optimizer

Documentation

Index

• Constants
• Variables
• func FormatMetricsTsv(writer io.WriteCloser, metrics map[string][]Metric) error
• func FormatResultsTsv(writer io.WriteCloser, labelPaths map[string]string, ...) error
• type AsyncHandle
• type BacktestTask
• type Config
  • func LoadConfig(yamlConfigFileName string) (*Config, error)
• type Executor
• type ExecutorConfig
• type GridOptimizer
  • func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]Metric, error)
• type HyperparameterOptimizeReport
• type HyperparameterOptimizeTrialResult
• type HyperparameterOptimizer
  • func (o *HyperparameterOptimizer) Run(ctx context.Context, executor Executor, configJson []byte) (*HyperparameterOptimizeReport, error)
• type LocalExecutorConfig
• type LocalProcessExecutor
  • func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryReport, error)
  • func (e *LocalProcessExecutor) ExecuteAsync(configJson []byte) *AsyncHandle
  • func (e *LocalProcessExecutor) Prepare(configJson []byte) error
  • func (e *LocalProcessExecutor) Run(ctx context.Context, taskC chan BacktestTask, bar *pb.ProgressBar) (chan BacktestTask, error)
• type Metric
• type MetricValueFunc
• type OpFunc
• type SelectorConfig

Constants

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

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

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
}

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
}

var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
	return summaryReport.TotalProfit.Float64()
}

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

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

func FormatResultsTsv

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

Types

type AsyncHandle

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

type BacktestTask

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

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

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

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

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

func (*HyperparameterOptimizer) Run

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

type LocalExecutorConfig

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

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

func (*LocalProcessExecutor) Prepare

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

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

func (*LocalProcessExecutor) Run

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"`
}