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>
78 lines
2.8 KiB
C#
78 lines
2.8 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.Collections;
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using System.Collections.Generic;
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using Newtonsoft.Json;
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namespace QuantConnect.Optimizer.Parameters
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{
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/// <summary>
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/// Defines the optimization parameter meta information
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/// </summary>
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[JsonConverter(typeof(OptimizationParameterJsonConverter))]
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public abstract class OptimizationParameter
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{
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/// <summary>
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/// Name of optimization parameter
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/// </summary>
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[JsonProperty("name")]
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public string Name { get; }
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/// <summary>
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/// Create an instance of <see cref="OptimizationParameter"/> based on configuration
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/// </summary>
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/// <param name="name">parameter name</param>
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protected OptimizationParameter(string name)
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{
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Name = name;
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}
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/// <summary>
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/// Indicates whether the current object is equal to another object of the same type.
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/// </summary>
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/// <param name="other">An object to compare with this object.</param>
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/// <returns>
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/// true if the current object is equal to the <paramref name="other"/> parameter; otherwise, false.
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/// </returns>
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public bool Equals(OptimizationParameter other)
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{
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if (ReferenceEquals(null, other)) return false;
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if (ReferenceEquals(this, other)) return true;
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return string.Equals(Name, other?.Name);
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}
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/// <summary>
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/// Determines whether the specified object is equal to the current object.
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/// </summary>
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/// <param name="obj">The object to compare with the current object. </param>
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/// <returns>
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/// true if the specified object is equal to the current object; otherwise, false.
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/// </returns>
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public override bool Equals(object obj)
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{
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return Equals(obj as OptimizationParameter);
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}
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/// <summary>
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/// Serves as the default hash function.
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/// </summary>
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/// <returns>
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/// A hash code for the current object.
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/// </returns>
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public override int GetHashCode() => this.Name.GetHashCode();
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}
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}
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