Class WalkForwardOptimizer

Namespace

Balsam.Optimization

Assembly

Balsam.Backtester.dll

A class for performing walk forward optimizations.

public class WalkForwardOptimizer : OptimizerBase

Inheritance

object

OptimizerBase

WalkForwardOptimizer

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

ObjectiveFunction

Gets/sets the objective function. If null, Sharpe Ratio is used as the default.

public Func<TradeStats, double> ObjectiveFunction { get; set; }

Property Value

Func<TradeStats, double>

Results

Gets the results of the walk forward optimization.

public WalkForwardResults Results { get; }

Property Value

WalkForwardResults

Methods

GetResults()

Not implemented.

public override TradeStatsCollection GetResults()

Returns

TradeStatsCollection

Exceptions

NotImplementedException

Optimize(MoneyManager, IEnumerable<WalkForwardSlice>)

Optimizes a money manager over the specified slices.

public void Optimize(MoneyManager moneyManager, IEnumerable<WalkForwardSlice> slices)

Parameters

moneyManager MoneyManager

slices IEnumerable<WalkForwardSlice>

Exceptions

ArgumentNullException

InvalidOperationException

Optimize(Strategy, IEnumerable<WalkForwardSlice>)

Optimizes a strategy over the specified slices.

public void Optimize(Strategy strategy, IEnumerable<WalkForwardSlice> slices)

Parameters

strategy Strategy

slices IEnumerable<WalkForwardSlice>

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

Optimizes the specified strategy. Note this will automatically close open positions at the end of the OOS walk-forward window.

public void Optimize(Type strategy, VariableDictionary vd, Type moneyManager, VariableDictionary mmvd, IEnumerable<BarSeries> data, IEnumerable<WalkForwardSlice> slices)

Parameters

strategy Type

vd VariableDictionary

moneyManager Type

mmvd VariableDictionary

data IEnumerable<BarSeries>

slices IEnumerable<WalkForwardSlice>

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

Not implemented.

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

NotImplementedException