private static void displaySimResult(SimAccount ac, string title)
{
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("pl ratio=" + ac.performance_data.total_pl_ratio);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
Console.WriteLine("max_dd=" + ac.performance_data.max_dd);
Console.WriteLine("max_pl=" + ac.performance_data.max_pl);
Console.WriteLine("ave_holding_period=" + ac.holding_data.holding_period_list.Average());
//LineChart.DisplayLineChart2(ac.performance_data.total_capital_list, ac.log_data.close_log, ac.log_data.buy_points.Values.ToList(), ac.log_data.sell_points.Values.ToList(), title);
var table_labels = new List <string>()
{
"PL Ratio", "Num Trade", "Win Rate", "Max DD", "Max PL", "Ave Holding Period", "Num Force Exit"
};
var table_data = new List <string>()
{
Math.Round(ac.performance_data.total_pl_ratio, 4).ToString(), ac.performance_data.num_trade.ToString(), Math.Round(ac.performance_data.win_rate, 4).ToString(), Math.Round(ac.performance_data.max_dd, 4).ToString(),
Math.Round(ac.performance_data.max_pl, 4).ToString(), Math.Round(ac.holding_data.holding_period_list.Average(), 1).ToString(), ac.performance_data.num_force_exit.ToString()
};
LineChart.DisplayLineChart3(ac.performance_data.total_capital_list, ac.log_data.close_log, ac.performance_data.num_trade_list, table_labels, table_data, "from=" + ac.start_ind.ToString() + ", to=" + ac.end_ind.ToString());
System.Diagnostics.Process.Start(@"/Applications/Google Chrome.app/Contents/MacOS/Google Chrome", @"./line_chart.html");
}
/*
*
*/
public SimAccount sim_entry_timing_ptlc(int from, int to, SimAccount ac, string side, double max_leverage, int entry_interval_miniute, int entry_num, double pt_ratio, double lc_ratio)
{
if (side == "buy" || side == "sell")
{
var strategy = new Strategy();
for (int i = from; i < to - 1; i++)
{
var max_size = max_leverage * ac.performance_data.total_capital / MarketData.Close[i]; //常にレバ２倍になるようにサイズを決める
var actions = strategy.entryTimingPTLCStrategy(i, max_size, ac, side, entry_num, entry_interval_miniute, pt_ratio, lc_ratio);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Close[to]);
ac.calc_sharp_ratio();
}
else
{
Console.WriteLine("Invalid side! " + side);
}
return(ac);
}
public SimAccount sim_win_ga_market(int from, int to, Gene2 chromo, SimAccount ac, double nn_threshold)
{
var nn = new NN();
var strategy = new Strategy();
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNWinGA(i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnitOnlyBuySell(nn_outputs, nn_threshold);
var actions = strategy.GAWinMarketStrategy(i, pred, ac);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
private (double, SimAccount) evaluation(int from, int to, int max_amount, int chro_id, Gene2 chro, int sim_type, double nn_threshold)
{
var ac = new SimAccount();
var sim = new Sim();
//ac = sim.sim_ga(from, to, chro, ac);
if (sim_type == 0)
{
ac = sim.sim_ga_limit(from, to, max_amount, chro, ac);
}
else if (sim_type == 1)
{
ac = sim.sim_ga_market_limit(from, to, max_amount, chro, ac, nn_threshold, true);
}
else
{
Console.WriteLine("GA-evaluation: Invalid Sim Type!");
}
var sm = calcSquareError(ac.total_pl_ratio_list, ac.performance_data.num_trade);
//var eva = ac.performance_data.total_pl * Math.Sqrt(ac.performance_data.num_buy * ac.performance_data.num_sell) / sm;
var eva = ac.performance_data.sharp_ratio * Math.Sqrt(Math.Sqrt(ac.performance_data.num_buy * ac.performance_data.num_sell));
if (ac.performance_data.buy_pl_list.Sum() <= 0 || ac.performance_data.sell_pl_list.Sum() <= 0)
{
eva = 0;
}
if (eva.ToString().Contains("N"))
{
eva = 0;
}
return(eva, ac);
}
public SimAccount sim_ga(int from, int to, Gene2 chromo, SimAccount ac)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNInputData(ac, i);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnit(nn_outputs);
var actions = strategy.GAStrategy(pred, amount, ac);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
/*
*
*/
public StrategyActionData entryTimingPTLCStrategy(int i, double max_amount, SimAccount ac, string side, int num_entry, int entry_interval, double pt_ratio, double lc_ratio)
{
var ad = new StrategyActionData();
var a = max_amount / (Convert.ToDouble(1 + num_entry) * Convert.ToDouble(num_entry) / 2.0);
var entry_amount = (ac.holding_data.holding_entry_num + 1) * a;
if (ac.holding_data.holding_entry_num >= num_entry - 1)
{
entry_amount = max_amount - ac.holding_data.holding_size;
}
var otype = "market";
//0:pt
if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio >= pt_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "0. Profit Taking");
}
//1:lc
else if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio <= lc_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "1. Loss Cut");
}
//2:Entry
else if (ac.holding_data.holding_entry_num < num_entry && ac.holding_data.holding_size < max_amount && i - ac.holding_data.holding_i >= entry_interval)
{
ad.add_action("entry", side, otype, 0, entry_amount, -1, "2. Entry");
}
//3:Holding max amount, no action
else if (ac.holding_data.holding_size < max_amount)
{
}
return(ad);
}
public StrategyActionData GAStrategy(int nn_output, int amount, SimAccount ac)
{
var ad = new StrategyActionData();
var pred_side = nn_output == 1 ? "buy" : "sell";
if (nn_output == 0)
{
pred_side = "no";
}
if (pred_side == "buy" && ac.holding_data.holding_side == "")
{
ad.add_action("entry", pred_side, "market", 0, amount, -1, "entry order");
}
else if (pred_side == "buy" && ac.holding_data.holding_side == "sell")
{
ad.add_action("entry", pred_side, "market", 0, ac.holding_data.holding_size + amount, -1, "exit & entry order");
}
else if (pred_side == "sell" && ac.holding_data.holding_side == "")
{
ad.add_action("entry", pred_side, "market", 0, amount, -1, "entry order");
}
else if (pred_side == "sell" && ac.holding_data.holding_side == "buy")
{
ad.add_action("entry", pred_side, "market", 0, ac.holding_data.holding_size + amount, -1, "exit & entry order");
}
return(ad);
}
private static SimAccount doWinSim(int from, int to, int best_island_id, bool display_chart, double nn_threshold)
{
Console.WriteLine("Started Read Weight Win SIM");
var ga = new GA(0);
