public List<ParameterdCandidateStrategy> AddRealDealCandidates(string symbol, int dealInfoLastWeek, IBestCandidateSelector bcs = null)
{
List<ParameterdCandidateStrategy> realDealsCandidates = new List<ParameterdCandidateStrategy>();
//TestParameters.InitTpsls(20, 10);
//realDealsCandidates.Add(new RealDealCandidate("1M_10", 1 * 4 * 7 * 24 * 12 * 5, this));
//realDealsCandidates.Add(new RealDealCandidate("1.5M_10", (int)(1.5 * 4 * 7 * 24 * 12 * 5), this));
//realDealsCandidates.Add(new RealDealCandidate("2M_10", 2 * 4 * 7 * 24 * 12 * 5, this));
{
CandidateParameter cp = new CandidateParameter(symbol);
int delta = TestParameters.GetTpSlMinDelta(symbol) * TestParameters2.nTpsl;
cp.InitTpsls(TestParameters2.tpStart, delta, TestParameters2.tpCount, TestParameters2.slStart, delta, TestParameters2.slCount);
cp.SymbolStart = Array.IndexOf<string>(cp.AllSymbols, symbol);
cp.SymbolCount = 1;
cp.PeriodStart = Array.IndexOf<string>(cp.AllPeriods, "M1");
cp.PeriodCount = 1;
cp.DealInfoLastMinutes = dealInfoLastWeek * 7 * 24 * 12 * 5;
cp.Group = 1;
InitBatchBatch(cp);
if (cp.ClassifierType == null && !TestParameters.EnableExcludeClassifier)
{
cp.AllIndNames.Clear();
cp.AllIndNames2.Clear();
}
else
{
cp.DeleteUnusedIndicators();
//GenerateBatchEmptyInstance();
}
ParameterdCandidateStrategy mainPcs = new ParameterdCandidateStrategy(cp, null, bcs);
realDealsCandidates.Add(mainPcs);
// for (int i = 2; i <= 3; ++i)
// {
// var cp2 = cp.Clone();
// cp2.Name += "_" + i.ToString();
// cp2.DealInfoLastMinutes = i * 2 * 4 * 7 * 24 * 12 * 5;
// realDealsCandidates.Add(new ParameterdCandidateStrategy(cp2));
// }
}
{
//CandidateParameter cp = new CandidateParameter("GBPUSD");
//cp.InitTpsls(10, 60);
//cp.SymbolStart = 1;
//cp.DealInfoLastMinutes = 2 * 4 * 7 * 24 * 12 * 5;
//cp.Group = 2;
//ParameterdCandidateStrategy mainPcs = new ParameterdCandidateStrategy(cp);
//mainPcs.m_bestCandidateSelector = new BestCandidateSelector1(0);
//realDealsCandidates.Add(mainPcs);
// for (int i = 2; i <= 3; ++i)
// {
// var cp2 = cp.Clone();
// cp2.Name += "_" + i.ToString();
// cp2.DealInfoLastMinutes = i * 2 * 4 * 7 * 24 * 12 * 5;
// realDealsCandidates.Add(new ParameterdCandidateStrategy(cp2));
// }
}
{
//CandidateParameter cp = new CandidateParameter("EURGBP");
//cp.InitTpsls(10, 30);
//cp.SymbolStart = 6;
//cp.DealInfoLastMinutes = 6 * 4 * 7 * 24 * 12 * 5;
//cp.Group = 3;
//ParameterdCandidateStrategy mainPcs = new ParameterdCandidateStrategy(cp);
//mainPcs.m_bestCandidateSelector = new BestCandidateSelector1(0);
//realDealsCandidates.Add(mainPcs);
// // for (int i = 2; i <= 3; ++i)
// // {
// // var cp2 = cp.Clone();
// // cp2.Name += "_" + i.ToString();
// // cp2.DealInfoLastMinutes = i * 2 * 4 * 7 * 24 * 12 * 5;
// // realDealsCandidates.Add(new ParameterdCandidateStrategy(cp2));
// // }
}
foreach (var i in realDealsCandidates)
{
OutputTestInfoCandidate(i.CandidateParameter);
WekaUtils.Instance.WriteLog(string.Format("BestCandidateSelector = {0}",
i.BestCandidateSelector == null ? "Null" : i.BestCandidateSelector.ToString()));
}
return realDealsCandidates;
}
public void BuildExcludeModels()
{
Parameters.TotalCanUseMemory = 600 * 1000 * 1000;
TestParameters.SaveDataFile = false;
//m_batchBufferMinutes = (new TimeSpan(365 + 5, 0, 0, 0)).TotalMinutes;
weka.classifiers.Classifier cls = new weka.classifiers.functions.LibSVM();
(cls as weka.classifiers.AbstractClassifier).setOptions(weka.core.Utils.splitOptions("-S 0 -K 2"));
//Classifier cls = new MincostLiblinearClassifier();
//Classifier cls = new weka.classifiers.functions.LibLINEAR();
//(cls as AbstractClassifier).setOptions(weka.core.Utils.splitOptions("-S 0 -P -C 1 -B 1"));
//var cls = new SvmLightClassifier();
//cls.setOptions(weka.core.Utils.splitOptions("-c 20 -l 4 -w 1 --p 1 --b 1"));
var cp = new CandidateParameter("BuildExcludeModels");
cp.DeleteUnusedIndicators();
ParameterdCandidateStrategy realDealCandidate = new ParameterdCandidateStrategy(cp);
SetTrainTime(new DateTime(2009, 1, 1), new DateTime(2009, 4, 30));
//m_generateOneClassHp = 0;
realDealCandidate.IterateClassifierInfos2(new Func<CandidateClassifier, bool>((clsInfo) =>
{
string modelFileName = clsInfo.WekaData.GetExcludeModelFileName(clsInfo.Name);
//if (!System.IO.File.Exists(modelFileName))
{
WekaUtils.Instance.WriteLog(string.Format("{0} is building exclude model.", clsInfo.Name));
//clsInfo.WekaData.m_currentTestHour = clsInfo.Hour;
clsInfo.WekaData.GenerateData(true, false);
WekaUtils.TrainInstances(clsInfo.WekaData.CurrentTrainInstancesNew, modelFileName, cls);
MyEvaluation eval = new MyEvaluation();
eval.evaluateModel(cls, clsInfo.WekaData.CurrentTrainInstancesNew);
return true;
}
//else
//{
// m_currentTestHour = h;
// GenerateData(true, false);
// cls = WekaUtils.TryLoadClassifier(modelFileName);
// var eval = WekaUtils.TestInstances(m_trainInstancesNew[k], cls);
//}
}));
}
