public void ExecuteBest(DateTime nowDate, List<CandidateClassifier> minScoreInfos) { OutputRealDealSummary(nowDate); float totalCost = 0; int totalDeal = 0; if (minScoreInfos != null) { List<DealInfo> candidateDeals = new List<DealInfo>(); foreach (var minScoreInfo in minScoreInfos) { minScoreInfo.WekaData.GenerateData(false, true); weka.core.Instances minTestInstances = minScoreInfo.WekaData.CurrentTestInstances; weka.core.Instances minTestInstancesNew = minScoreInfo.WekaData.CurrentTestInstancesNew; if (minTestInstances.numInstances() > 0) { MyEvaluation eval = new MyEvaluation(minScoreInfo.CostMatrix); eval.evaluateModel(minScoreInfo.CurrentTestRet, minScoreInfo.CurrentClassValue); float vol; // vol = (float)minScoreInfo.MoneyManagement.GetVolume(null); vol = 0.1F; //vol = (float)Math.Round(minScore / -20000.0, 1); //WekaUtils.DebugAssert(vol > 0); int tp = (int)eval.numTruePositives(1); int fp = (int)eval.numFalsePositives(1); double minScore = minScoreInfo.Deals.NowScore; //WekaUtils.Instance.WriteLog(string.Format("Best Classifier: N={0},TC={1},TP={2},FP={3},TD={4},TV={5},TTP={6},TFP={7},", // minScoreInfo.Name, minScoreInfo.Deals.NowScore.ToString(Parameters.DoubleFormatString), // minScoreInfo.Deals.NowTp, minScoreInfo.Deals.NowFp, minScoreInfo.Deals.NowDeal, // minScoreInfo.Deals.TotalVolume.ToString("N2"), tp, fp), // true, ConsoleColor.DarkGreen); // Exclude //if (TestParameters.EnableExcludeClassifier) //{ //if (minScoreInfo.ExcludeClassifier == null) //{ // string modelFileName4Exclude = GetExcludeModelFileName(minScoreInfo.Name); // minScoreInfo.ExcludeClassifier = WekaUtils.TryLoadClassifier(modelFileName4Exclude); //} //} for (int i = 0; i < minScoreInfo.CurrentTestRet.Length; i++) { if (minScoreInfo.CurrentTestRet[i] == 2) { if (minScoreInfo.ExcludeClassifier != null) { double cv2 = minScoreInfo.ExcludeClassifier.classifyInstance(minTestInstancesNew.instance(i)); if (cv2 != 2) continue; } candidateDeals.Add(new DealInfo(WekaUtils.GetDateValueFromInstances(minTestInstances, 0, i), (float)WekaUtils.GetValueFromInstance(minTestInstances, "mainClose", i), minScoreInfo.DealType, (float)vol, (float)(minScoreInfo.CurrentClassValue[i] == 2 ? -minScoreInfo.Tp : minScoreInfo.Sl), WekaUtils.GetDateValueFromInstances(minTestInstances, 1, i))); } } float nowCost = (float)eval.totalCost(); int nowDeal = tp + fp; totalCost += nowCost * vol; totalDeal += nowDeal; //float diff = Math.Abs(totalCost - realDealsInfo.TotalCost); //WekaUtils.DebugAssert(diff < 5); //WekaUtils.DebugAssert(Math.Abs(totalDeal - (realDealsInfo.NowDeal + realDealsInfo.CurrentDeal)) == 0); //if (diff > 0.5) // totalCost = realDealsInfo.TotalCost; IterateClassifierInfos((k, i, j, h) => { if (m_classifierInfoIdxs[k, i, j, h] == minScoreInfo) { m_totalScores[k, i, j, h] += nowCost; m_totalDeals[k, i, j, h] += nowDeal; return false; } else { return true; } }); } } int selectCount = 50; for (int i = 0; i < selectCount; ++i) { if (candidateDeals.Count == 0) break; int selectedDealIdx = (int)Math.Round(m_randomGenerator.NextDouble() * candidateDeals.Count); if (selectedDealIdx == candidateDeals.Count) selectedDealIdx = candidateDeals.Count - 1; m_realDealsInfo.AddDeal(candidateDeals[selectedDealIdx]); candidateDeals.RemoveAt(selectedDealIdx); } } //if (m_enableDetailLogLevel2) //{ // IterateClassifierInfos((k, i, j, h) => // { // if (h == m_currentTestHour && m_totalScores[k, i, j, h] != 0) // { // WekaUtils.Instance.WriteLog(string.Format("Predict