zenix
7aaea257df
feature: optimizer add profitFactor optimization. Optimization value use float64 instead to save memory and boost performance
2022-11-10 18:17:35 +09:00
c9s
9ebb8ada13
optimizer: wrap error with the output if err is not nil
2022-09-16 01:53:23 +08:00
Raphanus Lo
b4e32a9ba7
hoptimizer: manually early stop
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User is now able to stop trials by sending system signal (SIGINT & SIGTERM) and see the report earlier at any time.
2022-08-16 14:55:39 +08:00
Yo-An Lin
1b177044fb
Merge pull request #855 from COLDTURNIP/feature/optimizer_hyperparam
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optimizeex: hyperparameter optimization tool
2022-08-02 17:38:38 +08:00
Raphanus Lo
68af2d0ff8
optimizer: rename optimizeex to hoptimize
2022-08-02 12:44:42 +08:00
Raphanus Lo
5ef34a3b61
optimizer: calculate equity diff from whole assets instead of first symbol
2022-07-31 12:52:21 +08:00
Raphanus Lo
09940ed3cd
optimizer: optimizeEx supports discrete parameters
2022-07-30 20:34:28 +08:00
Raphanus Lo
76d908e2bc
optimizer: workaround for data race in TPE optimization
2022-07-30 09:57:15 +08:00
Raphanus Lo
ae3eaaaeb3
optimizer: testing: param config
2022-07-30 00:19:12 +08:00
Raphanus Lo
f5d4fa098d
optimizer: refactor selector config types
2022-07-29 23:39:56 +08:00
Raphanus Lo
4e14df443a
optimizer: fix typo
2022-07-29 23:33:51 +08:00
Raphanus Lo
67f8b1c32c
optimizeex: hyperparameter optimization tool
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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
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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
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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
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Signed-off-by: c9s <yoanlin93@gmail.com>
2022-06-20 14:52:40 +08:00
c9s
6669db4264
optimizer: refactor Execute method
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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
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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
