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>
48 lines
1.9 KiB
C#
48 lines
1.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using Newtonsoft.Json;
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namespace QuantConnect.Optimizer.Objectives
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{
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/// <summary>
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/// Define the way to compare current real-values and the new one (candidates).
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/// It's encapsulated in different abstraction to allow configure the direction of optimization, i.e. max or min.
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/// </summary>
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[JsonConverter(typeof(ExtremumJsonConverter))]
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public class Extremum
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{
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private Func<decimal, decimal, bool> _comparer;
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/// <summary>
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/// Create an instance of <see cref="Extremum"/> to compare values.
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/// </summary>
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/// <param name="comparer">The way old and new values should be compared</param>
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public Extremum(Func<decimal, decimal, bool> comparer)
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{
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_comparer = comparer;
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}
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/// <summary>
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/// Compares two values; identifies whether condition is met or not.
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/// </summary>
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/// <param name="current">Left operand</param>
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/// <param name="candidate">Right operand</param>
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/// <returns>Returns the result of comparer with this arguments</returns>
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public bool Better(decimal current, decimal candidate) => _comparer(current, candidate);
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}
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}
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