/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 07);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
maxHigh = new Maximum("MaxHigh", _period);
minLow = new Minimum("MinLow", _period);
value1 = new RollingWindow<IndicatorDataPoint>(_period);
fish = new RollingWindow<IndicatorDataPoint>(_period);
//wma = new LinearWeightedMovingAverage(5); // induces 2 bar lag
//wwma = new RollingWindow<IndicatorDataPoint>(_period);
//fishHigh = new Maximum("FishHigh", 400);
//fishLow = new Minimum("FishLow", 400);
fx = new FisherTransform(_symbol,_period);
//fx = FT(_symbol, _period, Resolution.Minute);
// Add a bars to initialize the RollingWindow
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
public void ComputesCorrectly()
{
var max = new Maximum(3);
var reference = DateTime.MinValue;
max.Update(reference.AddDays(1), 1m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(0, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(2), -1m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(1, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(3), 0m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(2, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(4), -2m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(3, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(5), -2m);
Assert.AreEqual(0m, max.Current.Value);
Assert.AreEqual(2, max.PeriodsSinceMaximum);
}
/// <summary>
/// Creates a new Stochastics Indicator from the specified periods.
/// </summary>
/// <param name="name">The name of this indicator.</param>
/// <param name="period">The period given to calculate the Fast %K</param>
/// <param name="kPeriod">The K period given to calculated the Slow %K</param>
/// <param name="dPeriod">The D period given to calculated the Slow %D</param>
public Stochastic(string name, int period, int kPeriod, int dPeriod)
: base(name)
{
Maximum = new Maximum(name + "_Max", period);
Mininum = new Minimum(name + "_Min", period);
SumFastK = new Sum(name + "_SumFastK", kPeriod);
SumSlowK = new Sum(name + "_SumD", dPeriod);
FastStoch = new FunctionalIndicator<TradeBar>(name + "_FastStoch",
input => ComputeFastStoch(period, input),
fastStoch => Maximum.IsReady,
() => Maximum.Reset()
);
StochK = new FunctionalIndicator<TradeBar>(name + "_StochK",
input => ComputeStochK(period, kPeriod, input),
stochK => Maximum.IsReady,
() => Maximum.Reset()
);
StochD = new FunctionalIndicator<TradeBar>(name + "_StochD",
input => ComputeStochD(period, kPeriod, dPeriod),
stochD => Maximum.IsReady,
() => Maximum.Reset()
);
}
/// <summary>
/// Initializes a new instance of the <see cref="MidPrice"/> class using the specified name and period.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the MIDPRICE</param>
public MidPrice(string name, int period)
: base(name)
{
_period = period;
_maximum = new Maximum(period);
_minimum = new Minimum(period);
}
public void ComputesCorrectly2()
{
const int period = 5;
var max = new Maximum(period);
Assert.AreEqual(0m, max.Current.Value);
// test an increasing stream of data
for (int i = 0; i < period; i++)
{
max.Update(DateTime.Now.AddDays(1), i);
Assert.AreEqual(i, max.Current.Value);
Assert.AreEqual(0, max.PeriodsSinceMaximum);
}
// test a decreasing stream of data
for (int i = 0; i <= period; i++)
{
max.Update(DateTime.Now.AddDays(period + i), period - i - 1);
Assert.AreEqual(period - 1, max.Current.Value);
Assert.AreEqual(i, max.PeriodsSinceMaximum);
}
Assert.AreEqual(max.Period, max.PeriodsSinceMaximum);
}
/// <summary>
/// A Fisher Transform of Prices
/// </summary>
/// <param name="name">string - the name of the indicator</param>
/// <param name="period">The number of periods for the indicator</param>
public FisherTransform(string name, int period)
: base(name)
{
_alpha = .33;
// Initialize the local variables
_medianMax = new Maximum("MedianMax", period);
_medianMin = new Minimum("MedianMin", period);
}
private void TextBox_LostFocus(object Sender, RoutedEventArgs E)
{
if (!IsNumeric)
{
return;
}
double floatValue;
bool badEntry;
if (String.IsNullOrWhiteSpace(Text))
{
Text = m_OldText;
}
if (IsFloat)
{
badEntry =
!double.TryParse(Text, NumberStyles.Number | NumberStyles.AllowDecimalPoint,
CultureInfo.InvariantCulture, out floatValue);
}
else
{
int value;
badEntry =
!int.TryParse(Text, NumberStyles.Number | NumberStyles.AllowDecimalPoint,
CultureInfo.InvariantCulture, out value);
floatValue = value;
}
if (!badEntry)
{
if (floatValue > Maximum)
{
Text = Maximum.ToString(CultureInfo.InvariantCulture);
Select(Text.Length, 0);
}
else if (floatValue < Minimum)
{
Text = Minimum.ToString(CultureInfo.InvariantCulture);
Select(Text.Length, 0);
}
else
{
Text = floatValue.ToString(CultureInfo.InvariantCulture);
