本文对RSRS参数进行进一步调参探索,包括三部分内容:
1. 网格搜索调参
2. 遗传算法调参
3.最优参数与研报参数样本外比较
本文不再详细介绍。
结论思考:遗传算法不能求得全局最优,可以考虑在研报给出的参数附近通过网格搜索找到更优秀的点用样本外数据检验。另一方面可以改变遗传算法的适应函数,笔者通过比较,一开始用夏普值作为适应函数可能导致过拟合,开仓次数过少,夏普大而净值小,后续感兴趣的读者可以尝试用夏普乘以净值,得到一个两边兼顾的适应函数。但笔者认为研报参数优化的这个方向空间有限,下一步将研究动态改变参数的尝试。
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from jqdata import jyfrom jqdata import *import pandas as pdfrom scipy import statsimport statsmodels.api as smfrom scipy import statsimport warnings import timeimport randomwarnings.filterwarnings('ignore')
#减少过拟合风险,留下两年数据用于做样本外检验data_panel_all = get_price('000300.XSHG',start_date = '2003-01-01', end_date = '2019-07-04',fields = ['close','open','high','low','volume'])data_panel = data_panel_all.iloc[:-500]data_panel = data_panel.dropna()
data_panel['close'].plot()
<matplotlib.axes._subplots.AxesSubplot at 0x7f0b72f432e8>
#回撤函数def max_drawdown(pnl):pnl = pnl[~np.isnan(pnl)]high = pnl[0]low = highmax_draw = 0for i in range(len(pnl)-1):if pnl[i+1]>high:high = pnl[i+1]low = highelif pnl[i+1]<low:low = pnl[i+1]if max_draw< 1-low/high:max_draw = 1 - low/highreturn max_draw#夏普函数def sharp_ratio(pnl,r=0.03):pnl = pnl[~np.isnan(pnl)]#print(pnl)return_rate_year = (pnl[-1]/pnl[0])**(250/len(pnl))-1std_year = np.std(np.diff(pnl)/pnl[:-1]-1)*np.sqrt(250)return (return_rate_year-r)/std_year
#对计算各种slope封装def get_slope(N,M):#N = 18data_test =data_panel.copy()data_test = data_test.dropna()Indexs = data_test.indexHigh = data_test.high.valuesLow = data_test.low.valuesCLOSE = data_test.close.valuesslope = np.full(len(Indexs), np.nan)r_2 = np.full(len(Indexs), np.nan)slope_std = np.full(len(slope), np.nan)slope_std_adp = np.full(len(slope), np.nan)slope_std_adp_right = np.full(len(slope), np.nan)return_store = np.full(len(slope), np.nan)#M = 600for i in range(len(Indexs)):if i<N-1:continueslope_t,_,r_value_t,_,_ = stats.linregress(x=Low[(i+1-N):(i+1)],y=High[(i+1-N):(i+1)]) slope[i] = slope_tr_2[i] = r_value_t**2#标准化斜率slope_std[i] = (slope[i] - np.mean(slope[(i+1-M):(i+1)]))/np.std(slope[(i+1-M):(i+1)])if i<(len(Indexs)-10): return_store [i] = CLOSE[i+10] / CLOSE[i]-1if i>=M: #修正标准化斜率slope_std_adp[i] = r_2[i] * (slope[i] - np.mean(slope[(i+1-M):(i+1)]))/np.std(slope[(i+1-M):(i+1)])#右偏修正标准化斜率slope_std_adp_right[i] = slope_std_adp[i]*slope[i] return slope,slope_std,slope_std_adp,slope_std_adp_right
#定义交易函数def trade(signal_array,buy_index,sell_index,combine='not'):#数据初始化data_test = data_panel.copy()data_test = data_test.dropna()OPEN = data_test.open.valuesCLOSE = data_test.close.valuesIndexs = data_test.index#默认开始交易时间,因为需要根据昨天信号买卖begin_idx = 1if combine =='MA':MA_20 = data_test['close'].rolling(20).mean().values#信号出现时间不一致,需定义开始时间begin_idx = 20if combine =='Volume':Volume = data_test.volume.valuesbegin_idx = 10#根据研报,计算相关性的参数固定,当然后期也可以调整_,_,slope_std_adp_fix,_ = get_slope(N=18,M=600)#策略初始化buyfee = 0.0013sellfee = 0.0013pnl = np.full(len(Indexs), np.nan)pnl[begin_idx-1]=1position = 0#定义买入卖出信号:for idx,time_stamp in enumerate(Indexs):if idx<begin_idx:continue ##buy_tempt判断是否买入buy_tempt=Falseif signal_array[idx-1]>buy_index:if combine =='not' :buy_tempt=Trueelif combine =='MA':if MA_20[idx-1]>MA_20[idx-3]:buy_tempt=Trueelif combine =='Volume':if np.corrcoef(slope_std_adp_fix[(idx-10):idx],Volume[(idx-10):idx])[0][1]>0:buy_tempt=Trueif buy_tempt==True:if position==0:position = pnl[idx-1]/OPEN[idx]/(1+buyfee)pnl[idx] = position * CLOSE[idx]else:pnl[idx] = position * CLOSE[idx]##定义卖出条件elif signal_array[idx-1]<sell_index:if position>0:pnl[idx] = position* OPEN[idx]*(1-sellfee)position = 0else:pnl[idx]=pnl[idx-1]else:if position>0:pnl[idx] = position* CLOSE[idx]else:pnl[idx]=pnl[idx-1]#防止时间戳错乱,转换成pd.Series格式pnl = pd.Series(pnl,index =Indexs)return pnl
#定义交易函数def trade(signal_array,buy_index,sell_index,combine='not'):#数据初始化data_test = data_panel.copy()data_test = data_test.dropna()OPEN = data_test.open.valuesCLOSE = data_test.close.valuesIndexs = data_test.index#默认开始交易时间,因为需要根据昨天信号买卖begin_idx = 1#策略初始化buyfee = 0.0013sellfee = 0.0013position = 0#不接合 if combine =='not' : pnl = np.full(len(Indexs), np.nan)pnl[begin_idx-1]=1#定义买入卖出信号:for idx,time_stamp in enumerate(Indexs):if idx<begin_idx:continueif signal_array[idx-1]>buy_index:if position==0:position = pnl[idx-1]/OPEN[idx]/(1+buyfee)pnl[idx] = position * CLOSE[idx]else:pnl[idx] = position * CLOSE[idx] ##定义卖出条件elif signal_array[idx-1]<sell_index:if position>0:pnl[idx] = position* OPEN[idx]*(1-sellfee)position = 0else:pnl[idx]=pnl[idx-1]else:if position>0:pnl[idx] = position* CLOSE[idx]else:pnl[idx]=pnl[idx-1]#结合MAelif combine =='MA' :MA_20 = data_test['close'].rolling(20).mean().values#信号出现时间不一致,需定义开始时间begin_idx = 20pnl = np.full(len(Indexs), np.nan)pnl[begin_idx-1]=1#定义买入卖出信号:for idx,time_stamp in enumerate(Indexs):if idx<begin_idx:continueif signal_array[idx-1]>buy_index and MA_20[idx-1]>MA_20[idx-3]:if position==0:position = pnl[idx-1]/OPEN[idx]/(1+buyfee)pnl[idx] = position * CLOSE[idx]else:pnl[idx] = position * CLOSE[idx] ##定义卖出条件elif signal_array[idx-1]<sell_index:if position>0:pnl[idx] = position* OPEN[idx]*(1-sellfee)position = 0else:pnl[idx]=pnl[idx-1]else:if position>0:pnl[idx] = position* CLOSE[idx]else:pnl[idx]=pnl[idx-1]#结合Volumeelif combine =='Volume' :Volume = data_test.volume.valuesbegin_idx = 10pnl = np.full(len(Indexs), np.nan)pnl[begin_idx-1]=1#根据研报,计算相关性的参数固定,当然后期也可以调整_,_,slope_std_adp_fix,_ = get_slope(N=18,M=600) #定义买入卖出信号:for idx,time_stamp in enumerate(Indexs):if idx<begin_idx:continueif signal_array[idx-1]>buy_index and np.corrcoef(slope_std_adp_fix[(idx-10):idx],Volume[(idx-10):idx])[0][1]>0:if position==0:position = pnl[idx-1]/OPEN[idx]/(1+buyfee)pnl[idx] = position * CLOSE[idx]else:pnl[idx] = position * CLOSE[idx] ##定义卖出条件elif signal_array[idx-1]<sell_index:if position>0:pnl[idx] = position* OPEN[idx]*(1-sellfee)position = 0else:pnl[idx]=pnl[idx-1]else:if position>0:pnl[idx] = position* CLOSE[idx]else:pnl[idx]=pnl[idx-1]#防止时间戳错乱,转换成pd.Series格式pnl = pd.Series(pnl,index =Indexs)return pnl
