from RetraceStrategy import RetraceStrategy
from DataFeed import DataFeedDaily
from Optimizer import Optimizer
if __name__ == '__main__':
optimizer = Optimizer()
optimizer.strategy_class = RetraceStrategy
# optimizer.data_feed = DataFeedDaily('daily.SPY.csv')
optimizer.data_feed = DataFeedDaily('SPY.csv')
## set population size
optimizer.size = 40
optimizer.max_generations = 50
optimizer.outfile = 'optimize_retrace3.xls'
optimizer.reset_on_EOD = True
## parameter space to search over
## strategy_params for RetraceStrategy = dict(average,momentum,duration)
## momentum = entry momentum crossover
## average = moving average filter
## duration = trade holding period
param_list = [
dict(name='momentum', min_val=30, max_val=50, steps=16, converter=int),
dict(name='average', min_val=70, max_val=120, steps=32, converter=int),
dict(name='duration', min_val=10, max_val=20, steps=8, converter=int)
]
for p in param_list:
optimizer.add_parameter(p)