Select(Text.Length, 0);
}
}
else
{
Text = m_OldText;
}
}
public string ToString(string format)
{
var value = (Minimum == DateTime.MinValue ? String.Empty : Minimum.ToString(format)) + "-"
+ (Maximum == DateTime.MaxValue ? String.Empty : Maximum.ToString(format));
if (value == "-")
{
return(String.Empty);
}
return(value);
}
private SizeF LabelSize(Graphics g)
{
SizeF v = g.MeasureString(Value.ToString(_numberFormat), Font);
SizeF max = g.MeasureString(Maximum.ToString(_numberFormat), Font);
SizeF min = g.MeasureString(Maximum.ToString(_numberFormat), Font);
SizeF result = v;
result.Height = Math.Max(Math.Max(v.Height, max.Height), min.Height);
result.Width = Math.Max(Math.Max(v.Width, max.Width), min.Width);
return(result);
}
protected override double Execute(IGameState gameState)
{
var min = Minimum.Evaluate(gameState);
var max = Maximum.Evaluate(gameState);
if (Condition.Evaluate(gameState))
{
_value = (_random.NextDouble() * (max - min) + min);
}
return(_value);
}
public void ResetsProperly()
{
var max = new Maximum(3);
max.Update(DateTime.Today, 1m);
max.Update(DateTime.Today.AddSeconds(1), 2m);
max.Update(DateTime.Today.AddSeconds(2), 1m);
Assert.IsTrue(max.IsReady);
max.Reset();
Assert.AreEqual(0, max.PeriodsSinceMaximum);
TestHelper.AssertIndicatorIsInDefaultState(max);
}
public bool Equals(Value other)
{
if (ReferenceEquals(null, other))
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return(Maximum.Equals(other.Maximum) && Actual.Equals(other.Actual));
}
/// <summary>
/// Serializes content to the writer
/// </summary>
public void ToBinary(IBinaryRawWriter writer)
{
writer.WriteDouble(Station);
writer.WriteInt(Offsets.Count);
foreach (var offset in Offsets)
{
offset.ToBinary(writer);
}
Minimum.ToBinary(writer);
Maximum.ToBinary(writer);
Average.ToBinary(writer);
}
public override int GetHashCode()
{
unchecked
{
int hash = 17;
hash = hash * 29 + Minimum.GetHashCode();
hash = hash * 29 + Maximum.GetHashCode();
hash = hash * 29 + IsMinimumOpen.GetHashCode();
hash = hash * 29 + IsMaximumOpen.GetHashCode();
return(hash);
}
}
public void Write(BinaryWriter writer)
{
writer.Write(Station);
writer.Write(Offsets.Count);
foreach (var offset in Offsets)
{
offset.Write(writer);
}
Minimum.Write(writer);
Maximum.Write(writer);
Average.Write(writer);
}
protected override void OnRender(int x, int y, int width, int height)
{
_btnW = System.Math.Max(_font.CharWidth('-'), _font.CharWidth('+')) + 8;
int txtY = _h / 2 - _font.Height / 2;
// Draw Shadow
Core.Screen.DrawRectangle(Colors.White, 1, Left + 1, Top + 1, Width - 1, Height - 1, 1, 1, 0, 0, 0, 0, 0, 0, 0);
// Draw Border
Core.Screen.DrawRectangle((Focused) ? Core.SystemColors.SelectionColor : Core.SystemColors.BorderColor, 1,
Left, Top, Width - 1, Height - 1, 1, 1, 0, 0, 0, 0, 0, 0, 0);
// Draw Minus Button
if (Enabled)
{
Core.Screen.DrawRectangle(0, 0, Left + 1, Top + 1, _btnW, Height - 3, 0, 0, _btnTop, Left, Top, _btnBtm, Left, Top + Height, 256);
Core.Screen.DrawTextInRect("-", Left + 2, Top + txtY + 1, _btnW, _font.Height, Bitmap.DT_AlignmentCenter, _btnTxtShd, _font);
}
else
{
Core.Screen.DrawRectangle(0, 0, Left + 1, Top + 1, _btnW, Height - 3, 0, 0, _btnTop, Left, Top, _btnTop, Left, Top + Height, 256);
}
Core.Screen.DrawTextInRect("-", Left + 1, Top + txtY, _btnW, _font.Height, Bitmap.DT_AlignmentCenter, _btnTxt, _font);
// Draw Number
Core.Screen.DrawRectangle((Focused) ? Core.SystemColors.SelectionColor : Core.SystemColors.BorderColor, 1,
Left + _btnW + 1, Top, Width - _btnW - _btnW - 3, Height - 1, 0, 0, _bkgTop, Left, Top, (Enabled) ? _bkgBtm : _bkgTop,
Left, Top + Height, 256);
Core.Screen.DrawTextInRect(IntToNString(Value, Maximum.ToString().Length), Left + _btnW + 4, Top + txtY,
Width - _btnW - _btnW - 9, Height - 1, Bitmap.DT_AlignmentRight, (Enabled) ? _fore : _disabled, _font);
// Draw Minus Button
Core.Screen.DrawRectangle(0, 0, Left + Width - _btnW - 2, Top + 1, _btnW, Height - 3, 0, 0, _btnTop, Left, Top,
(Enabled) ? _btnBtm : _btnTop, Left, Top + Height, 256);
if (Enabled)
{
Core.Screen.DrawTextInRect("+", Left + Width - _btnW - 1, Top + txtY + 1, _btnW, _font.Height, Bitmap.DT_AlignmentCenter,
_btnTxtShd, _font);
}
Core.Screen.DrawTextInRect("+", Left + Width - _btnW - 2, Top + txtY, _btnW, _font.Height, Bitmap.DT_AlignmentCenter, _btnTxt, _font);
if (Focused)
{
Core.Screen.DrawRectangle(0, 0, x + 1, y + 1, width - 3, 1, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 90);
Core.Screen.DrawRectangle(0, 0, x + 1, y + height - 3, width - 3, 1, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 90);
Core.Screen.DrawRectangle(0, 0, x + 1, y + 2, 1, height - 5, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 90);
