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Scenario File  Every solution has Scenario file with MyScenario class derived from Scenario class defined in the API.Engine  The Run button calls MyScenario.Run()

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Presentation on theme: "Scenario File  Every solution has Scenario file with MyScenario class derived from Scenario class defined in the API.Engine  The Run button calls MyScenario.Run()"— Presentation transcript:

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2 Scenario File  Every solution has Scenario file with MyScenario class derived from Scenario class defined in the API.Engine  The Run button calls MyScenario.Run() method. This method can can be extended by users  By default MyScenario.Run() calls Scenario.Start() that starts the solution

3 Configure Solution Programmatically  Solution.StartDate = new DateTime(1995, 1, 1);  Solution.StopDate = new DateTime(2001, 1, 1);  Project project = Solution.Projects[0];  project.AddInstrument(instrument);  project.Parameters["Length"].Value = 14;  Start();

4 Batch Backtests  Read sets of parameters from a file  Loop Set parameters Start() Write results

5 Walk Forward Backtests  Loop Set in-sample data interval Optimize Set out-of-sample data interval Start();

6 Monte Carlo Backtests  Read original market data series  Create and set MC instrument  Loop Clear historical data Prepare MC data from original data series Write MC data to historical db Start() Store results  Build MC distribution

7 Continuous Backtests  Set interval (Date1, Date2)  Start();  ResetOnStart = false;  Set parameters  Set interval (Date2, Date3)  Start(); => continuous results (Date1, Date3);

8 From Backtest to Live trading  Set interval (Date1, Date2)  Start();  ResetOnStart = false;  Start(Mode.Live);

9 Custom Optimization  Loop parameters Set parameters Start(); Objective = Solution.Portfolio.GetValue();  Set best parameters  Start();

10 Custom Backtest Reports  Start();  Write Solution.Portfolio.GetValue(); Statistics.AnnualReturn Statistics.Duration Statistics.FinalWealth Statistics.LongTrades Statistics.LongTradesPnL Statistics.LosingLongTrades …


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