Parallel-Optimization-issues

I guess you're using a static Dictionary so each instance of the Strategy for each symbol will share it? The trouble is, each parallel run might be hitting that dictionary on different bars, messing up the other runs when they change values on a different bar of processing. Not to mention threading conflicts like Eugene alluded to.

To support optimizations that need to use static variables I think the only way would be to introduce some other Cache object that is within the domain of the current backtest. That way, even if multiple backtests are ocurring in parallel during an optimization, each backtest can have its own data. We can leverage the Backtester class which the Strategy has access to via the Backtester property, and give it a Cache property just like the one that BarHistory/TimeSeries has.

I just tested it in Build 18 and it works for the parallel Exhaustive optimizer ...

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript1 
{
   public class IndicatorRank : UserStrategyBase
   {
      private int _percentOfCandidates = 25;
      private int _period = 14;

      public IndicatorRank()
      {
         AddParameter("% of Candidates", ParameterTypes.Int32, 20, 20, 20, 5);
         AddParameter("Period", ParameterTypes.Int32, 10, 10, 20, 5);
      }

        public override void BacktestBegin()
        {
         List<BarHistory> buys = new List<BarHistory>();
         Backtester.Cache["Buys"] = buys;
         Dictionary<string, double> userData = new Dictionary<string, double>();
         Backtester.Cache["UserData"] = userData;
        }

        public override void Initialize(BarHistory bars)
      {
         _percentOfCandidates = Parameters[0].AsInt;
         _period = Parameters[1].AsInt;
         StartIndex = _period;
      }

      public override void PreExecute(DateTime dt, List<BarHistory> participants)
      {
         if (participants.Count < 2)
            return;
         int candidates = (int)Math.Truncate(participants.Count * _percentOfCandidates / 100d);

         List<BarHistory> buys = (List<BarHistory>)Backtester.Cache["Buys"];
         Dictionary<string, double> userData = (Dictionary<string, Double>)Backtester.Cache["UserData"];

         //Loop through the BarHistories of the participants, find the index that corresponds to the DateTime dt,
         //and save the indicator value to the bars.UserData for sorting
         foreach (BarHistory bars in participants)
         {
            int idx = GetCurrentIndex(bars);
            if (idx < _period)
            {
               userData[bars.Symbol] = 1.0e10;      // change this to a negative value if you change the sort from higher to lower below
               continue;
            }
            //create a formula and assign a value. We'll just use RSI for this example
            double rs = RSI.Series(bars.Close, _period)[idx];
            userData[bars.Symbol] = rs;
         }

         //this Sorts from lower to higher.  For higher to lower, just change to .Sort(b, a)
         List<BarHistory> myList = new List<BarHistory>();
         myList.AddRange(participants);
         myList.Sort((a, b) =>
         {
            double valueA = userData[a.Symbol];
            double valueB = userData[b.Symbol];
            return valueA.CompareTo(valueB);
         });

         //Add the participants with the highest formula score to the _buys list
         buys.Clear();
         buys.AddRange(myList.GetRange(0, candidates));
      }

      public override void Execute(BarHistory bars, int idx)
      {
         List<BarHistory> buys = (List<BarHistory>)Backtester.Cache["Buys"];
         if (!HasOpenPosition(bars, PositionType.Long))
         {
            // only buy this one if it's in the _buys list
            if (buys.Contains(bars))
            {
               PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
            }
         }
         else
         {
            if (!buys.Contains(bars))
               PlaceTrade(bars, TransactionType.Sell, OrderType.Market);
         }
      }
   }
}