Core.Screen.DrawRectangle(0, 0, x + width - 3, y + 2, 1, height - 5, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 90);
Core.Screen.DrawRectangle(0, 0, x + 2, y + 2, width - 5, 1, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 40);
Core.Screen.DrawRectangle(0, 0, x + 2, y + height - 4, width - 5, 1, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 40);
Core.Screen.DrawRectangle(0, 0, x + 2, y + 4, 1, height - 7, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 40);
Core.Screen.DrawRectangle(0, 0, x + width - 4, y + 3, 1, height - 7, 0, 0, Core.SystemColors.SelectionColor, 0, 0, Core.SystemColors.SelectionColor, 0, 0, 40);
}
}
public int CompareTo(T item)
{
if (Minimum.CompareTo(item) > 0)
{
return(-1);
}
if (Maximum.CompareTo(item) < 0)
{
return(1);
}
return(0);
}
public void RecordAllTimeHighEvent(Symbol symbol, int period, Resolution?res, Func <IBaseData, decimal> selectorHigh = null, Func <IBaseData, decimal> selectorLowOfHigh = null)
{
Maximum allTimeHigh = SetAllTimeHigh(symbol, period, res, selectorHigh);
Maximum allTimeHighLow = SetAllTimeHighLow(symbol, period, res, selectorLowOfHigh);
HistoricalHigh newHistoricalHigh = new HistoricalHigh();
newHistoricalHigh.ath = allTimeHigh;
newHistoricalHigh.aLth = allTimeHighLow;
newHistoricalHigh.count = historicalHighs.Count;
historicalHighs.Add(newHistoricalHigh);
}
public void ResetsProperlyMaximum()
{
var max = new Maximum(3);
max.Update(DateTime.Today, 1m);
max.Update(DateTime.Today.AddSeconds(1), 2m);
max.Update(DateTime.Today.AddSeconds(2), 1m);
Assert.IsTrue(max.IsReady);
max.Reset();
Assert.AreEqual(0, max.PeriodsSinceMaximum);
TestHelper.AssertIndicatorIsInDefaultState(max);
}
public Maximum MAX(Symbol symbol, int period, TimeSpan interval, Func <TradeBar, decimal> selector = null)
{
var max = new Maximum(symbol.ToString() + "_MAX_" + period + "_" + interval.ToString(), period);
// assign a default value for the selector function
if (selector == null)
{
selector = x => x.High;
}
RegisterIndicator(symbol, max, interval, selector);
return(max);
}
/// <summary>
/// Indicates whether this instance and a specified envelope are equal.
/// </summary>
/// <param name="another">The envelope to compare with this instance.</param>
/// <returns><c>true</c> if <paramref name="another" /> and this instance represent the same value; otherwise, <c>false</c>.</returns>
public Boolean Equals(Envelope another)
{
if (ReferenceEquals(null, another))
{
return(false);
}
if (ReferenceEquals(this, another))
{
return(true);
}
return(Minimum.Equals(another.Minimum) && Maximum.Equals(another.Maximum));
}
private Layer ConvertMaximum(tflite.Operator op)
{
var inputs = op.GetInputsArray();
var inputA = _graph.Tensors(inputs[0]).Value;
var inputB = _graph.Tensors(inputs[1]).Value;
var layer = new Maximum(inputA.GetShapeArray().ToNCHW(), inputB.GetShapeArray().ToNCHW());
_inputs.Add(layer.InputA, inputs[0]);
_inputs.Add(layer.InputB, inputs[1]);
_outputs.Add(op.Outputs(0), layer.Output);
return(layer);
}
private void CopyTo(Movement r, int cloneFlags)
{
r.easing_ = easing_?.Clone(cloneFlags);
if (!Bits.IsSet(cloneFlags, Utilities.CloneZero))
{
r.Minimum = Minimum?.Clone(cloneFlags);
r.Maximum = Maximum?.Clone(cloneFlags);
}
r.magnitude_ = 0;
r.forwards_ = true;
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//Initialize dates
SetStartDate(2015, 6, 15);
SetEndDate(2015, 6, 15);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
#region "Init indicators"
Price = new RollingWindow <IndicatorDataPoint>(samplesize);
ema = new RollingWindow <IndicatorDataPoint>(samplesize);
zema = new RollingWindow <IndicatorDataPoint>(samplesize);
OptimalValue1 = new RollingWindow <IndicatorDataPoint>(samplesize);
OmtimalValue2 = new RollingWindow <IndicatorDataPoint>(samplesize);
OptimalTrackingFilter = new RollingWindow <IndicatorDataPoint>(samplesize);
lambda = new RollingWindow <IndicatorDataPoint>(samplesize);
alpha = new RollingWindow <IndicatorDataPoint>(samplesize);
priceOptimalDiff = new RollingWindow <IndicatorDataPoint>(samplesize);
priceOptimalSign = new RollingWindow <IndicatorDataPoint>(samplesize);
priceOptimalCross = new RollingWindow <IndicatorDataPoint>(samplesize);
fudge = new RollingWindow <IndicatorDataPoint>(samplesize);
instantTrend = new RollingWindow <IndicatorDataPoint>(samplesize);
instantTrendTrigger = new RollingWindow <IndicatorDataPoint>(samplesize);
cyberCycle = new RollingWindow <IndicatorDataPoint>(samplesize);
centerGravity = new RollingWindow <IndicatorDataPoint>(samplesize);
cyberCycleSmooth = new RollingWindow <IndicatorDataPoint>(samplesize);
rvi = new RelativeVigorIndex(8);
rviHistory = new RollingWindow <IndicatorDataPoint>(samplesize);
stochCenterGravityValue1 = new RollingWindow <IndicatorDataPoint>(8);
