public DirectionStrategy GetBestStrategy()
{
int profitCount = -1;
DirectionStrategy bestStrategy = null;
for (int i = 0; i < TemplateNumber; i++)
{
string strategyTemplate = Convert.ToString(i, 2);
var directionStrategy = new DirectionStrategy();
directionStrategy.InitStrategy(strategyTemplate);
bool forecastedDirection;
bool prevRealDirection = XoResults[0];
for (int j = 1; j < XoResults.Count; j++)
{
forecastedDirection = directionStrategy.GetNextDirection(prevRealDirection);
prevRealDirection = XoResults[j];
}
//if(directionStrategy.StrategyTemplate == "111001000100111")
//{
// int test = 9;
// ++test;
//}
if (profitCount < directionStrategy.ProfitCounter)
{
profitCount = directionStrategy.ProfitCounter;
bestStrategy = directionStrategy;
}
}
return(bestStrategy);
}
private static DirectionStrategy ProcessRank(int direction, string mode, int startXoIndex, string currencyPair, Dictionary <int, bool> xoListIn)
{
var dtStart = DateTime.Now;
var xoListMain = new Dictionary <int, bool>(xoListIn);
//xoListMain.Remove(xoListMain.Count - 1);
//xoListMain.Remove(xoListMain.Count - 1);
// +1/+0
switch (direction)
{
case 1: xoListMain[xoListMain.Count] = true; break;
case 0: xoListMain[xoListMain.Count] = false; break;
}
switch (mode)
{
case "1":
xoListMain[xoListMain.Count] = true;
break;
case "11":
xoListMain[xoListMain.Count] = true;
xoListMain[xoListMain.Count] = true;
break;
case "111":
xoListMain[xoListMain.Count] = true;
xoListMain[xoListMain.Count] = true;
xoListMain[xoListMain.Count] = true;
break;
case "0":
xoListMain[xoListMain.Count] = false;
break;
case "00":
xoListMain[xoListMain.Count] = false;
xoListMain[xoListMain.Count] = false;
break;
case "000":
xoListMain[xoListMain.Count] = false;
xoListMain[xoListMain.Count] = false;
xoListMain[xoListMain.Count] = false;
break;
}
var applyConverter = new Bar2XoConverter();
applyConverter.ApplyLimits(xoListMain, Constants.MaxXoCount);
xoListMain = applyConverter.XoList;
int winCount = 0;
int winInUnits = 0;
DirectionStrategy selectedDirectionStrategy = null;
for (int i = startXoIndex; i < xoListMain.Count; i++)
{
//copy first i elements
var xoList = new Dictionary <int, bool>();
for (int j = 0; j <= i; j++)
{
if (j < xoListMain.Count)
{
xoList.Add(j, xoListMain[j]);
}
}
//if (i == xoListMain.Count - 1)
//{
// int rett = 9;
//}
var directionStrategySelector = new DirectionStrategySelector(xoList, startXoIndex);
var directionStrategy = directionStrategySelector.GetBestStrategy();
/*
* var betSelector = new BetStrategySelector(directionStrategy.DirectionResults);
* var betStrategy = betSelector.GetBestBetStrategy();
*
* bool? realValue = null;
* if (i < xoListMain.Count - 1)
* {
* realValue = xoListMain[i];
* //correct forecasting
* if (directionStrategy.ForecastedDirection == realValue)
* {
* winCount++;
* winInUnits += betStrategy.CurrentBetInUnits;
* }
* else // wrong forecasting
* {
* winCount--;
* winInUnits -= betStrategy.CurrentBetInUnits;
* }
* }*/
//else
//{
// int ret = 0;
//}
//Console.WriteLine("Forecasted: {0}, real value: = {1}, winCount={2}, winInUnits={3}, BetStrategyT = ype={4}, BetCycle={5}", directionStrategy.ForecastedDirection, realValue, winCount, winInUnits, betStrategy.StrategyType, betStrategy.Cycle);
//Console.WriteLine("{0} of {1}", i, xoListMain.Count);
selectedDirectionStrategy = directionStrategy;
}
var dtEnd = DateTime.Now;
TimeSpan durationInterval = dtEnd - dtStart;
string duration = string.Format("{0}:{1}", durationInterval.Minutes, durationInterval.Seconds);
Console.WriteLine("Rank {0}, Forecasted: {1}, ProfitCounter={2}, duration: {3}", startXoIndex + 1, selectedDirectionStrategy.ForecastedDirection, selectedDirectionStrategy.ProfitCounter, duration);
return(selectedDirectionStrategy);
}
static void Main(string[] args)
{
if (args.Count() == 0)
{
Console.WriteLine("No input parameters");
return;
}
string currencyPair = args[0];
Console.WriteLine(currencyPair);
int maxXoCount = Constants.MaxXoCount;
var dataLoader = new BarsLoader();
string fileName = string.Format(@"..\..\..\Data\{0}5.csv", currencyPair);
var history = dataLoader.LoadFromFile(fileName);
var converter = new Bar2XoConverter();
var xoListMain = converter.Convert(history.Bars, Constants.MaxXoCount);
//const string strategyTestTemplate = "111001000100111";
var directions = new List <int>();
directions.Add(1);
directions.Add(0);
var modes = new List <string>();
modes.Add("Current"); //for current position
modes.Add("1");
modes.Add("11");
modes.Add("111");
modes.Add("0");
modes.Add("00");
modes.Add("000");
foreach (var direction in directions)
{
Console.WriteLine("Direction={0}", direction);
Console.WriteLine("");
foreach (var mode in modes)
{
DirectionStrategy bestDirectionStrategy = null;
for (int i = Constants.MinRank; i <= Constants.MaxRank; i++)
{
var strategy = ProcessRank(direction, mode, i - 1, currencyPair, xoListMain);
//if (mode == "0" && bestDirectionStrategy != null &&
// (strategyTestTemplate == strategy.StrategyTemplate
// || strategyTestTemplate == bestDirectionStrategy.StrategyTemplate)
//)
//{
// int test = 9;
// ++test;
//}
if (bestDirectionStrategy == null || strategy.ProfitCounter > bestDirectionStrategy.ProfitCounter)
{
bestDirectionStrategy = strategy;
}
}
Console.WriteLine("Template={0}", bestDirectionStrategy.StrategyTemplate);
Console.WriteLine("Mode {0}, Forecasted: {1}, ProfitCounter={2}", mode, bestDirectionStrategy.ForecastedDirection, bestDirectionStrategy.ProfitCounter);
Console.WriteLine("");
}
}
}