var chromo = ga.readWeights(best_island_id, false);
var sim = new Sim();
var ac = new SimAccount();
ac = sim.sim_win_ga_market(from, to, chromo, ac, nn_threshold);
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("pl ratio=" + ac.performance_data.total_pl_ratio);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
if (display_chart)
{
LineChart.DisplayLineChart(ac.total_pl_list, "from=" + from.ToString() + ", to=" + to.ToString() + ", pl=" + ac.performance_data.total_pl.ToString() + ", num_trade=" + ac.performance_data.num_trade.ToString());
}
return(ac);
}
private (double, SimAccount) evaluationSimWin(int from, int to, List <int[]> sim_windows, int chro_id, Gene2 chro, double nn_threshold)
{
var ac = new SimAccount();
var sim_win = new WinSim();
ac = sim_win.sim_win_market(from, to, sim_windows, chro, ac, nn_threshold);
return(ac.performance_data.total_pl, ac);
}
private (double, SimAccount) evaluationSimWin(int from, int to, List <int[]> sim_windows, int chro_id, Gene2 chro, double nn_threshold)
{
var ac = new SimAccount();
var sim_win = new WinSim();
ac = sim_win.sim_win_market(from, to, sim_windows, chro, ac, nn_threshold);
var eva = ac.performance_data.num_trade > 0 ? ac.performance_data.total_pl / Math.Sqrt(Convert.ToDouble(ac.performance_data.num_trade)) : 0;
return(eva, ac);
}
public SimAccount sim_ga(int from, int to, Gene2 chromo, string title)
{
var sim = new Sim();
var ac = new SimAccount();
ac = sim.sim_ga(from, to, chromo, ac);
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
LineChart.DisplayLineChart(ac.total_pl_list, title);
return(ac);
}
//エントリータイミングをx分にy%以上変動した時などに予め限定してエントリーする戦略
public SimAccount sim_entry_timing_ptlc_price_change(int from, int to, SimAccount ac, double max_leverage, int entry_interval_miniute, int entry_num, double pt_ratio, double lc_ratio, int buy_price_change_minutes, double buy_price_change_ratio, int sell_price_change_minutes, double sell_price_change_ratio)
{
var strategy = new Strategy();
for (int i = from; i < to - 1; i++)
{
var max_size = max_leverage * ac.performance_data.total_capital / MarketData.Close[i]; //常にレバ２倍になるようにサイズを決める
var actions = strategy.entryTimingPTLCPriceChangeStrategy(i, max_size, ac, entry_num, entry_interval_miniute, pt_ratio, lc_ratio, buy_price_change_minutes, buy_price_change_ratio, sell_price_change_minutes, sell_price_change_ratio);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
public SimAccount sim_ga_market_limit(int from, int to, int max_amount, Gene2 chromo, string title, bool chart, double nn_threshold)
{
var sim = new Sim();
var ac = new SimAccount();
ac = sim.sim_ga_market_limit(from, to, max_amount, chromo, ac, nn_threshold, false);
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("pl ratio=" + ac.performance_data.total_pl_ratio);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
if (chart)
{
LineChart.DisplayLineChart(ac.total_pl_list, title);
}
return(ac);
}
/*
* buy / sellでエントリー or exitして、常にpositionを保有し続ける。
* orderは全てmarket order
*/
public StrategyActionData GAWinMarketStrategy(int i, int nn_output, SimAccount ac)
{
var ad = new StrategyActionData();
var output_action_list = new string[] { "no", "buy", "sell" };
var pred_side = output_action_list[nn_output];
var buy_entry_price = MarketData.Bid[i]; //- 0.5;
var sell_entry_price = MarketData.Ask[i]; // + 0.5;
var otype = "market";
var amount = 1;
//1. New Entry
if (pred_side != "no" && ac.holding_data.holding_side == "")
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "1. New Entry");
}
//2.Exit Order
else if (pred_side != "no" && (ac.holding_data.holding_side != pred_side))
{
ad.add_action("entry", "", otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, ac.holding_data.holding_size + amount, -1, "2. Eixt and Entry");
}
return(ad);
}
/*
* Window内の右端からbuy or sellの有無を確認して、buy / sellがあれば記録する。
* Buy / selが記録された状態で反対のbuy / sellがあれば値幅として記録。最後に残ったbuy / sellは無視。（最後のプライスで値幅を考慮すると結局全てbuy出すようになる気がする）
*/
public SimAccount sim_win_market(int from, int to, List <int[]> sim_windows, Gene2 chromo, SimAccount ac, double nn_threshold)
{
var nn = new NN();
var nn_input_data_generator = new NNInputDataGenerator();
var pred_list = new List <int>();
for (int i = from; i < to + 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNWinGA(i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
pred_list.Add(nn.getActivatedUnitOnlyBuySell(nn_outputs, nn_threshold));
}
double maker_fee = -0.00025;
int num_trade = 0;
double total_nehaba = 0;
for (int i = 0; i < sim_windows.Count; i++)
{
var buy_price = new List <double>();
var sell_price = new List <double>();
for (int j = sim_windows[i][0]; j <= sim_windows[i][1]; j++)
{
if (pred_list[j - from] == 1 && sell_price.Count == 0)
{
buy_price.Add(MarketData.Bid[j] * (1 + maker_fee));
}
else if (pred_list[j - from] == 2 && buy_price.Count == 0)
{
sell_price.Add(MarketData.Ask[j] * (1 - maker_fee));
}
else if (pred_list[j - from] == 1 && sell_price.Count > 0) //exit sell position
{
var pl = (sell_price[0] - MarketData.Bid[j] * (1 + maker_fee));
ac.performance_data.total_pl += pl;
ac.performance_data.sell_pl_list.Add(pl);
ac.performance_data.realized_pl_list.Add(pl);
ac.performance_data.num_trade++;
total_nehaba += pl;
num_trade++;
sell_price.RemoveAt(0);
}
else if (pred_list[j - from] == 2 && buy_price.Count > 0) //exit buy position
{
var pl = (MarketData.Ask[j] * (1 - maker_fee) - buy_price[0]);
ac.performance_data.total_pl += pl;
ac.performance_data.buy_pl_list.Add(pl);
ac.performance_data.realized_pl_list.Add(pl);
ac.performance_data.num_trade++;
total_nehaba += pl;
num_trade++;
buy_price.RemoveAt(0);
}
}
}
return(ac);
}
public StrategyActionData entryTimingPTLCPriceChangeStrategy(int i, double max_amount, SimAccount ac, int num_entry, int entry_interval, double pt_ratio, double lc_ratio, int buy_price_change_minutes, double buy_price_change_ratio, int sell_price_change_minutes, double sell_price_change_ratio)
{
var ad = new StrategyActionData();
var a = max_amount / (Convert.ToDouble(1 + num_entry) * Convert.ToDouble(num_entry) / 2.0);
var entry_amount = (ac.holding_data.holding_entry_num + 1) * a;
if (ac.holding_data.holding_entry_num >= num_entry - 1)
{
