32 Commits

Author	SHA1	Message	Date
Raphanus Lo	4e14df443a	optimizer: fix typo	2022-07-29 23:33:51 +08:00
Raphanus Lo	67f8b1c32c	optimizeex: hyperparameter optimization tool ... Currently support the following search algorithms: - Tree-structured Parzen Estimators (tpe, default) - Covariance Matrix Adaptation Evolution Strategy (cmaes) - Quasi-monte carlo sampling based on Sobol sequence (sobol) - random search (random) And the following objective function: - profit - volume - equity	2022-07-29 17:09:54 +08:00
Yo-An Lin	ae6c6c90a7	Merge pull request #849 from COLDTURNIP/feature/optimizer_output_asset_diff ... optimizer: print equity diff in final report	2022-07-28 18:56:41 +08:00
Raphanus Lo	16814138a1	optimizer: calculate total number of grids before testing	2022-07-28 12:36:44 +08:00
Raphanus Lo	3c0d5727e6	optimizer: print equity diff in final report	2022-07-28 12:31:17 +08:00
Raphanus Lo	620381f64b	optimizer: eliminate limitation of number of grid point	2022-07-15 23:01:56 +08:00
Yo-An Lin	01d50496a1	Merge pull request #817 from COLDTURNIP/fix/optimizer_initial_storage ... optimizer: prepare database before executing backtests	2022-07-13 23:01:59 +08:00
Raphanus Lo	4985c760be	optimizer: prepare database before executing backtests	2022-07-13 15:28:11 +08:00
Raphanus Lo	363c7b6ef6	optimizer: correct progress bar counter & ETA calculation	2022-07-13 11:44:04 +08:00
Yo-An Lin	8119afbb44	Merge branch 'main' into strategy/pivotshort	2022-07-12 23:38:23 +08:00
c9s	ba74e83552	optimizer: show *exec.ExitError	2022-07-07 02:26:39 +08:00
c9s	7b7d0690c7	optimizer: support --tsv option and render tsv output	2022-07-07 02:11:52 +08:00
Fredrik	771f578efd	optimizer/fix: prevent from crashing if missing SummaryReport	2022-07-03 13:16:41 +02:00
Andy Cheng	a029509b63	optimizer: add progressbar	2022-06-29 16:17:43 +08:00
c9s	9b82de596b	refine optimizer executor config structure	2022-06-21 12:31:42 +08:00
Andy Cheng	edfdb5b888	optimizer: add max num of thread in config	2022-06-21 11:51:20 +08:00
c9s	6afe2de9f7	optimizer: add parallel local process worker support for optimizer	2022-06-20 17:18:05 +08:00
c9s	626934a059	move out label copy and params copy to the outside of the loop	2022-06-20 15:27:01 +08:00
c9s	9be38e2421	optimizer: support multi metric value functions ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-20 14:52:40 +08:00
c9s	6669db4264	optimizer: refactor Execute method ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-20 11:54:55 +08:00
c9s	dd087b287d	optimizer: refactor LocalProcessExecutor and pull out config test ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-20 11:20:26 +08:00
c9s	3a072181bc	optimizer: close config file handle	2022-06-20 11:07:48 +08:00
Andy Cheng	d967525a10	optimizer: bool type parameter	2022-06-15 12:16:18 +08:00
c9s	2474aa777d	optimizer: fix parameter copy	2022-06-06 06:49:08 +08:00
c9s	43c2819d01	optimizer: copy param slice	2022-06-06 06:39:27 +08:00
c9s	b61af0db39	optimizer: add metrics label	2022-05-20 01:53:51 +08:00
c9s	95c9fe4502	return metrics as a optimizer result	2022-05-20 01:42:32 +08:00
c9s	b4b4546220	sort metrics	2022-05-19 20:36:56 +08:00
c9s	b3da6caddb	optimizer: fix op builder	2022-05-19 20:31:25 +08:00
c9s	960f967c34	aggregate total profit and total unrealized profit	2022-05-19 18:45:45 +08:00
c9s	7056853ecd	implement grid optimizer and local process executor	2022-05-19 18:23:12 +08:00
c9s	32ce36fda7	implement json patch for optimizer	2022-05-19 17:27:59 +08:00