public void roulettteSelectionNonElite(int current_generaiton, int elite_crossover_start_gen)
{
selected_chrom = new List <int>();
var ran = RandomProvider.getRandom();
List <double> board = new List <double>();
double sum = 0;
double[] eva_copy = eva.ToArray();
eva_copy[best_chrom_ind[best_chrom_ind.Count - 1]] = 0;
for (int i = 0; i < eva_copy.Length; i++)
{
sum += eva_copy[i];
board.Add(sum);
}
//roulette select
for (int i = 0; i < eva_copy.Length; i++)
{
double roulette_v = ran.Next(0, Convert.ToInt32(Math.Truncate(sum) + 1));
for (int j = 1; j < board.Count; j++)
{
if (board[j - 1] < roulette_v && board[j] >= roulette_v)
{
selected_chrom.Add(j);
break;
}
}
if (0 <= roulette_v && board[0] >= roulette_v)
{
selected_chrom.Add(0);
}
}
selected_chrom[best_chrom_ind[best_chrom_ind.Count - 1]] = best_chrom_ind[best_chrom_ind.Count - 1];
}
private void immigration(double immigration_rate, int num_island, int num_chrome)
{
var r = RandomProvider.getRandom();
for (int i = 0; i < num_island; i++)
{
for (int j = 0; j < num_chrome; j++)
{
if (r.Next() < immigration_rate)
{
int selected_island = r.Next(0, num_island);
int selected_chro = -1;
do
{
selected_chro = r.Next(0, num_chrome);
}while (selected_chro != islands[selected_island].best_chrom_ind[islands[selected_island].best_chrom_ind.Count - 1]);
islands[selected_island].chromes[selected_chro].Gene_exit_time_sec = (r.Next() > 0.5) ? islands[i].chromes[j].Gene_exit_time_sec : islands[selected_island].chromes[selected_chro].Gene_exit_time_sec;
islands[selected_island].chromes[selected_chro].Gene_kairi_term = (r.Next() > 0.5) ? islands[i].chromes[j].Gene_kairi_term : islands[selected_island].chromes[selected_chro].Gene_kairi_term;
islands[selected_island].chromes[selected_chro].Gene_entry_kairi = (r.Next() > 0.5) ? islands[i].chromes[j].Gene_entry_kairi : islands[selected_island].chromes[selected_chro].Gene_entry_kairi;
islands[selected_island].chromes[selected_chro].Gene_rikaku_percentage = (r.Next() > 0.5) ? islands[i].chromes[j].Gene_rikaku_percentage : islands[selected_island].chromes[selected_chro].Gene_rikaku_percentage;
}
}
}
}
public void generateInitialChrome()
{
var r = RandomProvider.getRandom();
Gene_exit_time_sec = r.Next(3, 601);
Gene_kairi_term = r.Next(3, 601);
Gene_entry_kairi = Convert.ToDouble(r.Next(5, 151)) / 10000.0;
Gene_rikaku_percentage = Convert.ToDouble(r.Next(5, 151)) / 10000.0;
}
public void crossOver()
{
new_gene_chromes = new List <Chrome>();
var ran = RandomProvider.getRandom();
for (int i = 0; i < chromes.Count; i++)
{
var c = new Chrome();
c.Gene_exit_time_sec = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].Gene_exit_time_sec : chromes[i].Gene_exit_time_sec;
c.Gene_kairi_term = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].Gene_kairi_term : chromes[i].Gene_kairi_term;
c.Gene_entry_kairi = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].Gene_entry_kairi : chromes[i].Gene_entry_kairi;
c.Gene_rikaku_percentage = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].Gene_rikaku_percentage : chromes[i].Gene_rikaku_percentage;
new_gene_chromes.Add(c);
}
}
public void mutation()
{
var ran = RandomProvider.getRandom();
Chrome c = new Chrome();
for (int i = 0; i < new_gene_chromes.Count; i++)
{
if (i != best_chrom_ind[best_chrom_ind.Count - 1])
{
if (ran.NextDouble() > 0.1)
{
new_gene_chromes[i].Gene_exit_time_sec = (ran.NextDouble() > 0.1) ? c.getExitTimeSecGene() : new_gene_chromes[i].Gene_exit_time_sec;
new_gene_chromes[i].Gene_kairi_term = (ran.NextDouble() > 0.1) ? c.getKairiTermGene() : new_gene_chromes[i].Gene_kairi_term;
