SmartQuant Discussion

using System;
using SmartQuant;
using SmartQuant.Optimization;
using SmartQuant.Strategy_;
namespace OpenQuant
{
   public class Optimization : Scenario_
   {
      public Optimization(Framework framework)
         : base(framework)
      {
      }

        public override void Run()
        {
            OptimizationUniverse universe = new OptimizationUniverse();

            for (int length1 = 5; length1 < 25; length1++)
                for (int length2 = 26; length2 < 60; length2++)
                {
                    OptimizationParameterSet parameter = new OptimizationParameterSet();

                    parameter.Add("Length1", length1);
                    parameter.Add("Length2", length2);
                    parameter.Add("Bar", (long)60);

                    universe.Add(parameter);
                }

            MyStrategy strategy = new MyStrategy(framework, "strategy LS");

            Instrument instrument1 = InstrumentManager.Instruments["AMD"];
            Instrument instrument2 = InstrumentManager.Instruments["IBM"];

            InstrumentList instruments = new InstrumentList();

            instruments.Add(instrument1); instruments.Add(instrument2);

            strategy.Add(instruments);
            DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
            DataSimulator.DateTime2 = new DateTime(2013, 12, 31);

            DataSimulator.BarFilter.Add(BarType.Time, 60);
            ExecutionSimulator.FillOnBar = true;

            //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);
            //Strategy t = new Strategy(this.framework, "test");
            //2. Optimization via OptimizationUniverse
            Optimize(strategy, universe);
            //Optimize()
        }
   }
}