#观察是否能够正常运行plt.figure(figsize=(20,10))M=600;N=18slope,slope_std,slope_std_adp,slope_std_adp_right = get_slope(N=N,M=M)trade(slope_std,buy_index=0.7,sell_index=-0.7,combine='Volume')[M:].plot(label = 'std')trade(slope_std_adp,buy_index=0.7,sell_index=-0.7,combine='Volume')[M:].plot(label='std_adp')trade(slope_std_adp_right,buy_index=0.7,sell_index=-0.7,combine='Volume')[M:].plot(label='std_adp_right')plt.legend()plt.grid()
*参数调优一:基于网格搜索夏普最大化的参数测试¶
1.为了简单起见,我们仅仅测试右偏调整的标准化斜率和Volume成交量结合的模型,读者可以自行参照框架测试其他模型参数
2.需要注意一个问题是参数不同,pnl的长度也不同,因此在比较夏普时需要转换成同一时间的pnl进行比较
3.我们希望测试的参数为M,N,buy_index,sell_index,考虑到参数空间指数型增长,我们先测试M,N的最优组合,再测试buy_index和sell_index的最优组合,注意这样搜索出来的结果不一定为全参数空间最优点,因为M,N最优点会随着buy_index,sell_index改变,因此后续我们会用遗传算法进行超平面最优点搜索
start = time.time()sharp_store = {}M_list = np.arange(200,801,50)N_list = np.arange(10,24,1)#M不同,pnl长度也不一致,这里首先计算最短pnl的长度for M in M_list:for N in N_list:_,_,_,slope_std_adp_right = get_slope(N=N,M=M)pnl = trade(signal_array = slope_std_adp_right,buy_index=0.7,sell_index=-0.7,combine='Volume')#对volume策略需要加上10的start_indexsharp_store[(M,N)] = sharp_ratio(pnl[(M_list[-1]+10):])inverse = [(value, key) for key, value in sharp_store.items()]print("最优参数: %.4f %.4f"%max(inverse)[1])end = time.time()print("运行时间为:%.4f" %(end-start))
最优参数: 700.0000 16.0000 运行时间为:552.2797
start = time.time()sharp_store = {}# N,M = max(inverse)[1]N=16;M=700_,_,_,slope_std_adp_right = get_slope(N=N,M=M)buy_index_list = np.arange(0.6,1.21,0.05)sell_index_list = np.arange(-1.21,-0.6,0.05)for buy_index in buy_index_list:for sell_index in sell_index_list:pnl = trade(signal_array = slope_std_adp_right,buy_index=buy_index,sell_index=sell_index,combine='Volume')#对volume策略需要加上10的start_indexsharp_store[(buy_index,sell_index)] = sharp_ratio(pnl[M+10:])inverse = [(value, key) for key, value in sharp_store.items()]print("最优参数: %.4f %.4f"%max(inverse)[1])end = time.time()print("运行时间为:%.4f"%(end-start))
最优参数: 0.8000 -0.8100 运行时间为:260.8916
M=700plt.figure(figsize=(20,10))_,_,_,slope_std_adp_right = get_slope(N=16,M=700)pnl = trade(signal_array = slope_std_adp_right,buy_index=0.7,sell_index=-0.7,combine='Volume')pnl[M:].plot(label='16-700-0.7-0.7')_,_,_,slope_std_adp_right = get_slope(N=16,M=700)pnl = trade(signal_array = slope_std_adp_right,buy_index=0.8,sell_index=-0.81,combine='Volume')pnl[M:].plot(label='16-700-0.8-0.81')_,_,_,slope_std_adp_right = get_slope(N=16,M=300)pnl = trade(signal_array = slope_std_adp_right,buy_index=0.7,sell_index=-0.7,combine='Volume')(pnl[M:]/pnl[M]).plot(label='研报:16-300-0.7-0.7')plt.legend()plt.grid()
从图中可以看出,通过网格搜索对原有研报参数的表现并无明显提升,这可能是没有对参数进行高维平面搜索参数导致的,下面我们考虑用遗传算法对面参数进行优化。¶
*参数调优二:基于遗传算法的最优化参数测试¶
## 遗传算法模块def make_kid(pop, n_kid,isint=False):kids = {'DNA':np.zeros((n_kid, DNA_SIZE)), 'mut_strength': np.zeros((n_kid, DNA_SIZE))} #种群个体(均值)和变异方差for kv, ks in zip(kids['DNA'], kids['mut_strength']):parent1, parent2 = np.random.choice(np.arange(POP_SIZE), size=2, replace=False) # 选择参与交叉得个体cp = np.random.randint(0, 2, DNA_SIZE, dtype=np.bool) # 选择交叉得位置kv[cp] = pop['DNA'][parent1, cp] # 交叉后得个体kv[~cp] = pop['DNA'][parent2, ~cp] # 交叉后得个体ks[cp] = pop['mut_strength'][parent1, cp] # 交叉得到得孩子得变异强度ks[~cp] = pop['mut_strength'][parent2, ~cp] # 交叉得到得孩子得变异强度global gen# 变异#ks[:] = np.maximum(ks+ (np.random.rand(*ks.shape)-0.5),0.0)ks[:] = 0.5*np.maximum( (np.random.rand(*ks.shape)-0.5),0.1)kv += ks*np.random.randn(*kv.shape)kv[:] = np.clip(kv, *DNA_BOUND) # 防止超出上下界 return kidsdef kill_bad(pop, kids,isint=False):# 把父母和孩子放在一起for key in ['DNA', 'mut_strength']:pop[key] = np.vstack([pop[key], kids[key]]) # 按行合并fitness = fit(pop['DNA'],isint=isint) # 计算整个群体得适应度index = np.arange(pop['DNA'].shape[0]) #删除重复fitnessfor i in range(len(fitness)):if fitness[i] in fitness[:i]:fitness[i]=nangood_index = index[np.argsort(-fitness)][:POP_SIZE] # 选出适应度最大得前POP_SIZE个个体,np.argsort()从小到大排序for key in ['DNA', 'mut_strength']:pop[key] = pop[key][good_index] # 更新种群return pop#运行前需要自定义适应度函数def fit(P1,isint=False):global storefitne = np.zeros(P1.shape[0])for i in range(P1.shape[0]):#解码:P范围为0-1,需要转换成为对应参数的范围P = P1[i,:]#M:200-800,N:10-30,buy:0.5-1.5,sell:-1.5-0.5M = 200+int(P[0] * 12)*50N = 10+int(P[1] * 20)buy_index = int(P[2]*100)*0.01 +0.5sell_index =-(int(P[3]*100)*0.01 +0.5)#当样本空间有限时候避免重复计算适应度,在参数空间为连续型浮点数时默认falseif isint==True:if (M,N,buy_index,sell_index) in store.keys():fitne[i]=store[(M,N,buy_index,sell_index)]else:_,_,_,slope_std_adp_right = get_slope(N=N,M=M)pnl = trade(signal_array = slope_std_adp_right,buy_index=buy_index,sell_index=sell_index,combine='Volume')store[(M,N,buy_index,sell_index)] = pnl[-1]/pnl[800]#sharp_ratio(pnl[800:])#适应度为最终净值,读者可以改成夏普或者夏普*最终净值fitne[i]=store[(M,N,buy_index,sell_index)]else:_,_,_,slope_std_adp_right = get_slope(N=N,M=M)pnl = trade(signal_array = slope_std_adp_right,buy_index=buy_index,sell_index=sell_index,combine='Volume')store[(M,N,buy_index,sell_index)] = pnl[-1]/pnl[800]#sharp_ratio(pnl[800:])print('M:%d, N:%d, buy_index:%.4f, sell_index:%.4f fitness:%.4f'%(M,N,buy_index,sell_index,fitne[i]))return fitne
#遗传算法参数设定DNA_SIZE = 4 # DNA长度:参数的个数DNA_BOUND = [0, 1] # 上下界N_GENERATIONS= 60 POP_SIZE = 10 # 种群数量N_KID = 10 # 每一代 10个孩子store={}#初始化种群pop ={'DNA':np.random.rand(2*POP_SIZE, DNA_SIZE), 'mut_strength':np.random.rand(2*POP_SIZE, DNA_SIZE)}for gen in range(N_GENERATIONS):print('第:%d 代'%(gen))kids = make_kid(pop, N_KID,isint=True)pop= kill_bad(pop, kids,isint = True)
