public void DoExperiment() { IPolicyTemplate policy_template = new PolicyTemplateJaapBands(); double initial_cash = 10000; PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD); IEvaluator evaluator = new EvaluatorSingle(policy_template, initial_cash, price_set); ParameterSpaceGrid search_grid = new ParameterSpaceGrid( policy_template.DefaultParameters, new double[] { }, new int[] { }, new int[] { } ); IOptimizer optimizer = new OptimizerExaustive(search_grid, evaluator); OptimizationResult result = optimizer.Optimize(policy_template.DefaultParameters); Console.WriteLine(result.OptimalResult); }
public void DoExperiment() { PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD).SubSet(new DateTimeUTC(2016, 10, 17), new DateTimeUTC(2016, 10, 20)); IPolicyTemplate policy_template = new PolicyTemplateRunningAverageDual(); double initial_cash = 10000; IEvaluator evaluator = new EvaluatorSingle(policy_template, initial_cash, price_set); ParameterSpaceGrid search_grid = new ParameterSpaceGrid( policy_template.DefaultParameters, new double[] { 10, 5 * TradingConstants.POINT, 10, 5 * TradingConstants.POINT }, new int[] { 1, 1, 1, 1 }, new int[] { 1, 1, 1, 1 } ); IOptimizer optimizer = new OptimizerExaustive(search_grid, evaluator); OptimizationResult result = optimizer.Optimize(policy_template.DefaultParameters); Console.WriteLine(result.OptimalResult); }