mj-xmr · mj-xmr · Feb 3, 2022 · Feb 3, 2022
diff --git a/src/lib-base/src/CLI.cpp b/src/lib-base/src/CLI.cpp
@@ -24,7 +24,7 @@ EnjoLib::Result<CLIResult> CLI::GetConfigs(int argc, char ** argv) const
     const char * OPT_SYMBOL = "sym";
     const char * OPT_PERIOD  = "per";
     const char * OPT_LAGS  = "lags";
-    const char * OPT_PER_SEASONAL  = "per-easonal";
+    const char * OPT_PER_SEASONAL  = "per-seasonal";
 
 
     EnjoLib::ProgramOptionsState popState;

diff --git a/src/lib-base/src/ConfigOpti.cpp b/src/lib-base/src/ConfigOpti.cpp
@@ -31,15 +31,15 @@ float ConfigOpti::GetOPTI_CROSS_VALID_BARS_XVAL(const IPeriod & per) const
     return OPTI_CROSS_VALID_BARS_XVAL / 100.0;
 }
 
-OptiType ConfigOpti::GetOptimizer() const
+OptiType ConfigOpti::GetOperationType() const
 {
     return static_cast<OptiType>(OPTIMIZER);
 }
-OptiMethod ConfigOpti::GetOptimizerMethod() const
+OptiMethod ConfigOpti::GetMethod() const
 {
     return static_cast<OptiMethod>(OPTIMIZER_METHOD);
 }
-OptiGoalType ConfigOpti::GetOptimizerGoalType() const
+OptiGoalType ConfigOpti::GetGoalType() const
 {
     return static_cast<OptiGoalType>(OPTIMIZER_GOAL);
 }
@@ -57,22 +57,32 @@ void ConfigOpti::SetOptimizerGoal(const OptiGoalType & optiGoal)
     OPTIMIZER_GOAL = static_cast<long int>(optiGoal);
 }
 
-        
+
 bool ConfigOpti::IsSearchFloatingPoint() const
 {
     return not IsSearchGrid();
 }
 bool ConfigOpti::IsSearchGrid() const
 {
-    return GetOptimizerMethod() == OptiMethod::OPTI_METHOD_GRID || IsSearchRandom();
+    return GetMethod() == OptiMethod::OPTI_METHOD_GRID || IsSearchRandom();
 }
 bool ConfigOpti::IsSearchRandom() const
 {
-    return GetOptimizerMethod() == OptiMethod::OPTI_METHOD_MONTECARLO;
+    return GetMethod() == OptiMethod::OPTI_METHOD_MONTECARLO;
 }
 bool ConfigOpti::IsXValid() const
 {
-    return GetOptimizer() == OptiType::OPTI_TYPE_XVALID;
+    return GetOperationType() == OptiType::OPTI_TYPE_XVALID;
+}
+bool ConfigOpti::IsOperationType(const OptiType & operType) const
+{
+    const OptiType oper = GetOperationType();
+    return oper == operType;
+}
+bool ConfigOpti::IsOptimizing() const
+{
+    const OptiType oper = GetOperationType();
+    return oper == OptiType::OPTI_TYPE_FIND || oper == OptiType::OPTI_TYPE_XVALID;
 }
 