new_gene_chromes[i].Gene_entry_kairi = (ran.NextDouble() > 0.1) ? c.getEntryKairiGene() : new_gene_chromes[i].Gene_entry_kairi;
new_gene_chromes[i].Gene_rikaku_percentage = (ran.NextDouble() > 0.1) ? c.getRikakuPercentageGene() : new_gene_chromes[i].Gene_rikaku_percentage;
}
}
}
}
public void mutation()
{
var ran = RandomProvider.getRandom();
var c = new Chrome2(from, to, num_box);
for (int i = 0; i < new_gene_chromes.Count; i++)
{
if (i != best_chrom_ind[best_chrom_ind.Count - 1])
{
if (ran.NextDouble() > 0.1)
{
for (int j = 0; j < new_gene_chromes[i].num_box; j++)
{
if (ran.NextDouble() > 0.1)
{
new_gene_chromes[i].gene_floor_vola[j] = c.getFloorVolaGene();
new_gene_chromes[i].gene_ceil_vola[j] = c.getCeilVolaGene(new_gene_chromes[i].gene_floor_vola[j]);
}
else
{
new_gene_chromes[i].gene_floor_vola[j] = new_gene_chromes[i].gene_floor_vola[j];
new_gene_chromes[i].gene_ceil_vola[j] = new_gene_chromes[i].gene_ceil_vola[j];
}
if (ran.NextDouble() > 0.1)
{
new_gene_chromes[i].gene_floor_avevol[j] = c.getFloorAvevolGene();
new_gene_chromes[i].gene_ceil_avevol[j] = c.getCeilAvevolGene(new_gene_chromes[i].gene_floor_avevol[j]);
}
else
{
new_gene_chromes[i].gene_floor_avevol[j] = new_gene_chromes[i].gene_floor_avevol[j];
new_gene_chromes[i].gene_ceil_avevol[j] = new_gene_chromes[i].gene_ceil_avevol[j];
}
new_gene_chromes[i].gene_exit_time_sec[j] = (ran.NextDouble() > 0.1) ? c.getExitTimeSecGene() : new_gene_chromes[i].gene_exit_time_sec[j];
new_gene_chromes[i].gene_rikaku_percentage[j] = (ran.NextDouble() > 0.1) ? c.getRikakuPercentageGene() : new_gene_chromes[i].gene_rikaku_percentage[j];
new_gene_chromes[i].gene_kirikae[j] = (ran.NextDouble() > 0.1) ? c.getKirikaeGene() : new_gene_chromes[i].gene_kirikae[j];
new_gene_chromes[i].gene_entry_kairi[j] = (ran.NextDouble() > 0.1) ? c.getEntryKairiGene() : new_gene_chromes[i].gene_entry_kairi[j];
}
}
}
}
}
public void crossOver()
{
new_gene_chromes = new List <Chrome2>();
var ran = RandomProvider.getRandom();
for (int i = 0; i < chromes.Count; i++)
{
var c = new Chrome2(from, to, num_box);
c.box_fired_num = chromes[i].box_fired_num;
for (int j = 0; j < c.num_box; j++)
{
if ((ran.NextDouble() > 0.5))
{
c.gene_floor_vola[j] = chromes[selected_chrom[i]].gene_floor_vola[j];
c.gene_ceil_vola[j] = chromes[selected_chrom[i]].gene_ceil_vola[j];
}
else
{
c.gene_floor_vola[j] = chromes[i].gene_floor_vola[j];
c.gene_ceil_vola[j] = chromes[i].gene_ceil_vola[j];
}
if ((ran.NextDouble() > 0.5))
{
c.gene_floor_avevol[j] = chromes[selected_chrom[i]].gene_floor_avevol[j];
c.gene_ceil_avevol[j] = chromes[selected_chrom[i]].gene_ceil_avevol[j];
}
else
{
c.gene_floor_avevol[j] = chromes[i].gene_floor_avevol[j];
c.gene_ceil_avevol[j] = chromes[i].gene_ceil_avevol[j];
}
c.gene_exit_time_sec[j] = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].gene_exit_time_sec[j] : chromes[i].gene_exit_time_sec[j];
c.gene_entry_kairi[j] = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].gene_exit_time_sec[j] : chromes[i].gene_exit_time_sec[j];
c.gene_rikaku_percentage[j] = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].gene_rikaku_percentage[j] : chromes[i].gene_rikaku_percentage[j];
c.gene_kirikae[j] = (ran.NextDouble() > 0.5) ? chromes[selected_chrom[i]].gene_kirikae[j] : chromes[i].gene_kirikae[j];
}
new_gene_chromes.Add(c);
}
}
private void immigration(double immigration_rate, int num_island, int num_chrome)
{
var r = RandomProvider.getRandom();
for (int i = 0; i < num_island; i++)
{
for (int j = 0; j < num_chrome; j++)
{
if (r.Next() < immigration_rate)
