/// <summary>
/// Method called in the backgound to validate the chromosome on out-of-sample data
/// </summary>
protected void ValidateOutOfSample(
FitnessResult insampeResult,
FitnessScore fitScore,
DateTime validationStartDate,
DateTime validationEndDate)
{
// Create a deep copy
var copy = (Chromosome)insampeResult.Chromosome.CreateNew();
// Run a backtest.
// Do not apply fitness filtering to validation results - let it expose a true picture ->
IFitness fitness;
if (Shared.Config.TaskExecutionMode == TaskExecutionMode.Azure)
{
fitness = new AzureFitness(validationStartDate, validationEndDate, fitScore, false);
fitness.EvaluateAsync(copy).GetAwaiter().GetResult();
}
else
{
fitness = new OptimizerFitness(validationStartDate, validationEndDate, fitScore, false);
fitness.EvaluateAsync(copy).GetAwaiter().GetResult();;
}
// Raise an event
ValidationCompleted?.Invoke(this, e:
new WalkForwardValidationEventArgs(insampeResult, copy.FitnessResult));
}
public override double Evaluate(IChromosome chromosome)
{
this.Name = "DualPeriodSharpe";
var list = ((Chromosome)chromosome).ToDictionary();
var start = Config.StartDate.Value;
var end = Config.EndDate.Value;
var first = base.Evaluate(chromosome);
var diff = end - start;
Config.StartDate = end;
Config.EndDate = end + diff;
OptimizerAppDomainManager.ReInitialize(Config);
var second = base.Evaluate(chromosome);
var fitness = new FitnessResult
{
Fitness = (first + second) / 2
};
fitness.Value = (decimal)base.GetValueFromFitness(fitness.Fitness);
var output = string.Format("Start: {0}, End: {1}, Start: {2}, End: {3}, {4}: {5}", start, end, Config.StartDate, Config.EndDate, this.Name, fitness.Value);
Program.Logger.Info(output);
Config.StartDate = start;
Config.EndDate = end;
return(fitness.Fitness);
}
protected virtual FitnessResult CalculateFitness(Dictionary <string, string> result)
{
this.Name = "Sharpe";
var fitness = new FitnessResult();
var sharpe = -10m;
var ratio = result["Sharpe Ratio"];
Decimal.TryParse(ratio, out sharpe);
var compound = result["Compounding Annual Return"];
decimal parsed;
Decimal.TryParse(compound.Trim('%'), out parsed);
if (!_config.IncludeNegativeReturn)
{
sharpe = System.Math.Max(sharpe <= 0 || parsed < 0 ? -10 : sharpe, -10);
}
else
{
sharpe = System.Math.Max(sharpe, -10);
}
fitness.Value = sharpe.ToString("0.00");
fitness.Fitness = (double)(System.Math.Max(sharpe, -10) + 10) * scale;
return(fitness);
}
//Fitness based on config settings
protected override FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
var fitness = new FitnessResult();
var raw = StatisticsAdapter.Translate(Config.Fitness.ResultKey, result);
fitness.Value = raw;
fitness.Fitness = (double)raw * Config.Fitness.Scale.Value * Config.Fitness.Modifier.Value;
return(fitness);
}
//Fitness based on Compounding Annual Return
protected override FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
this.Name = "Return";
var fitness = new FitnessResult();
var raw = result["CompoundingAnnualReturn"];
fitness.Value = raw;
fitness.Fitness = (double)raw * scale;
return(fitness);
}
public void LogGenerationInfo(IGenerationResult <Coefficients, double> generationResult)
{
// Console.WriteLine($" Average generation: {generationResult.AverageGenomeGeneration:0.00}");
// Console.WriteLine($" Average fitness: {generationResult.OrderedGenomes.Average(r => r.Fitness):e2}");
LogGenome(generationResult.FittestGenome);
FitnessResult <Coefficients, double> topGenome = generationResult.FittestGenome;
double averageAgeTop10Genomes = generationResult.OrderedGenomes.Take(10).Average(r => r.GenomeInfo.Generation);
var averageScoreAllGenomes = generationResult.OrderedGenomes.Average(r => r.Fitness);
var averageScoreTop10Genomes = generationResult.OrderedGenomes.Take(10).Average(r => r.Fitness);
_logFile.WriteLine($"{_loggerId},{generationResult.GenerationNumber},{generationResult.AverageGenomeGeneration:0.00},{averageAgeTop10Genomes:0.00},{topGenome.GenomeInfo.Generation:0},{averageScoreAllGenomes:e2},{averageScoreTop10Genomes:e2},{topGenome.Fitness:e2}");
_logFile.Flush();
}
protected override FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
var cost = (double)result[Name];
var fitness = new FitnessResult {
Fitness = cost, Value = result[AverageSharpe]
};
var output = new StringBuilder();
output.AppendFormat("{0}: {1}, ", AverageSharpe, fitness.Value.ToString("0.##"));
output.AppendFormat("{0}: {1}", Name, fitness.Fitness.ToString("0.##"));
LogProvider.GenerationsLogger.Info(output);
return(fitness);
}
//Fitness based on config settings
protected override FitnessResult CalculateFitness(Dictionary <string, string> result)
{
var fitness = new FitnessResult();
double parsed = 0.0;
var raw = result[Config.Fitness.ResultKey].TrimEnd('%');
double.TryParse(raw, out parsed);
