public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer();
OptimizationUniverse universe = new OptimizationUniverse();
for (int length1 = 2; length1 < 14; length1++)
{
for (int length2 = length1 + 1; length2 < 28; length2++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Length1", length1);
parameter.Add("Length2", length2);
parameter.Add("Bar", (long)60);
universe.Add(parameter);
}
}
strategy = new SMACrossover(framework, "strategy ");
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
InstrumentList instruments = new InstrumentList();
instruments.Add(instrument1);
instruments.Add(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
optimizer.Optimize(strategy, instruments, universe, 100);
}
public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer();
OptimizationUniverse universe = new OptimizationUniverse();
for (int length1 = 2; length1 < 14; length1++)
for (int length2 = length1 + 1; length2 < 28; length2++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Length1", length1);
parameter.Add("Length2", length2);
parameter.Add("Bar", (long)60);
universe.Add(parameter);
}
strategy = new SMACrossover(framework, "strategy ");
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
InstrumentList instruments = new InstrumentList();
instruments.Add(instrument1);
instruments.Add(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
optimizer.Optimize(strategy, instruments, universe, 100);
}
public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer(this.framework);
OptimizationUniverse universe = new OptimizationUniverse();
for (decimal Delta = 1; Delta < 8; Delta++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Delta", Delta);
universe.Add(parameter);
}
Instrument spreadInsturment = InstrumentManager.Get("*NG 01-15 vs *NG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Future, "*NG 01-15 vs *NG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 01-15"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 02-15"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
//sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 18); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 12, 30); // 1 day after real end
InstrumentList instruments = new InstrumentList();
instruments.Add(spreadInsturment);
strategy.AddInstruments(instruments);
//You can choose an optimization method from the "Optimizers" window
//and observe the optimization results in the "Optimization Results" window.
//Optimization can use either of two ways to declare parameters:
//1. Optimization using [OptimizationParameter] atrributes from Strategy
//Optimize(strategy);
//2. Optimization via OptimizationUniverse
optimizer.Optimize(strategy, universe);
}
