Brutforce оптимизация + Wfa

public class MyScenario : Scenario
{
   public override void Run()
   {
      // set in-sample data interval
      
      Solution.StartDate = new DateTime(1995, 1, 1);
      Solution.StopDate  = new DateTime(2001, 1, 1);
      
      // get reference to strategy project
      
      Project project = Solution.Projects[0];
   
      // define variables
      
      int best_length1 = 0;
      int best_length2 = 0;
      double best_objective = 0;
      
      // brute force optimization loop
      
      for (int length1 = 3;length1 <= 7;length1++)
         for (int length2 = 3;length2 <= 7;length2++)
            if (length2 > length1)
            {
               // set new parameters
               
               project.Parameters["Length1"].Value = length1;
               project.Parameters["Length2"].Value = length2;
               
               // print parameters
                     
               Console.Write("Length1 = " + length1 + " Length2 = " + length2);
      
               // start backtest
               
               Start();
               
               // calculate objective function
               
               double objective = Solution.Portfolio.GetValue();

               // print objective
               
               Console.WriteLine(" Objective = " + objective);
      
               // check best objective
               
               if (objective > best_objective)
               {
                  best_objective = objective;
                  best_length1 = length1;
                  best_length2 = length2;
               }
            }   
      
      // print best parameters
      
      Console.WriteLine("BEST PARAMETERS");
      Console.WriteLine();
      Console.WriteLine("SMA1 Length = " + best_length1);
      Console.WriteLine("SMA2 Length = " + best_length2);
      Console.WriteLine("Objective   = " + best_objective);

      // run strategy with the best parameters on out-of-sample data interval
      
      project.Parameters["Length1"].Value = best_length1;
      project.Parameters["Length2"].Value = best_length2;

      Solution.StartDate = new DateTime(2001, 1, 1);
      Solution.StopDate  = new DateTime(2005, 1, 1);      
      
      Start();
   }
}