Class MonteCarloOptimizer

Namespace

Balsam.Optimization

Assembly

Balsam.Backtester.dll

Optimizes by randomly selecting parameters between OptimizationAttributes start and stop values. Useful for stability testing across parameters.

public class MonteCarloOptimizer : OptimizerBase

Inheritance

object

OptimizerBase

MonteCarloOptimizer

Inherited Members

OptimizerBase.OutputToConsole

OptimizerBase.Message

OptimizerBase.IterationCompleted

OptimizerBase.OptimizationCompleted

OptimizerBase.AutoExport

OptimizerBase.OnMessage(MessageEventArgs)

OptimizerBase.OnIterationCompleted(OptimizationIterationEventArgs)

OptimizerBase.OnOptimizationCompleted(OptimizationCompletedEventArgs)

OptimizerBase.CartesianProduct(IEnumerable<IEnumerable<double>>)

OptimizerBase.CloneData(IEnumerable<BarSeries>)

OptimizerBase.FindOptimal(IEnumerable<TradeStats>, Func<TradeStats, double>, bool)

OptimizerBase.GetOptimizationAttributes(Type)

OptimizerBase.SharpeRatio

OptimizerBase.UlcerPerformanceIndex

OptimizerBase.SortinoRatio

OptimizerBase.Optimalf

OptimizerBase.Expectation

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Properties

Iterations

Gets/sets the number of iterations to run.

public int Iterations { get; set; }

Property Value

int

MaxRuntime

Gets/sets the maximum runtime of the optimization.

public TimeSpan? MaxRuntime { get; set; }

Property Value

TimeSpan?

MinTrades

Gets/sets the minimum number of trades a simulation must have to be included in results.

public int MinTrades { get; set; }

Property Value

int

Methods

GetResults()

Gets the results of the optimization.

public override TradeStatsCollection GetResults()

Returns

TradeStatsCollection

Optimize(Type, VariableDictionary, Type, VariableDictionary, BarSeries, int)

Optimizes using the specified parameters.

public void Optimize(Type strategy, VariableDictionary strategyProperties, Type moneyManager, VariableDictionary moneyManagerProperties, BarSeries data, int maxParallelism = -1)

Parameters

strategy Type

strategyProperties VariableDictionary

moneyManager Type

moneyManagerProperties VariableDictionary

data BarSeries

maxParallelism int

Optimize(Type, VariableDictionary, Type, VariableDictionary, IEnumerable<BarSeries>, IEnumerable<OptimizeAttribute>, IComputePool)

Optimizes using the specified parameters.

public void Optimize(Type strategy, VariableDictionary strategyProperties, Type moneyManager, VariableDictionary moneyManagerProperties, IEnumerable<BarSeries> data, IEnumerable<OptimizeAttribute> optimizationAttributes, IComputePool computePool)

Parameters

strategy Type

strategyProperties VariableDictionary

moneyManager Type

moneyManagerProperties VariableDictionary

data IEnumerable<BarSeries>

optimizationAttributes IEnumerable<OptimizeAttribute>

computePool IComputePool

Exceptions

InvalidOperationException

Optimize(Type, VariableDictionary, Type, VariableDictionary, IEnumerable<BarSeries>, IEnumerable<OptimizeAttribute>, IComputePool, IProgress<double>, CancellationToken)

Optimizes using the specified parameters.

public override void Optimize(Type strategy, VariableDictionary strategyProperties, Type moneyManager, VariableDictionary moneyManagerProperties, IEnumerable<BarSeries> data, IEnumerable<OptimizeAttribute> optimizationAttributes, IComputePool computePool, IProgress<double> progress, CancellationToken token)

Parameters

strategy Type

strategyProperties VariableDictionary

moneyManager Type

moneyManagerProperties VariableDictionary

data IEnumerable<BarSeries>

optimizationAttributes IEnumerable<OptimizeAttribute>

computePool IComputePool

progress IProgress<double>

token CancellationToken

Exceptions

ArgumentNullException

ArgumentException

AggregateException

Optimize(Type, VariableDictionary, Type, VariableDictionary, IEnumerable<BarSeries>, int)

Optimizes using the specified parameters.

public void Optimize(Type strategy, VariableDictionary strategyProperties, Type moneyManager, VariableDictionary moneyManagerProperties, IEnumerable<BarSeries> data, int maxParallelism = -1)

Parameters

strategy Type

strategyProperties VariableDictionary

moneyManager Type

moneyManagerProperties VariableDictionary

data IEnumerable<BarSeries>

maxParallelism int