def run_simulation(param, date_list):
algo = { 'class': ConstStopWinGuardAlgo }
algo['param'] = {'x': 'ni1609',
'y': 'ni1701',
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': 2,
'const': param[1],
'stop_win':param[2],
'block': 100,
'tracker': None
}
settings = { 'date': date_list,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': False}
settings['exe'] = PairExePlusTick(2)
runner = PairRunner(settings)
runner.run()
report = Report(runner)
temp = report.get_daily_pnl()
pnl_list = list(temp.daily_pnl)
return pnl_list