 ConfigOpti::~ConfigOpti(){}
@@ -82,7 +92,6 @@ void ConfigOpti::RegisterAndReadBools(EnjoLib::Istream & f)
     RegisterAndReadBool(f, OPTI_VERBOSE, true,              "VERBOSE",          "Show plots and stats");
     RegisterAndReadBool(f, OPTI_USE_RELEASE, false,         "USE_RELEASE",      "Use parameters stored as 'release'");
     RegisterAndReadBool(f, OPTI_GLOBAL, false,              "GLOBAL",           "Find parameters, which optimize all series at the same time");
-    //RegisterAndReadBool(f, OPTI_CROSS_VALID, false,         "W.F. Validation",  "Walk forward optimization / validation");
     RegisterAndReadBool(f, OPTI_LAST, false,                "LAST",             "Use only the last window (iteration) of the W.F. Validation");
     RegisterAndReadBool(f, OPTI_RANDOM_EARLY_STOP, false,   "Early stop",       "Stop Monte Carlo if the change of variance of the optimized var is below threshold");
     RegisterAndReadBool(f, OPTI_SERVER_DENSE, false,        "SERVER_DENSE",     "Use dense sampling of the variables in production (on server).");
@@ -93,11 +102,11 @@ void ConfigOpti::RegisterAndReadInts(EnjoLib::Istream & f)
     RegisterAndReadInt (f, OPTIMIZER,           (long int)OptiType::OPTI_TYPE_NONE);
     RegisterAndReadInt (f, OPTIMIZER_METHOD,    (long int)OptiMethod::OPTI_METHOD_GRID);
     RegisterAndReadInt (f, OPTIMIZER_GOAL,      (long int)OptiGoalType::SUM);
-    
+
     RegisterAndReadInt (f, OPTI_CROSS_VALID_BARS_OPTI_H1,   2000);
     RegisterAndReadInt (f, OPTI_CROSS_VALID_BARS_XVAL,      20);
     RegisterAndReadInt (f, OPTI_RANDOM_SAMPLES_NUM,         100);
-    RegisterAndReadInt (f, OPTI_RANDOM_MIN_DIFF_PROMILE,    500);    
+    RegisterAndReadInt (f, OPTI_RANDOM_MIN_DIFF_PROMILE,    500);
 }
 void ConfigOpti::RegisterAndReadFloats(EnjoLib::Istream & f)
 {

diff --git a/src/lib-base/src/ConfigOpti.h b/src/lib-base/src/ConfigOpti.h
@@ -30,10 +30,12 @@ class ConfigOpti : public ConfigBase
         bool IsSearchGrid() const;
         bool IsSearchRandom() const;
         bool IsXValid() const;
-        OptiType GetOptimizer() const;
-        OptiMethod GetOptimizerMethod() const;
-        OptiGoalType GetOptimizerGoalType() const;
-
+        bool IsOptimizing() const;
+        bool IsOperationType(const OptiType  & operType) const;
+        OptiType GetOperationType() const;
+        OptiMethod GetMethod() const;
+        OptiGoalType GetGoalType() const;
+
         void SetOptimizer(const OptiType & optiType);
         void SetOptimizerMethod(const OptiMethod & optiMethod);
         void SetOptimizerGoal(const OptiGoalType & optiGoal);
@@ -46,7 +48,6 @@ class ConfigOpti : public ConfigBase
         bool OPTI_RANDOM_EARLY_STOP = false;
         bool OPTI_USE_RELEASE = true;
         bool OPTI_GLOBAL = false;
-        //bool OPTI_CROSS_VALID = false; /// TODO: Remove - already done via OptiType
         bool OPTI_LAST = false;
         bool OPTI_SERVER_DENSE = false;
         bool OPTI_XVAL_EXTENDABLE = false;

diff --git a/src/lib-base/src/OptiType.h b/src/lib-base/src/OptiType.h
@@ -4,8 +4,8 @@
 enum class OptiType
 {
     OPTI_TYPE_NONE,
-    OPTI_TYPE_FIND,
     OPTI_TYPE_USE,
+    OPTI_TYPE_FIND,
     OPTI_TYPE_XVALID
 };
 

diff --git a/src/lib-base/src/OptiVar.cpp b/src/lib-base/src/OptiVar.cpp
@@ -48,7 +48,7 @@ OptiVarF::OptiVarF(const IDataProvider & period, const EnjoLib::Str & varId, boo
 
 float OptiVarF::GetVal() const
 {
-    if (gcfgMan.cfgOpti->GetOptimizer() == OptiType::OPTI_TYPE_NONE)
+    if (gcfgMan.cfgOpti->IsOperationType(OptiType::OPTI_TYPE_NONE))
     {
         return valDefault;
     }
@@ -64,7 +64,7 @@ void OptiVarF::SetVal(float val)
 
