public void LinearPredictor1Indicator()
{
TimeSeries indicator = TimeSeries.CreateDailySinusoidalTimeSeries(1, 2, 0, new DateTime(2000, 1, 1), new DateTime(2000, 12, 31));
indicator.Name = "INDICATOR";
TimeSeries target = indicator.OffsetBy(new TimeSpan(10, 0, 0, 0));
target.Name = "TARGET";
CorrelationAnalysisParameters parameters = new CorrelationAnalysisParameters()
{
Span = new TimeSpan(1, 0, 0, 0),
NumberOfSpansInthePast = 10,
NumberOfSpansIntheFuture = -10,
};
IEnumerable <TemporalGapTuple> analysis = TimeSeriesCorrelation.DoCorrelationAnalysis(indicator, target, parameters);
TemporalGapGroup g = new TemporalGapGroup()
{
Pairs = analysis
.Where(a => Math.Abs(a.Correlation - 1) < tolerance)
.ToList(),
};
TimeSpan predictionSpan = new TimeSpan(5, 0, 0, 0);
DataTable table = g.GetPredictionTable(target.Name, predictionSpan);
LinearPredictor linearPredictor = new LinearPredictor();
linearPredictor.Learn(
table: table,
trainingLabel: indicator.Name,
targetLabel: target.Name);
TimeSpan correlationSpan = new TimeSpan(10, 0, 0, 0);
Assert.IsTrue(target.Dates
.Where(day => target.ContainsValueAt(day.Add(predictionSpan)) &&
indicator.ContainsValueAt(day.Add(-correlationSpan)) &&
indicator.ContainsValueAt(day.Add(-correlationSpan).Add(predictionSpan)))
.All(day =>
{
double incrementIndicator = indicator[day.Add(-correlationSpan).Add(predictionSpan)] - indicator[day.Add(-correlationSpan)];
DataRow row = table.NewRow();
row[indicator.Name] = incrementIndicator;
return(Math.Abs((double)linearPredictor.Predict(row) - incrementIndicator) < tolerance);
}));
}
public void CorrelationSinus()
{
TimeSeries sts = TimeSeries.CreateDailySinusoidalTimeSeries(1, 2, 0, new DateTime(2000, 1, 1), new DateTime(2000, 12, 31));
CorrelationAnalysisParameters parameters = new CorrelationAnalysisParameters()
{
Span = new TimeSpan(1, 0, 0, 0),
NumberOfSpansInthePast = 10,
NumberOfSpansIntheFuture = 10,
};
List <TemporalGapTuple> analysis = TimeSeriesCorrelation.DoCorrelationAnalysis(sts, sts, parameters)
.ToList();
TemporalGapTuple maxCorrelationAnalysis = analysis
.MaxBy(an => an.Correlation);
Assert.IsTrue(Math.Abs(maxCorrelationAnalysis.Correlation - 1) < tolerance);
Assert.IsTrue(maxCorrelationAnalysis.Indicator == maxCorrelationAnalysis.Target &&
maxCorrelationAnalysis.TemporalGap.Ticks == 0);
Assert.IsTrue(analysis.All(an => an.Correlation <= maxCorrelationAnalysis.Correlation));
}