stochCenterGravityValue2 = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleValue1 = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleValue2 = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleInverseFisher = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleFisher = new RollingWindow <IndicatorDataPoint>(8);
stochRviHistoryValue1 = new RollingWindow <IndicatorDataPoint>(8);
stochRviHistoryValue2 = new RollingWindow <IndicatorDataPoint>(8);
ROC = new RateOfChange(4);
maxCyberCycle = new Maximum(8);
minCyberCycle = new Minimum(8);
#endregion
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
string msg = "Security,Date,Day Profit,Day Fees, Day Net, Total Profit, Total Fees";
mylog.Debug(msg);
mylog.Debug(tradeheader);
}
} //最近成交价
public SymbolData(Symbol symbol, Turtle algorithm)
{
Symbol = symbol;
Security = algorithm.Securities[symbol];
Position = 0;
LastFillPrice = -1;
Close = algorithm.Identity(symbol);
EMA = algorithm.EMA(symbol, NUMDAYAVG, TimeSpan.FromDays(1));
MAX = algorithm.MAX(symbol, NUMDAYMAX, TimeSpan.FromDays(1));
MIN = algorithm.MIN(symbol, NUMDAYMIN, TimeSpan.FromDays(1));
_algorithm = algorithm;
}
public override bool Equals(object other)
{
if (other == null)
{
return(false);
}
if (!(other is Interval))
{
return(false);
}
return(Minimum.Equals(((Interval)other).Minimum) && Maximum.Equals(((Interval)other).Maximum));
}
public override int GetHashCode()
{
int hashCode = 205049560;
hashCode = hashCode * -1521134295 + Transform.GetHashCode();
hashCode = hashCode * -1521134295 + Material.GetHashCode();
hashCode = hashCode * -1521134295 + SavedRay.GetHashCode();
hashCode = hashCode * -1521134295 + Parent.GetHashCode();
hashCode = hashCode * -1521134295 + HasParent.GetHashCode();
hashCode = hashCode * -1521134295 + Maximum.GetHashCode();
hashCode = hashCode * -1521134295 + Minimum.GetHashCode();
hashCode = hashCode * -1521134295 + Closed.GetHashCode();
return(hashCode);
}
public void OnAllUpdatedOnce_Count2_Properties1()
{
var input = new Identity("Source");
var max1 = new Maximum(3).Of(input);
var max2 = new Maximum(3).Of(input);
var a = Concat.OnAllUpdatedOnce(new IUpdatable[] { max1, max2 });
input.Feed(10, 1, 0.1);
a.Current.Count.Should().Be(2);
a.Current.Properties.Should().Be(1);
}
/// <summary>
/// Updates the maximum value in the range if the proposed value is greater than the current maximum value.
/// </summary>
/// <param name="proposedMax">New candidate value for the maximum.</param>
public void UpdateMaximum(T proposedMax)
{
if (_maxValid)
{
if (Maximum.CompareTo(proposedMax) < 0)
{
Maximum = proposedMax;
}
}
else
{
Maximum = proposedMax;
}
}
protected override void UpdateElementsLayout()
{
_elems[0].Bounds = new Rectangle(0, 0, this.Width, SystemInformation.VerticalScrollBarWidth);
_elems[1].Bounds = Rectangle.FromLTRB(0,
this.Height - _elems[0].Bounds.Height, this.Width, this.Height);
_elems[2].Bounds.Width = this.Width;
using (Graphics gr = this.CreateGraphics()) {
float height = Math.Max(
gr.MeasureString(Maximum.ToString(), base.Font).Width,
gr.MeasureString(Minimum.ToString(), base.Font).Width) + 4f;
_elems[2].Bounds.Height = (int)height;
}
UpdateTrackerPosition();
}
/// <summary>
/// Returns a string representation for this <see cref="CustomProgressBar" />.
/// </summary>
/// <returns>A <see cref="string" /> that describes this control.</returns>
public override string ToString()
{
System.Text.StringBuilder builder = new System.Text.StringBuilder();
builder.Append(GetType().FullName);
builder.Append(", Minimum: ");
builder.Append(Minimum.ToString(CultureInfo.CurrentCulture));
builder.Append(", Maximum: ");
builder.Append(Maximum.ToString(CultureInfo.CurrentCulture));
builder.Append(", Value: ");
builder.Append(Value.ToString(CultureInfo.CurrentCulture));
return(builder.ToString());
}
/// <summary>
/// Creates a new AroonOscillator from the specified up/down periods.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="upPeriod">The lookback period to determine the highest high for the AroonDown</param>
/// <param name="downPeriod">The lookback period to determine the lowest low for the AroonUp</param>
public AroonOscillator(string name, int upPeriod, int downPeriod)
: base(name)
{
var max = new Maximum(name + "_Max", upPeriod);
AroonUp = new FunctionalIndicator<IndicatorDataPoint>(name + "_AroonUp",
input => ComputeAroonUp(upPeriod, max, input),
aroonUp => max.IsReady
);
var min = new Minimum(name + "_Min", downPeriod);
AroonDown = new FunctionalIndicator<IndicatorDataPoint>(name + "_AroonDown",
input => ComputeAroonDown(downPeriod, min, input),
aroonDown => min.IsReady
);
}
protected override void OnTextBoxTextChanged(object source, EventArgs e)
{
TextBox textBox = source as TextBox;
