optional<cache_iterator_type> advance(const tangent_vector& tangent, const double& from_t, const double& to_t, size_t recursion = 1) const
{
if (recursion > max_recursion_)
return optional<cache_iterator_type>();
//log_cout << " Parallel transport: " << from_t << " -> " << to_t << endl;
for (set<std::shared_ptr<chart> >::const_iterator i = charts().begin(); i != charts().end(); ++i)
if (tangent[*i])
{
optional<cache_iterator_type> result(advance_on_chart(*i, *tangent[*i], from_t, to_t));
if (result)
return result;
}
optional<cache_iterator_type> halfway(advance(tangent, from_t, (from_t + to_t) / 2, recursion + 1));
return halfway ? advance(*(*halfway)->second, (from_t + to_t) / 2, to_t, recursion + 1) : optional<cache_iterator_type>();
}
int main(int argc, char* argv[]) {
if(argc != 2) {
std::cout << "Usage: " << argv[0] << " /path/to/lua/script.lua" << std::endl;
exit(1);
}
std::cout.unsetf(std::ios::floatfield);
std::cout.precision(5);
std::cout << std::fixed;
std::cout << "==================== SETUP ====================" << std::endl;
// TODO: detect unusual currency bases for accurate profit calculation
auto config = std::make_shared<LuaScript>(argv[1]);
std::cout << "Simulating a maximum of " << config->steps() << " steps" << std::endl;
std::cout << config->optimizations() << " optimizations per in sample" << std::endl;
auto charts = Chart::load_from_string(config->charts());
auto ts = std::make_unique<TickSource>(config->csv_path());
auto vars = Variable::load_from_string(config->variables());
auto optimizer = std::make_unique<Optimizer>(vars);
ts->fill_charts(charts);
ts->advance_charts_to_next_sunday(charts);
int step_number = 1;
int weeks_in_sample = std::stoi(config->in_sample_time());
int weeks_out_of_sample = std::stoi(config->out_of_sample_time());
std::vector<float> optimization_scores;
std::vector<float> execution_scores;
// ----- MAIN LOOP -------------------------------------------------------------------------
for(;;) {
// ----- FIND IN AND OUT OF SAMPLE START AND END POINTS ----------------------------
// in_sample_record_end is just out_of_sample_record_start - 1
unsigned long in_sample_record_start = ts->next_record_id();
unsigned long out_of_sample_record_start = 0;
unsigned long out_of_sample_record_end = 0;
bool tick_is_sunday = true;
bool on_sunday = true;
int sundays_seen = 0;
for(auto tick = ts->next(); tick; tick = ts->next()) {
tick_is_sunday = tick->is_sunday();
if(!on_sunday && tick_is_sunday) {
on_sunday = true;
sundays_seen++;
} else if(on_sunday && !tick_is_sunday) {
on_sunday = false;
}
if(sundays_seen == weeks_in_sample) {
out_of_sample_record_start = ts->next_record_id() - 1;
break;
}
}
if(!out_of_sample_record_start) {
bail("ran out of tick source when searching for out of sample start");
}
sundays_seen = 0;
on_sunday = true;
for(auto tick = ts->next(); tick; tick = ts->next()) {
tick_is_sunday = tick->is_sunday();
if(!on_sunday && tick_is_sunday) {
on_sunday = true;
sundays_seen++;
} else if(on_sunday && !tick_is_sunday) {
on_sunday = false;
}
if(sundays_seen == weeks_out_of_sample) {
// stop on the tick before the current tick
out_of_sample_record_end = ts->next_record_id() - 2;
break;
}
}
if(!out_of_sample_record_end) {
bail("ran out of tick source when searching for out of sample end");
}
std::cout << "In sample: " << ts->peek_at(in_sample_record_start)->show()
<< " through " << ts->peek_at(out_of_sample_record_start - 1)->show()
<< std::endl;
std::cout << "Out of sample: " << ts->peek_at(out_of_sample_record_start)->show()
<< " through " << ts->peek_at(out_of_sample_record_end)->show()
<< std::endl;
// ----- OPTIMIZE ON IN SAMPLE PERIOD ----------------------------------------------
auto subset = ts->subset(in_sample_record_start, out_of_sample_record_start - 1);
auto winner = optimizer->optimize_variables_on(config, charts, subset);
// optimizer->print_scores();
// ----- IF OPTIMIZATION SUCCEEDED, EXECUTE ON OUT OF SAMPLE PERIOD ----------------
if(winner->get_score() < config->minimum_optimization_score()) {
bail("Failed to find a variables above the cutoff");
}
optimization_scores.push_back(winner->get_score());
std::cout << "==================== EXECUTING ON ====================" << std::endl;
std::cout << "Winning variables!" << std::endl;
std::cout << "Score: " << winner->get_score() << std::endl;