entry_amount = max_amount - ac.holding_data.holding_size;
}
var price_change_trigger = "";
if ((MarketData.Close[i] - MarketData.Close[i - buy_price_change_minutes]) / MarketData.Close[i - buy_price_change_minutes] <= buy_price_change_ratio)
{
price_change_trigger = "buy";
}
else if ((MarketData.Close[i] - MarketData.Close[i - sell_price_change_minutes]) / MarketData.Close[i - sell_price_change_minutes] >= sell_price_change_ratio)
{
price_change_trigger = "sell";
}
var otype = "market";
//0:pt
if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio >= pt_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "0. Profit Taking");
}
//1:lc
else if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio <= lc_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "1. Loss Cut");
}
//2:Entry
else if (price_change_trigger != "" && ac.holding_data.holding_entry_num < num_entry && ac.holding_data.holding_size < max_amount && i - ac.holding_data.holding_i >= entry_interval)
{
ad.add_action("entry", price_change_trigger, otype, 0, entry_amount, -1, "2. Entry");
}
//3:Holding max amount, no action
else if (ac.holding_data.holding_size < max_amount)
{
}
return(ad);
}
public SimAccount sim_ga_limit(int from, int to, int max_amount, Gene2 chromo, SimAccount ac)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNInputDataLimit(ac, i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnit(nn_outputs);
var actions = strategy.GALimitStrategy2(i, pred, amount, max_amount, ac);
//check invalid ac situation
if (ac.order_data.order_side.Count > 1)
{
Console.WriteLine("Sim: # of order is more than 1 !");
}
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
else if (actions.action[j] == "cancel")
{
ac.cancel_all_order(i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update amount")
{
ac.update_order_amount(actions.order_size[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update price")
{
ac.update_order_price(actions.order_price[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else
{
Console.WriteLine("Sim: Unknown strategy action !");
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
//複数chromを使ったsimを行い、それらの結果の総合したパフォーマンスを表示する。
public SimAccount sim_ga_multi_chromo(int from, int to, int max_amount, List <Gene2> chromo, string title, bool chart, List <double> nn_threshold)
{
var ac_list = new List <SimAccount>();
for (int i = 0; i < chromo.Count; i++)
{
var sim = new Sim();
var ac = new SimAccount();
ac = sim.sim_ga_market_limit(from, to, max_amount, chromo[i], ac, nn_threshold[i], false);
ac_list.Add(ac);
Console.WriteLine("Chromo-" + i.ToString() + ":");
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
}
//各chrom sim結果を平均する。
var ac_master = new SimAccount();
var buy_pl_sum = 0.0;
var sell_pl_sum = 0.0;
for (int i = 0; i < ac_list[0].total_pl_list.Count; i++)
{
ac_master.total_pl_list.Add(ac_list[0].total_pl_list[i]);
ac_master.total_pl_ratio_list.Add(ac_list[0].total_pl_ratio_list[i]);
}
for (int i = 0; i < chromo.Count; i++)
{
ac_master.performance_data.num_trade += ac_list[i].performance_data.num_trade;
ac_master.performance_data.num_buy += ac_list[i].performance_data.num_buy;
ac_master.performance_data.num_sell += ac_list[i].performance_data.num_sell;
ac_master.performance_data.num_win += ac_list[i].performance_data.num_win;
ac_master.performance_data.total_pl += ac_list[i].performance_data.total_pl;
ac_master.performance_data.total_pl_ratio += ac_list[i].performance_data.total_pl_ratio;
buy_pl_sum += ac_list[i].performance_data.buy_pl_list.Sum();
sell_pl_sum += ac_list[i].performance_data.sell_pl_list.Sum();
for (int j = 0; j < ac_list[i].total_pl_list.Count; j++)
{
if (i > 0)
{
ac_master.total_pl_list[j] += ac_list[i].total_pl_list[j];
ac_master.total_pl_ratio_list[j] += ac_list[i].total_pl_ratio_list[j];
}
}
}
for (int i = 0; i < ac_list[0].total_pl_list.Count; i++)
{
ac_master.total_pl_list[i] = ac_master.total_pl_list[i] / Convert.ToDouble(ac_list.Count);
ac_master.total_pl_ratio_list[i] = ac_master.total_pl_ratio_list[i] / Convert.ToDouble(ac_list.Count);
}
Console.WriteLine("");
Console.WriteLine("Master Results:");
Console.WriteLine("pl=" + ac_master.performance_data.total_pl / Convert.ToDouble(ac_list.Count));
Console.WriteLine("num trade=" + ac_master.performance_data.num_trade / Convert.ToDouble(ac_list.Count));
Console.WriteLine("num market order=" + ac_master.performance_data.num_maker_order);
if (ac_master.performance_data.num_trade > 0)
{
Console.WriteLine("win rate=" + ac_master.performance_data.num_win / ac_master.performance_data.num_trade);
}
else
{
Console.WriteLine("win rate=" + "0");
}
Console.WriteLine("num_buy=" + ac_master.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac_master.performance_data.num_sell);
Console.WriteLine("buy_pl=" + buy_pl_sum);
Console.WriteLine("sell_pl=" + sell_pl_sum);
if (chart)
{
LineChart.DisplayLineChart(ac_master.total_pl_ratio_list, title);
}
return(ac_master);
}
public SimAccount sim_ga_market_limit(int from, int to, int max_amount, Gene2 chromo, SimAccount ac, double nn_threshold, bool stop_no_trade)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
var zero_trade_check_point = 0.1; //to - fromの間のx%進捗した時にnum trade=0だったらsimを打ち切る。
for (int i = from; i < to - 1; i++)
{
//check num trade=0 discontinue sim
if (stop_no_trade && i - from > ((to - from) * zero_trade_check_point) && ac.performance_data.num_trade == 0)
{
//Console.WriteLine("Stopped sim due to zero trade.");
break;
}
var nn_inputs = nn_input_data_generator.generateNNInputDataLimit(ac, i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnitLimitMarket(nn_outputs, nn_threshold);
var actions = strategy.GALimitMarketStrategy(i, pred, amount, max_amount, ac);
//check invalid ac situation
if (ac.order_data.order_side.Count > 1)
{
Console.WriteLine("Sim: # of order is more than 1 !");
}
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
else if (actions.action[j] == "cancel")
{
ac.cancel_all_order(i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update amount")
{
ac.update_order_amount(actions.order_size[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update price")
{
ac.update_order_price(actions.order_price[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else
