public double Evaluate(ParameterSpaceGrid search_grid, ParameterSet parameter_set)
{
if (results.ContainsKey(parameter_set))
{
return(results[parameter_set]);
}
else
{
MarketManagerSimulation exchange = new MarketManagerSimulation(initial_cash, price_set);
MarketResult result = exchange.Run(PolicyTemplate.Instance(parameter_set));
return(result.EndCash);
}
}
public void DoExperiment()
{
MarketResult[] results = new MarketResult[policies.Count];
Parallel.For(0, policies.Count, index =>
{
MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
results[index] = exchange.Run(policies[index]);
});
for (int index = 0; index < policies.Count; index++)
{
Console.WriteLine(policies[index].Title);
Console.WriteLine(results[index].EndCash);
Console.WriteLine("In: " + results[index].Market.ClosedOrders.Count);
}
}
public static void TestSpeed(double initial_cash, PriceSet price_set, int count)
{
List <PolicyJaapBands> policies = new List <PolicyJaapBands>();
for (int i = 0; i < count; i++)
{
policies.Add(new PolicyJaapBands(300, 0.85, 50, 0.015, 150, 130));
}
MarketResult[] market_results = new MarketResult[policies.Count];
Parallel.For(0, policies.Count, index =>
{
MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
market_results[index] = exchange.Run(policies[index]);
});
Assert.AreEqual(10230.0, market_results[0].EndCash, 0.0000001);
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IPolicy> policies = new List <IPolicy>();
double long_threshold = 10 * Math.Pow(10, -6);
double short_threshold = -10 * Math.Pow(10, -6);
for (int index = 0; index < 1; index++)
{
policies.Add(new PolicyTemplateJaapBands().Instance());
}
MarketResult[] market_results = new MarketResult[policies.Count];
Parallel.For(0, policies.Count, index =>
{
MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
market_results[index] = exchange.Run(policies[index]);
});
List <Tuple <MarketResult, IPolicy> > accepted_policy = new List <Tuple <MarketResult, IPolicy> >();
for (int index = 0; index < market_results.Length; index++)
{
// if(market_results[index].Market.ClosedOrders.Count > 9 && market_results[index].EndCash > 10000)
// {
accepted_policy.Add(new Tuple <MarketResult, IPolicy>(market_results[index], policies[index]));
// }
}
for (int index = 0; index < accepted_policy.Count; index++)
{
var xx = accepted_policy[index];
Console.WriteLine(xx.Item1.EndCash + " in: " + xx.Item1.Market.ClosedOrders.Count);
ToolsTradingPlotting.PlotMarketResult(ToolsTradingDataSet.GetPath() + "Trades" + index + ".png", xx.Item1);
}
}
