Balsam.Optimization 1.1.2

.NET 8.0 This package targets .NET 8.0. The package is compatible with this framework or higher. .NET Standard 2.0 This package targets .NET Standard 2.0. The package is compatible with this framework or higher. .NET Framework 4.6.2 This package targets .NET Framework 4.6.2. The package is compatible with this framework or higher. 
dotnet add package Balsam.Optimization --version 1.1.2
                    


                    

                
NuGet\Install-Package Balsam.Optimization -Version 1.1.2
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="Balsam.Optimization" Version="1.1.2" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="Balsam.Optimization" Version="1.1.2" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="Balsam.Optimization" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add Balsam.Optimization --version 1.1.2
                    


                    

                
#r "nuget: Balsam.Optimization, 1.1.2"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package Balsam.Optimization@1.1.2
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=Balsam.Optimization&version=1.1.2
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=Balsam.Optimization&version=1.1.2
                    


                            Install as a Cake Tool

alternate text is missing from this package README image Balsam Optimization

Balsam.Optimization provides portfolio optimization routines based on a netstandard2.0 port of the long since discontinued Microsoft Solver Foundation.

This library is not actively maintained. For optimizing trading strategy parameters, see the optimization classes built into the Balsam.Backtester library itself.

Usage

var server = new CsiBarServer(@"c:\data\csi");
var data = server.LoadSymbols("ES", "US", "GC");
var opt = new MaxSharpeOptimization();
var results = opt.Solve(data.Select(x => x.PercentChange()));
Console.WriteLine(results);

Output

===Solver Foundation Service Report===
Date: 6/13/2025 3:10:27 PM
Version: Microsoft Solver Foundation 3.0.2.10889 Express Edition
Model Name: MaxSharpe
Capabilities Applied: NLP
Solve Time (ms): 60
Total Time (ms): 87
Solve Completion Status: LocalOptimal
Solver Selected: Microsoft.SolverFoundation.Solvers.HybridLocalSearchSolver
===Solution Details===
Goals:
Sharpe: 0.04525527614879199

===Portfolio Weights===
ES   31.39%
GC   12.61%
US   56.00%

About

The Balsam.Backtester is a suite of tools designed for rapid prototyping and testing of systematic trading strategies. It can run simple event studies to quantify market "edges" all the way to full blown multi-currency, multi-timeframe, multi-strategy portfolio simulations. Check out the documentation here.

Balsam Research, LLC

Balsam Research is an independent consulting firm offering custom solutions for systematic investors. We have extensive experience automating investment processes and running real-time systematic investment programs including fully automated futures trading systems. Contact us to learn more.

Product Compatible and additional computed target framework versions.
.NET net5.0 was computed.  net5.0-windows was computed.  net6.0 was computed.  net6.0-android was computed.  net6.0-ios was computed.  net6.0-maccatalyst was computed.  net6.0-macos was computed.  net6.0-tvos was computed.  net6.0-windows was computed.  net7.0 was computed.  net7.0-android was computed.  net7.0-ios was computed.  net7.0-maccatalyst was computed.  net7.0-macos was computed.  net7.0-tvos was computed.  net7.0-windows was computed.  net8.0 is compatible.  net8.0-android was computed.  net8.0-browser was computed.  net8.0-ios was computed.  net8.0-maccatalyst was computed.  net8.0-macos was computed.  net8.0-tvos was computed.  net8.0-windows was computed.  net9.0 was computed.  net9.0-android was computed.  net9.0-browser was computed.  net9.0-ios was computed.  net9.0-maccatalyst was computed.  net9.0-macos was computed.  net9.0-tvos was computed.  net9.0-windows was computed.  net10.0 was computed.  net10.0-android was computed.  net10.0-browser was computed.  net10.0-ios was computed.  net10.0-maccatalyst was computed.  net10.0-macos was computed.  net10.0-tvos was computed.  net10.0-windows was computed. 
.NET Core netcoreapp2.0 was computed.  netcoreapp2.1 was computed.  netcoreapp2.2 was computed.  netcoreapp3.0 was computed.  netcoreapp3.1 was computed. 
.NET Standard netstandard2.0 is compatible.  netstandard2.1 was computed. 
.NET Framework net461 was computed.  net462 is compatible.  net463 was computed.  net47 was computed.  net471 was computed.  net472 was computed.  net48 was computed.  net481 was computed. 
MonoAndroid monoandroid was computed. 
MonoMac monomac was computed. 
MonoTouch monotouch was computed. 
Tizen tizen40 was computed.  tizen60 was computed. 
Xamarin.iOS xamarinios was computed. 
Xamarin.Mac xamarinmac was computed. 
Xamarin.TVOS xamarintvos was computed. 
Xamarin.WatchOS xamarinwatchos was computed. 
Compatible target framework(s)
Included target framework(s) (in package)
Learn more about Target Frameworks and .NET Standard.

NuGet packages

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Version Downloads Last Updated
1.1.2 14 8/20/2025
1.1.1 84 8/15/2025