{
Console.WriteLine("Sim: Unknown strategy action !");
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
public double[] generateNNInputDataLimit(SimAccount ac, int i, int[] index)
{
var input_data = new List <double>();
//Divergence_minmax_scale
if (index[0] == 1)
{
foreach (var d in MarketData.Divergence_minmax_scale[i])
{
input_data.Add(d);
}
}
//vola_kyori_minmax_scale
if (index[1] == 1)
{
foreach (var d in MarketData.Volakyori_minmax_scale[i])
{
input_data.Add(d);
}
}
//vol ma divergence minmax scale
if (index[2] == 1)
{
foreach (var d in MarketData.Vol_ma_divergence_minmax_scale[i])
{
input_data.Add(d);
}
}
//buy sell vol ratio
if (index[3] == 1)
{
foreach (var d in MarketData.Buysell_vol_ratio_minmax_scale[i])
{
input_data.Add(d);
}
}
//rsi
if (index[4] == 1)
{
foreach (var d in MarketData.Rsi_scale[i])
{
input_data.Add(d);
}
}
//uwahige
if (index[5] == 1)
{
foreach (var d in MarketData.Uwahige_scale[i])
{
input_data.Add(d);
}
}
//shitahige
if (index[6] == 1)
{
foreach (var d in MarketData.Shitahige_scale[i])
{
input_data.Add(d);
}
}
//order side
if (ac.order_data.order_side.Count > 0)
{
if (ac.order_data.getLastOrderSide() == "buy")
{
input_data.Add(1);
input_data.Add(0);
}
else if (ac.order_data.getLastOrderSide() == "sell")
{
input_data.Add(0);
input_data.Add(1);
}
else
{
Console.WriteLine("Unknown order side! " + ac.order_data.order_side[ac.order_data.order_serial_list[0]]);
input_data.Add(0);
input_data.Add(0);
}
}
else
{
input_data.Add(0);
input_data.Add(0);
}
//holding side
if (ac.holding_data.holding_side == "buy")
{
input_data.Add(1);
input_data.Add(0);
}
else if (ac.holding_data.holding_side == "sell")
{
input_data.Add(0);
input_data.Add(1);
}
else
{
input_data.Add(0);
input_data.Add(0);
}
//holding size
//assumed max amount = 5
/*
* var max_amount = 3;
* for (int j = 0; j < max_amount; j++)
* {
* if (ac.holding_data.holding_size > j)
* input_data.Add(1);
* else
* input_data.Add(0);
* }
*/
//unrealized_pl = amount * (price - holding_price)
//(price - holding_price) / holding_price <-目的式
//(unrealized_pl / amount) / holding_price
//-20 - 20%の損益率を20unitで表現する。
var pl_ratio = ac.holding_data.holding_size > 0 ? 100.0 * (ac.performance_data.unrealized_pl / ac.holding_data.holding_size) / (ac.holding_data.holding_price) : 0;
for (int j = 1; j < 21; j++)
{
if (pl_ratio >= -20 + (j * 2.0))
{
input_data.Add(1);
}
else
{
input_data.Add(0);
}
}
/*
* //holding period
* for (int j = 1; j < 21; j++)
* {
* if (ac.holding_data.holding_period >= j * 10)
* input_data.Add(1);
* else
* input_data.Add(0);
* }
*/
if (input_data.Contains(Double.NaN))
{
Console.WriteLine("NNInputDataGenerator: Nan is included !");
}
return(input_data.ToArray());
}
public double[] generateNNInputData(SimAccount ac, int i)
{
var input_data = new List <double>();
//Divergence_minmax_scale
//foreach (var d in MarketData.Divergence_minmax_scale[i])
// input_data.Add(d);
//vola_kyori
//ac holding side
if (ac.holding_data.holding_side == "buy")
{
input_data.Add(0);
input_data.Add(1);
input_data.Add(0);
}
else if (ac.holding_data.holding_side == "sell")
{
input_data.Add(0);
input_data.Add(0);
input_data.Add(1);
}
else
{
input_data.Add(1);
input_data.Add(0);
input_data.Add(0);
}
//ac pl, 損益率を2unitにわけて表現する
if (ac.performance_data.unrealized_pl == 0)
{
input_data.Add(0);
input_data.Add(0);
}
else if (ac.performance_data.unrealized_pl > 0)
{
//unrealized_pl = amount * (price - holding_price)
//(price - holding_price) / holding_price <-目的式
//(unrealized_pl / amount) / holding_price
input_data.Add((ac.performance_data.unrealized_pl / ac.holding_data.holding_size) / (ac.holding_data.holding_price));
input_data.Add(0);
}
else
{
input_data.Add(0);
input_data.Add(-1.0 * (ac.performance_data.unrealized_pl / ac.holding_data.holding_size) / (ac.holding_data.holding_price));
}
//holding period
if (ac.holding_data.holding_period == 0)
{
input_data.Add(0);
}
else
{
input_data.Add(1.0 / ac.holding_data.holding_period);
}
//unrealized pl / holding period
if (ac.holding_data.holding_period == 0)
{
input_data.Add(0);
}
else
{
input_data.Add(ac.performance_data.unrealized_pl / ac.holding_data.holding_period);
}
//unrealize pl change
return(input_data.ToArray());
}
/*
* NNでは最大出力ユニットを発火としているが、limit / marketのorder typeの別を決めるためにNN-ActivateUnitで最後のユニットが0.5以上・未満を判定してorder typeとして出力するように変更が必要。
*/
//nn_output = "no", "buy", "sell", "cancel", "Market / Limit"
public StrategyActionData GALimitMarketStrategy(int i, List <int> nn_output, int amount, int max_amount, SimAccount ac)
{
var ad = new StrategyActionData();
var output_action_list = new string[] { "no", "buy", "sell", "cancel" };
var pred_side = output_action_list[nn_output[0]];
var otype = nn_output[1] == 0 ? "market" : "limit";
var buy_entry_price = MarketData.Bid[i]; //- 0.5;
var sell_entry_price = MarketData.Ask[i]; // + 0.5;
var update_price_kijun = 10;
//check invalid situation
if (ac.holding_data.holding_size > max_amount)
{
Console.WriteLine("Sim Strategy: Holding size is larger than max_amount !");
}
//1. No / Cancel
if (pred_side == "no")
{
if (ac.order_data.getLastOrderSide() != "" && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) > update_price_kijun)
{
ad.add_action("update price", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, -1, ac.order_data.getLastSerialNum(), "1. No: update order price");
}
}
else if (pred_side == "cancel")
{
if (ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.getLastSerialNum(), "1. Cancel: cancel all order");
}
}
else
{
//2. New Entry
if (ac.holding_data.holding_side == "" && pred_side != ac.order_data.getLastOrderSide() && ac.order_data.getLastOrderSide() == "")
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "2. New Entry");
}
//3.Update Price
else if (ac.order_data.getLastOrderSide() == pred_side && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) > update_price_kijun)
{
ad.add_action("update price", "", otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, -1, ac.order_data.getLastSerialNum(), "3. update order price");
}
//4. Additional Entry (pred = holding sideで現在orderなく、holding sizeにamount加えてもmax_amount以下の時に追加注文）
