OpenKantu/kantu_multithreading.pas at master · danielfppps/OpenKantu · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
unit kantu_multithreading;

{$mode objfpc}{$H+}

interface

uses
  Classes, SysUtils, Dialogs, Forms,kantu_definitions,  LCLProc, dateutils, kantu_simulation, math;

Type
    TMyIndiThread = class(TThread)
    private

    protected
      simulationResults  : array of TIndicatorSimulationResults;
      entryPattern, closePattern: TIndicatorPattern;
      maxRulesPerCandle: integer;
      slippagePercent: double;
      i, j: integer;
      maxCandleShift: integer;
      singleCycleSystems: double;
      resultQuota: integer;
      useSL, useTP, useClose: Boolean;
      startDate, endDate, endOutOfSample: TDateTime;
      generationPeriod, walkForwardPeriod, strategiesRequested: integer;
      testedPatterns: TIndicatorPatternGroup;
      procedure Execute; override;
      procedure syncSimulation;
    public
      isRandomPeriodSelection : boolean;
      isMultipleSymbols       : boolean;
      isSingleCycle           : boolean;
      Constructor Create(CreateSuspended : boolean);
    end;

implementation

uses kantu_regular_simulation, kantu_main, kantu_indicators  ;

  constructor TMyIndiThread.Create(CreateSuspended : boolean);
  begin
    maxRulesPerCandle    := StrToInt(SimulationForm.OptionsGrid.Cells[1, IDX_OPT_MAX_RULES_PER_CANDLE]);
    maxCandleShift       := StrToInt(SimulationForm.OptionsGrid.Cells[1, IDX_OPT_MAX_CANDLE_SHIFT]);
    resultQuota          := StrToInt(SimulationForm.OptionsGrid.Cells[1, IDX_OPT_REQUESTED_SYSTEMS]);
    useSL                := SimulationForm.useSLCheck.Checked;
    useTP                := SimulationForm.useTPCheck.Checked;
    startDate            := SimulationForm.BeginInSampleCalendar.Date;
    endDate              := SimulationForm.EndInSampleCalendar.Date ;
    endOutOfSample       := SimulationForm.EndOutOfSampleCalendar.Date;
    SetLength(simulationResults, 1);
    SetLength(testedPatterns, 0);

    FreeOnTerminate := True;
    inherited Create(CreateSuspended);
  end;

  procedure TMyIndiThread.syncSimulation;
  var
    k: integer;
  begin

    SetLength(indicatorEntryPatterns, Length(indicatorEntryPatterns)+1);
    SetLength(indicatorClosePatterns, Length(indicatorClosePatterns)+1);
    indicatorEntryPatterns[ Length(indicatorEntryPatterns)-1] := entryPattern;
    indicatorClosePatterns[ Length(indicatorClosePatterns)-1] := closePattern;

    for k := 0 to strategiesRequested-1 do
    addIndicatorResultToGrid(simulationResults[k], Length(indicatorEntryPatterns), endOutOfSample );


    validResults := validResults + 1;

    MainForm.StatusLabel.Caption := 'Simulation progress: ' + FloatToStr(simulationsRan) + '  runs, valid ' + IntToStr(MainForm.ResultsGrid.RowCount-1) + '/' +  IntToStr(strategiesRequested) + ' Avg time/sim : ' + FloatToStr(MainForm.simulationTime/1000);
    MainForm.ProgressBar1.Position := MainForm.ResultsGrid.RowCount-1 ;

    j := 0;
    i := 1 + i;

  end;

  procedure TMyIndiThread.Execute;
  var
    isPositiveCount: integer;
    k: integer;
  begin

 i := 0;
 j := 0;
 strategiesRequested := 1;

    while (((validResults < resultQuota) and (isSingleCycle = False)) or
           ((simulationsRan < singleCycleSystems) and (isSingleCycle = True)))
           and (MainForm.isCancel = false) do
      begin

            if isMultipleSymbols then
            begin
            strategiesRequested := Length(LoadedIndiHistoryData);
            SetLength(simulationResults, strategiesRequested);
            end;

            if isRandomPeriodSelection then
            begin
            startDate := Now;

              while IncDay(startDate, walkForwardPeriod+generationPeriod) > LoadedIndiHistoryData[0].time[Length(LoadedIndiHistoryData[0].time)-1] do
              startDate               := LoadedIndiHistoryData[0].time[RandomRange(50, Length(LoadedIndiHistoryData[0].time)-1)] ;
              endDate                 := IncDay(startDate, generationPeriod);
              endOutOfSample          := IncDay(endDate, walkForwardPeriod);

            end;

            entryPattern := generateRandomIndicatorPattern(maxRulesPerCandle, maxCandleShift);
            closePattern := generateRandomIndicatorPattern(maxRulesPerCandle, maxCandleShift);

            isPositiveCount := 0;

            for k := 0 to strategiesRequested -1 do
            begin

            simulationResults[k].trades := nil;

            simulationResults[k] := runIndicatorSimulation(     entryPattern,
                     closePattern,
                     k,
                     useSL,
                     useTP,
                     startDate,
                     endDate,
                     true);


                    if ( isIndicatorPositiveResult(simulationResults[k]))then isPositiveCount := isPositiveCount + 1;

            end;

            if ( isPositiveCount = Length(LoadedIndiHistoryData))then
            Synchronize(@syncSimulation);

            j := j + 1;
            simulationsRan := simulationsRan + 1;

      end;


  end;

end.