{
int selected_island = r.Next(0, num_island);
int selected_chro = -1;
do
{
selected_chro = r.Next(0, num_chrome);
}while (selected_chro != islands[selected_island].best_chrom_ind[islands[selected_island].best_chrom_ind.Count - 1]);
for (int k = 0; k < islands[i].chromes[j].num_box; k++)
{
if (r.Next() > 0.5)
{
islands[selected_island].chromes[selected_chro].gene_floor_vola[k] = islands[i].chromes[j].gene_floor_vola[k];
islands[selected_island].chromes[selected_chro].gene_ceil_vola[k] = islands[i].chromes[j].gene_ceil_vola[k];
}
if (r.Next() > 0.5)
{
islands[selected_island].chromes[selected_chro].gene_floor_avevol[k] = islands[i].chromes[j].gene_floor_avevol[k];
islands[selected_island].chromes[selected_chro].gene_ceil_avevol[k] = islands[i].chromes[j].gene_ceil_avevol[k];
}
islands[selected_island].chromes[selected_chro].gene_exit_time_sec[k] = (r.Next() > 0.5) ? islands[i].chromes[j].gene_exit_time_sec[k] : islands[selected_island].chromes[selected_chro].gene_exit_time_sec[k];
islands[selected_island].chromes[selected_chro].gene_entry_kairi[k] = (r.Next() > 0.5) ? islands[i].chromes[j].gene_entry_kairi[k] : islands[selected_island].chromes[selected_chro].gene_entry_kairi[k];
islands[selected_island].chromes[selected_chro].gene_rikaku_percentage[k] = (r.Next() > 0.5) ? islands[i].chromes[j].gene_rikaku_percentage[k] : islands[selected_island].chromes[selected_chro].gene_rikaku_percentage[k];
islands[selected_island].chromes[selected_chro].gene_kirikae[k] = (r.Next() > 0.5) ? islands[i].chromes[j].gene_kirikae[k] : islands[selected_island].chromes[selected_chro].gene_kirikae[k];
}
}
}
}
}
public void rouletteSelection()
{
selected_chrom = new List <int>();
var ran = RandomProvider.getRandom();
//make roulette board
List <double> board = new List <double>();
double sum = 0;
for (int i = 0; i < eva.Count; i++)
{
sum += eva[i];
board.Add(sum);
}
//roulette select
for (int i = 0; i < eva.Count; i++)
{
double roulette_v = ran.Next(0, Convert.ToInt32(Math.Truncate(sum) + 1));
for (int j = 1; j < board.Count; j++)
{
if (board[j - 1] < roulette_v && board[j] >= roulette_v)
{
selected_chrom.Add(j);
break;
}
}
if (0 <= roulette_v && board[0] >= roulette_v)
{
selected_chrom.Add(0);
}
}
if (selected_chrom.Count != chromes.Count)
{
Debug.WriteLine("kita");
}
}
public double getFloorVolaGene()
{
var r = RandomProvider.getRandom();
return(r.Next((int)Math.Truncate(floor_vola), (int)Math.Truncate(ceil_vola * 0.8)));
}
public bool getKirikaeGene()
{
var r = RandomProvider.getRandom();
return((r.NextDouble() > 0.5) ? true: false);
}
public double getRikakuPercentageGene()
{
var r = RandomProvider.getRandom();
return(Convert.ToDouble(r.Next(1, 501)) / 10000.0);
}
public double getEntryKairiGene()
{
var r = RandomProvider.getRandom();
return(Convert.ToDouble(r.Next(1, 601)) / 10000.0);
}
public int getExitTimeSecGene()
{
var r = RandomProvider.getRandom();
return(r.Next(3, 601));
}
public double getCeilAvevolGene(double floor)
{
var r = RandomProvider.getRandom();
return(r.Next((int)Math.Truncate(floor) + 500, (int)Math.Truncate(ceil_avevol)));
}
public double getFloorAvevolGene()
{
var r = RandomProvider.getRandom();
return(r.Next((int)Math.Truncate(floor_avevol), (int)Math.Truncate(ceil_avevol * 0.8)));
}
public double getCeilVolaGene(double floor)
{
var r = RandomProvider.getRandom();
return(r.Next((int)Math.Truncate(floor) + 10, (int)Math.Truncate(ceil_vola)));
}
public static DecisionData2 contrarianSashine(AccountGA2 ac, int i, Chrome2 chro, DecisionData2 pre_dd)
{
DecisionData2 dd = new DecisionData2();