else if (ac.holding_data.holding_side == pred_side && ac.holding_data.holding_size + amount <= max_amount && ac.order_data.getLastOrderSide() == "")
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "4. Additional Entry");
}
//5. Exit (holding side != predでかつpred sideのorderがない時にexit orderを出す）
else if ((ac.holding_data.holding_side != pred_side && ac.holding_data.holding_side != "") && (pred_side != ac.order_data.getLastOrderSide()))
{
//もし既存のadditional orderがあったらまずはそれをキャンセル）
if (ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.getLastSerialNum(), "5. cancel all order");
}
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, ac.holding_data.holding_size, -1, "5. Exit Entry");
}
//6. Opposite Order Cancel
else if (pred_side != ac.order_data.getLastOrderSide() && ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.getLastSerialNum(), "6. cancel all order");
if (ac.holding_data.holding_size + amount <= max_amount)
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "6. Opposite Entry");
}
if (ac.holding_data.holding_side != "" && ac.holding_data.holding_side != pred_side)
{
Console.WriteLine("Strategy: Opposite holding exist while cancelling opposite order !");
}
}
else
{
//7. Others1 (既にmax amountのholdingがあり、pred side=holding sideで何もしなくて良い場合）
if (ac.holding_data.holding_size >= max_amount && ac.holding_data.holding_side == pred_side)
{
}
//8.Others2(holding side == pred sideで既にpred sideのorderが存在しており、その価格の更新が不要な場合）
else if (ac.holding_data.holding_side == pred_side && ac.order_data.getLastOrderSide() == pred_side && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) <= update_price_kijun)
{
}
//9. Others3 (holding side != predで既にexit orderが存在しており、update priceも不要な場合)
else if (ac.holding_data.holding_side != pred_side && ac.order_data.getLastOrderSide() == pred_side && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) <= update_price_kijun)
{
}
//10.Others4(holding side == pred sideでorderもない場合）
else if (ac.holding_data.holding_side == pred_side && ac.order_data.getLastOrderSide() == "")
{
}
else
{
Console.WriteLine("Strategy - Unknown Situation !");
}
}
}
return(ad);
}
public void startAnalysis3(List <Dictionary <string, double> > param_data, List <int> buy_price_change_minutes, List <double> buy_price_change_ratio, List <int> sell_price_change_minutes, List <double> sell_price_change_ratio)
{
var analytics_params = new List <double[]>();
var parameter_id = 0;
var num_all_trials = param_data.Count * buy_price_change_minutes.Count * buy_price_change_ratio.Count * sell_price_change_minutes.Count * sell_price_change_ratio.Count;
var holding_periods = new ConcurrentDictionary <int, double>();
var total_pl = new ConcurrentDictionary <int, double>();
var num_trade = new ConcurrentDictionary <int, int>();
var win_rate = new ConcurrentDictionary <int, double>();
var max_dd = new ConcurrentDictionary <int, double>();
var max_pl = new ConcurrentDictionary <int, double>();
var num_force_exit = new ConcurrentDictionary <int, int>();
for (int i = 0; i < param_data.Count; i++)
{
for (int j = 0; j < buy_price_change_minutes.Count; j++)
{
for (int k = 0; k < buy_price_change_ratio.Count; k++)
{
for (int l = 0; l < sell_price_change_minutes.Count; l++)
{
for (int m = 0; m < sell_price_change_ratio.Count; m++)
{
var ac = new SimAccount();
var sim = new Sim();
var entry_num = Convert.ToInt32(param_data[i]["entry_num"]);
var entry_interval = Convert.ToInt32(param_data[i]["entry_interval"]);
var leverage = param_data[i]["leverage"];
var pt = param_data[i]["pt"];
var lc = param_data[i]["lc"];
analytics_params.Add(new double[] { leverage, Convert.ToDouble(entry_num), Convert.ToDouble(entry_interval), pt, lc, Convert.ToDouble(buy_price_change_minutes[j]), buy_price_change_ratio [k], Convert.ToDouble(sell_price_change_minutes[l]), sell_price_change_ratio[m] });
ac = sim.sim_entry_timing_ptlc_price_change(1000, MarketData.Close.Count - 1, ac, leverage, entry_interval, entry_num, pt, lc, buy_price_change_minutes[j], buy_price_change_ratio[k], sell_price_change_minutes[l], sell_price_change_ratio[m]);
holding_periods[parameter_id] = Math.Round(ac.holding_data.holding_period_list.Average(), 1);
total_pl[parameter_id] = Math.Round(ac.performance_data.total_pl, 1);
num_trade[parameter_id] = ac.performance_data.num_trade;
win_rate[parameter_id] = ac.performance_data.win_rate;
max_dd[parameter_id] = ac.performance_data.max_dd;
max_pl[parameter_id] = ac.performance_data.max_pl;
num_force_exit[parameter_id] = ac.performance_data.num_force_exit;
var progress_ratio = Math.Round(Convert.ToDouble(parameter_id) / num_all_trials, 4);
Console.WriteLine("************************************ (" + progress_ratio.ToString() + "%)" + parameter_id.ToString() + " / " + num_all_trials.ToString() + " ************************************");
Console.WriteLine("id=" + parameter_id.ToString() + ", leverage=" + leverage.ToString() + ", entry_num=" + entry_num.ToString() + ", interval=" + entry_interval.ToString() + ", pt ratio=" + pt.ToString() + ", lc ratio=" + lc.ToString() + ", buy change minute=" + buy_price_change_minutes[j].ToString() + ", buy change ratio=" + buy_price_change_ratio[k].ToString() + ", sell change minute=" + sell_price_change_minutes[l].ToString() + ", sell change ratio=" + sell_price_change_ratio[m].ToString());
Console.WriteLine("holding period=" + ac.holding_data.holding_period_list.Average().ToString() + ", num trade=" + ac.performance_data.num_trade + ", win rate=" + ac.performance_data.win_rate.ToString() + ", pl=" + ac.performance_data.total_pl.ToString() + ", max_dd=" + ac.performance_data.max_dd.ToString() + ", max pl=" + ac.performance_data.max_pl);
parameter_id++;
}
}
}
}
}
Console.WriteLine("Writing results...");
using (StreamWriter sw = new StreamWriter("statistics analysis3" + ".csv", false, Encoding.UTF8))
{
sw.WriteLine("ID,leverage,entry num,entry interval,pt,lc,buy change minutes,buy change ratio,sell change minutes,sell change ratio,holding period,pl,num trade,win rate,max dd,max pl,num_force_exit");
for (int i = 0; i < parameter_id; i++)
{
