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Interval, Status)
from vnpy.trader.database import database_manager
from vnpy.trader.object import OrderData, TradeData, BarData, TickData
from vnpy.trader.utility import round_to
from .base import (
BacktestingMode,
EngineType,
STOPORDER_PREFIX,
StopOrder,
StopOrderStatus,
)
from .template import CtaTemplate
sns.set_style("whitegrid")
creator.create("FitnessMax", base.Fitness, weights=(1.0,))
creator.create("Individual", list, fitness=creator.FitnessMax)
class OptimizationSetting:
"""
Setting for runnning optimization.
"""
def __init__(self):
""""""
self.params = {}
self.target_name = ""
def add_parameter(
self, name: str, start: float, end: float = None, step: float = None
):
""""""
# 2.3.5 Seeding a population
import json
from deap import base
from deap import creator
creator.create("FitnessMax", base.Fitness, weights=(1.0, 1.0))
creator.create("Individual", list, fitness=creator.FitnessMax)
def initIndividual(icls, content):
return icls(content)
def initPopulation(pcls, ind_init, filename):
contents = json.load(open(filename, "r"))
return pcls(ind_init(c) for c in contents)
toolbox = base.Toolbox()
toolbox.register("individual_guess", initIndividual, creator.Individual)
toolbox.register("population_guess", initPopulation, list, toolbox.individual_guess, "my_guess.json")
population = toolbox.population_guess()
def deap_test():
# onemax example evolves to print list of ones: [1, 1, 1, 1, 1, 1, 1, 1, 1, 1]
numpy.random.seed(1)
def evalOneMax(individual):
return sum(individual),
creator.create("FitnessMax", base.Fitness, weights=(1.0,))
creator.create("Individual", list, typecode='b', fitness=creator.FitnessMax)
toolbox = base.Toolbox()
toolbox.register("attr_bool", numpy.random.randint, 0, 1)
toolbox.register("individual", tools.initRepeat, creator.Individual, toolbox.attr_bool, 10)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
toolbox.register("evaluate", evalOneMax)
toolbox.register("mate", tools.cxTwoPoint)
toolbox.register("mutate", tools.mutFlipBit, indpb=0.05)
toolbox.register("select", tools.selTournament, tournsize=3)
pop = toolbox.population(n=50)
hof = tools.HallOfFame(1)
stats = tools.Statistics(lambda ind: ind.fitness.values)
stats.register("avg", numpy.mean)
stats.register("std", numpy.std)
def _setup_toolbox(self):
with warnings.catch_warnings():
warnings.simplefilter('ignore')
creator.create('FitnessMulti', base.Fitness, weights=(-1.0, 1.0))
creator.create('Individual', gp.PrimitiveTree, fitness=creator.FitnessMulti, statistics=dict)
self._toolbox = base.Toolbox()
self._toolbox.register('expr', self._gen_grow_safe, pset=self._pset, min_=self._min, max_=self._max)
self._toolbox.register('individual', tools.initIterate, creator.Individual, self._toolbox.expr)
self._toolbox.register('population', tools.initRepeat, list, self._toolbox.individual)
self._toolbox.register('compile', self._compile_to_sklearn)
self._toolbox.register('select', tools.selNSGA2)
self._toolbox.register('mate', self._mate_operator)
if self.tree_structure:
self._toolbox.register('expr_mut', self._gen_grow_safe, min_=self._min, max_=self._max + 1)
else:
self._toolbox.register('expr_mut', self._gen_grow_safe, min_=self._min, max_=self._max)
self._toolbox.register('mutate', self._random_mutation_operator)
## 2.2.4 Evolution Strategy
import array
import random
from deap import base
from deap import creator
from deap import tools
creator.create("FitnessMin", base.Fitness, weights=(-1.0,))
creator.create("Individual", array.array, typecode="d",
fitness=creator.FitnessMin, strategy=None)
creator.create("Strategy", array.array, typecode="d")
def initES(icls, scls, size, imin, imax, smin, smax):
ind = icls(random.uniform(imin, imax) for _ in range(size))
ind.strategy = scls(random.uniform(smin, smax) for _ in range(size))
return ind
IND_SIZE = 10
MIN_VALUE, MAX_VALUE = -5., 5.
