void Supervise()
{
ThreadSync = SyncContext.Current;
Console.Write("Supervisor is loading dataset...");
var db = Database.GetProductionDatabase(MongoHostInfo.FromAppSettings());
var trainingSet = DataPreprocessing.LoadTrainingAndValidationSets(db, MasterRequest.Symbol, MasterRequest.StartDate,
MasterRequest.EndDate, MasterRequest.ValidationPct,
VersaceMain.GetSignalFunc(MasterRequest.SignalType)).Item1;
Console.WriteLine("done");
Console.Write("Supervisor is starting {0} slaves..", SlaveCount);
Slaves = Lists.Repeat(SlaveCount, _ => {
Slave slave = new Slave(CloneDataSet(trainingSet));
slave.Task = Task.Factory.StartNew(slave.Run).ContinueWith(t => {
Slaves.RemoveAll(x => x.Task == t);
if (t.IsFaulted)
{
Console.WriteLine("Slave faulted: " + t.Exception);
}
});
return(slave);
});
Console.WriteLine("done");
Waiter.Wait(() => !Slaves.Any());
}
public Slave(MasterRequest masterReq)
{
Database = Database.GetProductionDatabase(ConfigurationManager.AppSettings["MongoHost"]);
var dataSets = DataPreprocessing.MakeTrainingAndValidationSets(masterReq.Symbol, masterReq.StartDate,
masterReq.EndDate, masterReq.ValidationPct, DataPreprocessing.GetSignalFunc(masterReq.SignalType));
TrainingSet = dataSets.Item1;
}
public static void DownloadData(string predictedSymbol, DateTime start, DateTime end)
{
var dir = @"d:\users\wintonpc\git\Quqe\Share\VersaceData";
if (!Directory.Exists(dir))
{
Directory.CreateDirectory(dir);
}
foreach (var ticker in DataPreprocessing.GetTickers(predictedSymbol))
{
Console.Write("Fetching {0} ...", ticker);
using (var c = new WebClient())
{
var fn = Path.Combine(dir, ticker + ".txt");
if (ticker.StartsWith("^DJ")) // historical downloads of dow jones indices are not allowed
{
GetDowJonesData(c, ticker, fn, start, end);
}
else
{
var address = string.Format("http://ichart.finance.yahoo.com/table.csv?s={0}&a={1}&b={2}&c={3}&d={4}&e={5}&f={6}&g=d&ignore=.csv",
ticker, start.Month - 1, start.Day, start.Year, end.Month - 1, end.Day, end.Year);
c.DownloadFile(address, fn);
}
var fixedLines = File.ReadAllLines(fn).Skip(1).Reverse().Select(line => {
var toks = line.Split(',');
var timestamp = DateTime.ParseExact(toks[0], "yyyy-MM-dd", null, DateTimeStyles.AdjustToUniversal);
var open = double.Parse(toks[1]);
var high = double.Parse(toks[2]);
var low = double.Parse(toks[3]);
var close = double.Parse(toks[4]);
var volume = long.Parse(toks[5]);
return(string.Format("{0:yyyyMMdd};{1};{2};{3};{4};{5}",
timestamp, open, high, low, close, volume));
});
File.WriteAllLines(fn, fixedLines);
}
Console.WriteLine("done");
}
}
public static List <Day> Backtest(Database db, Mixture mixture, string symbol, DateTime startDate, DateTime endDate,
double initialEquity, double marginFactor, double tradeCost)
{
var preloadStart = startDate.AddYears(-1);
var allBars = new DataSeries <Bar>(symbol, db.QueryAll <DbBar>(x => x.Symbol == symbol, "Timestamp")
.Select(DataPreprocessing.DbBarToBar));
var bars = DataPreprocessing.TrimToWindow(allBars, DataPreprocessing.GetWindow(preloadStart, endDate, allBars));
var data = DataPreprocessing.LoadTrainingSet(db, symbol, preloadStart, endDate, Signals.Null);
var predictor = new MixturePredictor(mixture, data);
Debug.Assert(bars.Length == data.Input.ColumnCount);
var backtestStartIndex = bars.ToList().FindIndex(x => x.Timestamp >= startDate);
// preload
for (int t = 0; t < backtestStartIndex; t++)
{
predictor.Predict(t);
}
int totalPredictions = 0;
int correctPredictions = 0;
// backtest
var account = new VAccount(initialEquity, marginFactor, tradeCost);
for (int t = backtestStartIndex + 1; t < bars.Length; t++)
{
var prediction = predictor.Predict(t - 1);
Debug.Assert(prediction != 0);
var wasCorrect = ActOnSignal(bars[t - 1], bars[t], prediction, account, symbol);
totalPredictions++;
if (wasCorrect)
{
correctPredictions++;
}
}
double correctPct = (double)correctPredictions / totalPredictions;
return(null);
}