第:0 代 M:350, N:22, buy_index:1.4300, sell_index:-0.5600 fitness:2.4289 M:650, N:15, buy_index:0.8700, sell_index:-0.9700 fitness:2.1329 M:200, N:10, buy_index:1.3700, sell_index:-1.3200 fitness:1.2204 M:200, N:19, buy_index:1.2100, sell_index:-0.6200 fitness:2.2156 M:450, N:14, buy_index:1.2100, sell_index:-1.0300 fitness:1.4650 M:300, N:20, buy_index:0.8000, sell_index:-0.5700 fitness:2.7100 M:300, N:24, buy_index:0.6500, sell_index:-0.5100 fitness:2.3020 M:650, N:18, buy_index:1.3000, sell_index:-0.5100 fitness:2.7482 M:600, N:16, buy_index:0.5300, sell_index:-0.6200 fitness:3.4605 M:700, N:27, buy_index:1.1700, sell_index:-1.3800 fitness:2.7361 M:650, N:17, buy_index:1.3500, sell_index:-1.0200 fitness:2.9196 M:350, N:12, buy_index:1.3500, sell_index:-0.6400 fitness:1.9267 M:300, N:17, buy_index:1.4100, sell_index:-0.6700 fitness:2.2069 M:750, N:27, buy_index:1.1500, sell_index:-0.9400 fitness:2.5118 M:300, N:27, buy_index:0.8900, sell_index:-0.6600 fitness:2.9454 M:500, N:14, buy_index:0.7400, sell_index:-1.0900 fitness:1.3977 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:550, N:27, buy_index:0.9600, sell_index:-1.3700 fitness:3.8725 M:250, N:13, buy_index:1.3600, sell_index:-1.0000 fitness:1.8277 M:750, N:24, buy_index:0.8300, sell_index:-1.0100 fitness:3.6146 M:650, N:18, buy_index:0.8900, sell_index:-1.1100 fitness:4.2543 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:700, N:27, buy_index:0.5000, sell_index:-1.4300 fitness:2.4530 M:300, N:17, buy_index:0.7700, sell_index:-0.6600 fitness:4.3809 M:250, N:25, buy_index:1.2900, sell_index:-1.2900 fitness:3.0484 M:600, N:11, buy_index:1.1700, sell_index:-0.5900 fitness:2.9035 M:350, N:23, buy_index:0.8900, sell_index:-0.5000 fitness:2.0536 M:300, N:20, buy_index:0.7400, sell_index:-0.9900 fitness:3.3077 M:700, N:16, buy_index:0.8700, sell_index:-0.9700 fitness:3.3672 M:200, N:20, buy_index:1.1900, sell_index:-0.5500 fitness:2.3556 第:1 代 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:300, N:17, buy_index:0.7700, sell_index:-0.6600 fitness:4.3809 M:650, N:18, buy_index:0.8900, sell_index:-1.1100 fitness:4.2543 M:550, N:27, buy_index:0.9600, sell_index:-1.3700 fitness:3.8725 M:750, N:24, buy_index:0.8300, sell_index:-1.0100 fitness:3.6146 M:600, N:16, buy_index:0.5300, sell_index:-0.6200 fitness:3.4605 M:700, N:16, buy_index:0.8700, sell_index:-0.9700 fitness:3.3672 M:300, N:20, buy_index:0.7400, sell_index:-0.9900 fitness:3.3077 M:250, N:25, buy_index:1.2900, sell_index:-1.2900 fitness:3.0484 M:550, N:14, buy_index:0.5300, sell_index:-1.0000 fitness:1.3866 M:550, N:16, buy_index:0.8800, sell_index:-1.2100 fitness:1.3079 M:250, N:14, buy_index:0.6000, sell_index:-0.6200 fitness:2.6690 M:300, N:18, buy_index:0.8100, sell_index:-0.8300 fitness:4.0095 M:750, N:26, buy_index:0.5000, sell_index:-0.5900 fitness:2.4385 M:550, N:15, buy_index:0.8800, sell_index:-0.5000 fitness:3.4857 M:350, N:16, buy_index:0.8100, sell_index:-0.5900 fitness:4.5733 M:200, N:17, buy_index:0.6100, sell_index:-0.9200 fitness:3.1030 M:200, N:23, buy_index:0.8200, sell_index:-1.0000 fitness:4.7260 M:600, N:23, buy_index:0.5100, sell_index:-0.9300 fitness:2.9226 第:2 代 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:200, N:23, buy_index:0.8200, sell_index:-1.0000 fitness:4.7260 M:350, N:16, buy_index:0.8100, sell_index:-0.5900 fitness:4.5733 M:300, N:17, buy_index:0.7700, sell_index:-0.6600 fitness:4.3809 M:650, N:18, buy_index:0.8900, sell_index:-1.1100 fitness:4.2543 M:300, N:18, buy_index:0.8100, sell_index:-0.8300 fitness:4.0095 M:550, N:27, buy_index:0.9600, sell_index:-1.3700 fitness:3.8725 M:750, N:24, buy_index:0.8300, sell_index:-1.0100 fitness:3.6146 M:550, N:15, buy_index:0.8800, sell_index:-0.5000 fitness:3.4857 M:350, N:17, buy_index:0.5300, sell_index:-0.6300 fitness:4.9131 M:350, N:15, buy_index:0.8400, sell_index:-0.6400 fitness:3.8361 M:500, N:24, buy_index:0.7800, sell_index:-0.5000 fitness:3.0884 M:350, N:17, buy_index:0.5800, sell_index:-0.5000 fitness:3.2121 M:700, N:22, buy_index:0.9800, sell_index:-0.8800 fitness:2.6209 M:700, N:12, buy_index:0.8100, sell_index:-0.9900 fitness:2.7371 M:600, N:14, buy_index:0.8500, sell_index:-0.5000 fitness:2.5433 M:600, N:19, buy_index:1.0100, sell_index:-1.3700 fitness:1.8351 M:500, N:17, buy_index:0.5800, sell_index:-0.7400 fitness:4.3681 M:200, N:16, buy_index:0.7800, sell_index:-1.0500 fitness:2.0193 第:3 代 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:350, N:17, buy_index:0.5300, sell_index:-0.6300 fitness:4.9131 M:200, N:23, buy_index:0.8200, sell_index:-1.0000 fitness:4.7260 M:350, N:16, buy_index:0.8100, sell_index:-0.5900 fitness:4.5733 M:300, N:17, buy_index:0.7700, sell_index:-0.6600 fitness:4.3809 M:500, N:17, 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fitness:3.5917 M:300, N:15, buy_index:0.8100, sell_index:-1.0500 fitness:1.5781 M:300, N:17, buy_index:0.5000, sell_index:-0.6700 fitness:4.6429 M:300, N:17, buy_index:0.6500, sell_index:-0.6500 fitness:4.8904 第:5 代 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.5900, sell_index:-0.7400 fitness:4.9910 M:350, N:17, buy_index:0.5300, sell_index:-0.6300 fitness:4.9131 M:300, N:17, buy_index:0.6500, sell_index:-0.6500 fitness:4.8904 M:450, N:16, buy_index:0.7800, sell_index:-0.5300 fitness:4.7685 M:200, N:23, buy_index:0.8200, sell_index:-1.0000 fitness:4.7260 M:300, N:17, buy_index:0.5000, sell_index:-0.6700 fitness:4.6429 M:350, N:16, buy_index:0.8100, sell_index:-0.5900 fitness:4.5733 M:200, N:18, buy_index:0.8400, sell_index:-1.3100 fitness:1.1645 M:200, N:23, buy_index:0.8600, sell_index:-1.1700 fitness:4.2172 M:550, N:17, buy_index:0.7000, sell_index:-0.6200 fitness:4.5163 M:300, N:15, buy_index:0.6400, sell_index:-0.6600 fitness:4.4411 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:500, N:17, buy_index:0.9000, sell_index:-0.7800 fitness:4.8021 M:550, N:13, buy_index:0.6700, sell_index:-0.8000 fitness:3.0583 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.6500, sell_index:-0.6000 fitness:4.8083 M:250, N:16, buy_index:0.5000, sell_index:-0.7000 fitness:4.5001 第:6 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:400, N:16, buy_index:0.5900, sell_index:-0.7400 fitness:4.9910 M:350, N:17, buy_index:0.5300, sell_index:-0.6300 fitness:4.9131 M:300, N:17, 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fitness:3.6200 M:200, N:18, buy_index:0.5000, sell_index:-0.9300 fitness:4.7579 M:250, N:16, buy_index:0.8100, sell_index:-0.8300 fitness:4.3210 第:8 