 const float & OptiVarF::GetValRef() const
 {
-    if (gcfgMan.cfgOpti->GetOptimizer() == OptiType::OPTI_TYPE_NONE)
+    if (gcfgMan.cfgOpti->IsOperationType(OptiType::OPTI_TYPE_NONE))
     {
         return valDefault;
     }

diff --git a/src/lib-base/src/PredictorBase.cpp b/src/lib-base/src/PredictorBase.cpp
@@ -7,7 +7,7 @@
 PredictorBase::PredictorBase(const IDataProvider & dat, const EnjoLib::Str & lagName)
 : m_dat(dat)
 , m_optiFloats(new OptiVarVec())
-, m_lagMain(dat, "LAG_" + lagName, true, 10, 1, 70, 1)
+, m_lagMain(dat, "LAG_" + lagName, true, 10, 1, 150, 1)
 {
     AddOptiVar(m_lagMain);
 }

diff --git a/src/qt-lib/src/Monster.cpp b/src/qt-lib/src/Monster.cpp
@@ -16,6 +16,7 @@
 #include <ConfigOpti.h>
 #include <ConfigGlob.h>
 #include "ISymbol.h"
+#include "OptiType.h"
 #include <SymbolFactoryAbstract.h>
 #include <StrategyFactoryAbstract.h>
 
@@ -85,13 +86,7 @@ void Monster::Reload(const EnjoLib::Str & symName, const EnjoLib::Str & periodNa
 
     ConfigTF2 & confTF2 = *gcfgMan.cfgTF2;
     const ConfigOpti & confOpti = *gcfgMan.cfgOpti;
-
-    if (confOpti.OPTIMIZER == 1)
-        gcfg.OPTI_USE = false;
-    else if (confOpti.OPTIMIZER == 2)
-        gcfg.OPTI_USE = true;
-    else if (confOpti.OPTIMIZER == 0)
-        gcfg.OPTI_USE = false;
+    gcfg.OPTI_USE = confOpti.IsOperationType(OptiType::OPTI_TYPE_USE);
 
     if (mode == 0)
     {

diff --git a/src/qt-lib/src/MyMainWindow3.cpp b/src/qt-lib/src/MyMainWindow3.cpp
@@ -226,12 +226,7 @@ void MyMainWindow::Reload(const Monster & monst, int mode, int relPeriod, int re
     ConfigTF2 & confTF2 = *gcfgMan.cfgTF2;
     const ConfigOpti & confOpti = *gcfgMan.cfgOpti;
 
-    if (confOpti.OPTIMIZER == 1)
-        gcfg.OPTI_USE = false;
-    else if (confOpti.OPTIMIZER == 2)
-        gcfg.OPTI_USE = true;
-    else if (confOpti.OPTIMIZER == 0)
-        gcfg.OPTI_USE = false;
+    gcfg.OPTI_USE = confOpti.GetOperationType() == OptiType::OPTI_TYPE_USE;
 
     if (mode == 3 || m_training)
     {

diff --git a/src/tsqsim-lib/src/OptimizerPred.cpp b/src/tsqsim-lib/src/OptimizerPred.cpp
@@ -42,7 +42,7 @@ OptimizerPred::OptimizerPred(const PredictorType & type, const ISymbol & sym, co
     const TSInput tsin(m_period, *gcfgMan.cfgTS.get());
     CorPtr<IPredictor> fun = m_fact.Create(period, m_type);
     InitFromOptimizable(*fun, period);
-    
+
     m_len = fun->Len();
 }
 OptimizerPred::~OptimizerPred(){}
@@ -63,20 +63,20 @@ void OptimizerPred::Consume(const EnjoLib::VecD & data)
     const EnjoLib::Str & idd = m_period.GetSymbolPeriodId();
 
     //const OptiGoalType type = OptiGoalType::SHARPE;
-    //const OptiGoalType type = gcfgMan.cfgOpti->GetOptimizerGoalType();
+    //const OptiGoalType type = gcfgMan.cfgOpti->GetGoalType();
     //const CorPtr<IOptiGoal> pgoal = OptiGoalFactory::Create(type);
     //const IOptiGoal & igoal = *pgoal;
 
