public static double optimizeOutcomeCodePercentage(int rounds, out double outcomeCodePercent, double[][] priceData, double[][] outcomes, out double buyDist, out double sellDist)
{
outcomeCodePercent = 0.5;
buyDist = double.NaN;
sellDist = double.NaN;
double lastScore = double.MinValue;
double direction = -0.01;
int round;
for (round = 1; round < rounds; round++)
{
double successRatioCode;
bool[][] outcomeCodes = OutcomeGenerator.getOutcomeCode(priceData, outcomes, outcomeCodePercent, out successRatioCode);
if (successRatioCode < 0.9)
{
throw new TooLittleValidDataException("Too low success ratio: " + successRatioCode);
}
DistributionHelper.getOutcomeCodeDistribution(outcomeCodes, out buyDist, out sellDist);
double score = ((buyDist + sellDist) / 2) * outcomeCodePercent;
if (score < lastScore) //Wrong direction
{
direction = direction * (-1);
Logger.log("New opt. direction: " + direction);
}
if (outcomeCodePercent <= 0 && direction <= 0)
{
direction = Math.Abs(direction);
}
outcomeCodePercent += (direction / (1 + (round / 20)));
Logger.log("PercDist OPT. Round " + round + " -> " + outcomeCodePercent + "% = |s" + Math.Round(score, 4) + "| b" + Math.Round(buyDist, 4) + " s" + Math.Round(sellDist, 4));
lastScore = score;
round++;
}
return(outcomeCodePercent);
}
public static double findOutcomeCodeForDesiredDistribution(double desiredDistribution, double tolerance, double[][] priceData, double[][] outcomeMatrix, out double buyDist, out double sellDist)
{
double outcomeCodePercent = 0.5;
int round = 0;
while (true)
{
double successRatioCode;
bool[][] outcomeCodes = OutcomeGenerator.getOutcomeCode(priceData, outcomeMatrix, outcomeCodePercent, out successRatioCode);
if (successRatioCode < 0.9)
{
throw new TooLittleValidDataException("Too few outcome codes: " + successRatioCode);
}
DistributionHelper.getOutcomeCodeDistribution(outcomeCodes, out buyDist, out sellDist);
double score = (buyDist + sellDist) / 2;
if (score > desiredDistribution - tolerance && score < desiredDistribution + tolerance)
{
break;
}
else if (score > desiredDistribution + tolerance)
{
outcomeCodePercent += (outcomeCodePercent / (10 + round));
}
else if (score < desiredDistribution - tolerance)
{
outcomeCodePercent -= (outcomeCodePercent / (10 + round));
}
Logger.log("SetDist OPT. Round " + round + " -> " + outcomeCodePercent + "% = b" + Math.Round(buyDist, 4) + " s" + Math.Round(sellDist, 4) + " =" + Math.Round(score, 4));
round++;
}
return(outcomeCodePercent);
}
public void getOutcomeCodeDistribution_Test()
{
bool[][] inputs = new bool[100][];
for (int i = 0; i < 50; i++)
{
inputs[i] = new bool[] { true, true };
}
for (int i = 50; i < 100; i++)
{
inputs[i] = new bool[] { false, true };
}
for (int i = 50; i < 75; i++)
{
inputs[i][(int)OutcomeCodeMatrixIndices.Sell] = false;
}
double buyR, sellR;
DistributionHelper.getOutcomeCodeDistribution(inputs, out buyR, out sellR);
Assert.AreEqual(0.5, buyR);
Assert.AreEqual(0.75, sellR);
}