public string[] getOptimizedIndicators(List <string> indicatorsToTry, IndicatorSelector selector, int threads)
{
ended = false;
indicatorToTryIndex = 0;
indicatorsToTryCount = indicatorsToTry.Count;
Logger.log("Start testing indicators");
List <Thread> ths = new List <Thread>();
for (int i = 0; i < threads; i++)
{
ths.Add(new Thread(delegate() { optimizeInternally(indicatorsToTry, selector); }));
}
foreach (Thread t in ths)
{
t.Start();
}
foreach (Thread t in ths)
{
if (t.IsAlive)
{
t.Join();
}
}
return(selector.getResultingCandidates());
}
private void optimizeInternally(List <string> indicatorsToTry, IndicatorSelector selector)
{
while (ended == false)
{
try
{
//generator.getGeneratedIndicator(Convert.ToInt32(outcomeTimeframe / 1000 / 15), Convert.ToInt32(outcomeTimeframe * 100 / 1000));
int index = getNextIndex();
if (index >= indicatorsToTry.Count)
{
break;
}
WalkerIndicator wi = IndicatorGenerator.getIndicatorByString(indicatorsToTry[index]);
LearningIndicator li = new LearningIndicator(wi, priceData, outcomeCodeData, outcomeData, outcomeTimeframe, outcomeCodePercent, minPercentThreshold, learningIndicatorSteps, true);
selector.pushIndicatorStatistics(li);
}
catch (TooLittleValidDataException e)
{
//Logger.log("E:" + e.Message);
}
catch (TooLittleStatesException e)
{
//Logger.log("E:" + e.Message);
}
catch (Exception e)
{
Logger.log("FATAL:" + e.Message);
}
}
ended = true;
}
public void updateIndicators(long timeframeToLookBack, long timeframeToLookBackForIndicatorInit, IndicatorSelector indicatorSelector)
{
List <double[]> selectedPriceData = new List <double[]>();
for (int i = priceData.Count - 1; i > 0; i--)
{
if (Convert.ToInt64(priceData[i][(int)PriceDataIndeces.Date]) > timestampNow - timeframeToLookBack)
{
selectedPriceData.Insert(0, priceData[i]); //Todo: List direction correct?
}
else
{
break;
}
}
double[][] selectedPriceDataArray = selectedPriceData.ToArray();
double s;
double[][] outcomeData = OutcomeGenerator.getOutcome(selectedPriceDataArray, outcomeTimeframe, out s);
if (s < 0.6)
{
throw new Exception("s < o.6: " + s);
}
//bool[][] outcomeCodeData = OutcomeGenerator.getOutcomeCode(selectedPriceDataArray, outcomeData, outcomeCodePercent, out s);
bool[][] outcomeCodeFirstData = OutcomeGenerator.getOutcomeCodeFirst(selectedPriceDataArray, outcomeTimeframe, outcomeCodePercent, out s);
if (s < 0.6)
{
throw new Exception("s < o.6: " + s);
}
string[] indicatorIds;
//This part can be skipped by caching todo: get from outside
double hash = outcomeTimeframe + selectedPriceData[0].Sum() + selectedPriceData[selectedPriceData.Count - 1].Sum() + selectedPriceData[selectedPriceData.Count / 2].Sum();
string optimalIndicatorsFileName = cachePath + "/" + "optimalIndicatorsIn_" + hash + "_" + selectedPriceData[selectedPriceData.Count - 1][(int)PriceDataIndeces.Date] + "_" + timeframeToLookBack + "_" + outcomeCodePercent + ".txt";
if (cachePath != null && File.Exists(optimalIndicatorsFileName))
{
indicatorIds = File.ReadAllText(optimalIndicatorsFileName).Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries);
Logger.log("Loaded optimal indicators from file: " + optimalIndicatorsFileName);
}
else
{
//Shuffle okay indicators? todo:
Logger.log("Generated optimal indicators");
IndicatorOptimizer optimizer = new IndicatorOptimizer(selectedPriceDataArray, outcomeData, outcomeCodeFirstData, outcomeTimeframe, outcomeCodePercent, minPercentThreshold, learningIndicatorSteps);
indicatorIds = optimizer.getOptimizedIndicators(okayIndicators, indicatorSelector, 8);
File.WriteAllLines(optimalIndicatorsFileName, indicatorIds);
}
Logger.log("Selected indicators: ");
List <LearningIndicator> lis = new List <LearningIndicator>();
foreach (string str in indicatorIds)
{
Logger.log(str);
WalkerIndicator ind = IndicatorGenerator.getIndicatorByString(str);
if (ind.getName() != str)
{
throw new Exception(str + "!=" + ind.getName());
}
lis.Add(new LearningIndicator(ind, selectedPriceDataArray, outcomeCodeFirstData, outcomeData, outcomeTimeframe, outcomeCodePercent, minPercentThreshold, learningIndicatorSteps, false));
}
SignalMachine sm = new AlternativeSignalMachine(lis.ToArray()); //Todo: make accessable copy?
Logger.log("SM STATE: ##################" + Environment.NewLine + sm.getStateMessage());
//Make them up to date
List <double[]> selectedPriceDataForIndicatorInit = new List <double[]>();
for (int i = priceData.Count - 1; i > 0; i--)
{
if (Convert.ToInt64(priceData[i][(int)PriceDataIndeces.Date]) > timestampNow - timeframeToLookBackForIndicatorInit)
{
selectedPriceDataForIndicatorInit.Insert(0, priceData[i]); //Todo: List direction correct?
}
else
{
break;
}
}
foreach (double[] row in selectedPriceDataForIndicatorInit)
{
sm.pushPrice(row);
}
this.signalMachine = sm;
}