fitness.Value = parsed.ToString();
fitness.Fitness = parsed * Config.Fitness.Scale.Value * Config.Fitness.Modifier.Value;
return(fitness);
}
//Fitness based on Compounding Annual Return
protected override FitnessResult CalculateFitness(Dictionary <string, string> result)
{
this.Name = "Return";
var fitness = new FitnessResult();
double parsed = 0;
var raw = result["Compounding Annual Return"];
double.TryParse(raw.TrimEnd('%'), out parsed);
fitness.Value = parsed.ToString();
fitness.Fitness = parsed * scale;
return(fitness);
}
//Fitness based on total trades
protected override FitnessResult CalculateFitness(Dictionary <string, string> result)
{
this.Name = "Trades";
var fitness = new FitnessResult();
int parsed = 0;
var raw = result["Total Trades"];
int.TryParse(raw, out parsed);
fitness.Value = parsed.ToString();
fitness.Fitness = (double)(System.Math.Max(parsed, 0)) * scale;
return(fitness);
}
protected virtual FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
var fitness = new FitnessResult();
var ratio = result["SharpeRatio"];
if (Filter != null && !Filter.IsSuccess(result, this))
{
ratio = -10m;
}
fitness.Value = ratio;
fitness.Fitness = (double)(System.Math.Max(ratio, -10) + 10) * scale;
return(fitness);
}
protected virtual FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
var fitness = new FitnessResult();
var ratio = result["SharpeRatio"];
var compound = result["CompoundingAnnualReturn"];
if (!Config.IncludeNegativeReturn)
{
ratio = compound < 0 ? -10 : ratio;
}
fitness.Value = ratio;
fitness.Fitness = (double)(System.Math.Max(ratio, -10) + 10) * scale;
return(fitness);
}
//Fitness based on Compounding Annual Return
protected override FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
var fitness = new FitnessResult();
var car = result["CompoundingAnnualReturn"];
if (!Filter.IsSuccess(result, this))
{
car = -100m;
}
fitness.Value = car;
fitness.Fitness = (double)car * scale;
return(fitness);
}
public override double Evaluate(IChromosome chromosome)
{
var dualConfig = ((OptimizerConfiguration)Config).Clone();
var start = Config.StartDate.Value;
var end = Config.EndDate.Value;
var diff = end - start;
dualConfig.StartDate = end;
dualConfig.EndDate = end + diff;
var dualFitness = new OptimizerFitness(dualConfig, this.Filter);
dualFitness.Name = this.Name;
var first = base.Evaluate(chromosome);
double second = -10;
if (first > -10)
{
second = dualFitness.Evaluate(chromosome);
}
var fitness = new FitnessResult
{
Fitness = (first + second) / 2
};
fitness.Value = (decimal)base.GetValueFromFitness(fitness.Fitness);
var output = string.Format($"Start: {Config.StartDate}, End: {Config.EndDate}, Start: {dualConfig.StartDate}, End: {dualConfig.EndDate}, "
+ $"Id: {((Chromosome)chromosome).Id}, Dual Period {this.Name}: {fitness.Value}");
LogProvider.GenerationsLogger.Info(output);
Config.StartDate = start;
Config.EndDate = end;
return(fitness.Fitness);
}
private void LogGenome(FitnessResult <Coefficients, double> result)
{
var coefficients = result.GenomeInfo.Genome;
Console.WriteLine($" {result.GenomeInfo.Generation}, {result.Fitness:e2} - ({coefficients.FifthLevel:0.##}) * x ^ 4 + ({coefficients.FourthLevel:0.##}) * x ^ 3 + ({coefficients.ThirdLevel:0.##}) * x ^ 2 + ({coefficients.SecondLevel:0.##}) * x + ({coefficients.FirstLevel:0.##})");
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="insamp">In sample fitness result</param>
/// <param name="outsamp">Out of sample fitness result</param>
public WalkForwardValidationEventArgs(FitnessResult insamp, FitnessResult outsamp)
{
InsampleResults = insamp;
ValidationResults = outsamp;
}
protected override void OnIndividualEvaluationFinished(Individual individual, FitnessResult fitness, object[] results)
{
base.OnIndividualEvaluationFinished(individual, fitness, results);
AssignSemanticsToTreeNodes(individual, fitness as MDLFitnessResult);
AssignSemanticsToIndividual(individual, results);
}
protected override void OnIndividualEvaluationFinished(Individual individual, FitnessResult fitness, object[] results)
{
MDLFitnessResult fitnessResult = fitness as MDLFitnessResult;
if (SubTreePool != null)
{
int usedAttributes = fitnessResult.UsedAttributes;
int classificationError = fitnessResult.ClassificationError;
if (usedAttributes > 0)
{
double utilityMeasure = CalculateUtilityMeasure(usedAttributes, classificationError);
foreach (var id in fitnessResult.Dataset.Features)
{
// utility measure is maximized between 0 and 1 -> fitness is minimized
SubTreePool.Add(individual.SyntaxTree.FindNodeById(id), 1 - utilityMeasure);
}
SubTreePool.TrimToMaxSize();
}
}
}
public void LogGenome(FitnessResult <MyThing, int> result)
{
var thing = result.GenomeInfo.Genome;
Console.WriteLine($" {result.Fitness} - {thing.Sum} = {thing.A} + {thing.B} + {thing.C} + {thing.D} + {thing.E}");
}