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:400, N:16, buy_index:0.5900, sell_index:-0.7400 fitness:4.9910 M:200, N:16, buy_index:0.9000, sell_index:-0.7700 fitness:4.9782 M:350, N:17, buy_index:0.5300, sell_index:-0.6300 fitness:4.9131 M:300, N:17, buy_index:0.6500, sell_index:-0.6500 fitness:4.8904 M:400, N:14, buy_index:1.3000, sell_index:-0.6100 fitness:1.7119 M:300, N:18, buy_index:0.7400, sell_index:-0.5000 fitness:3.4247 M:300, N:13, buy_index:0.9300, sell_index:-0.6100 fitness:2.0618 M:500, N:15, buy_index:0.9000, sell_index:-0.5500 fitness:4.0375 M:550, N:15, buy_index:0.8500, sell_index:-0.9400 fitness:3.4929 M:200, N:16, buy_index:0.8200, sell_index:-0.8300 fitness:3.7278 M:250, N:14, buy_index:0.7800, sell_index:-0.7900 fitness:3.8096 M:350, N:18, buy_index:0.9200, sell_index:-0.9600 fitness:4.8217 M:550, N:15, buy_index:0.5800, sell_index:-0.6900 fitness:3.6105 M:200, N:16, buy_index:0.7100, sell_index:-0.8700 fitness:3.1526 第:9 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:400, N:16, buy_index:0.5900, sell_index:-0.7400 fitness:4.9910 M:200, N:16, buy_index:0.9000, sell_index:-0.7700 fitness:4.9782 M:350, N:17, 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fitness:3.0910 M:400, N:18, buy_index:0.8100, sell_index:-0.6400 fitness:3.7319 第:11 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:200, N:16, buy_index:0.7200, sell_index:-0.7400 fitness:5.5021 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:400, N:16, buy_index:0.5900, sell_index:-0.7400 fitness:4.9910 M:200, N:16, buy_index:0.9000, sell_index:-0.7700 fitness:4.9782 M:200, N:17, buy_index:0.8400, sell_index:-0.7000 fitness:4.9637 M:600, N:16, buy_index:0.7800, sell_index:-0.8300 fitness:4.9595 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:550, N:18, buy_index:0.8200, sell_index:-0.7100 fitness:4.0573 M:550, N:14, buy_index:0.8500, sell_index:-0.7700 fitness:2.8069 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:250, N:10, buy_index:0.7400, sell_index:-0.8300 fitness:0.9285 M:550, N:17, buy_index:0.5000, sell_index:-0.8900 fitness:3.2190 M:350, N:12, buy_index:0.9300, sell_index:-0.5700 fitness:2.6922 M:250, N:12, buy_index:0.6700, sell_index:-0.7400 fitness:2.7465 M:200, N:21, buy_index:0.9000, sell_index:-0.5000 fitness:2.4847 第:12 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:200, N:16, buy_index:0.7200, sell_index:-0.7400 fitness:5.5021 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:400, N:16, 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fitness:3.6510 第:14 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:200, N:16, buy_index:0.7200, sell_index:-0.7400 fitness:5.5021 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:500, N:17, buy_index:0.5000, sell_index:-0.6300 fitness:5.0466 M:400, N:16, buy_index:0.8800, sell_index:-0.5400 fitness:5.0206 M:400, N:16, buy_index:0.5900, sell_index:-0.7400 fitness:4.9910 M:400, N:15, buy_index:0.7200, sell_index:-0.7000 fitness:4.5347 M:200, N:16, buy_index:0.5000, sell_index:-0.7900 fitness:3.6121 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:400, N:16, buy_index:0.9900, sell_index:-0.8000 fitness:4.9365 M:550, N:16, buy_index:0.8400, sell_index:-0.5600 fitness:4.9862 M:500, N:17, buy_index:0.5600, sell_index:-0.5000 fitness:3.4661 M:250, N:18, buy_index:0.7100, sell_index:-0.9500 fitness:5.3539 M:250, N:17, buy_index:0.7000, sell_index:-0.7900 fitness:5.7157 M:250, N:16, buy_index:0.7400, sell_index:-0.5800 fitness:3.5841 M:550, N:16, buy_index:0.5000, sell_index:-0.6200 fitness:3.6223 第:15 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:250, N:17, buy_index:0.7000, sell_index:-0.7900 fitness:5.7157 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:200, N:16, buy_index:0.7200, sell_index:-0.7400 fitness:5.5021 M:250, N:18, buy_index:0.7100, sell_index:-0.9500 fitness:5.3539 M:550, N:17, buy_index:0.7100, sell_index:-0.7600 fitness:5.0667 M:200, N:18, 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fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:300, N:15, buy_index:0.5500, sell_index:-0.7300 fitness:5.8543 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:300, N:16, buy_index:0.9000, sell_index:-0.7700 fitness:5.7319 M:250, N:17, buy_index:0.7000, sell_index:-0.7900 fitness:5.7157 M:250, N:17, buy_index:0.8500, sell_index:-0.7300 fitness:5.6402 M:200, N:18, buy_index:0.8700, sell_index:-0.8400 fitness:5.5850 M:350, N:18, buy_index:0.8800, sell_index:-0.7900 fitness:4.1306 M:200, N:17, buy_index:0.7800, sell_index:-0.7800 fitness:5.0968 M:300, N:16, buy_index:0.6500, sell_index:-0.7400 fitness:5.8084 M:400, N:17, buy_index:0.8200, sell_index:-0.7800 fitness:5.7653 M:200, N:15, buy_index:0.6700, sell_index:-0.8000 fitness:4.3082 M:400, N:16, buy_index:0.8400, sell_index:-0.7300 fitness:5.5046 M:300, N:18, buy_index:0.9500, sell_index:-0.9700 fitness:4.5822 M:250, N:15, buy_index:0.7100, sell_index:-0.8600 fitness:4.5612 M:250, N:17, buy_index:0.7600, sell_index:-0.7200 fitness:5.0331 M:400, N:18, buy_index:0.5800, sell_index:-1.0500 fitness:2.4581 第:18 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:300, N:15, buy_index:0.5500, sell_index:-0.7300 fitness:5.8543 M:300, N:16, buy_index:0.6500, sell_index:-0.7400 fitness:5.8084 M:400, N:17, buy_index:0.8200, sell_index:-0.7800 fitness:5.7653 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:300, N:16, buy_index:0.9000, sell_index:-0.7700 fitness:5.7319 M:250, N:17, buy_index:0.7000, sell_index:-0.7900 fitness:5.7157 M:450, N:17, buy_index:0.7500, sell_index:-1.0600 fitness:1.9345 M:400, N:15, 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sell_index:-0.7400 fitness:5.8084 M:400, N:17, buy_index:0.8200, sell_index:-0.7800 fitness:5.7653 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:300, N:16, buy_index:0.9000, sell_index:-0.7700 fitness:5.7319 M:300, N:13, buy_index:0.5300, sell_index:-0.6800 fitness:3.8623 M:200, N:14, buy_index:0.8800, sell_index:-0.7000 