public static void Main(string[] args)
{
form.Show();
initPyImports();
const int sampleLength = 56;
var candles = LoadDataFromFile();
//DrawChart(candles);
//ReadLine();
var prices = candles.Select(x => new[] { x.Close }.Average()).ToArray();
Console.SetError(new StringWriter());
double prevPred = 0;
double prevY = 0;
double balance = 0;
double currPred;
double balanceDiff;
double[] currPredIntervals;
var seq = Enumerable.Range(0, 200).Select(i =>
{
//for (int i = 0; i < 200; i++)
//{
Write(i);
var sampleX = new ArraySegment <double>(prices, i, sampleLength).ToArray();
var sampleY = prices[i + sampleLength];
var stats = WithStopwatch(() => GetBestCorrelations(prices, sampleX, 20), out var time);
var indexes = stats.best.Select(x => x.index);
var weights = stats.best.Select(x => x.correlation).ToList();
var weightsSum = weights.Sum();
var weightsScaled = weights.Select(x => x / weightsSum).ToList();
var X = indexes.Select(x => prices.Skip(x).Take(sampleLength).ToList()).ToList();
var y = indexes.Select(x => prices.Skip(x).Skip(sampleLength).Take(1).ToList()).ToList();
(currPred, currPredIntervals) = WithStopwatch(() => calcGam(X, y, weightsScaled, sampleX.ToList()), out time);
return(new
{
currPred,
candle = candles[i + sampleLength],
currY = y[0][0],
sampleY,
currPredIntervals
});
//}
}).AsParallel();
var j = 0;
foreach (var it in seq)
{
form.AddCandle(it.candle);
form.AddIndi(1, it.currPred);
form.AddIndi(3, it.currPredIntervals);
if (j > 0)
{
Console.SetCursorPosition(0, 0);
balanceDiff = (it.sampleY - prevY) * Math.Sign(it.currPred - prevY) * 100_000;
Console.ForegroundColor = ConsoleColor.Green;
WriteLine(balance += balanceDiff);
Console.ForegroundColor = ConsoleColor.Gray;
Application.DoEvents();
}
prevPred = it.currPred;
prevY = it.sampleY;
j++;
}
ReadLine();
}
