optimizer

package
v1.58.0 Latest Latest
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This package is not in the latest version of its module.

 Go to latest Published: Mar 19, 2024 License: AGPL-3.0 Imports: 27 Imported by: 1

Documentation

Index

Constants

View Source 
const (
	// HpOptimizerObjectiveEquity optimize the parameters to maximize equity gain
	HpOptimizerObjectiveEquity = "equity"
	// HpOptimizerObjectiveProfit optimize the parameters to maximize trading profit
	HpOptimizerObjectiveProfit = "profit"
	// HpOptimizerObjectiveVolume optimize the parameters to maximize trading volume
	HpOptimizerObjectiveVolume = "volume"
	// HpOptimizerObjectiveProfitFactor optimize the parameters to maximize profit factor
	HpOptimizerObjectiveProfitFactor = "profitfactor"
)

WARNING: the text here could only be lower cases

View Source 
const (
	// HpOptimizerAlgorithmTPE is the implementation of Tree-structured Parzen Estimators
	HpOptimizerAlgorithmTPE = "tpe"
	// HpOptimizerAlgorithmCMAES is the implementation Covariance Matrix Adaptation Evolution Strategy
	HpOptimizerAlgorithmCMAES = "cmaes"
	// HpOptimizerAlgorithmSOBOL is the implementation Quasi-monte carlo sampling based on Sobol sequence
	HpOptimizerAlgorithmSOBOL = "sobol"
	// HpOptimizerAlgorithmRandom is the implementation random search
	HpOptimizerAlgorithmRandom = "random"
)

Variables

View Source 
var ProfitFactorMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
	if len(summaryReport.SymbolReports) == 0 {
		return 0
	}
	if len(summaryReport.SymbolReports) > 1 {
		panic("multiple symbols' profitfactor optimization not supported")
	}
	report := summaryReport.SymbolReports[0]
	pf := report.ProfitFactor.Float64()
	win := report.WinningRatio.Float64()
	return pf*0.9 + win*0.1
}
View Source 
var TotalEquityDiff = func(summaryReport *backtest.SummaryReport) float64 {
	if len(summaryReport.SymbolReports) == 0 {
		return 0
	}

	initEquity := summaryReport.InitialEquityValue.Float64()
	finalEquity := summaryReport.FinalEquityValue.Float64()
	return finalEquity - initEquity
}
View Source 
var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
	return summaryReport.TotalProfit.Float64()
}
View Source 
var TotalVolume = func(summaryReport *backtest.SummaryReport) float64 {
	if len(summaryReport.SymbolReports) == 0 {
		return 0
	}

	buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume.Float64()
	sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume.Float64()
	return buyVolume + sellVolume
}

Functions

func FormatMetricsTsv added in v1.39.0 

func FormatMetricsTsv(writer io.WriteCloser, metrics map[string][]Metric) error

func FormatResultsTsv added in v1.39.0 

func FormatResultsTsv(writer io.WriteCloser, labelPaths map[string]string, results []*HyperparameterOptimizeTrialResult) error

Types

type AsyncHandle added in v1.36.0 

type AsyncHandle struct {
	Error  error
	Report *backtest.SummaryReport
	Done   chan struct{}
}

type BacktestTask added in v1.36.0 

type BacktestTask struct {
	ConfigJson []byte
	Params     []interface{}
	Labels     []string
	Report     *backtest.SummaryReport
	Error      error
}

type Config 

type Config struct {
	Executor      *ExecutorConfig  `json:"executor" yaml:"executor"`
	MaxThread     int              `yaml:"maxThread,omitempty"`
	Matrix        []SelectorConfig `yaml:"matrix"`
	Algorithm     string           `yaml:"algorithm,omitempty"`
	Objective     string           `yaml:"objectiveBy,omitempty"`
	MaxEvaluation int              `yaml:"maxEvaluation"`
}

func LoadConfig 

func LoadConfig(yamlConfigFileName string) (*Config, error)

