wehub-resource-sync
61 lines
2.2 KiB
C#
61 lines
2.2 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
|
|
namespace QuantConnect.Optimizer.Strategies
|
|
{
|
|
/// <summary>
|
|
/// Find the best solution in first generation
|
|
/// </summary>
|
|
public class GridSearchOptimizationStrategy : StepBaseOptimizationStrategy
|
|
{
|
|
private object _locker = new object();
|
|
|
|
/// <summary>
|
|
/// Checks whether new lean compute job better than previous and run new iteration if necessary.
|
|
/// </summary>
|
|
/// <param name="result">Lean compute job result and corresponding parameter set</param>
|
|
public override void PushNewResults(OptimizationResult result)
|
|
{
|
|
if (!Initialized)
|
|
{
|
|
throw new InvalidOperationException($"GridSearchOptimizationStrategy.PushNewResults: strategy has not been initialized yet.");
|
|
}
|
|
|
|
lock (_locker)
|
|
{
|
|
if (!ReferenceEquals(result, OptimizationResult.Initial) && string.IsNullOrEmpty(result?.JsonBacktestResult))
|
|
{
|
|
// one of the requested backtests failed
|
|
return;
|
|
}
|
|
|
|
// check if the incoming result is not the initial seed
|
|
if (result.Id > 0)
|
|
{
|
|
ProcessNewResult(result);
|
|
return;
|
|
}
|
|
|
|
foreach (var parameterSet in Step(OptimizationParameters))
|
|
{
|
|
OnNewParameterSet(parameterSet);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|