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https://github.com/c9s/bbgo.git
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67f8b1c32c
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
74 lines
1.8 KiB
Go
74 lines
1.8 KiB
Go
package optimizer
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import (
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"fmt"
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"github.com/c-bata/goptuna"
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jsonpatch "github.com/evanphx/json-patch/v5"
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)
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type paramDomain interface {
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buildPatch(trail *goptuna.Trial) (jsonpatch.Patch, error)
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}
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type paramDomainBase struct {
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label string
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path string
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}
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type intRangeDomain struct {
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paramDomainBase
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min int
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max int
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}
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func (d *intRangeDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) {
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val, err := trial.SuggestInt(d.label, d.min, d.max)
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if err != nil {
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return nil, err
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}
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jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %v }]`, d.path, val)))
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return jsonpatch.DecodePatch(jsonOp)
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}
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type floatRangeDomain struct {
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paramDomainBase
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min float64
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max float64
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}
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func (d *floatRangeDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) {
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val, err := trial.SuggestFloat(d.label, d.min, d.max)
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if err != nil {
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return nil, err
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}
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jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %v }]`, d.path, val)))
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return jsonpatch.DecodePatch(jsonOp)
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}
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type stringDomain struct {
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paramDomainBase
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options []string
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}
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func (d *stringDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) {
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val, err := trial.SuggestCategorical(d.label, d.options)
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if err != nil {
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return nil, err
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}
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jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": "%v" }]`, d.path, val)))
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return jsonpatch.DecodePatch(jsonOp)
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}
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type boolDomain struct {
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paramDomainBase
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}
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func (d *boolDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) {
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valStr, err := trial.SuggestCategorical(d.label, []string{"false", "true"})
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if err != nil {
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return nil, err
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}
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jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %s }]`, d.path, valStr)))
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return jsonpatch.DecodePatch(jsonOp)
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}
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