public EnvironmentImpactedBase(Strat strat_, Calculator calculator_)
: base(strat_)
{
EnvironCalc = calculator_;
}
protected EnvironBacktestBase(Strat thisStrat_, Calculator calculator_)
: base(thisStrat_)
{
Calculator = calculator_;
}
public ParameterSets()
{
Logger.Debug("Creating parameters sets for Breakout strategy",typeof(ParameterSets));
var thresholds = new[]
{
2d,
2.5d,
3d,
3.5d,
};
const IndicType indicator = IndicType.CcyMultiUniverse;
var contextMAsToScoreWindowLengths = new Dictionary<int, int[]>
{
{126, new[] {42, 63, 84}},
{252, new[] {63, 84, 126}}
};
const EnvironmentContextType contextType = EnvironmentContextType.MA;
foreach (var contextMA in contextMAsToScoreWindowLengths.Keys)
{
foreach (var scoreWindowLength in contextMAsToScoreWindowLengths[contextMA])
{
if (scoreWindowLength >= contextMA)
continue;
foreach (var threshold in thresholds)
{
var calc = new Calculator
{
Offset = 0,
EnvironmentSourceTransform = EnvironmentSourceTransformType.Score,
ScoreWindow = scoreWindowLength,
ContextType = contextType,
ContextMAWindow = contextMA,
EnvironmentSource = EnvironmentSourceType.Defined,
IndicType = indicator
};
calc.Affectors.Add(new IndicRangeAffect()
{
Inc = 0.25,
RangeStart = -100d,
RangeEnd = -threshold,
Target = 1d
});
calc.Affectors.Add(new IndicRangeAffect()
{
Inc = 0.25,
RangeStart = -threshold,
RangeEnd = threshold,
Target = 0d
});
calc.Affectors.Add(new IndicRangeAffect()
{
Inc = 0.25,
RangeStart = threshold,
RangeEnd = 100d,
Target = -1d
});
EnvironIndic.MultiCcyIndicator.CurrencyMultiScore underlying=null;
Logger.Debug(string.Format("Getting Universe Score with length {0}", scoreWindowLength),
typeof (ParameterSets));
switch (scoreWindowLength)
{
case 42:
underlying = Singleton<CurrencyUniverseScore_42>.Instance;
break;
case 63:
underlying = Singleton<CurrencyUniverseScore_63>.Instance;
break;
case 84:
underlying = Singleton<CurrencyUniverseScore_84>.Instance;
break;
case 126:
underlying = Singleton<CurrencyUniverseScore_126>.Instance;
break;
default:
throw new Exception("case not handled");
}
Logger.Debug(string.Format("Getting context score with length {0}", contextMA), typeof (ParameterSets));
EnvironIndic.MultiCcyIndicator.CurrencyMultiScore contextObject = null;
switch (contextMA)
{
case 126:
contextObject = Singleton<CurrencyUniverseScore_126>.Instance;
break;
case 252:
contextObject = Singleton<CurrencyUniverseScore_252>.Instance;
break;
}
m_sets.Add(new ParameterSet(calc, underlying.LiveObject, contextObject.LiveObject));
}
}
}
foreach (var se in m_sets)
se.PropertyChanged += (a, b) =>
{
if (string.CompareOrdinal("TodayMult", b.PropertyName) == 0)
Notify("AvgAllocation");
};
}