fitness:2.7572 M:250, N:21, buy_index:0.7200, sell_index:-0.9300 fitness:4.1033 M:250, N:17, buy_index:0.7000, sell_index:-0.7800 fitness:6.0576 M:250, N:13, buy_index:0.7100, sell_index:-0.7900 fitness:3.3564 M:500, N:14, buy_index:0.7500, sell_index:-0.7300 fitness:3.2316 M:250, N:14, buy_index:0.6800, sell_index:-0.7500 fitness:3.9753 M:350, N:16, buy_index:0.8200, sell_index:-0.5000 fitness:3.6170 M:250, N:15, buy_index:0.7900, sell_index:-0.7300 fitness:5.1109 M:250, N:17, buy_index:0.5600, sell_index:-0.7600 fitness:4.3919 第:20 代 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:250, N:17, buy_index:0.7000, sell_index:-0.7800 fitness:6.0576 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:300, N:15, buy_index:0.5500, sell_index:-0.7300 fitness:5.8543 M:300, N:16, buy_index:0.6500, sell_index:-0.7400 fitness:5.8084 M:400, N:17, buy_index:0.8200, sell_index:-0.7800 fitness:5.7653 M:250, N:17, buy_index:0.7200, sell_index:-0.7600 fitness:5.7622 M:300, N:17, buy_index:0.5600, sell_index:-0.7100 fitness:5.3670 M:350, N:20, buy_index:0.7700, sell_index:-0.7500 fitness:2.8547 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:250, N:16, buy_index:0.6700, sell_index:-0.8200 fitness:4.4687 M:550, N:17, buy_index:0.7600, sell_index:-0.7100 fitness:4.7971 M:300, N:18, buy_index:0.9000, sell_index:-0.7400 fitness:3.5075 M:350, N:16, buy_index:0.7800, sell_index:-0.8300 fitness:4.4902 M:300, N:13, buy_index:0.6300, sell_index:-0.6700 fitness:3.1397 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:400, N:16, buy_index:0.8800, sell_index:-0.7300 fitness:5.3645 第:21 代 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:250, N:17, buy_index:0.7000, sell_index:-0.7800 fitness:6.0576 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:300, N:15, buy_index:0.5500, sell_index:-0.7300 fitness:5.8543 M:300, N:16, buy_index:0.6500, sell_index:-0.7400 fitness:5.8084 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:18, buy_index:0.6800, sell_index:-0.9700 fitness:3.0169 M:350, N:16, 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sell_index:-0.7800 fitness:6.1017 M:250, N:17, buy_index:0.7000, sell_index:-0.7800 fitness:6.0576 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:500, N:17, buy_index:0.8100, sell_index:-0.8300 fitness:5.5592 M:350, N:16, buy_index:0.7300, sell_index:-0.8300 fitness:4.4093 M:400, N:17, buy_index:0.5300, sell_index:-0.8200 fitness:4.7070 M:200, N:20, buy_index:0.9000, sell_index:-0.7600 fitness:3.9117 M:400, N:17, buy_index:1.2400, sell_index:-0.8300 fitness:3.9613 M:400, N:14, buy_index:0.7900, sell_index:-0.7000 fitness:2.5270 M:200, N:18, buy_index:0.7300, sell_index:-0.7600 fitness:4.2486 M:350, N:17, buy_index:0.8800, sell_index:-0.8300 fitness:6.2415 M:300, N:10, buy_index:0.7500, sell_index:-0.7600 fitness:1.9553 M:550, N:17, buy_index:0.6300, sell_index:-0.9900 fitness:2.8612 第:23 代 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:250, N:17, buy_index:0.7000, sell_index:-0.7800 fitness:6.0576 M:350, N:17, buy_index:0.7700, sell_index:-0.7600 fitness:6.0461 M:300, N:18, buy_index:0.7000, sell_index:-0.7800 fitness:4.3152 M:350, N:16, buy_index:0.7700, sell_index:-0.8200 fitness:4.4921 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:250, N:17, buy_index:0.6900, sell_index:-0.8300 fitness:4.0647 M:200, N:16, buy_index:0.8100, sell_index:-0.6200 fitness:4.2954 M:300, N:16, buy_index:0.6800, sell_index:-0.7400 fitness:5.7570 M:550, N:15, buy_index:0.5800, sell_index:-0.7300 fitness:4.1575 M:200, N:17, buy_index:0.6200, sell_index:-0.5500 fitness:3.6477 M:350, N:18, buy_index:0.6800, sell_index:-0.5300 fitness:3.8906 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 第:24 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:350, N:18, buy_index:0.9900, sell_index:-0.8500 fitness:4.7073 M:500, N:17, buy_index:0.8100, sell_index:-0.7800 fitness:4.8697 M:250, N:18, buy_index:0.7900, sell_index:-0.7900 fitness:4.0787 M:300, N:18, 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sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:300, N:18, buy_index:0.5600, sell_index:-0.7400 fitness:4.0284 M:550, N:10, buy_index:0.5000, sell_index:-0.8300 fitness:1.3055 M:350, N:16, buy_index:0.8700, sell_index:-0.8300 fitness:4.3899 M:250, N:14, buy_index:0.6700, sell_index:-0.8700 fitness:3.5688 M:250, N:16, buy_index:0.5000, sell_index:-0.6600 fitness:3.9540 M:300, N:13, buy_index:0.7700, sell_index:-0.8800 fitness:1.5231 M:400, N:17, buy_index:0.5000, sell_index:-0.8300 fitness:4.3847 M:350, N:15, buy_index:0.7900, sell_index:-0.6500 fitness:4.8004 M:400, N:17, buy_index:0.5100, sell_index:-0.7600 fitness:4.8964 M:400, N:17, buy_index:0.8300, sell_index:-0.7900 fitness:5.6667 第:26 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:400, N:15, buy_index:0.6000, sell_index:-0.7900 fitness:3.9498 M:350, N:17, buy_index:1.0400, sell_index:-0.7500 fitness:5.6891 M:400, N:21, buy_index:0.6200, sell_index:-0.8900 fitness:4.9039 M:400, N:15, buy_index:0.6200, sell_index:-0.7200 fitness:5.9810 M:550, N:16, buy_index:0.6200, sell_index:-0.7000 fitness:4.5822 M:200, N:17, buy_index:0.5800, sell_index:-0.7400 fitness:4.2930 M:200, N:22, buy_index:0.8000, sell_index:-0.7800 fitness:2.7352 M:400, N:15, buy_index:0.8000, sell_index:-0.7100 fitness:4.6579 M:300, N:14, buy_index:0.6400, sell_index:-0.7700 fitness:4.1176 M:400, N:17, buy_index:0.6600, sell_index:-0.7400 fitness:5.2286 第:27 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:300, N:14, buy_index:0.8300, sell_index:-0.8300 fitness:3.2897 M:350, N:16, buy_index:0.7500, sell_index:-0.9000 fitness:3.9181 M:250, N:14, buy_index:0.7900, sell_index:-0.7000 fitness:2.5974 M:250, N:18, buy_index:0.6400, sell_index:-0.6200 fitness:3.5841 M:400, N:18, buy_index:0.7900, sell_index:-0.8600 fitness:5.4658 M:350, N:17, buy_index:0.7600, sell_index:-0.9200 fitness:3.8782 M:350, N:17, buy_index:0.7100, sell_index:-0.6600 fitness:4.7290 