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[Add]run ga optimization in CtaBacktester

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This commit is contained in:
vn.py 2019-05-03 17:01:47 +08:00
parent 4cd84b45a5
commit a11e6be3ce
5 changed files with 121 additions and 34 deletions
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1
.flake8
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@ -5,3 +5,4 @@ ignore =
W503 line break before binary operator
W293 blank line contains whitespace
W291 trailing whitespace
W391 blank line at end of file

59
tests/backtesting/turtle.ipynb
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@ -2,7 +2,7 @@
"cells": [
{
"cell_type": "code",
"execution_count": null,
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
@ -16,7 +16,7 @@
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
@ -54,11 +54,62 @@
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 3,
"metadata": {
"scrolled": true
},
"outputs": [],
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"2019-05-03 16:19:04.193703\t开始运行遗传算法，每代族群总数：11, 优良品种筛选个数：8，迭代次数：30，交叉概率：0.95，突变概率：0.050000000000000044\n",
"gen\tnevals\tmean \tstd \tmin \tmax \n",
"0 \t11 \t[0.58423524]\t[0.30377007]\t[0.13231977]\t[1.2382818]\n",
"1 \t11 \t[0.90248989]\t[0.15747112]\t[0.68707859]\t[1.2382818]\n",
"2 \t11 \t[1.09406088]\t[0.18860523]\t[0.86284921]\t[1.46762684]\n",
"3 \t11 \t[1.21413386]\t[0.12138014]\t[1.02072108]\t[1.46762684]\n",
"4 \t11 \t[1.29561806]\t[0.09930932]\t[1.2382818] \t[1.46762684]\n",
"5 \t11 \t[1.41029058]\t[0.09930932]\t[1.2382818] \t[1.46762684]\n",
"6 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"7 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"8 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"9 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"10 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"11 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"12 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"13 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"14 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"15 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"16 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"17 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"18 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"19 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"20 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"21 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"22 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"23 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"24 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"25 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"26 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"27 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"28 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"29 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"30 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n",
"2019-05-03 16:19:58.256354\t遗传算法优化完成，耗时54秒\n"
]
},
{
"data": {
"text/plain": [
"[({'atr_length': 38, 'atr_ma_length': 25}, 1.4676268402266743)]"
]
},
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"setting = OptimizationSetting()\n",
"setting.set_target(\"sharpe_ratio\")\n",

51
vnpy/app/cta_backtester/engine.py
View File

@ -222,20 +222,25 @@ class BacktesterEngine(BaseEngine):
return strategy_class.get_class_parameters()
def run_optimization(
self,
class_name: str,
vt_symbol: str,
interval: str,
start: datetime,
end: datetime,
rate: float,
slippage: float,
size: int,
pricetick: float,
capital: int,
optimization_setting: OptimizationSetting):
self,
class_name: str,
vt_symbol: str,
interval: str,
start: datetime,
end: datetime,
rate: float,
slippage: float,
size: int,
pricetick: float,
capital: int,
optimization_setting: OptimizationSetting,
use_ga: bool
):
""""""
self.write_log("开始多进程参数优化")
if use_ga:
self.write_log("开始遗传算法参数优化")
else:
self.write_log("开始多进程参数优化")
self.result_values = None
@ -260,10 +265,16 @@ class BacktesterEngine(BaseEngine):
{}
)
self.result_values = engine.run_optimization(
optimization_setting,
output=False
)
if use_ga:
self.result_values = engine.run_ga_optimization(
optimization_setting,
output=False
)
else:
self.result_values = engine.run_optimization(
optimization_setting,
output=False
)
# Clear thread object handler.
self.thread = None
@ -285,7 +296,8 @@ class BacktesterEngine(BaseEngine):
size: int,
pricetick: float,
capital: int,
optimization_setting: OptimizationSetting
optimization_setting: OptimizationSetting,
use_ga: bool
):
if self.thread:
self.write_log("已有任务在运行中，请等待完成")
@ -305,7 +317,8 @@ class BacktesterEngine(BaseEngine):
size,
pricetick,
capital,
optimization_setting
optimization_setting,
use_ga
)
)
self.thread.start()

29
vnpy/app/cta_backtester/ui/widget.py
View File

@ -240,7 +240,7 @@ class BacktesterManager(QtWidgets.QWidget):
if i != dialog.Accepted:
return
optimization_setting = dialog.get_setting()
optimization_setting, use_ga = dialog.get_setting()
self.target_display = dialog.target_display
self.backtester_engine.start_optimization(
@ -254,7 +254,8 @@ class BacktesterManager(QtWidgets.QWidget):
size,
pricetick,
capital,
optimization_setting
optimization_setting,
use_ga
)
self.result_button.setEnabled(False)
@ -592,6 +593,7 @@ class OptimizationSettingEditor(QtWidgets.QDialog):
self.edits = {}
self.optimization_setting = None
self.use_ga = False
self.init_ui()
@ -642,12 +644,27 @@ class OptimizationSettingEditor(QtWidgets.QDialog):
row += 1
button = QtWidgets.QPushButton("确定")
button.clicked.connect(self.generate_setting)
grid.addWidget(button, row, 0, 1, 4)
parallel_button = QtWidgets.QPushButton("多进程优化")
parallel_button.clicked.connect(self.generate_parallel_setting)
grid.addWidget(parallel_button, row, 0, 1, 4)
row += 1
ga_button = QtWidgets.QPushButton("遗传算法优化")
ga_button.clicked.connect(self.generate_ga_setting)
grid.addWidget(ga_button, row, 0, 1, 4)
self.setLayout(grid)
def generate_ga_setting(self):
""""""
self.use_ga = True
self.generate_setting()
def generate_parallel_setting(self):
""""""
self.use_ga = False
self.generate_setting()
def generate_setting(self):
""""""
self.optimization_setting = OptimizationSetting()
@ -676,7 +693,7 @@ class OptimizationSettingEditor(QtWidgets.QDialog):
def get_setting(self):
""""""
return self.optimization_setting
return self.optimization_setting, self.use_ga
class OptimizationResultMonitor(QtWidgets.QDialog):

15
vnpy/app/cta_strategy/backtesting.py
View File

@ -601,8 +601,12 @@ class BacktestingEngine:
# toolbox.register("map", pool.map)
# Run ga optimization
msg = "开始运行遗传算法，每代族群总数：%s, 优良品种筛选个数：%s，迭代次数：%s，交叉概率：%s，突变概率：%s" % (pop_size, mu, ngen, cxpb, mutpb)
self.output(msg)
self.output(f"参数优化空间：{total_size}")
self.output(f"每代族群总数：{pop_size}")
self.output(f"优良筛选个数：{mu}")
self.output(f"迭代次数：{ngen}")
self.output(f"交叉概率：{cxpb:.0%}")
self.output(f"突变概率：{mutpb:.0%}")
start = time()
@ -617,7 +621,7 @@ class BacktestingEngine:
stats,
halloffame=hof
)
end = time()
cost = int((end - start))
@ -630,7 +634,7 @@ class BacktestingEngine:
for parameter_values in hof:
setting = dict(zip(parameter_keys, parameter_values))
target_value = ga_optimize(parameter_values)[0]
results.append((setting, target_value))
results.append((setting, target_value, {}))
return results
@ -1059,12 +1063,13 @@ def optimize(
pricetick: float,
capital: int,
end: datetime,
mode: BacktestingMode,
mode: BacktestingMode
):
"""
Function for running in multiprocessing.pool
"""
engine = BacktestingEngine()
engine.set_parameters(
vt_symbol=vt_symbol,
interval=interval,