static void Main(string[] args)
{
SaveRateToFileTrainData("USD");
SaveRateToFileTestData("USD");
Global.UseEngine(SiaNet.Backend.ArrayFire.SiaNetBackend.Instance, DeviceType.CUDA, true);
var train = PreparingExchangeRateData.LoadTrain();
var test = PreparingExchangeRateData.LoadTest();
var model = new Sequential();
model.EpochEnd += Model_EpochEnd;
model.Add(new Dense(60, ActType.Sigmoid));
model.Add(new Dense(60, ActType.Sigmoid));
model.Add(new Dense(1, ActType.Linear));
//Compile with Optimizer, Loss and Metric
model.Compile(OptimizerType.SGD, LossType.MeanSquaredError, MetricType.MSE);
// Train for 1000 epoch with batch size of 2
model.Train(train, epochs: 1000, batchSize: 32);
//Create prediction data to evaluate
DataFrame2D predX = new DataFrame2D(2);
predX.Load(0, 0, 0, 1, 1, 0, 1, 1); //Result should be 0, 1, 1, 0
var rawPred = model.Predict(test);
Console.ReadLine();
}
private static void SaveRateToFileTrainData(string currency)
{
var rates = Utils.ReadExchangeRatesForPeriod("PLN", currency, DateTime.Today.AddYears(-4),
DateTime.Today.AddDays(-365)).Result.OrderBy(x => x.Date).ToList();
var ma5 = TechnicalAnalysis.MovingAverage(rates, 5).ToList();
var ma10 = TechnicalAnalysis.MovingAverage(rates, 10).ToList();
var ma15 = TechnicalAnalysis.MovingAverage(rates, 15).ToList();
var ma20 = TechnicalAnalysis.MovingAverage(rates, 20).ToList();
var ma50 = TechnicalAnalysis.MovingAverage(rates, 50).ToList();
var macd = TechnicalAnalysis.Macd(rates).ToList();
var nextDayRate = new List <ExchangeRate>();
for (int i = 0; i < rates.Count - 1; i++)
{
nextDayRate.Add(rates.ElementAt(i + 1));
}
rates = rates.Skip(50).ToList();
ma5 = ma5.Skip(50).ToList();
ma10 = ma10.Skip(50).ToList();
ma15 = ma15.Skip(50).ToList();
ma20 = ma20.Skip(50).ToList();
ma50 = ma50.Skip(50).ToList();
macd = macd.Skip(50).ToList();
nextDayRate = nextDayRate.Skip(50).ToList();
List <InputOutputData> inputOutputDatas = new List <InputOutputData>();
for (int i = 0; i < rates.Count - 1; i++)
{
inputOutputDatas.Add(new InputOutputData
{
ExchangeRate = rates.ElementAt(i),
Ma5 = ma5.ElementAt(i).Rate,
Ma10 = ma10.ElementAt(i).Rate,
Ma15 = ma15.ElementAt(i).Rate,
Ma20 = ma20.ElementAt(i).Rate,
Ma50 = ma50.ElementAt(i).Rate,
Macd = macd.ElementAt(i).Rate,
NextDayRate = nextDayRate.ElementAt(i).Rate
});
}
string projectDirectory = System.IO.Path.GetFullPath(@"..\..\..\");
PreparingExchangeRateData.SaveToFile(inputOutputDatas, projectDirectory + $"/Data/{inputOutputDatas.First().ExchangeRate.Currency}RateTrain.csv");
}