MIN_STRAT, MAX_STRAT = -1., 1.
toolbox = base.Toolbox()
toolbox.register("individual", initES, creator.Individual,
creator.Strategy, IND_SIZE, MIN_VALUE, MAX_VALUE, MIN_STRAT,
MAX_STRAT)
from deap import algorithms
from deap import base
from deap import creator
from deap import tools
# gr*.json contains the distance map in list of list style in JSON format
# Optimal solutions are : gr17 = 2085, gr24 = 1272, gr120 = 6942
with open("tsp/gr17.json", "r") as tsp_data:
tsp = json.load(tsp_data)
distance_map = tsp["DistanceMatrix"]
IND_SIZE = tsp["TourSize"]
creator.create("FitnessMin", base.Fitness, weights=(-1.0,))
creator.create("Individual", array.array, typecode='i', fitness=creator.FitnessMin)
toolbox = base.Toolbox()
# Attribute generator
toolbox.register("indices", random.sample, range(IND_SIZE), IND_SIZE)
# Structure initializers
toolbox.register("individual", tools.initIterate, creator.Individual, toolbox.indices)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
def evalTSP(individual):
distance = distance_map[individual[-1]][individual[0]]
for gene1, gene2 in zip(individual[0:-1], individual[1:]):
distance += distance_map[gene1][gene2]
return distance,
x = 1
return x
pset = gp.PrimitiveSet("MAIN", 1)
pset.addPrimitive(numpy.add, 2, name="vadd")
pset.addPrimitive(numpy.subtract, 2, name="vsub")
pset.addPrimitive(numpy.multiply, 2, name="vmul")
pset.addPrimitive(protectedDiv, 2)
pset.addPrimitive(numpy.negative, 1, name="vneg")
pset.addPrimitive(numpy.cos, 1, name="vcos")
pset.addPrimitive(numpy.sin, 1, name="vsin")
pset.addEphemeralConstant("rand101", lambda: random.randint(-1,1))
pset.renameArguments(ARG0='x')
creator.create("FitnessMin", base.Fitness, weights=(-1.0,))
creator.create("Individual", gp.PrimitiveTree, fitness=creator.FitnessMin)
toolbox = base.Toolbox()
toolbox.register("expr", gp.genHalfAndHalf, pset=pset, min_=1, max_=2)
toolbox.register("individual", tools.initIterate, creator.Individual, toolbox.expr)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
toolbox.register("compile", gp.compile, pset=pset)
samples = numpy.linspace(-1, 1, 10000)
values = samples**4 + samples**3 + samples**2 + samples
def evalSymbReg(individual):
# Transform the tree expression in a callable function
func = toolbox.compile(expr=individual)
# Evaluate the sum of squared difference between the expression
# and the real function values : x**4 + x**3 + x**2 + x
diff = numpy.sum((func(samples) - values)**2)
MAX_WEIGHT = 50
NBR_ITEMS = 20
# To assure reproductibility, the RNG seed is set prior to the items
# dict initialization. It is also seeded in main().
random.seed(64)
# Create the item dictionary: item name is an integer, and value is
# a (weight, value) 2-uple.
items = {}
# Create random items and store them in the items' dictionary.
for i in range(NBR_ITEMS):
items[i] = (random.randint(1, 10), random.uniform(0, 100))
creator.create("Fitness", base.Fitness, weights=(-1.0, 1.0))
creator.create("Individual", set, fitness=creator.Fitness)
toolbox = base.Toolbox()
# Attribute generator
toolbox.register("attr_item", random.randrange, NBR_ITEMS)
# Structure initializers
toolbox.register("individual", tools.initRepeat, creator.Individual,
toolbox.attr_item, IND_INIT_SIZE)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
def evalKnapsack(individual):
weight = 0.0
value = 0.0
for item in individual:
weight += items[item][0]
elif numpy.isinf(x) or numpy.isnan(x):
x = 1
return x
pset = gp.PrimitiveSet("MAIN", 1)
pset.addPrimitive(numpy.add, 2, name="vadd")
pset.addPrimitive(numpy.subtract, 2, name="vsub")
pset.addPrimitive(numpy.multiply, 2, name="vmul")
pset.addPrimitive(protectedDiv, 2)
pset.addPrimitive(numpy.negative, 1, name="vneg")
pset.addPrimitive(numpy.cos, 1, name="vcos")
pset.addPrimitive(numpy.sin, 1, name="vsin")
pset.addEphemeralConstant("rand101", lambda: random.randint(-1,1))
pset.renameArguments(ARG0='x')
creator.create("FitnessMin", base.Fitness, weights=(-1.0,))
creator.create("Individual", gp.PrimitiveTree, fitness=creator.FitnessMin)
toolbox = base.Toolbox()
toolbox.register("expr", gp.genHalfAndHalf, pset=pset, min_=1, max_=2)
toolbox.register("individual", tools.initIterate, creator.Individual, toolbox.expr)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
toolbox.register("compile", gp.compile, pset=pset)
samples = numpy.linspace(-1, 1, 10000)
values = samples**4 + samples**3 + samples**2 + samples
def evalSymbReg(individual):
# Transform the tree expression in a callable function
func = toolbox.compile(expr=individual)
# Evaluate the sum of squared difference between the expression
# and the real function values : x**4 + x**3 + x**2 + x
def _create(self):
creator.create("FeatureSelect", base.Fitness, weights=(1.0,))
creator.create("Individual", list, fitness=creator.FeatureSelect)
return creator