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WalkForwardSystem (continue)

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KongDong 2024-09-16 23:45:25 +08:00
parent 6a1bd02b43
commit 0742a5635f
2 changed files with 34 additions and 42 deletions
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17
hikyuu_cpp/hikyuu/trade_sys/system/crt/SYS_WalkForward.h Normal file
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@ -0,0 +1,17 @@
/*
* Copyright (c) 2019~2023, hikyuu.org
*
* History:
* 1. 20240916 added by fasiondog
*/
#pragma once
#include "../System.h"
namespace hku {
SystemPtr HKU_API SYS_WalkForward(const TradeManagerPtr& tm, const SystemList& candidate_sys_list,
const TradeManagerPtr& train_tm = TradeManagerPtr());
}

59
hikyuu_cpp/hikyuu/trade_sys/system/imp/WalkForwardSystem.cpp
View File

@ -6,6 +6,9 @@
*/
#include "hikyuu/trade_manage/crt/crtTM.h"
#include "hikyuu/trade_sys/environment/crt/EV_Manual.h"
#include "hikyuu/trade_sys/condition/crt/CN_Manual.h"
#include "hikyuu/trade_sys/signal/crt/SG_Manual.h"
#include "hikyuu/trade_sys/selector/crt/SE_Optimal.h"
#include "hikyuu/trade_sys/selector/imp/OptimalSelector.h"
#include "WalkForwardSystem.h"
@ -41,16 +44,7 @@ void WalkForwardSystem::_reset() {
}
void WalkForwardSystem::_forceResetAll() {
m_kdata_list.clear();
m_cur_kdata = 0;
m_cur_sys.reset();
m_se->reset();
m_trade_list.clear();
m_buyRequest.clear();
m_sellRequest.clear();
m_sellShortRequest.clear();
m_buyShortRequest.clear();
this->_reset();
}
SystemPtr WalkForwardSystem::_clone() {
@ -79,38 +73,6 @@ void WalkForwardSystem::syncDataFromSystem(const SYSPtr& sys, const KData& kdata
m_sell_short_days = sys->m_sell_short_days;
m_lastTakeProfit = sys->m_lastTakeProfit;
m_lastShortTakeProfit = sys->m_lastShortTakeProfit;
auto dates = kdata.getDatetimeList();
auto ev = sys->getEV();
if (ev) {
for (const auto& date : dates) {
if (ev->isValid(date)) {
m_ev->_addValid(date);
}
}
}
auto cn = sys->getCN();
if (cn) {
for (const auto& date : dates) {
if (cn->isValid(date)) {
m_cn->_addValid(date);
}
}
}
auto sg = sys->getSG();
if (sg) {
auto buy_dates = sg->getBuySignal();
for (const auto& date : buy_dates) {
m_sg->_addBuySignal(date);
}
auto sell_dates = sg->getSellSignal();
for (const auto& date : sell_dates) {
m_sg->_addSellSignal(date);
}
}
}
void WalkForwardSystem::syncDataToSystem(const SYSPtr& sys) {
@ -245,4 +207,17 @@ TradeRecord WalkForwardSystem::pfProcessDelaySellRequest(const Datetime& date) {
return ret;
}
SystemPtr HKU_API SYS_WalkForward(const TradeManagerPtr& tm, const SystemList& candidate_sys_list,
const TradeManagerPtr& train_tm) {
HKU_CHECK(!tm, "input tm is null!");
SystemPtr ret;
if (train_tm) {
ret = make_shared<WalkForwardSystem>(candidate_sys_list, train_tm);
} else {
ret = make_shared<WalkForwardSystem>(candidate_sys_list, tm->clone());
}
ret->setTM(tm);
return ret;
}
} // namespace hku