double kairi = (TickData.price[i] - TickData.makairi_500[i]) / TickData.makairi_500[i];
var entry_signs = new int[chro.num_box]; //1:Long, -1:Short
string entry_sign = "";
int selected_box = -1;
for (int j = 0; j < chro.num_box; j++)
{
if (chro.gene_ceil_vola[j] >= TickData.vola_500[i] && chro.gene_floor_vola[j] <= TickData.vola_500[i] &&
chro.gene_ceil_avevol[j] >= TickData.ave_vol_500[i] && chro.gene_floor_avevol[j] <= TickData.ave_vol_500[i])
{
if (kairi >= chro.gene_entry_kairi[j])
{
entry_signs[j] = (chro.gene_kirikae[j]) ? -1 : 1;
}
else if (kairi <= chro.gene_entry_kairi[j])
{
entry_signs[j] = (chro.gene_kirikae[j]) ? 1 : -1;
}
}
}
bool flg = true;
string s = "";
if (pre_dd.fired_box_ind >= 0)
{
if (entry_signs[pre_dd.fired_box_ind] == 1)
{
s = "Long";
}
else if (entry_signs[pre_dd.fired_box_ind] == -1)
{
s = "Short";
}
if (s == pre_dd.position)
{
selected_box = pre_dd.fired_box_ind;
entry_sign = s;
flg = false;
}
}
if (flg)
{
var r = RandomProvider.getRandom();
if (entry_signs.Sum() > 0)
{
entry_sign = "Long";
var selections = entry_signs.Select((p, ind) => new { Content = p, Index = ind })
.Where(ano => ano.Content == 1)
.Select(ano => ano.Index).ToList();
selected_box = selections[r.Next(0, selections.Count)];
}
else if (entry_signs.Sum() < 0)
{
entry_sign = "Short";
var selections = entry_signs.Select((p, ind) => new { Content = p, Index = ind })
.Where(ano => ano.Content == -1)
.Select(ano => ano.Index).ToList();
selected_box = selections[r.Next(0, selections.Count)];
}
if (selected_box >= 0)
{
entry_sign = (entry_signs[selected_box] == 1) ? "Long" : "Short";
}
}
if (entry_sign != "")
{
if (ac.holding_position == "None" && ac.price_tracing_order_flg == false)
{
dd = makeDDForEntryPriceTracingOrder(i, entry_sign, true, 0.05, selected_box);
}
else if (ac.holding_position != "None" && entry_sign != ac.holding_position && ac.price_tracing_order_flg && ac.cancel_all_orders == false)
{
dd = makeDDForEntryPriceTracingOrder(i, "Cancel_PriceTracingOrder", false, 0, selected_box);
}
else if (ac.holding_position != "None" && entry_sign != ac.holding_position && ac.price_tracing_order_flg == false && ac.cancel_all_orders == false)
{
dd = makeDDForEntryPriceTracingOrder(i, entry_sign, true, ac.ave_holding_lot + 0.05, selected_box);
}
else if (entry_sign == ac.holding_position && ac.unexe_position.Count == 0)
{
dd.position = (entry_sign == "Long") ? "Short" : "Long";
dd.cancel_index = -1;
dd.price_tracing_order = false;
dd.price = (ac.holding_position == "Long") ? Math.Round(ac.ave_holding_price * (1 + chro.gene_rikaku_percentage[selected_box])) : Math.Round(ac.ave_holding_price * (1 - chro.gene_rikaku_percentage[selected_box]));
dd.lot = ac.ave_holding_lot;
}
else if ((TickData.time[i] - ac.last_entry_time).TotalSeconds >= chro.gene_exit_time_sec[selected_box])
{
dd = makeDDForEntryPriceTracingOrder(i, (ac.holding_position == "Long") ? "Short" : "Long", true, ac.ave_holding_lot, selected_box);
}
/*else if (entry_sign == ac.holding_position && ac.unexe_position.Count == 0 && (TickData.time[i] - ac.last_entry_time).TotalSeconds >= chro.gene_exit_time_sec[selected_box])
* {
* dd = makeDDForEntryPriceTracingOrder(i, (ac.holding_position == "Long") ? "Short" : "Long", true, ac.ave_holding_lot, selected_box);
* }*/
}
else if (ac.holding_position != "None")
{
// dd.position = "Exit_All";
}
//if(dd.fired_box_ind!=-1) chro.box_fired_num[dd.fired_box_ind]++; ->Count in SIM class
return(dd);
}
public int getKairiTermGene()
{
var r = RandomProvider.getRandom();
return(r.Next(3, 601));
}
