public void OnInit() { //set the asset details filename AssetDetailsFile = @"C:\ForexData\Assets.csv"; RequiredData.Add(60, 200); TradeAssetList.Add("TEST1"); MinBars = 30; OptimiseParameters.Add(new OptimiseParameter("Period1", 3, 5, 1)); OptimiseParameters.Add(new OptimiseParameter("Period2", 15, 17, 1)); OptimiseParameters.Add(new OptimiseParameter("JumpFactor", 1.3, 1.6, 0.1)); ExternalFeatures.Add(new ExternalFeatureData(60, @"C:\\ForexData\\ShareData\\TEST1_m60_test_strategy_f.bin", new string[] { "SMA_4", "SMA_20" })); }
public void OnInit() { //set the asset details filename AssetDetailsFile = @"C:\ForexData\Assets.csv"; expectedBar1_1H = new Bar(); expectedBar1_1H.OpenTime = DateTime.ParseExact("2017-09-15 00:00:00", "yyyy-MM-dd HH:mm:ss", System.Globalization.CultureInfo.InvariantCulture); expectedBar1_1H.BidOpen = 1.19207f; expectedBar1_1H.BidClose = 1.19075f; expectedBar1_1H.BidHigh = 1.19232f; expectedBar1_1H.BidLow = 1.19067f; expectedBar1_1H.AskOpen = 1.19219f; expectedBar1_1H.AskClose = 1.19088f; expectedBar1_1H.AskHigh = 1.19244f; expectedBar1_1H.AskLow = 1.1908f; expectedBar1_1H.Volume = 9217; RequiredData.Add(60, 200); TradeAssetList.Add("TEST1"); }
public void OnInit() { //set the asset details filename AssetDetailsFile = System.IO.Path.Combine("data_files", "AssetsDemo.csv"); //Add in the 60 min timeframe RequiredData.Add(60, 211); //select the assets to trade TradeAssetList.AddRange(new string[] { "EURUSD", "EURJPY" }); //Only take trade if spread is less than 4 pips SpreadFilter = 4; MinBars = 211; Cpus = 12; ReduceCorrelatedParams = new ReduceCorrelatedParams(80, 0.75, 1.0); ReduceByRankParams = new ReduceByRankParams(110, 1.0); TradeDataLabels = new string[] { "Period1", "Period2", "JumpFactor", "jumpSma", "volatilityLogMA12", "volumeLogMA12", "atrNow", "atrTotal", "lastMove", "bbRange" }; OptimiseParameters.Add(new OptimiseParameter("Period1", 3, 5, 1)); OptimiseParameters.Add(new OptimiseParameter("Period2", 14, 18, 1)); OptimiseParameters.Add(new OptimiseParameter("JumpFactor", 1.2, 1.8, 0.1)); //buildpythonfeatures 60 USDJPY C:\ForexData\Assets.csv C:\ForexData\ShareData\[ASSET]_m60_Share_f.bin ATR(3,close,high,low);ATR(4,close,high,low);ATR(5,close,high,low);ATR(100,close,high,low);VOLATILITY_LOG_MA(12,high,low);VOLUME_LOG_MA(12,volume);BBANDS(20,1.8,1,close);BBANDS(20,1.8,2,close) /*ExternalFeatures.Add(new ExternalFeatureData(60, @"C:\\ForexData\\ShareData\\[ASSET]_m60_Share_f.bin", * new string[] { "ATR(3, close, high, low)", "ATR(4, close, high, low)", "ATR(5, close, high, low)", "ATR(100, close, high, low)", * "VOLATILITY_LOG_MA(12, high, low)", "VOLUME_LOG_MA(12, volume)", * "BBANDS(20, 1.8, 1, close)", "BBANDS(20, 1.8, 2, close)" })); */ ExternalFeatures.Add(new ExternalFeatureData(60, System.IO.Path.Combine(new string[] { "data_files", "share_data", "[ASSET]_m60_Share_f.bin" }), new string[] { "ATR_3", "ATR_4", "ATR_5", "ATR_100", "VOLATILITY_LOG_MA_12", "VOLUME_LOG_MA_12", "BBANDS_UP", "BBANDS_LOW" })); }