int val = 0;
NextDigitClears = false;
if (int.TryParse(textBox.Text, out val))
{
textBox.Text = val.ToString("D" + Maximum.ToString().Length);
}
else
{
base.OnTextBoxTextChanged(source, e);
}
}
public void UseCase1()
{
var input = new Identity("Source");
var ema = new ExponentialMovingAverage(12).Of(input);
var max1 = new Maximum(6).Of(ema);
var max2 = new Maximum(12).Of(ema);
var max3 = new Maximum(24).Of(ema);
var a = Concat.OnAllUpdatedOnce(new IUpdatable[] { max1, max2 });
var b = Concat.OnAllUpdatedOnce(new IUpdatable[] { max2, max3, max3 });
var finalCruncher = Concat.OnAllUpdatedOnce(new IUpdatable[] { a, b });
input.FeedTradeBar(200, 1, 0.1);
Console.WriteLine(finalCruncher.Samples);
}
public void OnAllUpdatedOnce_Count2_Properties5()
{
var input = new Identity("Source");
var max1 = new Maximum(3).Of(input);
var max2 = new Maximum(3).Of(input);
var a = Concat.OnAllUpdatedOnce(new IUpdatable[] { max1, max2 });
var ba = Concat.OnAllUpdatedOnce(new IUpdatable[] { max1, max2, a }, name: "Target");
input.FeedTradeBar(10, 1, 0.1);
input.Update(ba.CurrentTime + 1000, 100d);
ba.Current.Count.Should().Be(4);
ba.Current.Properties.Should().Be(1);
ba.Current.AsDoubleSpan.ToArray().Should().AllBeEquivalentTo(100d);
}
/// <summary>Value, Minimum, Maximum, SmallChange, LargeChange and TickFrequency are compared.</summary>
public override bool Equals(object obj)
{
if (obj == null || (this.GetType() != obj.GetType()))
{
return(false);
}
try
{
var objAsT = (RangedRangeType <T>)obj;
if (From.Equals(objAsT.From))
{
return(false);
}
if (To.Equals(objAsT.To))
{
return(false);
}
if (Minimum.Equals(objAsT.Minimum))
{
return(false);
}
if (Maximum.Equals(objAsT.Maximum))
{
return(false);
}
if (SmallChange.Equals(objAsT.SmallChange))
{
return(false);
}
if (LargeChange.Equals(objAsT.LargeChange))
{
return(false);
}
if (TickFrequency.Equals(objAsT.TickFrequency))
{
return(false);
}
return(true);
}
catch (Exception ex)
{
if (CanRaiseDebbugerBreak)
{
Debugger.Break(); Console.WriteLine(ex.Message);
}
return(false);
}
}
public string ToString(IFormatProvider format)
{
StringBuilder sb = new StringBuilder();
sb.AppendFormat("{0}: {1}\r\n", nameof(Minimum), Minimum.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Maximum), Maximum.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Range), Range.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Median), Median.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Mode), Mode.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Sum), Sum.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Average), Average.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(RootMeanSquare), RootMeanSquare.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(Variance), Variance.ToString(format));
sb.AppendFormat("{0}: {1}\r\n", nameof(StandardDeviation), StandardDeviation.ToString(format));
return(sb.ToString());
}
public void TimeAdvancesWithDataToOnlyOneSide()
{
var left = new Maximum("left", 2);
var right = new Minimum("right", 2);
var composite = new CompositeIndicator <IndicatorDataPoint>(left, right, (l, r) => l.Current.Value + r.Current.Value);
Assert.AreEqual(DateTime.MinValue, composite.Current.Time);
left.Update(Today, 1m);
Assert.AreEqual(Today, composite.Current.Time);
left.Update(Today.AddDays(1), -1m);
Assert.AreEqual(Today.AddDays(1), composite.Current.Time);
}
public void ResetsProperly() {
var left = new Maximum("left", 2);
var right = new Minimum("right", 2);
var composite = new CompositeIndicator<IndicatorDataPoint>(left, right, (l, r) => l + r);
left.Update(DateTime.Today, 1m);
right.Update(DateTime.Today,-1m);
left.Update(DateTime.Today.AddDays(1), -1m);
right.Update(DateTime.Today.AddDays(1), 1m);
Assert.AreEqual(left.PeriodsSinceMaximum, 1);
Assert.AreEqual(right.PeriodsSinceMinimum, 1);
composite.Reset();
TestHelper.AssertIndicatorIsInDefaultState(composite);
TestHelper.AssertIndicatorIsInDefaultState(left);
TestHelper.AssertIndicatorIsInDefaultState(right);
Assert.AreEqual(left.PeriodsSinceMaximum, 0);
Assert.AreEqual(right.PeriodsSinceMinimum, 0);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List<OrderTransaction>();
var days = _endDate.Subtract(_startDate).TotalDays;
MaxDailyProfit = new Maximum("MaxDailyProfit", (int)days);
MinDailyProfit = new Minimum("MinDailyProfit", (int)days);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
//AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Initialize the Symbol indexed dictionaries
foreach (string s in Symbols)
{
AddSecurity(SecurityType.Equity, s, Resolution.Minute);
Strategy.Add(symbol, new MultiITStrategy(s, ITrendPeriod, this));
Tickets.Add(s, new List<OrderTicket>());
// Equal portfolio shares for every stock.