M:250, N:18, buy_index:0.6300, sell_index:-0.7200 fitness:4.5612 M:200, N:19, buy_index:0.8200, sell_index:-0.7800 fitness:4.0627 M:200, N:15, buy_index:0.7900, sell_index:-0.9000 fitness:3.5039 第:28 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:500, N:16, buy_index:0.6900, sell_index:-0.7800 fitness:6.1017 M:350, N:16, buy_index:0.9400, sell_index:-0.6500 fitness:4.3169 M:250, N:16, buy_index:0.7000, sell_index:-0.9200 fitness:3.6877 M:500, N:17, buy_index:0.7300, sell_index:-0.6600 fitness:5.3523 M:350, N:15, buy_index:0.6200, sell_index:-0.7100 fitness:5.9885 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.7500, sell_index:-0.6500 fitness:4.4220 M:250, N:16, buy_index:0.7300, sell_index:-0.6100 fitness:3.6501 M:300, N:13, buy_index:0.6500, sell_index:-0.6900 fitness:3.7084 M:200, N:15, buy_index:0.8300, sell_index:-0.7300 fitness:4.5796 M:300, N:14, buy_index:0.8000, sell_index:-0.6500 fitness:2.5613 第:29 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:200, N:20, buy_index:0.8000, sell_index:-0.7700 fitness:4.3197 M:300, N:16, buy_index:0.6100, sell_index:-0.5000 fitness:3.7835 M:200, N:14, buy_index:0.8000, sell_index:-0.9900 fitness:1.7356 M:200, N:15, buy_index:0.9000, sell_index:-0.8300 fitness:3.6752 M:450, N:17, buy_index:0.9000, sell_index:-0.8700 fitness:4.0357 M:250, N:19, buy_index:0.8400, sell_index:-0.7700 fitness:3.7859 M:400, N:17, buy_index:0.8800, sell_index:-0.6900 fitness:4.8786 M:300, N:17, buy_index:0.6100, sell_index:-0.6300 fitness:5.0291 M:450, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:5.8714 M:400, N:13, buy_index:0.7600, sell_index:-0.7600 fitness:3.2447 第:30 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:400, N:15, buy_index:0.6000, sell_index:-0.8500 fitness:3.7861 M:400, N:18, buy_index:0.5100, sell_index:-0.8500 fitness:5.1300 M:250, N:16, buy_index:0.7800, sell_index:-0.5400 fitness:4.2462 M:350, N:15, buy_index:0.6900, sell_index:-0.6300 fitness:4.2369 M:250, N:15, buy_index:0.7700, sell_index:-0.7800 fitness:4.1489 M:200, N:18, buy_index:0.7000, sell_index:-1.0700 fitness:2.8185 M:250, N:18, buy_index:0.6900, sell_index:-0.8300 fitness:5.2151 M:250, N:17, buy_index:0.6900, sell_index:-0.8200 fitness:4.1679 M:350, N:16, buy_index:0.7000, sell_index:-0.9200 fitness:4.1543 M:300, N:15, buy_index:0.5000, sell_index:-0.7100 fitness:3.7128 第:31 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:17, buy_index:0.6800, sell_index:-0.6700 fitness:6.1102 M:400, N:16, buy_index:0.6400, sell_index:-0.6900 fitness:5.9072 M:250, N:19, buy_index:0.5000, sell_index:-0.7700 fitness:3.5887 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:300, N:16, buy_index:1.1300, sell_index:-0.8000 fitness:3.8182 M:350, N:17, buy_index:0.7100, sell_index:-0.6700 fitness:4.6974 M:450, N:14, buy_index:0.7400, sell_index:-0.5000 fitness:2.6694 M:350, N:19, buy_index:0.5600, sell_index:-0.8000 fitness:3.4871 M:350, N:17, buy_index:0.7800, sell_index:-0.6400 fitness:5.0624 M:350, N:16, buy_index:0.7400, sell_index:-0.7300 fitness:5.8966 M:400, N:14, buy_index:0.5400, sell_index:-0.8400 fitness:3.4272 第:32 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:250, N:15, buy_index:0.6800, sell_index:-0.7100 fitness:3.9544 M:250, N:19, buy_index:0.6700, sell_index:-0.8700 fitness:4.4523 M:250, N:18, buy_index:0.5600, sell_index:-0.6800 fitness:3.3186 M:300, N:17, buy_index:0.7500, sell_index:-0.8200 fitness:6.3334 M:250, N:19, buy_index:0.7600, sell_index:-0.7600 fitness:3.7206 M:300, N:17, buy_index:0.7400, sell_index:-0.8000 fitness:5.9540 M:250, N:16, buy_index:0.7500, sell_index:-0.8200 fitness:4.4974 M:250, N:17, buy_index:0.8200, sell_index:-0.5700 fitness:3.8412 M:200, N:20, buy_index:0.7400, sell_index:-0.7600 fitness:3.8256 M:200, N:14, buy_index:0.7900, sell_index:-0.7600 fitness:2.3818 第:33 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:350, N:13, buy_index:0.6300, sell_index:-0.6300 fitness:2.6696 M:400, N:15, buy_index:0.6700, sell_index:-0.6900 fitness:4.3688 M:400, N:16, buy_index:0.5000, sell_index:-0.7800 fitness:3.6148 M:250, N:16, buy_index:0.6700, sell_index:-0.6600 fitness:3.9642 M:500, N:16, buy_index:0.6700, sell_index:-0.7600 fitness:6.0674 M:400, N:17, buy_index:0.7000, sell_index:-0.6000 fitness:4.1543 M:400, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:5.4268 M:250, N:17, buy_index:0.7300, sell_index:-0.8100 fitness:5.3813 M:500, N:18, buy_index:0.5200, sell_index:-0.8200 fitness:4.9757 M:300, N:18, buy_index:0.7000, sell_index:-1.0100 fitness:2.4467 第:34 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:250, N:17, buy_index:0.6600, sell_index:-0.7500 fitness:6.1163 M:350, N:14, buy_index:0.8000, sell_index:-0.6700 fitness:3.2449 M:350, N:15, buy_index:0.5700, sell_index:-0.7800 fitness:4.5181 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:450, N:16, buy_index:0.7700, sell_index:-0.7300 fitness:6.1802 M:400, N:14, buy_index:0.6100, sell_index:-0.7100 fitness:2.3763 M:400, N:16, buy_index:0.7900, sell_index:-0.6100 fitness:4.7323 M:250, N:15, buy_index:0.7000, sell_index:-0.7300 fitness:4.0739 M:200, N:18, buy_index:0.7200, sell_index:-0.8000 fitness:4.6496 M:350, N:17, buy_index:0.8300, sell_index:-0.7700 fitness:5.8265 M:300, N:15, buy_index:0.7100, sell_index:-0.6900 fitness:4.7693 第:35 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 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M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:350, N:14, buy_index:0.6700, sell_index:-0.8500 fitness:3.3972 M:350, N:16, buy_index:0.7900, sell_index:-0.8700 fitness:4.1371 M:250, N:11, buy_index:0.6800, sell_index:-0.7600 fitness:4.1725 M:200, N:16, buy_index:0.5000, sell_index:-0.8600 fitness:2.8952 M:300, N:15, buy_index:0.7200, sell_index:-0.7800 fitness:4.5614 M:400, N:16, buy_index:0.7400, sell_index:-0.8100 fitness:4.3825 M:300, N:13, buy_index:0.7800, sell_index:-0.7500 fitness:3.5105 M:400, N:15, 