sw.WriteLine(i.ToString() + "," + analytics_params[i][0].ToString() + "," + analytics_params[i][1].ToString() + "," + analytics_params[i][2].ToString() + "," + analytics_params[i][3].ToString() + "," + analytics_params[i][4].ToString() + "," + analytics_params[i][5].ToString() + "," + analytics_params[i][6].ToString() + "," + analytics_params[i][7].ToString() + "," + analytics_params[i][8].ToString() + "," +
holding_periods[i].ToString() + "," + holding_periods[i].ToString() + "," + total_pl[i].ToString() + "," + total_pl[i].ToString() + "," + num_trade[i].ToString() + "," + win_rate[i].ToString() + "," + max_dd[i].ToString() + "," + "," + max_pl[i].ToString() + "," + "," + num_force_exit[i].ToString());
}
}
Console.WriteLine("Completed Statistics Analysis3");
}
public static void Main(string[] args)
{
Console.WriteLine("# of CPU cores=" + System.Environment.ProcessorCount.ToString());
var key = "";
while (true)
{
Console.WriteLine("\"ga\" : island GA");
Console.WriteLine("\"sim\" : read sim");
Console.WriteLine("\"mul ga\" : multi strategy ga");
Console.WriteLine("\"mul sim\" : multi strategy sim");
Console.WriteLine("\"conti\" : do ga / sim continuously");
Console.WriteLine("\"win ga\" : do win ga");
Console.WriteLine("\"win sim\" : do win sim");
Console.WriteLine("\"sa1\" : statistics analysis1");
Console.WriteLine("\"sa2\" : statistics analysis2");
Console.WriteLine("\"sa3\" : statistics analysis3");
Console.WriteLine("\"ptlc sim\" : ptlc periodical entry sim");
Console.WriteLine("\"write\" : write MarketData");
Console.WriteLine("\"test\" : test");
key = Console.ReadLine();
if (key == "ga" || key == "sim" || key == "mul ga" || key == "mul sim" || key == "win ga" || key == "conti" || key == "win ga" || key == "win sim" || key == "write" || key == "test" || key == "sa1" || key == "sa2" || key == "sa3" || key == "ptlc sim")
{
break;
}
}
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
Console.WriteLine("started program.");
List <int> terms = new List <int>();
for (int i = 10; i < 100; i = i + 10)
{
terms.Add(i);
}
MarketData.initializer(terms);
var from = 1000;
var to = MarketData.Close.Count - 1;
int max_amount = 1;
var index = new int[] { 0, 0, 0, 1, 1, 0, 0 };
double nn_threshold = 0.7;
int best_island_id = 0;
bool display_chart = true;
var sim_type = 1; //0:limit, 1:market/limit
if (key == "test")
{
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
LineChart.DisplayLineChart2(ac.total_pl_list, ac.log_data.close_log, ac.log_data.buy_points.Values.ToList(), ac.log_data.sell_points.Values.ToList(), "test");
System.Diagnostics.Process.Start(@"/Applications/Google Chrome.app/Contents/MacOS/Google Chrome", @"./line_chart.html");
}
//read weight sim
if (key == "sim")
{
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
LineChart.DisplayLineChart2(ac.total_pl_list, ac.log_data.close_log, ac.log_data.buy_points.Values.ToList(), ac.log_data.sell_points.Values.ToList(), "test");
System.Diagnostics.Process.Start(@"/Applications/Google Chrome.app/Contents/MacOS/Google Chrome", @"./line_chart.html");
}
//island ga
else if (key == "ga")
{
int num_island = 1;
int num_chromos = 4;
int num_generations = 100;
int banned_move_period = 5;
var units = new int[] { 42, 90, 5 };
var mutation_rate = 0.7;
var move_ratio = 0.5;
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
doSim(to, MarketData.Close.Count - 1, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
}
//multi strategy combination sim
else if (key == "mul ga")
{
var index_list = new List <int[]> {
new int[] { 1, 0, 0, 0, 0, 0, 0 }, new int[] { 0, 1, 0, 0, 0, 0, 0 }, new int[] { 0, 0, 1, 0, 0, 0, 0 }
};
var units_list = new List <int[]> {
new int[] { 34, 10, 5 }, new int[] { 34, 10, 5 }, new int[] { 34, 10, 5 }
};
var best_pl_list = new List <List <double> >();
var best_ac_list = new List <SimAccount>();
int num_island = 2;
int num_chromos = 4;
int num_generations = 30;
int banned_move_period = 3;
var mutation_rate = 0.7;
var move_ratio = 0.5;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < index_list.Count; i++)
{
best_island_id = doGA(from, to, max_amount, num_island, num_chromos, num_generations, banned_move_period, units_list[i], mutation_rate, move_ratio, index_list[i], display_chart, nn_threshold);
var ac = doSim(from, to, max_amount, sim_type, best_island_id, display_chart, nn_threshold);
best_pl_list.Add(ac.total_pl_ratio_list);
best_ac_list.Add(ac);
if (File.Exists(@"./log_best_weight_ID-" + i.ToString() + ".csv"))
{
File.Delete(@"./log_best_weight_ID-" + i.ToString() + ".csv");
}
File.Copy(@"./best_weight_ID-" + best_island_id.ToString() + ".csv", @"./log_best_weight_ID-" + i.ToString() + ".csv");
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
doMultiSim(to, MarketData.Close.Count - 1, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "mul sim")
{
var num_best_chromo = 3;
var id_list = new List <int>();
var nn_threshold_list = new List <double>();
for (int i = 0; i < num_best_chromo; i++)
{
id_list.Add(i);
nn_threshold_list.Add(nn_threshold);
}
doMultiSim(from, to, max_amount, id_list, true, nn_threshold_list);
}
else if (key == "win ga")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 200;
int banned_move_period = 5;
int num_random_windows = 10;
index = new int[] { 0, 0, 0, 1, 0, 0, 0 };
var units = new int[] { 10, 30, 3 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
best_island_id = doWinGA(from, to, num_random_windows, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
doWinSim(from, to, best_island_id, true, nn_threshold);
doWinSim(to, MarketData.Close.Count - 1, best_island_id, true, nn_threshold);
}
else if (key == "win sim")
{
doWinSim(from, to, best_island_id, true, nn_threshold);
}
else if (key == "sa1")
{
var sa = new StatisticsAnalysis();
var data_entry_points = Enumerable.Range(0, MarketData.Close.Count).Where(i => i % 1000 == 0).ToList();
//var entry_num = Enumerable.Range(1, 100).Where(i => i % 5 == 0).ToList();
var entry_num = new List <int>()
{
1, 5, 50, 100
};
//var entry_interval = Enumerable.Range(1, 100).Where(i => i % 5 == 0).ToList();
var entry_interval = new List <int>()
{
1, 5, 50, 100
};
//var ptlc_ratio = Enumerable.Range(2, 100).ToList().ConvertAll(x => Math.Round(x * 0.1,1)).ToList();
var ptlc_ratio = new List <double>()
{
0.2, 1, 5, 15
};
