optimiser#

API documentation for tradeexecutor.backtest.optimiser Python module in Trading Strategy.

Module description#

Machine learning based optimiser for the strategy parameters.

  • Users scikit-optimize library

  • Similar as grid seacrh

  • Instead of searching all parameter combinations, search only some based on an algorithm

Classes#

MinTradeCountFilter

Have a minimum threshold of a created trading position count.

ObjectiveWrapper

Middleware between Optimiser and TS frameworks.

OptimiserResult

The outcome of the optimiser run.

SearchFunction

The function definition for the optimiser search function.

SearchResult

Single optimiser search result value.

Functions#

create_grid_combination(result_path, ...)

Turn scikit-optimise search arguments to a grid combination.

get_optimised_dimensions(parameters)

Get all dimensions we are going to search.

optimise_profit(result)

Search for the best CAGR value.

optimise_sharpe(result)

Search for the best Sharpe value.

perform_optimisation(iterations, ...[, ...])

Search different strategy parameters using an optimiser.

prepare_optimiser_parameters(param_class)

Optimised parameters must be expressed using scikit-optimise internals.