for(auto var: winner->get_variables()) {
std::cout << "\t" << var->get_name() << " -> " << var->show() << std::endl;
}
auto new_vars = winner->get_variables();
auto new_config = config;
auto new_charts = charts;
auto oos = ts->subset(out_of_sample_record_start, out_of_sample_record_end);
Simulation sim(new_config, new_charts, new_vars);
sim.run(oos);
std::cout << "Execution score: " << sim.get_score() << std::endl;
std::cout << "% profitable: " << sim.percentage_of_profitable_trades()
<< "%" << std::endl;
std::cout << "Average trade duration: " << sim.average_trade_duration() << std::endl;
std::cout << "Worst DD: " << sim.get_worst_drawdown() << "%" << std::endl;
std::cout << "Equity high: " << sim.get_equity_high() << std::endl;
std::cout << "Equity low: " << sim.get_equity_low() << std::endl;
std::cout << "Trades: " << sim.get_trade_count() << std::endl;
std::cout << "Winners: " << sim.get_winning_trade_count() << std::endl;
std::cout << "Losers: " << sim.get_losing_trade_count() << std::endl;
std::cout << "Best: " << sim.best_winning_trade()->profit() << std::endl;
std::cout << "Worst: " << sim.worst_losing_trade()->profit() << std::endl;
// ----- IF EXECUTION SUCCEEDED, RECORD RESULTS ------------------------------------
if(sim.get_score() < config->minimum_execution_score()) {
bail("Failed at optimization step");
}
execution_scores.push_back(sim.get_score());
// ----- EXIT IF WE'RE AT MAX STEPS ------------------------------------------------
step_number++;
if(step_number > config->steps()) {
std::cout << "Reached max steps, breaking" << std::endl;
break;
}
// ----- ADVANCE CHARTS TO NEXT IN SAMPLE START ------------------------------------
ts->seek_to_record(in_sample_record_start);
ts->advance_charts_to_next_sunday(charts);
}
std::cout << "==================== RESULTS ====================" << std::endl;
// ----- SHOW PROFIT FOR EACH PERIOD -------------------------------------------------------
std::cout << "Scores:" << std::endl;
for(unsigned long i = 0; i < optimization_scores.size(); i++) {
std::cout << i + 1 << " - ";
std::cout << "Opti: " << optimization_scores[i];
std::cout << " - ";
std::cout << "Exec: " << execution_scores[i];
std::cout << std::endl;
}
// ----- SHOW WALK FORWARD EFFICIENCY ------------------------------------------------------
float optimization_total = sum_vector(optimization_scores);
float execution_total = sum_vector(execution_scores);
float efficiency = execution_total / optimization_total;
std::cout << "Optimization total: " << optimization_total << " - ";
std::cout << "Execution total: " << execution_total << " - ";
std::cout << "WFA efficiency: " << efficiency << "% - Verdict: ";
if(efficiency < 0.5) {
std::cout << "FAIL";
} else if(efficiency >= 0.5 && efficiency < 1.0) {
std::cout << "ACCEPTABLE";
} else if(efficiency >= 1.0 && efficiency <= 1.5) {
std::cout << "GREAT";
} else {
std::cout << "TOO GOOD - SUSPICIOUS";
}
std::cout << std::endl;
// ----- SHOW PROFIT FACTOR ----------------------------------------------------------------
float gross_profit = 0.0;
float gross_loss = 0.0;
for(auto score: execution_scores) {
if(score >= 0.0)
gross_profit += score;
else
gross_loss += score;
}
gross_loss = std::abs(gross_loss);
float profit_factor = gross_profit / gross_loss;
std::cout << "Gross profit: " << gross_profit << " - ";
std::cout << "Gross loss: " << gross_loss << " - ";
std::cout << "Profit factor: " << profit_factor << " - Verdict: ";
if(profit_factor < 1.5) {
std::cout << "FAIL";
} else if(profit_factor >= 1.5 && profit_factor < 2.0) {
std::cout << "ACCEPTABLE";
} else if(profit_factor >= 2.0 && profit_factor <= 3.0) {
std::cout << "GREAT";
} else {
std::cout << "TOO GOOD - SUSPICIOUS";
}
std::cout << std::endl;
// ----- SHOW FINAL SCORE ------------------------------------------------------------------
// TODO: final score should be some function of two or more of the following:
// execution_total, WFA efficiency, max drawdown, profit factor, % profitable
std::cout << "Final score: " << execution_total << " - Minimum score: "
<< config->minimum_overall_score() << " - Verdict: ";
std::cout << (execution_total >= config->minimum_overall_score() ? "PASS" : "FAIL") << std::endl;
std::cout << "==================== SHUTDOWN ====================" << std::endl;
return 0;
}
