public void EntropyStrategyTest()
{
var data = CreateMarketData();
var parameters = new EntropyParameters();
var target = SimulateStrategy(data, x => x.Create(parameters));
var actual = ToApprovedString(target);
Approvals.Verify(actual);
}
public EntropyStrategy(
IMarketDataCache marketDataCache,
ISearcher searcher,
IStakingService stakingService,
EntropyParameters parameters)
{
_searcher = searcher;
_stakingService = stakingService;
_marketDataCache = marketDataCache;
_parameters = parameters;
}
public void Optimise(DateTime fromDate, DateTime endDate)
{
_stakingService.Evaluate(fromDate, endDate);
var potentials = Enumerable.Range(1, 30).SelectMany(w =>
{
return(Enumerable.Range(1, 100).Select(e =>
{
var threshold = (double)e / 10;
return new EntropyParameters {
Window = w, Threshold = threshold
};
}));
});
var optimum = _searcher.Maximum(potentials, fromDate, endDate);
_parameters = (EntropyParameters)optimum;
}
public IStrategy Create(IParameters parameters)
{
return(parameters switch
{
LinearRegressionParameters p => Create(p),
RelativeStrengthParameters p => Create(p),
DeltaParameters p => Create(p),
VolumeParameters p => Create(p),
GradientParameters p => Create(p),
EntropyParameters p => Create(p),
StaticDatesParameters p => Create(p),
MovingAverageParameters p => Create(p),
HolidayEffectParameters p => Create(p),
WeightedParameters p => Create(p),
OptimalStoppingParameters p => Create(p),
ProbabilityParameters p => Create(p),
SpreadParameters p => Create(p),
ClusteringParameters p => Create(p),
_ => throw new NotImplementedException(),
});
