public static void GetData()
{
/* inclusive latest date */
var dt = DateTime.UtcNow;
// trim to start of day (begin)
dt = dt.AddMilliseconds(-dt.Millisecond);
dt = dt.AddSeconds(-dt.Second);
dt = dt.AddMinutes(-dt.Minute);
dt = dt.AddHours(-dt.Hour);
// trim to start of day (end)
var numberOfDays = int.Parse(ConfigurationManager.AppSettings["numberOfDaysToBackfill"]);
var currencyPairsStr = ConfigurationManager.AppSettings["currencyPairs"];
var quarterDaysToGoBack = 4 * numberOfDays;
// ################################################################
var secondsBack = quarterDaysToGoBack * 21600;
quarterDaysToGoBack++;
// ################################################################
var currencyPairs = currencyPairsStr.Split(',').ToList();
currencyPairs.ForEach(currencyPair =>
{
GatherTaskManager.BackFillGatherTaskData(quarterDaysToGoBack, currencyPair, dt, DateTime.Parse("1970-01-01 00:00:00.000"));
});
// ################################################################
}
public static void Test()
{
var currencyPairsStr = ConfigurationManager.AppSettings["currencyPairs"];
var currencyPairs = currencyPairsStr.Split(',').ToList();
for (int counter = 1; counter <= 4; counter++)
{
foreach (var currencyPair in currencyPairs)
{
/* inclusive latest date */
var dt = DateTime.UtcNow.AddDays(0);
// trim to start of hour (begin)
dt = dt.AddMilliseconds(-dt.Millisecond);
dt = dt.AddSeconds(-dt.Second);
dt = dt.AddMinutes(-dt.Minute);
//dt = dt.AddHours(-dt.Hour);
//dt = dt.AddDays(-dt.Day + 1);
// trim to start of hour (end)
var numberOfDays = 45;
int quarterDaysToGoBack = (int)(4 * (double)numberOfDays);
var shorterInterval = 12;
var longerInterval = 26;
var minutesPerInterval = 15 * counter;
dt = dt.AddMinutes(-(2 * minutesPerInterval));
//var currencyPair = CurrencyPairConstants.USDT_BTC; // 15
//var currencyPair = CurrencyPairConstants.USDT_DASH; // 30 // 45
//var currencyPair = CurrencyPairConstants.USDT_ETH; // 15
//var currencyPair = CurrencyPairConstants.USDT_LTC; // 30 // 45
//var currencyPair = CurrencyPairConstants.USDT_ZEC; // 30 // 45
// ################################################################
var secondsBack = quarterDaysToGoBack * 21600;
quarterDaysToGoBack++;
// ################################################################
var window = numberOfDays;
//var window = 30;
//var window = 60;
//var window = 120;
var numberOfTimesToShift = numberOfDays / window;
DateTime startDateTime = dt;
DateTime endDateTime = dt.AddSeconds(-secondsBack);
bool backFillCurrencyDataPoints = false;
backFillCurrencyDataPoints = counter == 1;//true;
if (backFillCurrencyDataPoints)
{
//GatherTaskManager.BackFillGatherTaskData(quarterDaysToGoBack, currencyPair, dt, DateTime.Parse("1970-01-01 00:00:00.000"));
// only need to backfill 6 quarter days if AutoLoader is used.
