optimizer

Documentation

Index

• Variables
• type Config
  • func LoadConfig(yamlConfigFileName string) (*Config, error)
• type Executor
• type GridOptimizer
  • func (o *GridOptimizer) Run(executor Executor, configJson []byte) ([]Metric, error)
• type LocalProcessExecutor
  • func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryReport, error)
• type Metric
• type MetricValueFunc
• type OpFunc
• type SelectorConfig

Variables

var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
	return summaryReport.TotalProfit
}

Types

type Config

type Config struct {
	Matrix []SelectorConfig `yaml:"matrix"`
}

func LoadConfig

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

type Executor

type Executor interface {
	Execute(configJson []byte) (*backtest.SummaryReport, error)
}

type GridOptimizer

type GridOptimizer struct {
	Config *Config

	ParamLabels   []string
	CurrentParams []interface{}
}

func (*GridOptimizer) Run

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

type LocalProcessExecutor

type LocalProcessExecutor struct {
	Bin       string
	WorkDir   string
	ConfigDir string
	OutputDir string
}

func (*LocalProcessExecutor) Execute

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

type Metric

type Metric struct {
	Labels []string         `json:"labels,omitempty"`
	Params []interface{}    `json:"params,omitempty"`
	Value  fixedpoint.Value `json:"value,omitempty"`
}

type MetricValueFunc

type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value

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"`
}