public void DoExperiment()
{
IPolicyTemplate policy_template = new PolicyTemplateJaapBands();
double initial_cash = 10000;
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
IEvaluator evaluator = new EvaluatorSingle(policy_template, initial_cash, price_set);
ParameterSpaceGrid search_grid = new ParameterSpaceGrid(
policy_template.DefaultParameters,
new double[] { },
new int[] { },
new int[] { }
);
IOptimizer optimizer = new OptimizerExaustive(search_grid, evaluator);
OptimizationResult result = optimizer.Optimize(policy_template.DefaultParameters);
Console.WriteLine(result.OptimalResult);
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD).SubSet(new DateTimeUTC(2016, 10, 17), new DateTimeUTC(2016, 10, 20));
IPolicyTemplate policy_template = new PolicyTemplateRunningAverageDual();
double initial_cash = 10000;
IEvaluator evaluator = new EvaluatorSingle(policy_template, initial_cash, price_set);
ParameterSpaceGrid search_grid = new ParameterSpaceGrid(
policy_template.DefaultParameters,
new double[] { 10, 5 * TradingConstants.POINT, 10, 5 * TradingConstants.POINT },
new int[] { 1, 1, 1, 1 },
new int[] { 1, 1, 1, 1 }
);
IOptimizer optimizer = new OptimizerExaustive(search_grid, evaluator);
OptimizationResult result = optimizer.Optimize(policy_template.DefaultParameters);
Console.WriteLine(result.OptimalResult);
}