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FxPouya
2025-12-26 15:19:15 +03:30
committed by GitHub
parent b54fbf0aa8
commit 185ec2ed5d
7 changed files with 603 additions and 17 deletions
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js/ga-engine.js
+36 -2
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@@ -14,9 +14,15 @@ class GeneticOptimizer {
minTrades: config.minTrades || 30,
minPF: config.minPF || 1.5,
maxDD: config.maxDD || 25,
minWR: config.minWR || 45
minWR: config.minWR || 45,
// Walk-Forward Analysis settings
enableWalkForward: config.enableWalkForward || false,
trainingRatio: config.trainingRatio || 0.7
};
// Debug: Log walk-forward config
console.log('🔧 GA Config - Walk-Forward:', this.config.enableWalkForward, 'Ratio:', this.config.trainingRatio);
this.population = [];
this.foundStrategies = [];
this.isRunning = false;
@@ -40,10 +46,38 @@ class GeneticOptimizer {
* Evaluate fitness for all strategies
*/
evaluatePopulation() {
// Log walk-forward status (only once per generation)
if (this.currentGeneration === 0) {
console.log('🔬 Walk-Forward Analysis:', this.config.enableWalkForward ? 'ENABLED' : 'DISABLED');
if (this.config.enableWalkForward) {
console.log('📊 Training Ratio:', (this.config.trainingRatio * 100) + '%');
}
}
for (const strategy of this.population) {
// Regular backtest on full data
const backtester = new Backtester(this.data, strategy, this.symbol);
strategy.metrics = backtester.run();
strategy.fitness = this.calculateFitness(strategy.metrics);
// Walk-forward analysis (if enabled)
if (this.config.enableWalkForward) {
const wfAnalysis = new WalkForwardAnalysis(
this.data,
this.config.trainingRatio || 0.7
);
strategy.walkForward = wfAnalysis.analyze(strategy, this.symbol);
// Penalize strategies that fail walk-forward validation
if (!strategy.walkForward.passed) {
strategy.fitness = this.calculateFitness(strategy.metrics) * 0.5; // 50% penalty
} else {
// Bonus for high robustness
const robustnessBonus = 1 + (strategy.walkForward.robustness / 200); // Up to 50% bonus
strategy.fitness = this.calculateFitness(strategy.metrics) * robustnessBonus;
}
} else {
strategy.fitness = this.calculateFitness(strategy.metrics);
}
}
// Sort by fitness (descending)