score for {0}: TC={1}, TD={2}", m_classifierInfoIdxs[k, i, j, h].Name, m_totalScores[k, i, j, h].ToString(Parameters.DoubleFormatString), m_totalDeals[k, i, j, h])); // } // }); //} if (!string.IsNullOrEmpty(currentSummary)) { WekaUtils.Instance.WriteLog(currentSummary, true, ConsoleColor.Red); System.Console.Title = nowDate.ToString(Parameters.DateTimeFormat) + ":" + currentSummary; } //if (m_enableDetailLogLevel2) //{ // if (TestParameters.EnablePerhourTrain) // { // double[] totalCostPerHour = new double[m_classifierInfoIdxs.GetLength(3)]; // int[] totalDealPerHour = new int[m_classifierInfoIdxs.GetLength(3)]; // IterateClassifierInfos((k, i, j, h) => // { // totalCostPerHour[h] += m_totalScores[k, i, j, h]; // totalDealPerHour[h] += m_totalDeals[k, i, j, h]; // }); // for (int i = 0; i < totalCostPerHour.Length; ++i) // { // if (totalCostPerHour[i] == 0) // continue; // WekaUtils.Instance.WriteLog(string.Format("Predict score Per hour of {0}: TC={1}, TD={2}", i, totalCostPerHour[i].ToString(Parameters.DoubleFormatString), totalDealPerHour[i])); // } // } //if ((m_testTimeStart.Month == 4 || m_testTimeStart.Month == 3) && m_testTimeStart.Day == 20) //{ // foreach (var cls in m_classifierInfos) // { // WekaUtils.Instance.WriteLog(cls.Value.Deals.PrintAll()); // } //} //if (m_currentTestHour == 0) //{ // var cls = m_classifierInfoIdxs[0, 0, 0, 0]; // WekaUtils.Instance.WriteLog((cls.Classifier as RandomClassifier).GetCountInfo()); //} //} //if (m_saveDataFile) //{ // var files = System.IO.Directory.GetFiles(m_baseDir, "*.arff"); // if (files.Length > 100) // { // foreach (string fileName in files) // { // try // { // System.IO.File.Delete(fileName); // } // catch (Exception) // { // } // } // } //} }
public void ExecuteBest(DateTime nowDate, List <CandidateClassifier> minScoreInfos) { OutputRealDealSummary(nowDate); float totalCost = 0; int totalDeal = 0; if (minScoreInfos != null) { List <DealInfo> candidateDeals = new List <DealInfo>(); foreach (var minScoreInfo in minScoreInfos) { minScoreInfo.WekaData.GenerateData(false, true); weka.core.Instances minTestInstances = minScoreInfo.WekaData.CurrentTestInstances; weka.core.Instances minTestInstancesNew = minScoreInfo.WekaData.CurrentTestInstancesNew; if (minTestInstances.numInstances() > 0) { MyEvaluation eval = new MyEvaluation(minScoreInfo.CostMatrix); eval.evaluateModel(minScoreInfo.CurrentTestRet, minScoreInfo.CurrentClassValue); float vol; // vol = (float)minScoreInfo.MoneyManagement.GetVolume(null); vol = 0.1F; //vol = (float)Math.Round(minScore / -20000.0, 1); //WekaUtils.DebugAssert(vol > 0); int tp = (int)eval.numTruePositives(1); int fp = (int)eval.numFalsePositives(1); double minScore = minScoreInfo.Deals.NowScore; //WekaUtils.Instance.WriteLog(string.Format("Best Classifier: N={0},TC={1},TP={2},FP={3},TD={4},TV={5},TTP={6},TFP={7},", // minScoreInfo.Name, minScoreInfo.Deals.NowScore.ToString(Parameters.DoubleFormatString), // minScoreInfo.Deals.NowTp, minScoreInfo.Deals.NowFp, minScoreInfo.Deals.NowDeal, // minScoreInfo.Deals.TotalVolume.ToString("N2"), tp, fp), // true, ConsoleColor.DarkGreen); // Exclude //if (TestParameters.EnableExcludeClassifier) //{ //if (minScoreInfo.ExcludeClassifier == null) //{ // string modelFileName4Exclude = GetExcludeModelFileName(minScoreInfo.Name); // minScoreInfo.ExcludeClassifier = WekaUtils.TryLoadClassifier(modelFileName4Exclude); //} //} for (int i = 0; i < minScoreInfo.CurrentTestRet.Length; i++) { if (minScoreInfo.CurrentTestRet[i] == 2) { if (minScoreInfo.ExcludeClassifier != null) { double cv2 = minScoreInfo.ExcludeClassifier.classifyInstance(minTestInstancesNew.instance(i)); if (cv2 != 2) { continue; } } candidateDeals.Add(new DealInfo(WekaUtils.GetDateValueFromInstances(minTestInstances, 0, i), (float)WekaUtils.GetValueFromInstance(minTestInstances, "mainClose", i), minScoreInfo.DealType, (float)vol, (float)(minScoreInfo.CurrentClassValue[i] == 2 ? -minScoreInfo.Tp : minScoreInfo.Sl), WekaUtils.GetDateValueFromInstances(minTestInstances, 1, i))); } } float nowCost = (float)eval.totalCost(); int nowDeal = tp + fp; totalCost += nowCost * vol; totalDeal += nowDeal; //float diff = Math.Abs(totalCost - realDealsInfo.TotalCost); //WekaUtils.DebugAssert(diff < 5); //WekaUtils.DebugAssert(Math.Abs(totalDeal - (realDealsInfo.NowDeal + realDealsInfo.CurrentDeal)) == 0); //if (diff > 0.5) // totalCost = realDealsInfo.TotalCost; IterateClassifierInfos((k, i, j, h) => { if (m_classifierInfoIdxs[k, i, j, h] == minScoreInfo) { m_totalScores[k, i, j, h] += nowCost; m_totalDeals[k, i, j, h] += nowDeal; return(false); } else { return(true); } }); } } int selectCount = 50; for (int i = 0; i < selectCount; ++i) { if (candidateDeals.Count == 0) { break; } int selectedDealIdx = (int)Math.Round(m_randomGenerator.NextDouble() * candidateDeals.Count); if (selectedDealIdx == candidateDeals.Count) { selectedDealIdx = candidateDeals.Count - 1; } m_realDealsInfo.AddDeal(candidateDeals[selectedDealIdx]); candidateDeals.RemoveAt(selectedDealIdx); } } //if (m_enableDetailLogLevel2) //{ // IterateClassifierInfos((k, i, j, h) => // { // if (h == m_currentTestHour && m_totalScores[k, i, j, h] != 0) // { // WekaUtils.Instance.WriteLog(string.Format("Predict score for {0}: TC={1}, TD={2}", m_classifierInfoIdxs[k, i, j, h].Name, m_totalScores[k, i, j, h].ToString(Parameters.DoubleFormatString), m_totalDeals[k, i, j, h])); // } // }); //} if (!string.IsNullOrEmpty(currentSummary)) { WekaUtils.Instance.WriteLog(currentSummary, true, ConsoleColor.Red); System.Console.Title = nowDate.ToString(Parameters.DateTimeFormat) + ":" + currentSummary; } //if (m_enableDetailLogLevel2) //{ // if (TestParameters.EnablePerhourTrain) // { // double[] totalCostPerHour = new double[m_classifierInfoIdxs.GetLength(3)]; // int[] totalDealPerHour = new int[m_classifierInfoIdxs.GetLength(3)]; // IterateClassifierInfos((k, i, j, h) => // { // totalCostPerHour[h] += m_totalScores[k, i, j, h]; // totalDealPerHour[h] += m_totalDeals[k, i, j, h]; // }); // for (int i = 0; i < totalCostPerHour.Length; ++i) // { // if (totalCostPerHour[i] == 0) // continue; // WekaUtils.Instance.WriteLog(string.Format("Predict score Per hour of {0}: TC={1}, TD={2}", i, totalCostPerHour[i].ToString(Parameters.DoubleFormatString), totalDealPerHour[i])); // } // } //if ((m_testTimeStart.Month == 4 || m_testTimeStart.Month == 3) && m_testTimeStart.Day == 20) //{ // foreach (var cls in m_classifierInfos) // { // WekaUtils.Instance.WriteLog(cls.Value.Deals.PrintAll()); // } //} //if (m_currentTestHour == 0) //{ // var cls = m_classifierInfoIdxs[0, 0, 0, 0]; // WekaUtils.Instance.WriteLog((cls.Classifier as RandomClassifier).GetCountInfo()); //} //} //if (m_saveDataFile) //{ // var files = System.IO.Directory.GetFiles(m_baseDir, "*.arff"); // if (files.Length > 100) // { // foreach (string fileName in files) // { // try // { // System.IO.File.Delete(fileName); // } // catch (Exception) // { // } // } // } //} }