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Possible to Access Trades Collection from Inside Optimization Method? (Monte Carlo)
I have been trying to develop a Monte Carlo simulator that will evaluate the effect of data mining on the combined output of an optimization run.
> Please see "Evidence Based Technical Analysis" by David Aronson for a discussion of the goals/methods of this.
Note: I am applying a strategy to a basket of stocks, so I've also tried to make the Monte Carlo take asset allocation into account.
I think that I have all the logic in place for it to work, but I have not been able to access the system performance data from inside the optimization method. (I have been working off of the optimizer built by TraderDJB)
This was designed to replace the standard "default" optimization option by providing enum and bool selection support for the optimizations. As I got into it, I ended up adding extra features to assist my analysis.
Usage: After installing, select DB …
Essentially, what I need is:
- A collection of the trades taken by each parameter set in the optimization run
- I think that I could do this using an optimization type and passing the data in/out of excel, but I would like to keep it all contained in one location of at all possible.
I would greatly appreciate it if one of the Ninja experts out there could take a look at my code and make any recommendations! Please ignore the troubleshooting print outputs splayed all over the place in it right now, I will clean it up as soon as it's working.
I think that this should be a great addition to anyone that is optimizing a system, so I will also post the working final once the kinks are ironed out.
Can you help answer these questions from other members on NexusFi?
