/// <summary>
/// 计算适应度
/// </summary>
/// <param name="individual"></param>
/// <returns></returns>
private double computeFitness(int serinalno, Properties individual)
{
Properties testParam = context.BacktestParam.Clone();
testParam["serialno"] = serinalno;
testParam["batchno"] = serinalno;;
IStrategyInstance instance = meta.CreateInstance(serinalno.ToString(), individual, "");
logger.Info("启动回测：...");
instance.Initilization();
TotalStat stat = instance.DoTest(context, testParam);
individual.Put("fitness", stat.TotalProfilt);
return(stat.TotalProfilt);
}
/// <summary>
/// 查询指定参数
/// </summary>
/// <typeparam name="K"></typeparam>
/// <param name="name"></param>
/// <returns></returns>
public static K GetParameterValue <K>(this IStrategyInstance instance, String name)
{
KeyValuePair <PropertyDescriptor, Object> kp = instance.Parameters.FirstOrDefault(x => x.Key.hasName(name));
PropertyDescriptor pd = kp.Key;
Object value = kp.Value;
if (value == null)
{
return(default(K));
}
if (value.GetType() == typeof(K))
{
return((K)value);
}
return(ConvertUtils.ConvertTo <K>(value, pd.Format));
}
/// <summary>
/// 收到的是回测序号和回测参数
/// </summary>
/// <param name="args"></param>
static void Main(string[] args)
{
init();
//取得参数
if (args == null || args.Length <= 1 || args[0] == null || args[1] == null || args[0] == "" || args[1] == "")
{
logger.Info("启动失败，参数错误");
return;
}
backtestxh = args[0];
String paramStr = args[1];
//生成策略参数
alpha = new AlphaStrategy4();
strategyProps = new Properties();
List <String> paramnames = alpha.GetParameterNames();
String[] paramValueArray = paramStr.Split(',');
if (paramnames.Count != paramValueArray.Length)
{
logger.Info("启动失败，策略参数无效：" + paramStr);
return;
}
for (int i = 0; i < paramnames.Count; i++)
{
strategyProps.Put(paramnames[i], paramValueArray[i]);
}
//读取回测参数
Properties fileprops = Properties.Load(FileUtils.GetDirectory() + "\\alpha.properties", Encoding.UTF8);
Dictionary <String, Properties> propSet = fileprops.Spilt();
backtestProps = propSet["backtest"];
backtestProps["serialno"] = backtestxh.ToString();
//创建策略实例
IStrategyInstance instance = alpha.CreateInstance(backtestxh.ToString(), strategyProps);
//执行策略实例的回测
instance.Initilization();
instance.DoTest(new StrategyContext(), backtestProps);
}
public Task Go()
{
Task task = Task.Factory.StartNew(() =>
{
for (int i = 0; i < param.Count; i++)
{
//准备执行参数
log4net.ILog logger = log4net.LogManager.GetLogger(param[i].backtestxh.ToString());
//启动回测程序并等待结束
IStrategyInstance instance = meta.CreateInstance(param[i].backtestxh, param[i].instanceParam, instanceVersion);
logger.Info("启动回测：...");
instance.Initilization();
instance.DoTest(context, param[i].backtestProp);
String batchno = param[i].backtestProp.Get <String>("batchno");
String resultPath = param[i].backtestProp.Get <String>("resultpath");
resultPath = FileUtils.GetDirectory(resultPath);
String resultFile = resultPath + param[i].backtestxh + ".result";
String batchresultfile = resultPath + batchno + ".result";
if (System.IO.File.Exists(resultFile))
{
String[] content = System.IO.File.ReadAllLines(resultFile);
lock (batchResultFileLocker)
{
System.IO.File.AppendAllLines(batchresultfile, content);
}
logger.Info("合并回测结果：" + ((content == null || content.Length <= 0) ? "" : content[0]));
}
else
{
logger.Warn("没有找到执行结果");
}
}
});
return(task);
}
/// <summary>
/// 查询指定参数
/// </summary>
/// <param name="name"></param>
/// <returns></returns>
public static Object GetParameterValue(this IStrategyInstance instance, String name)
{
KeyValuePair <PropertyDescriptor, Object> kp = instance.Parameters.FirstOrDefault(x => x.Key.hasName(name));
return(kp.Value);
}
public void DoTest(String strategyName = "")
{
IndicatorRepository repository = new IndicatorRepository(backtestParam.Datapath);
repository.Initilization();
backtestParam.Put("repository", repository);
if (strategyName == null || strategyName == "")
{
strategyName = backtestParam.Get <String>("strategy");
}
KeyValuePair <IStrategyMeta, Properties> kv = this.GetStrateMetaAndParam(strategyName);
if (kv.Key == null)
{
return;
}
IStrategyMeta meta = kv.Key;
Properties props = kv.Value;
String version = props.Get <String>("version", "");
IStrategyInstance instance = meta.CreateInstance("1", props, version);
if (instance == null)
{
return;
}
if (backtestParam.Optimization != null && backtestParam.Optimization.ToLower().Contains("ga"))
{
new EvolutionComputer(backtestParam.Optimization).Start(this);
return;
}
List <Properties> instanceParamSet = spiltStrategyParams(props);
int taskCount = this.backtestParam.TaskCount;
List <Task> tasks = new List <Task>();
List <Executor> executors = new List <Executor>();
int instanceCountPerTask = instanceParamSet.Count / taskCount;
List <ExecuteParam> execParams = new List <ExecuteParam>();
int batchno = backtestParam.BatchNo;
String resultPath = backtestParam.Resultpath;
for (int i = 0; i < instanceParamSet.Count; i++)
{
int backtestxh = batchno + i + 1; //回测序号
//结果文件已经有了，跳过
/*String resultfilename = resultPath + backtestxh + ".result";
* if (System.IO.File.Exists(resultfilename))
* continue;
*/
Properties instanceProp = instanceParamSet[i];
Properties backtestProp = backtestParam.Clone();
backtestProp["serialno"] = backtestxh.ToString();
backtestProp["batchno"] = batchno.ToString();
execParams.Add(new ExecuteParam(backtestxh.ToString(), instanceProp, backtestProp));
if (execParams.Count >= instanceCountPerTask)
{
Executor executor = new Executor(this, meta, "", execParams);
executors.Add(executor);
execParams.Clear();
}
}
if (execParams.Count > 0)
{
Executor executor = new Executor(this, meta, "", execParams);
executors.Add(executor);
execParams.Clear();
}
System.IO.File.WriteAllText(resultPath + batchno + ".result", meta.GetBatchResultTitle() + System.Environment.NewLine);
logger.Info("准备执行任务．．．，(任务数=" + executors.Count.ToString() + ")");
executors.ForEach(x => tasks.Add(x.Go()));
Task.WaitAll(tasks.ToArray());
}