GatherTaskManager.BackFillGatherTaskData(6, currencyPair, dt, DateTime.Parse("1970-01-01 00:00:00.000"));
}
// ################################################################
if (ForceIntervalForRegression != null && ForceIntervalForRegression[currencyPair] != minutesPerInterval)
{
continue;
}
// ################################################################
bool backFillMovingAverages = false;
backFillMovingAverages = true;
if (backFillMovingAverages)
{
MovingAverageManager.BackFillEma(currencyPair, shorterInterval, minutesPerInterval, dt, dt.AddSeconds(-secondsBack), null);
MovingAverageManager.BackFillEma(currencyPair, longerInterval, minutesPerInterval, dt, dt.AddSeconds(-secondsBack), null);
}
// ################################################################
// start manipulations
startDateTime = endDateTime.AddDays(window);
List <RegressionResults> results = new List <RegressionResults>();
for (int looper = 0; looper < numberOfTimesToShift; looper++)
{
ProfitAnalyzer.ResetMemory();
ProfitAnalyzer.ResetStats();
List <MovingAverage> shorterMovingAverages;
List <MovingAverage> longerMovingAverages;
using (var db = new PoloniexContext())
{
shorterMovingAverages = db.MovingAverages
.Where(x =>
x.Interval == shorterInterval &&
x.MinutesPerInterval == minutesPerInterval &&
x.CurrencyPair == currencyPair &&
x.ClosingDateTime >= endDateTime &&
x.ClosingDateTime <= startDateTime)
.OrderBy(x => x.ClosingDateTime)
.ToList();
longerMovingAverages = db.MovingAverages
.Where(x =>
x.Interval == longerInterval &&
x.MinutesPerInterval == minutesPerInterval &&
x.CurrencyPair == currencyPair &&
x.ClosingDateTime >= endDateTime &&
x.ClosingDateTime <= startDateTime)
.OrderBy(x => x.ClosingDateTime)
.ToList();
}
//ProfitAnalyzer.MacdEma = shorterMovingAverages[0].MovingAverageValue - longerMovingAverages[0].MovingAverageValue;
for (int i = 0; i < shorterMovingAverages.Count; i++)
{
//ProfitAnalyzer.ProcessMacdMovingAverageSignals(shorterMovingAverages[i].MovingAverageValue, longerMovingAverages[i].MovingAverageValue, shorterMovingAverages[i].LastClosingValue, shorterMovingAverages[i].ClosingDateTime);
ProfitAnalyzer.Process(shorterMovingAverages[i].MovingAverageValue, longerMovingAverages[i].MovingAverageValue, shorterMovingAverages[i].LastClosingValue, shorterMovingAverages[i].ClosingDateTime);
}
ProfitAnalyzer.CloseOpenPosition();
var inputBalance = 500M;
ProfitAnalyzer.CalculateProfit(inputBalance);
var dataMin = ProfitAnalyzer.Data_GetMin();
var dataMax = ProfitAnalyzer.Data_GetMax();
var dataMean = ProfitAnalyzer.Data_GetMean();
var dataMedian = ProfitAnalyzer.Data_GetMedian();
var dataStd = (decimal)Math.Sqrt((double)ProfitAnalyzer.Data_GetVariance());
var profitMin = ProfitAnalyzer.Profit_GetMin();
var profitMax = ProfitAnalyzer.Profit_GetMax();
var profitMean = ProfitAnalyzer.Profit_GetMean();
var profitMedian = ProfitAnalyzer.Profit_GetMedian();
var profitStd = (decimal)Math.Sqrt((double)ProfitAnalyzer.Profit_GetVariance());
var totalProfit = ProfitAnalyzer.GetTotalProfit();
//Console.WriteLine($"CurrencyPair: {currencyPair}");
//Console.WriteLine($"Data-Min: {dataMin}");
//Console.WriteLine($"Data-Max: {dataMax}");
//Console.WriteLine($"Data-Mean: {dataMean}");
//Console.WriteLine($"Data-Median: {dataMedian}");
//Console.WriteLine($"Data-Std: {dataStd}");
//Console.WriteLine($"Profit-Min: {profitMin}");
//Console.WriteLine($"Profit-Max: {profitMax}");
//Console.WriteLine($"Profit-Mean: {profitMean}");
//Console.WriteLine($"Profit-Median: {profitMedian}");
//Console.WriteLine($"Profit-Std: {profitStd}");
//Console.WriteLine($"TotalProfit: {totalProfit}");
results.Add(new RegressionResults
{
CurrencyPair = currencyPair,
MinutesPerInterval = minutesPerInterval,
StartDateTime = startDateTime,
EndDateTime = endDateTime,
DataMin = dataMin,
DataMax = dataMax,
DataMean = dataMean,
DataMedian = dataMedian,
DataStd = dataStd,
ProfitMin = profitMin,
ProfitMax = profitMax,
ProfitMean = profitMean,
ProfitMedian = profitMedian,
ProfitStd = profitStd,
PercentageChange = (totalProfit) / inputBalance,
TotalProfit = totalProfit
});
startDateTime = startDateTime.AddDays(window);
endDateTime = endDateTime.AddDays(window);
}
foreach (var item in results)
{
Console.WriteLine(item.ToString());
Console.WriteLine("################################################################");
}
if (!_regressionResults.ContainsKey(currencyPair) || _regressionResults[currencyPair].TotalProfit < results[0].TotalProfit)
{
if (_regressionResults.ContainsKey(currencyPair))
{
_regressionResults[currencyPair] = results[0];
}
else
{
_regressionResults.Add(currencyPair, results[0]);
}
}
}
}
foreach (var item in _regressionResults.OrderByDescending(x => x.Value.TotalProfit))
{
Console.WriteLine("XxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXxXx");
Console.WriteLine($"key: {item.Key}\nvalue: {item.Value.ToString()}");
Console.WriteLine("-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-_");
}
}