ShareSize.Add(s, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
LastOrderSent.Add(s, OrderSignal.doNothing);
#region Logging stuff - Initializing Stock Logging
//stockLogging.Add(new StringBuilder());
//stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
// "Momentum, EntryPrice, Signal," +
// "TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
// "StateFromStrategy, StateFromPorfolio, Portfolio Value");
//i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Indicators
Price = new RollingWindow<IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .25m);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
// Initialize the lists for the strategies
trendList = new Dictionary<int, InstantaneousTrend>();
trendHistoryList = new Dictionary<int, RollingWindow<IndicatorDataPoint>>();
strategyList = new Dictionary<int, MultiITStrategy>();
entryPriceList = new Dictionary<int, decimal>();
int listIndex = 0;
for (decimal d = .25m; d < .26m; d += .01m)
{
trendList.Add(listIndex, new InstantaneousTrend("ITrend_" + d, 7, d)); // eg ITrend.25, period 7, alpha .25
trendHistoryList.Add(listIndex, new RollingWindow<IndicatorDataPoint>(4));
strategyList.Add(listIndex, new MultiITStrategy(symbol, 7, this));
entryPriceList.Add(listIndex, 0);
listIndex++;
}
#endregion
#region Proforma
_brokerSimulator = new BrokerSimulator(this);
#endregion
}
/// <summary>
/// Creates a new IchimokuKinkoHyo indicator from the specific periods
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="tenkanPeriod">The Tenkan-sen period</param>
/// <param name="kijunPeriod">The Kijun-sen period</param>
/// <param name="senkouAPeriod">The Senkou A Span period</param>
/// <param name="senkouBPeriod">The Senkou B Span period</param>
/// <param name="senkouADelayPeriod">The Senkou A Span delay</param>
/// <param name="senkouBDelayPeriod">The Senkou B Span delay</param>
public IchimokuKinkoHyo(string name, int tenkanPeriod = 9, int kijunPeriod = 26, int senkouAPeriod = 26, int senkouBPeriod = 52, int senkouADelayPeriod = 26, int senkouBDelayPeriod = 26)
: base(name)
{
TenkanMaximum = new Maximum(name + "_TenkanMax", tenkanPeriod);
TenkanMinimum = new Minimum(name + "_TenkanMin", tenkanPeriod);
KijunMaximum = new Maximum(name + "_KijunMax", kijunPeriod);
KijunMinimum = new Minimum(name + "_KijunMin", kijunPeriod);
SenkouBMaximum = new Maximum(name + "_SenkouBMaximum", senkouBPeriod);
SenkouBMinimum = new Minimum(name + "_SenkouBMinimum", senkouBPeriod);
DelayedTenkanSenkouA = new Delay(name + "DelayedTenkan", senkouADelayPeriod);
DelayedKijunSenkouA = new Delay(name + "DelayedKijun", senkouADelayPeriod);
DelayedMaximumSenkouB = new Delay(name + "DelayedMax", senkouBDelayPeriod);
DelayedMinimumSenkouB = new Delay(name + "DelayedMin", senkouBDelayPeriod);
SenkouA = new FunctionalIndicator<TradeBar>(
name + "_SenkouA",
input => computeSenkouA(senkouAPeriod, input),
senkouA => DelayedTenkanSenkouA.IsReady && DelayedKijunSenkouA.IsReady,
() =>
{
Tenkan.Reset();
Kijun.Reset();
});
SenkouB = new FunctionalIndicator<TradeBar>(
name + "_SenkouB",
input => computeSenkouB(senkouBPeriod, input),
senkouA => DelayedMaximumSenkouB.IsReady && DelayedMinimumSenkouB.IsReady,
() =>
{
Tenkan.Reset();
Kijun.Reset();
});
Tenkan = new FunctionalIndicator<TradeBar>(
name + "_Tenkan",
input => ComputeTenkan(tenkanPeriod, input),
tenkan => TenkanMaximum.IsReady && TenkanMinimum.IsReady,
() =>
{
TenkanMaximum.Reset();
TenkanMinimum.Reset();
});
Kijun = new FunctionalIndicator<TradeBar>(
name + "_Kijun",
input => ComputeKijun(kijunPeriod, input),
kijun => KijunMaximum.IsReady && KijunMinimum.IsReady,
() =>
{
KijunMaximum.Reset();
KijunMinimum.Reset();
});
}
/// <summary>
/// Initializes a new instance of the <see cref="DonchianChannel"/> class.
/// </summary>
/// <param name="name">The name.</param>
/// <param name="upperPeriod">The period for the upper channel.</param>
/// <param name="lowerPeriod">The period for the lower channel</param>
public DonchianChannel(string name, int upperPeriod, int lowerPeriod)
: base(name)
{
UpperBand = new Maximum(name + "_UpperBand", upperPeriod);
LowerBand = new Minimum(name + "_LowerBand", lowerPeriod);
}
/// <summary>
/// Creates a new Williams %R.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The lookback period to determine the highest high for the AroonDown</param>
public WilliamsPercentR(string name, int period)
: base(name)
{
Maximum = new Maximum(name + "_Max", period);
Minimum = new Minimum(name + "_Min", period);
}
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
//Add the Custom Data:
AddData<Bitcoin>("BTC");
//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
EMA = EMA(_symbol, 14, Resolution.Daily),
SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
AROON = AROON(_symbol, 20, Resolution.Daily),
MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP = MOMP(_symbol, 20, Resolution.Daily),
STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//Initialize dates
SetStartDate(2015, 6, 15);
SetEndDate(2015, 6, 15);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
#region "Init indicators"
Price = new RollingWindow<IndicatorDataPoint>(samplesize);
ema = new RollingWindow<IndicatorDataPoint>(samplesize);
zema = new RollingWindow<IndicatorDataPoint>(samplesize);
