public void Optimise(DateTime fromDate, DateTime toDate)
{
_stakingService.Evaluate(fromDate, toDate);
Dictionary <int, List <int> > histogram = new();
var history = _marketDataCache.TakeUntil(toDate).ToArray();
for (var i = 1; i < history.Length; i++)
{
var previousPrice = Convert.ToInt32(history[i - 1].DeltaPercent);
var currentPrice = Convert.ToInt32(history[i].DeltaPercent);
if (!histogram.ContainsKey(previousPrice))
{
histogram[previousPrice] = new List <int>();
}
histogram[previousPrice].Add(currentPrice);
}
var parameters = Enumerable.Range(1, 100)
.Select(x => new ProbabilityParameters {
Threshold = -x, Histogram = histogram
});
var optimal = _searcher.Maximum(parameters, fromDate, toDate);
_parameters = (ProbabilityParameters)optimal;
}
public void ProbabilityStrategyTest()
{
var data = CreateMarketData();
var parameters = new ProbabilityParameters();
var target = SimulateStrategy(data, x => x.Create(parameters));
var actual = ToApprovedString(target);
Approvals.Verify(actual);
}
public ProbabilityStrategy(
IMarketDataCache marketDataCache,
ISearcher searcher,
IStakingService stakingService,
ProbabilityParameters parameters)
{
_marketDataCache = marketDataCache;
_searcher = searcher;
_stakingService = stakingService;
_parameters = parameters;
}
public IStrategy Create(IParameters parameters)
{
return(parameters switch
{
LinearRegressionParameters p => Create(p),
RelativeStrengthParameters p => Create(p),
DeltaParameters p => Create(p),
VolumeParameters p => Create(p),
GradientParameters p => Create(p),
EntropyParameters p => Create(p),
StaticDatesParameters p => Create(p),
MovingAverageParameters p => Create(p),
HolidayEffectParameters p => Create(p),
WeightedParameters p => Create(p),
OptimalStoppingParameters p => Create(p),
ProbabilityParameters p => Create(p),
SpreadParameters p => Create(p),
ClusteringParameters p => Create(p),
_ => throw new NotImplementedException(),
});