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fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:200, N:15, buy_index:0.6600, sell_index:-0.7700 fitness:4.4021 M:300, N:17, buy_index:0.7700, sell_index:-0.8500 fitness:5.4683 M:200, N:15, buy_index:0.8500, sell_index:-0.7500 fitness:3.6625 M:350, N:19, buy_index:0.7400, sell_index:-0.7300 fitness:3.1703 M:350, N:11, buy_index:0.5000, sell_index:-0.7800 fitness:2.0539 M:350, N:17, buy_index:0.7500, sell_index:-0.7800 fitness:5.7262 M:550, N:13, buy_index:0.6400, sell_index:-0.6500 fitness:2.6715 M:350, N:15, buy_index:0.7700, sell_index:-1.0100 fitness:1.5026 M:500, N:11, buy_index:0.8000, sell_index:-0.8300 fitness:1.9859 M:350, N:11, buy_index:0.7200, sell_index:-0.8200 fitness:1.7212 第:39 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:350, N:17, buy_index:0.6800, sell_index:-0.7500 fitness:6.2078 M:400, N:18, buy_index:0.8000, sell_index:-0.8900 fitness:5.4448 M:350, N:18, buy_index:0.5800, sell_index:-0.6900 fitness:3.3700 M:400, N:15, buy_index:0.7700, sell_index:-0.8100 fitness:3.7932 M:250, N:17, buy_index:0.5000, sell_index:-0.8300 fitness:3.6778 M:200, N:16, buy_index:0.7900, sell_index:-0.8200 fitness:3.7710 M:400, N:16, buy_index:0.7000, sell_index:-0.7000 fitness:5.6970 M:250, N:18, buy_index:0.6200, sell_index:-0.7900 fitness:4.4317 M:350, N:20, buy_index:0.6600, sell_index:-0.6700 fitness:2.9168 M:300, N:14, 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fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:250, N:18, buy_index:0.5600, sell_index:-0.6500 fitness:3.2060 M:400, N:14, buy_index:0.5000, sell_index:-0.7400 fitness:3.0018 M:350, N:14, buy_index:0.8600, sell_index:-0.6500 fitness:2.6634 M:400, N:10, buy_index:0.5700, sell_index:-0.8000 fitness:1.0797 M:300, N:23, buy_index:0.8400, sell_index:-0.7900 fitness:3.7007 M:250, N:14, buy_index:0.5000, sell_index:-0.6900 fitness:3.1872 M:350, N:15, buy_index:0.6600, sell_index:-0.6800 fitness:5.3495 M:250, N:17, buy_index:0.6400, sell_index:-0.8100 fitness:5.5467 M:350, N:17, buy_index:0.6600, sell_index:-0.7400 fitness:4.9667 M:250, N:18, buy_index:0.6400, sell_index:-0.7500 fitness:4.6898 第:42 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.6800, sell_index:-0.8000 fitness:6.4089 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:15, buy_index:0.6700, sell_index:-0.7300 fitness:6.2333 M:450, N:17, buy_index:0.5600, sell_index:-0.8000 fitness:4.8702 M:500, N:15, buy_index:0.5300, sell_index:-0.9000 fitness:3.5946 M:250, N:18, buy_index:0.7300, sell_index:-0.7200 fitness:4.5907 M:450, N:13, buy_index:0.8400, sell_index:-0.9200 fitness:1.2955 M:350, N:18, buy_index:0.6700, sell_index:-0.7500 fitness:3.7750 M:300, N:17, buy_index:0.7500, sell_index:-0.8300 fitness:6.3334 M:200, N:16, buy_index:0.7500, sell_index:-0.8300 fitness:3.3529 M:350, N:16, buy_index:0.8100, sell_index:-0.6500 fitness:4.8622 M:350, N:15, buy_index:0.6300, sell_index:-0.8300 fitness:4.3325 M:450, N:17, 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sell_index:-0.8600 fitness:3.1284 M:350, N:22, buy_index:1.0000, sell_index:-0.8400 fitness:3.3282 M:350, N:17, buy_index:0.6000, sell_index:-0.8400 fitness:5.3202 M:350, N:18, buy_index:0.7600, sell_index:-0.6900 fitness:3.6435 M:200, N:16, buy_index:0.8300, sell_index:-0.7500 fitness:5.4193 M:350, N:17, buy_index:0.7300, sell_index:-0.6700 fitness:4.7228 第:44 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.7300, sell_index:-0.7900 fitness:6.4661 M:350, N:16, buy_index:0.6800, sell_index:-0.8000 fitness:6.4089 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:17, buy_index:0.8500, sell_index:-0.8300 fitness:6.2415 M:350, N:17, buy_index:0.7500, sell_index:-0.7600 fitness:6.1495 M:300, N:10, buy_index:0.5000, sell_index:-0.8100 fitness:0.9049 M:350, N:13, buy_index:0.6800, sell_index:-1.2200 fitness:1.2204 M:400, N:16, buy_index:0.6900, sell_index:-0.7500 fitness:6.4755 M:250, N:18, buy_index:0.7800, sell_index:-0.9400 fitness:4.6068 M:400, N:18, buy_index:0.6400, sell_index:-0.8800 fitness:5.2772 M:350, N:14, buy_index:0.7200, sell_index:-0.7600 fitness:3.2814 M:350, N:18, buy_index:0.7300, sell_index:-0.7900 fitness:4.5783 M:350, N:16, buy_index:0.7200, sell_index:-0.8300 fitness:4.4093 M:300, N:14, buy_index:0.7700, sell_index:-0.7300 fitness:3.5068 第:45 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6900, sell_index:-0.7500 fitness:6.4755 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.7300, sell_index:-0.7900 fitness:6.4661 M:350, N:16, buy_index:0.6800, sell_index:-0.8000 fitness:6.4089 M:300, N:17, buy_index:0.7600, sell_index:-0.8200 fitness:6.3334 M:350, N:15, buy_index:0.7100, sell_index:-0.7300 fitness:6.2711 M:250, N:16, buy_index:0.7900, sell_index:-0.7600 fitness:6.2674 M:350, N:15, buy_index:0.6400, sell_index:-0.5000 fitness:3.4604 M:350, N:17, buy_index:0.6900, sell_index:-1.3600 fitness:1.4963 M:400, N:20, buy_index:0.6800, sell_index:-0.7800 fitness:2.2868 M:400, N:16, buy_index:0.8200, sell_index:-0.7100 fitness:5.6272 M:300, N:16, buy_index:0.8100, sell_index:-0.8100 fitness:4.4597 M:350, N:16, buy_index:0.8100, sell_index:-0.9000 fitness:3.9181 M:250, N:16, buy_index:0.5900, sell_index:-0.7200 fitness:4.2299 M:400, N:17, buy_index:0.6900, sell_index:-0.6400 fitness:4.9192 M:600, N:15, buy_index:0.7000, sell_index:-0.8100 fitness:4.0540 M:250, N:16, buy_index:0.7700, sell_index:-0.8100 fitness:4.2897 第:46 代 M:300, N:16, 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fitness:6.0031 M:250, N:17, buy_index:0.7200, sell_index:-0.6800 fitness:5.4456 M:250, N:12, buy_index:0.6700, sell_index:-0.7800 fitness:3.4448 M:450, N:17, buy_index:0.8900, sell_index:-0.7700 fitness:4.8466 M:300, N:15, buy_index:0.7900, sell_index:-0.5100 fitness:4.2247 M:400, N:15, buy_index:0.6900, sell_index:-0.7200 fitness:5.6538 M:350, N:17, buy_index:0.7500, sell_index:-0.8200 fitness:6.0255 M:400, N:16, buy_index:0.6000, sell_index:-0.7200 fitness:5.7840 