Adalyat Nazirov
a4f66628fd
* initial commit * run parametrized algorithm with command line parameters * skeleton: top level structure * OptimizationNodePacket scheme * pass parameters as HashSet * run Lean and read results * call method on optimization completion * refactor public interfaces - close ParameterSet collection; allow only get operations - explicit method to start LeanOptimizer * synchronize RunLean method; the result could come in before the backtest id is set in the collections * another portion of refactoring and interface changes * comments * comments & tests for Extremum, Minimization and Maximization classes * unify optimization paramater values (min, max, step) & mode GridSearch tests - swap min&max if necessary - iterate left => right (negate step value if necessary) & provide default step value if step == 0 - no StackOverflow Exception - parameterSet Id should be global for current generator and retain between steps - test signle point boundary (min == max) * BruteForceStrategy tests * more comments * Update Optimizer assembly information - Update Optimizer projects assembly information to match behavior of the other projects * Tweaks - Adding comments - Replace OnComplete for Ended event - Replace Abort for Dispose - ConsoleLeanOptimizer will keep track of running processes - Each backtest will store results in a separated directory, so they don't fight for the log.txt file. - Adding cmdline option for lean to close automatically - Adding concurrent execution backtest limit - Console optimizer will start Lean minimized - Escape spaces in Json path * remove parameter set generator abstraction layer we don't need this flexibility now. * refactor public methods; Step shouldn't be public * constraints: wip * define contract * comparison operators and tests * specify JsonProperty values * Move SafeMultiply100 to extensions * Throw exception on failed Optimizer.Start * constraints: wip * change finish & dispose process * minor fixes - handle force lean abort - notify consumer if target has been reached * target & constraints; adapt unit tests * Minor Tweaks and fixes - Some logging improvements - Remove Public since not required * Ignore empty ParameterValue * simplify condition * avoid reinitialization * reduce type; force immutable * unit tests for constraints and target value * parse & normalize percent values, i.e. 20% => 0.2 * fixup * Target & Constraint & OptimizationNodePacket unit tests * Add more json unit tests - Adding more json conversion unit tests. Fix bug for Extremum which wasn't using the converter. * LeanOptimizer tests * Estimation results * User thread safe counters * LeanOptimizer unit tests; push OptimizationResult on Ended event * more unit tests * Minor tweaks -Estimate ToString in a single line. -Typos and missing header file * Add base SendUpdate method - Add base SendUpdate method for LeanOptimizer * fix LeanOptimizer test; rely on internal Update rather than timer * Add OptimizationStatus - Add missing commments and OptimizationStatus * EulerSearch implementation: wip * OptimizationParameter custom converter * change the type * make step optional * change folder structure * enumerate optimization parameter using IEnumerable & IEnumerator * unit tests: parameters & objectives * unit tests: strategies * remove redundant TODO * change Euler search boundaries * more Euler tests * prevent race condition * Add account/read endpoint - Adding account/read endpoint. Adding unit test * Add status check before running lean * Minor self review - Adding missing comments, minor changes * remove array parameters * minor changes - tidy up config file, rename variable - accept min less or equal than max * move OptimizationParameter methods to strategies * Minor improvements for BaseResultHandler derivates * minor changes - strict requirements for Step and MinStep values - strategy specific settigs * Add TotalRuntime to estimate Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
69 lines
1.7 KiB
JSON
69 lines
1.7 KiB
JSON
{
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// optional: algorithm class selector
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"algorithm-type-name": "ParameterizedAlgorithm",
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// optional: Algorithm language selector - options CSharp, Python
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"algorithm-language": "CSharp",
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// optional: Physical DLL location
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"algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
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"optimizer-close-automatically": true,
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// How we manage solutions and make decision to continue or stop
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"optimization-strategy": "QuantConnect.Optimizer.Strategies.EulerSearchOptimizationStrategy",
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// on-demand settings required for different optimization strategies
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"optimization-strategy-settings": {
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"$type": "QuantConnect.Optimizer.Strategies.StepBaseOptimizationStrategySettings, QuantConnect.Optimizer",
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"default-segment-amount": 10
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},
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// optimization problem
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"optimization-criterion": {
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// path in algorithm output json
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"target": "Statistics.Sharpe Ratio",
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// optimization: available options max, min
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"extremum": "max",
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// optional, if defined and backtest complies with the targets then trigger ended event
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"target-value": 3
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},
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// if it doesn't comply just drop the backtest
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"constraints": [
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{
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"target": "Drawdown",
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"operator": "lessOrEqual", // less, greaterOrEqual, greater, notEqual, equals
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"target-value": 0.15
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},
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{
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"target": "Total Trades",
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"operator": "greater",
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"target-value": 2
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}
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],
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// optional: default is process count / 2
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//"maximum-concurrent-backtests": 10,
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// optimization parameters
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"parameters": [
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{
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"name": "ema-slow",
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"min": 10,
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"max": 50
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},
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{
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"name": "ema-fast",
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"min": 50,
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"max": 150,
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"step": 50,
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// optional
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"min-step": 0.0001
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}
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]
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}
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