OptimalValue1 = new RollingWindow<IndicatorDataPoint>(samplesize);
OmtimalValue2 = new RollingWindow<IndicatorDataPoint>(samplesize);
OptimalTrackingFilter = new RollingWindow<IndicatorDataPoint>(samplesize);
lambda = new RollingWindow<IndicatorDataPoint>(samplesize);
alpha = new RollingWindow<IndicatorDataPoint>(samplesize);
priceOptimalDiff = new RollingWindow<IndicatorDataPoint>(samplesize);
priceOptimalSign = new RollingWindow<IndicatorDataPoint>(samplesize);
priceOptimalCross = new RollingWindow<IndicatorDataPoint>(samplesize);
fudge = new RollingWindow<IndicatorDataPoint>(samplesize);
instantTrend = new RollingWindow<IndicatorDataPoint>(samplesize);
instantTrendTrigger = new RollingWindow<IndicatorDataPoint>(samplesize);
cyberCycle = new RollingWindow<IndicatorDataPoint>(samplesize);
centerGravity = new RollingWindow<IndicatorDataPoint>(samplesize);
cyberCycleSmooth = new RollingWindow<IndicatorDataPoint>(samplesize);
rvi = new RelativeVigorIndex(8);
rviHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
stochCenterGravityValue1 = new RollingWindow<IndicatorDataPoint>(8);
stochCenterGravityValue2 = new RollingWindow<IndicatorDataPoint>(8);
stochCyberCycleValue1 = new RollingWindow<IndicatorDataPoint>(8);
stochCyberCycleValue2 = new RollingWindow<IndicatorDataPoint>(8);
stochCyberCycleInverseFisher = new RollingWindow<IndicatorDataPoint>(8);
stochCyberCycleFisher = new RollingWindow<IndicatorDataPoint>(8);
stochRviHistoryValue1 = new RollingWindow<IndicatorDataPoint>(8);
stochRviHistoryValue2 = new RollingWindow<IndicatorDataPoint>(8);
ROC = new RateOfChange(4);
maxCyberCycle = new Maximum(8);
minCyberCycle = new Minimum(8);
#endregion
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
string msg = "Security,Date,Day Profit,Day Fees, Day Net, Total Profit, Total Fees";
mylog.Debug(msg);
mylog.Debug(tradeheader);
}
public static void Main(string[] args)
{
AppDomain.CurrentDomain.UnhandledException += new UnhandledExceptionEventHandler(MyMediaLite.Util.Handlers.UnhandledExceptionHandler);
Console.CancelKeyPress += new ConsoleCancelEventHandler(AbortHandler);
// recommender arguments
string method = null;
string recommender_options = string.Empty;
// help/version
bool show_help = false;
bool show_version = false;
// variables for iteration search
int max_iter = 500;
double cutoff = 0;
double epsilon = 0;
string measure = "AUC";
compute_fit = false;
// other parameters
test_ratio = 0;
num_test_users = -1;
repeat_eval = false;
var p = new OptionSet() {
// string-valued options
{ "training-file=", v => training_file = v },
{ "test-file=", v => test_file = v },
{ "recommender=", v => method = v },
{ "group-recommender=", v => group_method = v },
{ "recommender-options=", v => recommender_options += " " + v },
{ "data-dir=", v => data_dir = v },
{ "user-attributes=", v => user_attributes_file = v },
{ "item-attributes=", v => item_attributes_file = v },
{ "user-relations=", v => user_relations_file = v },
{ "item-relations=", v => item_relations_file = v },
{ "save-model=", v => save_model_file = v },
{ "load-model=", v => load_model_file = v },
{ "save-user-mapping=", v => save_user_mapping_file = v },
{ "save-item-mapping=", v => save_item_mapping_file = v },
{ "load-user-mapping=", v => load_user_mapping_file = v },
{ "load-item-mapping=", v => load_item_mapping_file = v },
{ "prediction-file=", v => prediction_file = v },
{ "test-users=", v => test_users_file = v },
{ "candidate-items=", v => candidate_items_file = v },
{ "user-groups=", v => user_groups_file = v },
{ "measure=", v => measure = v },
// integer-valued options
{ "find-iter=", (int v) => find_iter = v },
{ "max-iter=", (int v) => max_iter = v },
{ "random-seed=", (int v) => random_seed = v },
{ "predict-items-number=", (int v) => predict_items_number = v },
{ "num-test-users=", (int v) => num_test_users = v },
{ "cross-validation=", (uint v) => cross_validation = v },
// floating point options
{ "epsilon=", (double v) => epsilon = v },
{ "cutoff=", (double v) => cutoff = v },
{ "test-ratio=", (double v) => test_ratio = v },
{ "rating-threshold=", (float v) => rating_threshold = v },
// enum options
{ "file-format=", (ItemDataFileFormat v) => file_format = v },
// boolean options
{ "user-prediction", v => user_prediction = v != null },
{ "compute-fit", v => compute_fit = v != null },
{ "online-evaluation", v => online_eval = v != null },
{ "repeat-evaluation", v => repeat_eval = v != null },
{ "no-id-mapping", v => no_id_mapping = v != null },
{ "overlap-items", v => overlap_items = v != null },
{ "all-items", v => all_items = v != null },
{ "in-training-items", v => in_training_items = v != null },
{ "in-test-items", v => in_test_items = v != null },
{ "help", v => show_help = v != null },
{ "version", v => show_version = v != null },
};
IList<string> extra_args = p.Parse(args);
bool no_eval = true;
if (test_ratio > 0 || test_file != null)
no_eval = false;
if (show_version)
ShowVersion();
if (show_help)
Usage(0);
if (random_seed != -1)
MyMediaLite.Util.Random.Seed = random_seed;
// set up recommender
if (load_model_file != null)
recommender = Model.Load(load_model_file);
else if (method != null)
recommender = Recommender.CreateItemRecommender(method);
else
recommender = Recommender.CreateItemRecommender("MostPopular");
// in case something went wrong ...
