internal void DoExperiment()
{
ToolsPrice.ComposeBinary(ToolsPrice.DefaultSymbolGBPUSD);
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD).SubSet(new DateTimeUTC(2016, 10, 17), new DateTimeUTC(2016, 10, 20));
//PlotLine2D line_plot_2d_0 = new PlotLine2D();
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Spot, PriceType.Bid, Color.Blue);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Spot, PriceType.Mean, Color.Green);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Spot, PriceType.Ask, Color.Red);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Day1, PriceType.Bid, Color.Black);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Day1, PriceType.Mean, Color.Green);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Day1, PriceType.Ask, Color.Red);
//ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot0.png", line_plot_2d_0);
IIndicator indicator = new IndicatorMagicProfit(60);
PlotLine2D line_plot_2d_1 = new PlotLine2D();
ToolsTradingPlotting.AddIndicatorResult(line_plot_2d_1, price_set, indicator, new Color[] { Color.Red, Color.Green }, new int[] { 0, 1 });
ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot3.png", line_plot_2d_1);
//ToolsTradingPlotting.PlotPriceBid(ToolsTradingDataSet.GetPath() + "prices.png", prices);
//ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_0.png", prices, indicator_0, color_list, index_list, true);
//ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_1.png", prices, indicator_1, color_list, index_list, true);
//IPolicyTemplate policy = new PolicyTemplateJaapBands();
//MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
//MarketResult market_result = exchange.Run(policy.Instance());
//Console.WriteLine(market_result.EndCash + " in: " + market_result.Market.ClosedOrders.Count);
//PlotLine2D line_plot_2d_0 = new PlotLine2D();
//ToolsTradingPlotting.AddBidAskTrades(line_plot_2d_0, market_result);
//ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot0.png", line_plot_2d_0);
//PlotLine2D line_plot_2d_1 = new PlotLine2D();
//ToolsTradingPlotting.AddCashEquity(line_plot_2d_1, market_result);
//ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot1.png", line_plot_2d_1);
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IIndicator> indicators = new List <IIndicator>();
indicators.Add(new IndicatorRunningAverage(4));
indicators.Add(new IndicatorRunningAverage(6));
indicators.Add(new IndicatorRunningAverage(8));
indicators.Add(new IndicatorRunningAverage(10));
indicators.Add(new IndicatorRunningAverage(12));
IIndicator feature_indicator = new IndicatorFusion(indicators);
IIndicator label_indicator = new IndicatorMagicProfit(60);
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
DataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, feature_indicator, label_indicator);
ITemplateModelLabel <double, double> template = null;//new TemplateModelLibSVMCSVC();
IModelLabel <double, double> model = template.GenerateModel(dataset);
//TODO change everyting into templates
List <IIndicator> indicators_2 = new List <IIndicator>();
indicators_2.Add(new IndicatorRunningAverage(4));
indicators_2.Add(new IndicatorRunningAverage(6));
indicators_2.Add(new IndicatorRunningAverage(8));
indicators_2.Add(new IndicatorRunningAverage(10));
indicators_2.Add(new IndicatorRunningAverage(12));
IIndicator feature_indicator_2 = new IndicatorFusion(indicators_2);
//Build actual incator
IIndicator indicator_0 = new IndicatorMagicProfit(60);
IIndicator indicator_1 = new IndicatorMachineLearning(feature_indicator_2, model, "Profit_long_ml");
IList <Color> color_list = new Color[] { Color.Black };
IList <int> index_list = new int[] { 0 };
ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_0.png", price_set, indicator_0, color_list, index_list, false);
ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_1.png", price_set, indicator_1, color_list, index_list, false);
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IPolicy> policies = new List <IPolicy>();
double long_threshold = 10 * Math.Pow(10, -6);
double short_threshold = -10 * Math.Pow(10, -6);
for (int index = 0; index < 1; index++)
{
policies.Add(new PolicyTemplateJaapBands().Instance());
}
MarketResult[] market_results = new MarketResult[policies.Count];
Parallel.For(0, policies.Count, index =>
{
MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
market_results[index] = exchange.Run(policies[index]);
});
List <Tuple <MarketResult, IPolicy> > accepted_policy = new List <Tuple <MarketResult, IPolicy> >();
for (int index = 0; index < market_results.Length; index++)
{
// if(market_results[index].Market.ClosedOrders.Count > 9 && market_results[index].EndCash > 10000)
// {
accepted_policy.Add(new Tuple <MarketResult, IPolicy>(market_results[index], policies[index]));
// }
}
for (int index = 0; index < accepted_policy.Count; index++)
{
var xx = accepted_policy[index];
Console.WriteLine(xx.Item1.EndCash + " in: " + xx.Item1.Market.ClosedOrders.Count);
ToolsTradingPlotting.PlotMarketResult(ToolsTradingDataSet.GetPath() + "Trades" + index + ".png", xx.Item1);
}
}
