Namespace Balsam.Optimization
Classes
- ComputeNode
Provides common functionality for compute nodes.
- ComputePool
Provides a pool of computing resources for strategy simulation.
- EqualWeightOptimizer
Static methods for combining equal-weight return streams to maximize Sharpe Ratio.
- EqualWeightOptimizer.StrategyConstraint
Used to constrain the equal weight optimization at the strategy level.
- EqualWeightOptimizer.StrategyConstraints
Encapuslates a list of strategy constraints as well as providing global min/max holdings.
- GeneticOptimizer
Searchs a range of parameter values using random parameter mutation.
- LocalNode
Encapsulates local compute resources.
- MonteCarloOptimizer
Optimizes by randomly selecting parameters between OptimizationAttributes start and stop values. Useful for stability testing across parameters.
- NodeInfo
Encapsulates information about a compute node.
- ParameterSensitivities
Encapsulates collection of parameter sensitivity objects.
- ParameterSensitivity
Summarizes changes in objective function with respect to parameter changes.
- WalkForwardOptimizer
A class for performing walk forward optimizations.
- WalkForwardResults
Encapsulates the results of an entire walk forward optimization.
- WalkForwardSlice
Encapsulates a slice of a walk forward optimization test.
Interfaces
- IComputePool
A interface for managing a pool of compute resources.
Enums
- GeneticOptimizer.SaveStrategy
Controls if and how results are saved.
- NodeState
Node status