if (recommender == null && method != null)
Usage(string.Format("Unknown recommendation method: '{0}'", method));
if (recommender == null && load_model_file != null)
Abort(string.Format("Could not load model from file {0}.", load_model_file));
CheckParameters(extra_args);
recommender.Configure(recommender_options, (string m) => { Console.Error.WriteLine(m); Environment.Exit(-1); });
if (no_id_mapping)
{
user_mapping = new IdentityMapping();
item_mapping = new IdentityMapping();
}
if (load_user_mapping_file != null)
user_mapping = EntityMappingExtensions.LoadMapping(load_user_mapping_file);
if (load_item_mapping_file != null)
item_mapping = EntityMappingExtensions.LoadMapping(load_item_mapping_file);
// load all the data
LoadData();
Console.Write(training_data.Statistics(test_data, user_attributes, item_attributes));
// if requested, save ID mappings
if (save_user_mapping_file != null)
user_mapping.SaveMapping(save_user_mapping_file);
if (save_item_mapping_file != null)
item_mapping.SaveMapping(save_item_mapping_file);
TimeSpan time_span;
if (find_iter != 0)
{
if ( !(recommender is IIterativeModel) )
Abort("Only iterative recommenders (interface IIterativeModel) support --find-iter=N.");
var iterative_recommender = (IIterativeModel) recommender;
Console.WriteLine(recommender);
var eval_stats = new List<double>();
if (cross_validation > 1)
{
recommender.DoIterativeCrossValidation(cross_validation, test_users, candidate_items, eval_item_mode, repeat_eval, max_iter, find_iter);
}
else
{
if (load_model_file == null)
recommender.Train();
if (compute_fit)
Console.WriteLine("fit: {0} iteration {1} ", ComputeFit(), iterative_recommender.NumIter);
var results = Evaluate();
Console.WriteLine("{0} iteration {1}", results, iterative_recommender.NumIter);
for (int it = (int) iterative_recommender.NumIter + 1; it <= max_iter; it++)
{
TimeSpan t = Wrap.MeasureTime(delegate() {
iterative_recommender.Iterate();
});
training_time_stats.Add(t.TotalSeconds);
if (it % find_iter == 0)
{
if (compute_fit)
{
t = Wrap.MeasureTime(delegate() {
Console.WriteLine("fit: {0} iteration {1} ", ComputeFit(), it);
});
fit_time_stats.Add(t.TotalSeconds);
}
t = Wrap.MeasureTime(delegate() { results = Evaluate(); });
eval_time_stats.Add(t.TotalSeconds);
eval_stats.Add(results[measure]);
Console.WriteLine("{0} iteration {1}", results, it);
Model.Save(recommender, save_model_file, it);
Predict(prediction_file, test_users_file, it);
if (epsilon > 0.0 && eval_stats.Max() - results[measure] > epsilon)
{
Console.Error.WriteLine(string.Format(CultureInfo.InvariantCulture, "{0} >> {1}", results["RMSE"], eval_stats.Min()));
Console.Error.WriteLine("Reached convergence on training/validation data after {0} iterations.", it);
break;
}
if (results[measure] < cutoff)
{
Console.Error.WriteLine("Reached cutoff after {0} iterations.", it);
Console.Error.WriteLine("DONE");
break;
}
}
} // for
}
}
else
{
Console.WriteLine(recommender + " ");
if (load_model_file == null)
{
if (cross_validation > 1)
{
var results = recommender.DoCrossValidation(cross_validation, test_users, candidate_items, eval_item_mode, compute_fit, true);
Console.Write(results);
no_eval = true;
}
else
{
time_span = Wrap.MeasureTime( delegate() { recommender.Train(); } );
Console.Write("training_time " + time_span + " ");
}
}
if (prediction_file != null)
{
Predict(prediction_file, test_users_file);
}
else if (!no_eval)
{
if (compute_fit)
Console.WriteLine("fit: {0}", ComputeFit());
if (online_eval)
time_span = Wrap.MeasureTime( delegate() {
var results = recommender.EvaluateOnline(test_data, training_data, test_users, candidate_items, eval_item_mode);
Console.Write(results);
});
else if (group_method != null)
{
GroupRecommender group_recommender = null;
Console.Write("group recommendation strategy: {0} ", group_method);
// TODO GroupUtils.CreateGroupRecommender(group_method, recommender);
if (group_method == "Average")
group_recommender = new Average(recommender);
else if (group_method == "Minimum")
group_recommender = new Minimum(recommender);
else if (group_method == "Maximum")
group_recommender = new Maximum(recommender);
else
Usage("Unknown group recommendation strategy in --group-recommender=METHOD");
time_span = Wrap.MeasureTime( delegate() {
var result = group_recommender.Evaluate(test_data, training_data, group_to_user, candidate_items);
Console.Write(result);
});
}
else
time_span = Wrap.MeasureTime( delegate() { Console.Write(Evaluate()); });
Console.Write(" testing_time " + time_span);
}
Console.WriteLine();
}
Model.Save(recommender, save_model_file);
DisplayStats();
}
/// <summary>
/// AroonUp = 100 * (period - {periods since max})/period
/// </summary>
/// <param name="upPeriod">The AroonUp period</param>
/// <param name="max">A Maximum indicator used to compute periods since max</param>
/// <param name="input">The next input data</param>
/// <returns>The AroonUp value</returns>
private static decimal ComputeAroonUp(int upPeriod, Maximum max, IndicatorDataPoint input)
{
max.Update(input);
return 100m * (upPeriod - max.PeriodsSinceMaximum) / upPeriod;
}
