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
2.9 KiB
C#
69 lines
2.9 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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*/
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using NUnit.Framework;
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using QuantConnect.Optimizer.Parameters;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Optimizer.Parameters
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class OptimizationParameterEnumeratorTests
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{
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private static TestCaseData[] OptimizationParameters => new[]
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{
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new TestCaseData(new OptimizationStepParameter("ema-fast", -100, 0, 1m)),
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new TestCaseData(new OptimizationStepParameter("ema-slow", 100, 1000, 10m))
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};
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[Test, TestCaseSource(nameof(OptimizationParameters))]
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public void NotIEnumerable(OptimizationParameter optimizationParameter)
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{
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Assert.IsNotInstanceOf<IEnumerable<string>>(optimizationParameter);
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}
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[TestFixture]
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public class StepParameter
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{
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private static TestCaseData[] OptimizationParameters => new[]
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{
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new TestCaseData(new OptimizationStepParameter("ema-fast", -100, 0, 1m)),
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new TestCaseData(new OptimizationStepParameter("ema-fast", -10, 10, 0.1m)),
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new TestCaseData(new OptimizationStepParameter("ema-fast", 1, 100, 1m)),
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new TestCaseData(new OptimizationStepParameter("ema-fast", 100, 100, 0.5m))
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};
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[Test, TestCaseSource(nameof(OptimizationParameters))]
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public void Enumerate(OptimizationStepParameter optimizationParameter)
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{
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var enumerator = new OptimizationStepParameterEnumerator(optimizationParameter);
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int total = 0;
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for (decimal value = optimizationParameter.MinValue; value <= optimizationParameter.MaxValue; value += optimizationParameter.Step.Value)
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{
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total++;
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(value, enumerator.Current.ToDecimal());
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}
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Assert.AreEqual(Math.Floor((optimizationParameter.MaxValue - optimizationParameter.MinValue) / optimizationParameter.Step.Value) + 1, total);
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Assert.IsFalse(enumerator.MoveNext());
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}
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}
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}
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}
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