M:350, N:10, buy_index:0.7300, sell_index:-0.7100 fitness:2.1839 M:250, N:18, buy_index:0.7400, sell_index:-0.8200 fitness:5.1237 第:48 代 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:400, N:16, buy_index:0.6900, sell_index:-0.7500 fitness:6.4755 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.7300, sell_index:-0.7900 fitness:6.4661 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fitness:2.3629 M:300, N:18, buy_index:0.7600, sell_index:-0.7500 fitness:4.0451 M:250, N:16, buy_index:0.5700, sell_index:-0.7800 fitness:4.4539 M:250, N:19, buy_index:0.6800, sell_index:-0.8000 fitness:3.3691 M:200, N:16, buy_index:0.7000, sell_index:-0.6300 fitness:4.2857 M:500, N:14, buy_index:0.7100, sell_index:-0.7800 fitness:2.9544 M:350, N:22, buy_index:0.7300, sell_index:-0.8800 fitness:2.9967 第:57 代 M:350, N:16, buy_index:0.6100, sell_index:-0.7500 fitness:6.6961 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:300, N:16, buy_index:0.6900, sell_index:-0.7700 fitness:6.5290 M:400, N:16, buy_index:0.6900, sell_index:-0.7500 fitness:6.4755 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.7300, sell_index:-0.7900 fitness:6.4661 M:400, N:16, buy_index:0.7100, sell_index:-0.7600 fitness:6.4589 M:300, N:17, buy_index:0.6800, sell_index:-0.8200 fitness:6.4333 M:250, N:15, buy_index:0.8200, sell_index:-0.6900 fitness:4.6372 M:350, N:17, buy_index:0.6200, sell_index:-0.7000 fitness:5.2832 M:300, N:17, buy_index:0.6300, sell_index:-0.7900 fitness:5.9658 M:200, N:14, buy_index:0.6600, sell_index:-0.7700 fitness:2.9526 M:350, N:14, buy_index:0.6400, sell_index:-0.7100 fitness:3.4099 M:300, N:18, buy_index:1.1200, sell_index:-0.9600 fitness:4.0969 M:350, N:20, buy_index:0.8000, sell_index:-0.8100 fitness:3.6537 M:350, N:13, buy_index:0.7800, sell_index:-1.1400 fitness:1.2204 M:400, N:16, buy_index:0.6900, sell_index:-0.7900 fitness:5.0328 M:400, N:16, buy_index:0.6800, sell_index:-0.6100 fitness:4.9183 第:58 代 M:350, N:16, buy_index:0.6100, sell_index:-0.7500 fitness:6.6961 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:300, N:16, buy_index:0.6900, sell_index:-0.7700 fitness:6.5290 M:400, N:16, buy_index:0.6900, sell_index:-0.7500 fitness:6.4755 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.7300, sell_index:-0.7900 fitness:6.4661 M:400, N:16, buy_index:0.7100, sell_index:-0.7600 fitness:6.4589 M:300, N:17, buy_index:0.6800, sell_index:-0.8200 fitness:6.4333 M:250, N:17, buy_index:0.8200, sell_index:-0.6200 fitness:4.2603 M:350, N:16, buy_index:0.8000, sell_index:-0.7500 fitness:6.8608 M:400, N:16, buy_index:0.6300, sell_index:-0.7500 fitness:6.4160 M:400, N:12, buy_index:0.6800, sell_index:-0.8000 fitness:2.9575 M:350, N:17, buy_index:0.6000, sell_index:-0.7600 fitness:5.6898 M:350, N:16, buy_index:0.6500, sell_index:-0.6800 fitness:5.6813 M:250, N:16, buy_index:0.6900, sell_index:-0.8400 fitness:4.1075 M:250, N:18, buy_index:0.6900, sell_index:-0.8800 fitness:5.1933 M:400, N:16, buy_index:0.8700, sell_index:-0.8000 fitness:5.8371 M:400, N:16, buy_index:0.6000, sell_index:-0.5300 fitness:4.1121 第:59 代 M:350, N:16, buy_index:0.8000, sell_index:-0.7500 fitness:6.8608 M:350, N:16, buy_index:0.6100, sell_index:-0.7500 fitness:6.6961 M:300, N:16, buy_index:0.7300, sell_index:-0.7700 fitness:6.6488 M:350, N:16, buy_index:0.7700, sell_index:-0.8000 fitness:6.5378 M:300, N:16, buy_index:0.6900, sell_index:-0.7700 fitness:6.5290 M:400, N:16, buy_index:0.6900, sell_index:-0.7500 fitness:6.4755 M:350, N:16, buy_index:0.6900, sell_index:-0.8000 fitness:6.4746 M:400, N:16, buy_index:0.6000, sell_index:-0.7500 fitness:6.4668 M:350, N:16, buy_index:0.7300, sell_index:-0.7900 fitness:6.4661 M:400, N:16, buy_index:0.7100, sell_index:-0.7600 fitness:6.4589 M:350, N:16, buy_index:0.6500, sell_index:-0.6600 fitness:5.0267 M:400, N:16, buy_index:0.6800, sell_index:-0.8600 fitness:3.6456 M:350, N:12, buy_index:0.7300, sell_index:-0.8100 fitness:1.5070 M:400, N:19, buy_index:0.7700, sell_index:-0.7000 fitness:3.2689 M:400, N:17, buy_index:1.0500, sell_index:-0.9100 fitness:3.5507 M:400, N:16, buy_index:0.7500, sell_index:-0.7700 fitness:6.6149 M:300, N:17, buy_index:0.7200, sell_index:-0.9900 fitness:2.6311 M:450, N:14, buy_index:0.6900, sell_index:-1.1700 fitness:1.4317 M:350, N:15, buy_index:0.6900, sell_index:-0.7800 fitness:4.6680 M:300, N:16, buy_index:0.6700, sell_index:-0.9400 fitness:3.3555
plt.figure(figsize = (20,10))M=800M_t,N_t,buy_index,sell_index = sorted(store.items(),key=lambda x: x[1],reverse=True)[0][0]_,_,_,slope_std_adp_right = get_slope(N=N_t,M=M_t)pnl = trade(signal_array = slope_std_adp_right,buy_index=buy_index,sell_index=sell_index,combine='Volume')print(sharp_ratio(pnl[M:]))(pnl[M:]/pnl[M]).plot(label=str(M_t)+'+'+str(N_t)+'+'+str(buy_index)+'+'+str(sell_index))_,_,_,slope_std_adp_right = get_slope(N=16,M=300)pnl = trade(signal_array = slope_std_adp_right,buy_index=0.7,sell_index=-0.7,combine='Volume')(pnl[M:]/pnl[M]).plot(label='研报:16-300-0.7-0.7')print(sharp_ratio(pnl[M:]/pnl[M]))plt.legend()plt.grid()
1.2367664011219854 1.133914211640311
可以看出,参数的调优对策略的改进不大,研报给出了一个近似最忧解,另一方面可以看到遗传算法选出的sell-index较大,有可能导致卖出不及时,回撤增大,下面我们来看样本外回测
data_panel=data_panel_all.copy()plt.figure(figsize = (20,10))ots=500M_t,N_t,buy_index,sell_index = sorted(store.items(),key=lambda x: x[1],reverse=True)[0][0]_,_,_,slope_std_adp_right = get_slope(N=N_t,M=M_t)pnl = trade(signal_array = slope_std_adp_right,buy_index=buy_index,sell_index=sell_index,combine='Volume')print(sharp_ratio(pnl[-ots:]))(pnl[-ots:]/pnl[-ots]).plot(label=str(M_t)+'+'+str(N_t)+'+'+str(buy_index)+'+'+str(sell_index))_,_,_,slope_std_adp_right = get_slope(N=16,M=300)pnl = trade(signal_array = slope_std_adp_right,buy_index=0.7,sell_index=-0.7,combine='Volume')(pnl[-ots:]/pnl[-ots]).plot(label='研报:16-300-0.7-0.7')print(sharp_ratio(pnl[-ots:]/pnl[ots]))plt.legend()plt.grid()
0.19314863732617876 0.2449357482311715
样本外的回测验证了我们的想法,与研报相比,调优后的参数回撤较大,因此我们认为研报的参数已经给出一个较为稳定优秀的解,并在样本外测试中同样有作用