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update for parallel

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fasiondog 2024-09-18 16:59:56 +08:00
parent b7997e8f69
commit 0bbdf20d39
3 changed files with 19 additions and 9 deletions
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16
hikyuu/examples/optimal_param.py
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@ -21,8 +21,8 @@ os.environ['HKU_START_SPOT'] = '0' # 禁止启动行情接收代理
from hikyuu.interactive import * # NOQA: E402
fast_n = range(3, 200)
slow_n = range(5, 300)
fast_n = range(3, 20)
slow_n = range(5, 100)
params = [v for v in product(fast_n, slow_n)]
# print(params)
@ -73,11 +73,11 @@ while not sm.data_ready:
time.sleep(100)
# max_val, max_sys = find_optimal_param(sys_list, stk, query, key='当前总资产')
max_val, max_sys = find_optimal_system_multi(sys_list, stk, query, '当前总资产', 0)
# max_val, max_sys = find_optimal_system_multi(sys_list, stk, query, '当前总资产', 0)
# print(max_val)
print(max_sys.name)
print(len(sys_list))
# print(max_sys.name)
# print(len(sys_list))
# max_sys.run(stk, query)
# max_sys.performance()
@ -86,3 +86,9 @@ print(len(sys_list))
# x = find_optimal_system(sys_list, stk, query, '当前总资产', 0)
# print(x)
my_sys = SYS_WalkForward(sys_list, crtTM())
my_sys.set_param("parallel", True)
my_sys.run(stk, query)
my_sys.performance()
plt.show()

11
hikyuu_cpp/hikyuu/trade_sys/selector/imp/OptimalSelector.cpp
View File

@ -124,6 +124,7 @@ void OptimalSelector::calculate(const SystemList& pf_realSysList, const KQuery&
void OptimalSelector::_calculate_single(const vector<std::pair<size_t, size_t>>& train_ranges,
const DatetimeList& dates, const string& key, int mode,
size_t test_len, bool trace) {
SPEND_TIME(OptimalSelector_calculate_single);
size_t dates_len = dates.size();
Performance per;
for (size_t i = 0, total = train_ranges.size(); i < total; i++) {
@ -190,6 +191,7 @@ void OptimalSelector::_calculate_single(const vector<std::pair<size_t, size_t>>&
void OptimalSelector::_calculate_parallel(const vector<std::pair<size_t, size_t>>& train_ranges,
const DatetimeList& dates, const string& key, int mode,
size_t test_len, bool trace) {
SPEND_TIME(OptimalSelector_calculate_parallel);
auto sys_list = parallel_for_index(
0, train_ranges.size(),
[this, &train_ranges, &dates, query = m_query, trace, key, mode](size_t i) {
@ -205,13 +207,14 @@ void OptimalSelector::_calculate_parallel(const vector<std::pair<size_t, size_t>
} else if (0 == mode) {
double max_value = std::numeric_limits<double>::lowest();
for (const auto& sys : m_pro_sys_list) {
sys->run(q, true);
per.statistics(sys->getTM(), end_date);
auto new_sys = sys->clone();
new_sys->run(q, true);
per.statistics(new_sys->getTM(), end_date);
double value = per.get(key);
CLS_TRACE_IF(trace, "value: {}, sys: {}", value, sys->name());
CLS_TRACE_IF(trace, "value: {}, sys: {}", value, new_sys->name());
if (value > max_value) {
max_value = value;
selected_sys = sys;
selected_sys = new_sys;
}
}
} else if (1 == mode) {

1
hikyuu_cpp/hikyuu/trade_sys/system/imp/WalkForwardSystem.cpp
View File

@ -171,6 +171,7 @@ void WalkForwardSystem::readyForRun() {
}
void WalkForwardSystem::run(const KData& kdata, bool reset, bool resetAll) {
SPEND_TIME(WalkForwardSystem_run);
HKU_IF_RETURN(kdata.empty(), void());
if (resetAll) {
this->forceResetAll();