sa.startAnalysis1(data_entry_points, entry_num, entry_interval, entry_interval, ptlc_ratio);
}
else if (key == "sa2")
{
var sa = new StatisticsAnalysis();
/*var leverages = new List<double>() { 0.5,1,1.5,2,2.5,3,5};
* var entry_num = new List<int>() { 1, 5, 50, 100 };
* var entry_interval = new List<int>() { 1, 5, 50, 100 };
* var pt_ratio = new List<double>() { 0.05, 0.07, 0.1, 0.15, 0.2, 0.25 };
* var lc_ratio = new List<double>() { -0.05, -0.07, -0.1, -0.15, -0.2, -0.25 };*/
var leverages = new List <double>()
{
0.5, 5
};
var entry_num = new List <int>()
{
1, 5
};
var entry_interval = new List <int>()
{
1, 5
};
var pt_ratio = new List <double>()
{
0.05, 0.15
};
var lc_ratio = new List <double>()
{
-0.05, -0.15
};
sa.startAnalysis2(pt_ratio, lc_ratio, leverages, entry_interval, entry_num);
}
else if (key == "sa3")
{
var sa = new StatisticsAnalysis();
var buy_price_change_minutes = new List <int>()
{
10, 30, 60, 90, 300, 600
};
var buy_price_change_ratio = new List <double>()
{
-0.01, -0.05, -0.07, -0.1, -0.15, -0.25
};
var sell_price_change_minutes = new List <int>()
{
10, 30, 60, 90, 300, 600
};
var sell_price_change_ratio = new List <double>()
{
0.01, 0.05, 0.07, 0.1, 0.15, 0.25
};
var param_data = new List <Dictionary <string, double> >();
var param1 = new Dictionary <string, double>()
{
{ "leverage", 3.0 }, { "entry_num", 100 }, { "entry_interval", 5 }, { "pt", 0.25 }, { "lc", -0.2 }
};
var param2 = new Dictionary <string, double>()
{
{ "leverage", 2.0 }, { "entry_num", 50 }, { "entry_interval", 5 }, { "pt", 0.07 }, { "lc", -0.2 }
};
var param3 = new Dictionary <string, double>()
{
{ "leverage", 2.0 }, { "entry_num", 5 }, { "entry_interval", 5 }, { "pt", 0.15 }, { "lc", -0.2 }
};
param_data.Add(param1);
param_data.Add(param2);
param_data.Add(param3);
sa.startAnalysis3(param_data, buy_price_change_minutes, buy_price_change_ratio, sell_price_change_minutes, sell_price_change_ratio);
}
else if (key == "conti")
{
int num_island = 2;
int num_chromos = 4;
int num_generations = 20;
int banned_move_period = 2;
var units = new int[] { 67, 5, 5, 5, 5 };
var mutation_rate = 0.5;
var move_ratio = 0.2;
var sim_period = 5000;
var ga_period = 10000;
var conti_from = from;
var ac_list = new List <SimAccount>();
var all_pl_list = new List <double>();
all_pl_list.Add(0);
var all_num_trade = 0;
while (to > sim_period + ga_period + conti_from)
{
best_island_id = doGA(conti_from, conti_from + ga_period, max_amount, num_island, num_chromos, num_generations, banned_move_period, units, mutation_rate, move_ratio, index, display_chart, nn_threshold);
ac_list.Add(doSim(conti_from + ga_period, conti_from + ga_period + sim_period, max_amount, sim_type, best_island_id, true, nn_threshold));
foreach (var p in ac_list.Last().total_pl_list)
{
all_pl_list.Add(all_pl_list.Last() + p);
}
all_num_trade += ac_list.Last().performance_data.num_trade;
conti_from += sim_period;
}
Console.WriteLine("Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
LineChart.DisplayLineChart(all_pl_list, "from=" + (from + ga_period).ToString() + ", to=" + (conti_from + ga_period + sim_period).ToString() + ", Total pl =" + all_pl_list.Last().ToString() + ", num trade=" + all_num_trade.ToString());
}
else if (key == "ptlc sim")
{
var pt = 0.07;
var lc = -0.2;
var leverage = 2;
var side = "buy";
var entry_interval_minutes = 5;
var entry_num = 50;
var ac = new SimAccount();
var sim = new Sim();
ac = sim.sim_entry_timing_ptlc(from, to, ac, side, leverage, entry_interval_minutes, entry_num, pt, lc);
displaySimResult(ac, "ptlc sim from:" + from.ToString() + " to:" + to.ToString() + ", pl=" + ac.performance_data.total_pl.ToString() + ", num=" + ac.performance_data.num_trade.ToString());
}
else if (key == "write")
{
MarketData.writeData();
}
stopWatch.Stop();
Console.WriteLine("Completed all processes.");
Console.WriteLine("Time Elapsed (sec)=" + stopWatch.Elapsed.TotalSeconds.ToString());
}
/*常にlimit entry、num order = 1以下。
* 1. pred_side == order_sideのときは、max_amountに達するまでamountを追加してupdate price
* 2. pred_side != order_sideのときは、cancel all orders, pred_sideにamountのlimit orderを出す。
* 3. pred_side == holding_sideのときは、max_amountに達するまでamountのlimit orderを出す。
* 4. pred_side != holding_sideのときは、amount + holding_sizeのlimit orderを出す
*
*/
public StrategyActionData GALimitStrategy(int i, int nn_output, int amount, int max_amount, SimAccount ac)
{
var ad = new StrategyActionData();
var output_action_list = new string[] { "no", "buy", "sell", "cancel" };
var pred_side = output_action_list[nn_output];
if (pred_side == "no")
{
}
else if (pred_side == "cancel")
{
if (ac.order_data.getLastSerialNum() > 0)
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.order_serial_list.Last(), "cancel all order");
}
}
else
{
if (pred_side == ac.order_data.getLastOrderSide()) //1.
{
if (ac.holding_data.holding_size + ac.order_data.getLastOrderSize() < max_amount)
{
ad.add_action("update amount", pred_side, "limit", 0, ac.order_data.getLastOrderSize() + amount, ac.order_data.order_serial_list.Last(), "update order amount");
}
//if ((ac.order_data.getLastOrderSide() == "buy" && MarketData.Close[i] > ac.order_data.getLastOrderPrice()) || (ac.order_data.getLastOrderSide() == "sell" && MarketData.Close[i] < ac.order_data.getLastOrderPrice()))
if (ac.order_data.getLastOrderPrice() != MarketData.Close[i])
{
ad.add_action("update price", pred_side, "limit", MarketData.Close[i], ac.order_data.getLastOrderSize(), ac.order_data.order_serial_list.Last(), "update order price");
}
}
else if (pred_side != ac.order_data.getLastOrderSide()) //2.
{
if (ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.order_serial_list.Last(), "cancel all order");
}
if ((pred_side == ac.holding_data.holding_side && ac.holding_data.holding_size + amount > max_amount) == false)
{
ad.add_action("entry", pred_side, "limit", MarketData.Close[i], amount, -1, "entry order");
}
}
else if (pred_side == ac.holding_data.holding_side && ac.holding_data.holding_size + ac.order_data.getLastOrderSize() < max_amount) //3.
{
ad.add_action("entry", pred_side, "limit", MarketData.Close[i], amount, -1, "entry order");
}
else if (pred_side != ac.holding_data.holding_side && ac.order_data.getLastOrderSide() != pred_side) //4.
