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Update genetics

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This commit is contained in:
cryptooda
2025-07-18 05:15:51 +07:00
parent 59c1fd5509
commit 9c4b5b7877
1 changed files with 83 additions and 22 deletions
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105
src/Managing.Application/GeneticService.cs
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@@ -319,7 +319,12 @@ public class GeneticService : IGeneticService
{
Termination = new GenerationNumberTermination(request.Generations),
MutationProbability = (float)request.MutationRate,
CrossoverProbability = 0.7f // Fixed crossover rate as in frontend
CrossoverProbability = 0.7f, // Fixed crossover rate as in frontend
TaskExecutor = new ParallelTaskExecutor
{
MinThreads = 4,
MaxThreads = Environment.ProcessorCount
}
};
// Set the genetic algorithm reference in the fitness function
@@ -511,11 +516,8 @@ public class TradingBotChromosome : ChromosomeBase
_eligibleIndicators = eligibleIndicators;
_maxTakeProfit = maxTakeProfit;
// Initialize all genes
for (int i = 0; i < Length; i++)
{
ReplaceGene(i, GenerateGene(i));
}
// Initialize genes with proper constraint handling
InitializeGenesWithConstraints();
}
public override Gene GenerateGene(int geneIndex)
@@ -526,7 +528,7 @@ public class TradingBotChromosome : ChromosomeBase
return geneIndex switch
{
0 => new Gene(GetRandomInRange((0.9, _maxTakeProfit))), // Take profit (0.9% to max TP)
1 => new Gene(GetRandomInRange(GeneticService.ParameterRanges["stopLoss"])), // Stop loss
1 => new Gene(GetRandomInRange(GeneticService.ParameterRanges["stopLoss"])), // Stop loss (will be constrained during initialization)
2 => new Gene(GetRandomIntInRange(GeneticService.ParameterRanges["cooldownPeriod"])), // Cooldown period
3 => new Gene(GetRandomIntInRange(GeneticService.ParameterRanges["maxLossStreak"])), // Max loss streak
_ => new Gene(0)
@@ -695,20 +697,15 @@ public class TradingBotChromosome : ChromosomeBase
// Get take profit from chromosome (gene 0)
var takeProfit = Convert.ToDouble(genes[0].Value);
// Calculate stop loss based on 1.1:1 risk-reward ratio (gene 1)
// Get stop loss from chromosome (gene 1) and enforce constraints at phenotype level
var stopLoss = Convert.ToDouble(genes[1].Value);
// Ensure minimum 1.1:1 risk-reward ratio and minimum 0.2% to cover fees
var minStopLossForRR = takeProfit / 1.1;
var minStopLossForFees = 0.2; // Minimum 0.2% to cover trading fees
var minStopLoss = Math.Max(minStopLossForRR, minStopLossForFees);
// Enforce 1.1:1 risk-reward ratio constraint at phenotype level
var minStopLoss = Math.Max(0.2, takeProfit / 1.1); // Minimum 0.2% to cover fees
var maxStopLoss = takeProfit - 0.1; // Ensure SL is less than TP with some buffer
// Adjust stop loss if it doesn't meet the constraints
if (stopLoss > maxStopLoss || stopLoss < minStopLoss)
{
stopLoss = GetRandomInRange((minStopLoss, maxStopLoss));
}
// Clamp stop loss to valid range (this maintains genotype-phenotype mapping)
stopLoss = Math.Max(minStopLoss, Math.Min(maxStopLoss, stopLoss));
// Get loopback period from gene 4
var loopbackPeriod = Convert.ToInt32(genes[4].Value);
@@ -823,6 +820,30 @@ public class TradingBotChromosome : ChromosomeBase
_indicatorSelectionPattern[i] = selectedIndices.Contains(i) ? 1 : 0;
}
}
/// <summary>
/// Initializes genes with proper constraint handling for take profit and stop loss
/// </summary>
private void InitializeGenesWithConstraints()
{
// Generate take profit first (gene 0)
var takeProfit = GetRandomInRange((0.9, _maxTakeProfit));
ReplaceGene(0, new Gene(takeProfit));
// Generate stop loss with constraints based on take profit (gene 1)
var minStopLoss = Math.Max(0.2, takeProfit / 1.1); // Minimum 0.2% to cover fees
var maxStopLoss = takeProfit - 0.1; // Ensure SL is less than TP with some buffer
var stopLoss = GetRandomInRange((minStopLoss, maxStopLoss));
ReplaceGene(1, new Gene(stopLoss));
// Initialize remaining genes normally
for (int i = 2; i < Length; i++)
{
ReplaceGene(i, GenerateGene(i));
}
}
}
/// <summary>
@@ -917,8 +938,48 @@ public class TradingBotFitness : IFitness
if (backtest == null || backtest.Statistics == null)
return 0.1;
// Use the comprehensive backtest score directly as fitness
// The BacktestScorer already includes all important metrics with proper weighting
return backtest.Score;
// Calculate base fitness from backtest score
var baseFitness = backtest.Score;
// Apply constraint penalty if needed (this will guide the GA toward valid solutions)
var constraintPenalty = CalculateConstraintPenalty(config);
// Return penalized fitness (constraint violations reduce fitness)
return baseFitness * constraintPenalty;
}
/// <summary>
/// Calculates a penalty factor for constraint violations (1.0 = no penalty, < 1.0 = penalty)
/// </summary>
private double CalculateConstraintPenalty(TradingBotConfig config)
{
var takeProfit = Convert.ToDouble(config.MoneyManagement.TakeProfit);
var stopLoss = Convert.ToDouble(config.MoneyManagement.StopLoss);
// Check 1.1:1 risk-reward ratio constraint
var minStopLoss = Math.Max(0.2, takeProfit / 1.1);
var maxStopLoss = takeProfit - 0.1;
// If stop loss is within valid range, no penalty
if (stopLoss >= minStopLoss && stopLoss <= maxStopLoss)
{
return 1.0;
}
// Calculate penalty based on how far outside the valid range the stop loss is
var violation = 0.0;
if (stopLoss < minStopLoss)
{
violation = (minStopLoss - stopLoss) / minStopLoss;
}
else if (stopLoss > maxStopLoss)
{
violation = (stopLoss - maxStopLoss) / maxStopLoss;
}
// Apply penalty: 0.5 for severe violations, 0.8 for minor violations
var penalty = Math.Max(0.5, 1.0 - (violation * 0.5));
return penalty;
}
}