public OptimizationParameterSet Optimize(Strategy strategy, InstrumentList instruments,
OptimizationUniverse universe, int bunch = -1)
{
if (universe.Count == 0)
{
Console.WriteLine("Optimization failed, universe is empty");
return(new OptimizationParameterSet());
}
EventCount = 0;
_stopwatch.Start();
throw new NotImplementedException();
_stopwatch.Stop();
var max = universe.OrderBy(u => u.Objective).Last();
Console.WriteLine($"Best Objective {max} Objective = {max.Objective}");
Console.WriteLine("Optimization done");
Console.WriteLine(
$"Processed {EventCount} events in {Elapsed} msec - {EventCount/(Elapsed*1000d)} event/sec");
return(max);
}
private void Optimize(Strategy strategy, InstrumentList instruments, OptimizationUniverse universe,
int nFrameworks, int nStrategies)
{
throw new NotImplementedException();
}
public OptimizationParameterSet Optimize(Strategy strategy, OptimizationUniverse universe = null)
{
return(this.optimizer?.Optimize(strategy, universe));
}
public OptimizationParameterSet Optimize(Scenario scenario, OptimizationUniverse universe = null)
{
return(this.optimizer?.Optimize(scenario));
}
public virtual OptimizationParameterSet Optimize(Strategy strategy, OptimizationUniverse universe = null)
{
return(null);
}