     //LOGL << "Iter Data = " << data.Print() << Nl;
     float goal = 0;
 
     //CorPtr<IPosition> pos = IPosition::Create(m_period.GetSymbolName());
-    switch (gcfgMan.cfgOpti->GetOptimizerMethod())
+    switch (gcfgMan.cfgOpti->GetMethod())
     {
         case OptiMethod::OPTI_METHOD_BISECTION:
         {
             OptiSubjectPred osub(m_sym, m_period, m_fact, m_type, GetOptiFloat(), m_startEndFrame, data);
-            
+
             //Result<VecD> res = OptiMultiNelderMead().Run(*osub, 0.1, 10, 10);
             Result<VecD> res = OptiMultiBinSearch().Run(osub, 3, 100); /// TODO: Make multithreaded
             if (not res.isSuccess)
@@ -97,17 +97,17 @@ void OptimizerPred::Consume(const EnjoLib::VecD & data)
         case OptiMethod::OPTI_METHOD_MONTECARLO:
         case OptiMethod::OPTI_METHOD_GRID:
         {
-            
+
             CorPtr<ISimulatorTS> psim = TSUtil().GetSimPred(m_period, data, m_startEndFrame);
 
             goal = psim->GetScorePred();
-            
+
 
             if (IsGoalReached(goal))
             {
                 CorPtr<IPredictor> fun = m_fact.Create(m_period, m_type);
                 fun->UpdateOptiVars(data); // Just needs a carrier TODO: Remove in future as is not abstract enough
-            
+
                 //LOG << "Goal reached = " << goal << Nl;
                 OnGoalReached(fun.get());
                 if (gcfgMan.cfgOpti->OPTI_VERBOSE)
@@ -161,7 +161,7 @@ void OptimizerPred::PrintStats() const
 
 void OptimizerPred::PrintStatsSummary() const
 {
-    if (gcfgMan.cfgOpti->GetOptimizerMethod() == OptiMethod::OPTI_METHOD_MONTECARLO)
+    if (gcfgMan.cfgOpti->GetMethod() == OptiMethod::OPTI_METHOD_MONTECARLO)
     {
         PlotVariance();
     }

diff --git a/src/tsqsim-lib/src/OptimizerTS.cpp b/src/tsqsim-lib/src/OptimizerTS.cpp
@@ -53,15 +53,15 @@ void OptimizerTS::Consume(const EnjoLib::VecD & data)
     const EnjoLib::Str & idd = m_period.GetSymbolPeriodId();
 
     //const OptiGoalType type = OptiGoalType::SHARPE;
-    //const OptiGoalType type = gcfgMan.cfgOpti->GetOptimizerGoalType();
+    //const OptiGoalType type = gcfgMan.cfgOpti->GetGoalType();
     //const CorPtr<IOptiGoal> pgoal = OptiGoalFactory::Create(type);
     //const IOptiGoal & igoal = *pgoal;
 
     //LOGL << "Data = " << data.Print() << Nl;
     float goal = 0;
 
     //CorPtr<IPosition> pos = IPosition::Create(m_period.GetSymbolName());
-    switch (gcfgMan.cfgOpti->GetOptimizerMethod())
+    switch (gcfgMan.cfgOpti->GetMethod())
     {
         case OptiMethod::OPTI_METHOD_BISECTION:
         {

diff --git a/src/tsqsim/src/App.cpp b/src/tsqsim/src/App.cpp
@@ -61,7 +61,7 @@ void App::Run(const CLIResult & cliResultCmdLine) const
         CorPtr<ISymbol> symbol = IMainTester::Create(symFact, &confTF2, &confSym)->GetSymbol(confSym.symbol, periods);
         const IPeriod & per = symbol->GetPeriod(periods.at(0));
 
-        switch (confOpti.GetOptimizer())
+        switch (confOpti.GetOperationType())
         {
         case OptiType::OPTI_TYPE_FIND:
             {