type Executor 

type Executor interface {
	Execute(configJson []byte) (*backtest.SummaryReport, error)
	Run(ctx context.Context, taskC chan BacktestTask, bar *pb.ProgressBar) (chan BacktestTask, error)
}

type ExecutorConfig added in v1.36.0 

type ExecutorConfig struct {
	Type                string               `json:"type" yaml:"type"`
	LocalExecutorConfig *LocalExecutorConfig `json:"local" yaml:"local"`
}

type GridOptimizer 

type GridOptimizer struct {
	Config *Config

	ParamLabels   []string
	CurrentParams []interface{}
}

func (*GridOptimizer) Run 

func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]Metric, error)

type HyperparameterOptimizeReport added in v1.39.0 

type HyperparameterOptimizeReport struct {
	Name       string                               `json:"studyName"`
	Objective  string                               `json:"objective"`
	Parameters map[string]string                    `json:"domains"`
	Best       *HyperparameterOptimizeTrialResult   `json:"best"`
	Trials     []*HyperparameterOptimizeTrialResult `json:"trials,omitempty"`
}

type HyperparameterOptimizeTrialResult added in v1.39.0 

type HyperparameterOptimizeTrialResult struct {
	Value      fixedpoint.Value       `json:"value"`
	Parameters map[string]interface{} `json:"parameters"`
	ID         *int                   `json:"id,omitempty"`
	State      string                 `json:"state,omitempty"`
}

type HyperparameterOptimizer added in v1.39.0 

type HyperparameterOptimizer struct {
	SessionName string
	Config      *Config
	// contains filtered or unexported fields
}

func (*HyperparameterOptimizer) Run added in v1.39.0 

func (o *HyperparameterOptimizer) Run(ctx context.Context, executor Executor, configJson []byte) (*HyperparameterOptimizeReport, error)

type LocalExecutorConfig added in v1.36.0 

type LocalExecutorConfig struct {
	MaxNumberOfProcesses int `json:"maxNumberOfProcesses" yaml:"maxNumberOfProcesses"`
}

type LocalProcessExecutor 

type LocalProcessExecutor struct {
	Config    *LocalExecutorConfig
	Bin       string
	WorkDir   string
	ConfigDir string
	OutputDir string
}

func (*LocalProcessExecutor) Execute 

func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryReport, error)

Execute runs the config json and returns the summary report. This is a blocking operation.

func (*LocalProcessExecutor) ExecuteAsync added in v1.36.0 

func (e *LocalProcessExecutor) ExecuteAsync(configJson []byte) *AsyncHandle

func (*LocalProcessExecutor) Prepare added in v1.37.0 

func (e *LocalProcessExecutor) Prepare(configJson []byte) error

Prepare prepares the environment for the following back tests this is a blocking operation

func (*LocalProcessExecutor) Run added in v1.36.0 

func (e *LocalProcessExecutor) Run(ctx context.Context, taskC chan BacktestTask, bar *pb.ProgressBar) (chan BacktestTask, error)

type Metric 

type Metric struct {
	// Labels is the labels of the given parameters
	Labels []string `json:"labels,omitempty"`

	// Params is the parameters used to output the metrics result
	Params []interface{} `json:"params,omitempty"`

	// Key is the metric name
	Key string `json:"key"`

	// Value is the metric value of the metric
	Value float64 `json:"value,omitempty"`
}

type MetricValueFunc 

type MetricValueFunc func(summaryReport *backtest.SummaryReport) float64

type OpFunc 

type OpFunc func(configJson []byte, next func(configJson []byte) error) error

type SelectorConfig 

type SelectorConfig struct {
	Type   string           `json:"type" yaml:"type"`
	Label  string           `json:"label,omitempty" yaml:"label,omitempty"`
	Path   string           `json:"path" yaml:"path"`
	Values []string         `json:"values,omitempty" yaml:"values,omitempty"`
	Min    fixedpoint.Value `json:"min,omitempty" yaml:"min,omitempty"`
	Max    fixedpoint.Value `json:"max,omitempty" yaml:"max,omitempty"`
	Step   fixedpoint.Value `json:"step,omitempty" yaml:"step,omitempty"`
}

Source Files

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