public async Task GetHistoricalData_ValidSymbol_ReturnsData()
{
var data = await _downloadService.GetHistoricalData(_stock, DateTime.Now.AddDays(-10), refresh : true);
Assert.NotNull(data);
//Assert.IsTrue(data.Quotes.Any());
//Assert.AreEqual(data.Quotes.First().Value.Date, data.BeginDate);
//Assert.AreEqual(data.Quotes.Last().Value.Date, data.EndDate);
}
public async Task FullTest(int numberOfHiddenLayers, int numberOfNeurons)
{
_stock.Name = await _downloadService.GetName(_stock);
_stock.HistoricalData = await _downloadService.GetHistoricalData(_stock, _startDate, refresh : true);
_trainingSession =
new TrainingSession(_portfolio, _stock)
{
NumberAnns = 5000,
NumberHiddenLayers = numberOfHiddenLayers,
NumberNeuronsPerHiddenLayer = numberOfNeurons,
TrainSamplePercentage = 0.55
};
var timer = new Stopwatch();
timer.Start();
_trainingSession.PropertyChanged += (sender, args) =>
{
if (args.PropertyName == "BestProfitLossCalculator" && timer.ElapsedMilliseconds > 7000)
{
Trace.Write($"\n{_trainingSession.AllNetworksPLsStdDevs.Count:N0}");
Trace.Write($" -> PL: {_trainingSession.BestProfitLossCalculator.PL:C2}");
Trace.Write($" ({_trainingSession.BestProfitLossCalculator.PLPercentage:P2})");
Trace.Write($" | median: {_trainingSession.AllNetworksPL:C2}");
Trace.Write($" | acc: {_trainingSession.BestProfitLossCalculator.PercentageWinningTransactions:P2}");
Trace.Write($" | study1: {_trainingSession.BestPrediction.BuyLevel}");
Trace.Write($" | study2: {_trainingSession.BestPrediction.SellLevel}");
timer.Restart();
}
};
_trainingSession.FindBestAnn(new CancellationToken(), new NeuralStockSettings());
Console.Write("PL: {0:C2}", _trainingSession.BestProfitLossCalculator.PL);
Console.Write(" ({0:P2})", _trainingSession.BestProfitLossCalculator.PLPercentage);
Console.Write(" | median: {0:C2}", _trainingSession.AllNetworksPL);
Console.Write(" | acc: {0:P2}", _trainingSession.BestProfitLossCalculator.PercentageWinningTransactions);
Assert.Pass();
}
public static Data GetData(Stock stock, IDownloaderService downloaderService, HistoricalData historicalData)
{
Data result = new Data();
result.Quotes = historicalData.Quotes.Values.Select(x => new Skender.Stock.Indicators.Quote
{
Date = x.Date,
Low = Convert.ToDecimal(x.Low),
High = Convert.ToDecimal(x.High),
Open = Convert.ToDecimal(x.Open),
Close = Convert.ToDecimal(x.Close),
Volume = Convert.ToDecimal(x.Volume)
}).ToList();
var market = new Stock()
{
Country = new Others(), Symbol = stock.Country.Id == Singapore.CountryId ? "^STI" : "^PSI20"
};
market.HistoricalData = downloaderService.GetHistoricalData(market, historicalData.BeginDate, historicalData.EndDate).Result;
var commodity = new Stock()
{
Country = new Others(), Symbol = "O87.SI"
};
commodity.HistoricalData = downloaderService.GetHistoricalData(commodity, historicalData.BeginDate, historicalData.EndDate).Result;
result.MarketQuotes = new List <Skender.Stock.Indicators.Quote>();
result.CommodityQuotes = new List <Skender.Stock.Indicators.Quote>();
for (var i = 0; i < historicalData.Quotes.Count; i++)
{
var date = historicalData.Quotes.ElementAt(i).Key;
var closestMarketDate = market.HistoricalData.Quotes.Keys.LastOrDefault(x => x <= date);
var closestCommodityDate = commodity.HistoricalData.Quotes.Keys.LastOrDefault(x => x <= date);
if (closestMarketDate == default)
{
result.MarketQuotes.Add(new Skender.Stock.Indicators.Quote {
Date = date
});
}
else
{
result.MarketQuotes.Add(new Skender.Stock.Indicators.Quote
{
Date = date,
Low = Convert.ToDecimal(market.HistoricalData.Quotes[closestMarketDate].Low),
High = Convert.ToDecimal(market.HistoricalData.Quotes[closestMarketDate].High),
Open = Convert.ToDecimal(market.HistoricalData.Quotes[closestMarketDate].Open),
Close = Convert.ToDecimal(market.HistoricalData.Quotes[closestMarketDate].Close),
Volume = Convert.ToDecimal(market.HistoricalData.Quotes[closestMarketDate].Volume)
});
}
if (closestCommodityDate == default)
{
result.CommodityQuotes.Add(new Skender.Stock.Indicators.Quote {
Date = date
});
}
else
{
result.CommodityQuotes.Add(new Skender.Stock.Indicators.Quote
{
Date = date,
Low = Convert.ToDecimal(commodity.HistoricalData.Quotes[closestCommodityDate].Low),
High = Convert.ToDecimal(commodity.HistoricalData.Quotes[closestCommodityDate].High),
Open = Convert.ToDecimal(commodity.HistoricalData.Quotes[closestCommodityDate].Open),
Close = Convert.ToDecimal(commodity.HistoricalData.Quotes[closestCommodityDate].Close),
Volume = Convert.ToDecimal(commodity.HistoricalData.Quotes[closestCommodityDate].Volume)
});
}
}
return(result);
}