{
ad.add_action("entry", pred_side, "limit", MarketData.Close[i], Math.Min(ac.holding_data.holding_size + amount, ac.holding_data.holding_size + max_amount), -1, "entry order");
}
}
return(ad);
}
public void startAnalysis2(List <double> pt_list, List <double> lc_list, List <double> leverage_list, List <int> entry_interval_minutes, List <int> entry_num_list)
{
var analytics_params = new List <double[]>();
var parameter_id = 0;
var num_all_trials = pt_list.Count * lc_list.Count * leverage_list.Count * entry_interval_minutes.Count * entry_num_list.Count;
var buy_holding_periods = new ConcurrentDictionary <int, double>();
var sell_holding_periods = new ConcurrentDictionary <int, double>();
var buy_total_pl = new ConcurrentDictionary <int, double>();
var sell_total_pl = new ConcurrentDictionary <int, double>();
var buy_num_trade = new ConcurrentDictionary <int, int>();
var sell_num_trade = new ConcurrentDictionary <int, int>();
var buy_win_rate = new ConcurrentDictionary <int, double>();
var sell_win_rate = new ConcurrentDictionary <int, double>();
var buy_max_dd = new ConcurrentDictionary <int, double>();
var sell_max_dd = new ConcurrentDictionary <int, double>();
var buy_max_pl = new ConcurrentDictionary <int, double>();
var sell_max_pl = new ConcurrentDictionary <int, double>();
var buy_num_force_exit = new ConcurrentDictionary <int, int>();
var sell_num_force_exit = new ConcurrentDictionary <int, int>();
for (int i = 0; i < pt_list.Count; i++)
{
for (int j = 0; j < lc_list.Count; j++)
{
for (int k = 0; k < leverage_list.Count; k++)
{
for (int l = 0; l < entry_interval_minutes.Count; l++)
{
for (int m = 0; m < entry_num_list.Count; m++)
{
var ac_buy = new SimAccount();
var ac_sell = new SimAccount();
var sim = new Sim();
analytics_params.Add(new double[] { leverage_list[k], Convert.ToDouble(entry_interval_minutes[l]), Convert.ToDouble(entry_num_list[m]), pt_list[i], lc_list[j] });
ac_buy = sim.sim_entry_timing_ptlc(1000, MarketData.Close.Count - 1, ac_buy, "buy", leverage_list[k], entry_interval_minutes[l], entry_num_list[m], pt_list[i], lc_list[j]);
ac_sell = sim.sim_entry_timing_ptlc(1000, MarketData.Close.Count - 1, ac_sell, "sell", leverage_list[k], entry_interval_minutes[l], entry_num_list[m], pt_list[i], lc_list[j]);
buy_holding_periods[parameter_id] = Math.Round(ac_buy.holding_data.holding_period_list.Average(), 1);
sell_holding_periods[parameter_id] = Math.Round(ac_sell.holding_data.holding_period_list.Average(), 1);
buy_total_pl[parameter_id] = Math.Round(ac_buy.performance_data.total_pl, 1);
sell_total_pl[parameter_id] = Math.Round(ac_sell.performance_data.total_pl, 1);
buy_num_trade[parameter_id] = ac_buy.performance_data.num_trade;
sell_num_trade[parameter_id] = ac_sell.performance_data.num_trade;
buy_win_rate[parameter_id] = ac_buy.performance_data.win_rate;
sell_win_rate[parameter_id] = ac_sell.performance_data.win_rate;
buy_max_dd[parameter_id] = ac_buy.performance_data.max_dd;
sell_max_dd[parameter_id] = ac_sell.performance_data.max_dd;
buy_max_pl[parameter_id] = ac_buy.performance_data.max_pl;
sell_max_pl[parameter_id] = ac_sell.performance_data.max_pl;
buy_num_force_exit[parameter_id] = ac_buy.performance_data.num_force_exit;
sell_num_force_exit[parameter_id] = ac_sell.performance_data.num_force_exit;
var progress_ratio = Math.Round(Convert.ToDouble(parameter_id) / num_all_trials, 4);
Console.WriteLine("************************************ (" + progress_ratio.ToString() + "%)" + parameter_id.ToString() + " / " + num_all_trials.ToString() + " ************************************");
Console.WriteLine("id=" + parameter_id.ToString() + ", leverage=" + leverage_list[k].ToString() + ", entry_num=" + entry_num_list[m].ToString() + ", interval=" + entry_interval_minutes[l].ToString() + ", pt ratio=" + pt_list[i].ToString() + ", lc ratio=" + lc_list[j].ToString());
Console.WriteLine("BUY: " + "holding period=" + ac_buy.holding_data.holding_period_list.Average().ToString() + ", num trade=" + ac_buy.performance_data.num_trade + ", win rate=" + ac_buy.performance_data.win_rate.ToString() + ", pl=" + ac_buy.performance_data.total_pl.ToString() + ", max_dd=" + ac_buy.performance_data.max_dd.ToString() + ", max pl=" + ac_buy.performance_data.max_pl);
Console.WriteLine("SEL: " + "holding period=" + ac_sell.holding_data.holding_period_list.Average().ToString() + ", num trade=" + ac_sell.performance_data.num_trade + ", win rate=" + ac_sell.performance_data.win_rate.ToString() + ", pl=" + ac_sell.performance_data.total_pl.ToString() + ", max_dd=" + ac_sell.performance_data.max_dd.ToString() + ", max pl=" + ac_sell.performance_data.max_pl);
parameter_id++;
}
}
}
}
}
Console.WriteLine("Writing results...");
using (StreamWriter sw = new StreamWriter("statistics analysis2" + ".csv", false, Encoding.UTF8))
{
sw.WriteLine("ID,leverage,entry num,entry interval,pt,lc,buy holding period,sell holding period,buy pl,sell pl,buy num trade,sell num trade,buy win rate,sell win rate,buy max dd,sell max dd,buy max pl,sell max pl,buy_num_force_exit,sell_num_force_exit");
for (int i = 0; i < parameter_id; i++)
{
sw.WriteLine(i.ToString() + "," + analytics_params[i][0].ToString() + "," + analytics_params[i][2].ToString() + "," + analytics_params[i][1].ToString() + "," + analytics_params[i][3].ToString() + "," + analytics_params[i][4].ToString() + "," +
buy_holding_periods[i].ToString() + "," + sell_holding_periods[i].ToString() + "," + buy_total_pl[i].ToString() + "," + sell_total_pl[i].ToString() + "," + buy_num_trade[i].ToString() + "," + sell_num_trade[i].ToString() + "," +
buy_win_rate[i].ToString() + "," + sell_win_rate[i].ToString() + "," + buy_max_dd[i].ToString() + "," + sell_max_dd[i].ToString() + "," + buy_max_pl[i].ToString() + "," + sell_max_pl[i].ToString() + "," + buy_num_force_exit[i].ToString() + "," + sell_num_force_exit[i].ToString());
}
}
Console.WriteLine("Completed Statistics Analysis2");
}
