public void Start(StrategyContext context)
{
this.context = context;
String strategyName = context.BacktestParam.StrategyName;
if (strategyName == null || strategyName == "")
{
logger.Warn("无效的策略名称，请确保回测参数中定义了策略名称");
return;
}
meta = context.GetStrategyMeta(strategyName);
if (meta == null)
{
logger.Warn("无效的策略名称:" + strategyName);
return;
}
PropertyDescriptorCollection pdc = meta.Parameters;
if (pdc == null || pdc.Count <= 0)
{
logger.Warn("策略" + strategyName + "没有定义所需的参数类型");
return;
}
//生成策略参数
List <Properties> currentParamPopulations = createParamPopulation(pdc, initPopulation);
int sn = 100;
currentParamPopulations.ForEach(x => computeFitness(sn++, x));
int iteratorCount = 1;
double maxProfilt = 0;
while (iteratorCount <= pMaxIteratorCount || maxProfilt < pMaxProfile)
{
logger.Info("第" + iteratorCount.ToString() + "代种群生成...");
//按照适应度排序
Comparison <Properties> comparsion = (x, y) =>
{
double x1 = x.Get <double>("fitness");
double y1 = y.Get <double>("fitness");
if (x1 < y1)
{
return(1);
}
else if (x1 > y1)
{
return(-1);
}
else
{
return(0);
}
};
currentParamPopulations.Sort(comparsion);
double[] P = currentParamPopulations.ConvertAll(x => x.Get <double>("fitness")).ToArray();
maxProfilt = currentParamPopulations[0].Get <double>("fitness");
logger.Info("本次迭代得到的最大收益：" + maxProfilt.ToString("F3"));
List <Properties> nextParamPopulations = new List <Properties>(); //下一代
for (int i = 0; i < currentParamPopulations.Count; i += 2) //逐步生成新一代群体，每次生成两个
{
int select1 = roulette(P);
int select2 = select1;
while (select1 == select2)
{
select2 = roulette(P);
}
Properties c1 = currentParamPopulations[select1].Clone();
Properties c2 = currentParamPopulations[select2].Clone();
double t1 = new Random().NextDouble();
if (t1 < pCrossOver)
{
doCross(c1, c2);
}
t1 = new Random().NextDouble();
if (t1 < pMutation)
{
doMutate(c1);
doMutate(c2);
}
computeFitness(sn++, c1);
computeFitness(sn++, c2);
nextParamPopulations.Add(c1);
nextParamPopulations.Add(c2);
}
currentParamPopulations = nextParamPopulations;
iteratorCount += 1;
}
Properties maxParam = currentParamPopulations[0];
maxProfilt = maxParam.Get <double>("fitness");
logger.Info("得到的最优收益:" + maxProfilt.ToString("F3"));
logger.Info("得到的最优参数组合:");
logger.Info(pdc.ToString(maxParam));
}
