math.Round(ac2.total_pl_vola) + "," + ac2.fired_box_ind_num[0] + "," + ac2.fired_box_ind_num[1] + "," + ac2.fired_box_ind_num[2]);
}
}
}
public Account2 startContrarianSashine(int from, int to, int num_chrom, int num_generation, int num_islands, int elite_crossover_start, double immigration_rate, int num_box, int search_period, bool write_result)
{
var ac = new Account2(new Chrome2(from, to, num_box));
int last_str_changed_ind = from;
int last_str_num_trade = 0;
var chro = new Chrome2(from - search_period, from - 1, num_box);
chro = getOptStrategy(from - search_period, from - 1, num_chrom, num_generation, num_box, num_islands, immigration_rate, elite_crossover_start, 30, 10, 10);
var sim = new SIM2();
Account2 ac_best = sim.startContrarianTrendFollowSashine(from - search_period, from - 1, chro, false, false);
int num_recalc = 0;
var pre_dd = new DecisionData2();
for (int i = from; i < to; i++)
{
var tdd = Strategy2.contrarianSashine(ac, i, chro, pre_dd, true);
if (tdd.fired_box_ind >= 0)
{
chro.box_fired_num[tdd.fired_box_ind]++;
}
pre_dd = tdd;
if (tdd.position == "Exit_All")
{
ac.exitAllOrder(i);
}
else if (tdd.price_tracing_order)
{
if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryPriceTracingOrder(i, tdd.position, tdd.lot);
}
}
else
{
if (tdd.position == "Cancel" && tdd.cancel_index >= 0)
{
ac.cancelOrder(i, tdd.cancel_index);
}
else if (tdd.position == "Cancel_All")
{
ac.cancelAllOrders(i);
}
else if (tdd.position == "Cancel_PriceTracingOrder")
{
ac.cancelPriceTracingOrder(i);
}
else if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryOrder(i, tdd.position, tdd.price, tdd.lot);
}
}
if (checkUpdateStrategy(i, last_str_changed_ind, from, last_str_num_trade, ac, ac_best))
{
ac.cancelAllOrders(i);
num_recalc++;
last_str_changed_ind = i;
last_str_num_trade = ac.num_trade;
chro = getOptStrategy(i - search_period, i, num_chrom, num_generation, num_box, num_islands, immigration_rate, elite_crossover_start, 30, 10, 10);
sim = new SIM2();
Form1.Form1Instance.addListBox2("recalc=" + num_recalc);
ac_best = sim.startContrarianTrendFollowSashine(i - search_period, i, chro, false, false);
ac.takeActionLog(i, "applied new strategy:num trade=" + ac_best.num_trade.ToString() + " :pl per min=" + ac_best.pl_per_min.ToString() + " :win rate=" + ac_best.win_rate.ToString());
}
ac.moveToNext(i, tdd.fired_box_ind);
Form1.Form1Instance.addListBox2(TickData.time[i] + ":total pl=" + Math.Round(ac.total_pl_log.Values.ToList()[ac.total_pl_log.Count - 1], 2) + " :num trade=" + ac.num_trade.ToString());
}
ac.lastDayOperation(to, chro, pre_dd.fired_box_ind, write_result);
return(ac);
}
