//**************************************************************************************
public static WekaJ48 CreateNew(int iParamtersID, List <ClassifierParameter> iParameters, Candlestick.Period iPeriod, int iProfitTime, List <int> iTrainingPoints)
{
// Create WekaInfo and retrive ID
var info = new WekaInfo(null, typeof(WekaJ48), iParamtersID, iPeriod, iProfitTime);
WekaInfo.InsertToDB(info);
if (info.ID is null)
{
throw new Exception("Could not deduct ID");
}
// Create J48Info
var j48Info = new WekaJ48Info((int)info.ID);
WekaJ48Info.UpdateDB(j48Info);
// Save training points
if (iTrainingPoints != null)
{
SaveTrainingPoints(iTrainingPoints, "Data/TrainingPoints/Classifier_" + info.ID.ToString() + ".dat");
}
// Create classifier
return(new WekaJ48(info, iParameters, j48Info));
}
//**************************************************************************************
public override void RebuildClassifier()
{
Console.WriteLine("Rebuilding classifier: " + ID);
// Start removal from children
foreach (var i in J48Info.ChildrenID)
{
if (i != null)
{
var c = Find((int)i);
if (c != null)
{
c.RemoveClassifier();
}
}
}
// Update info
J48Info.OnClassifierRebuild();
WekaJ48Info.UpdateDB(J48Info);
// Remove model
DeleteModel(ID);
// Remove training data
DeleteTrainingPoints(ID);
}
//**************************************************************************************
public override void RemoveClassifier()
{
if (!Exist(ID))
{
return;
}
Console.WriteLine("Removing classifier: " + ID);
// Start removal from children
foreach (var i in J48Info.ChildrenID)
{
if (i != null)
{
var c = Find((int)i);
if (c != null)
{
c.RemoveClassifier();
}
}
}
// Remove model
DeleteModel(ID);
// Remove training data
DeleteTrainingPoints(ID);
// Remove info from parents
if (J48Info.ParentID != null)
{
if (Find((int)J48Info.ParentID) is WekaJ48 parent)
{
for (int i = 0; i < parent.J48Info.ChildrenID.Length; i++)
{
if (parent.J48Info.ChildrenID[i] == ID)
{
parent.J48Info.ChildrenID[i] = null;
WekaJ48Info.UpdateDB(parent.J48Info);
}
}
}
}
// Remove info
WekaJ48Info.RemoveFromDB(ID);
WekaInfo.RemoveFromDB(ID);
// Remove target classifier from static list
classifiers.Remove(ID);
}
//**************************************************************************************
/// <summary>
/// Inserts prediction profits info to DB
/// </summary>
public static void UpdateDB(WekaJ48Info iInfo)
{
var sql = "IF EXISTS(SELECT * FROM J48Info WHERE Id = @ID) " +
"Update J48Info SET " +
"ProfitAverage = @ProfitAverage, ProfitStdDev = @ProfitStdDev, Precision = @Precision, ParentID=@ParentID, ChildWeakBuyID=@ChildWeakBuyID, ChildBuyID=@ChildBuyID, ChildStrongBuyID=@ChildStrongBuyID, ChildWeakSellID=@ChildWeakSellID, ChildSellID=@ChildSellID, ChildStrongSellID=@ChildStrongSellID, ReproductionComplete=@ReproductionComplete, IsSingular=@IsSingular, PPWeakBuy=@PPWeakBuy, PPBuy=@PPBuy, PPStrongBuy=@PPStrongBuy, PPWeakSell=@PPWeakSell, PPSell=@PPSell, PPStrongSell=@PPStrongSell " +
" Where ID = @ID " +
"ELSE" +
" INSERT INTO J48Info (Id, ProfitAverage, ProfitStdDev, Precision, ParentID, ChildWeakBuyID, ChildBuyID, ChildStrongBuyID, ChildWeakSellID, ChildSellID, ChildStrongSellID, ReproductionComplete, IsSingular, PPWeakBuy, PPBuy, PPStrongBuy, PPWeakSell, PPSell, PPStrongSell) VALUES(@ID, @ProfitAverage, @ProfitStdDev, @Precision, @ParentID, @ChildWeakBuyID, @ChildBuyID, @ChildStrongBuyID, @ChildWeakSellID, @ChildSellID, @ChildStrongSellID, @ReproductionComplete, @IsSingular, @PPWeakBuy, @PPBuy, @PPStrongBuy, @PPWeakSell, @PPSell, @PPStrongSell)";
using (var connection = new SqlConnection(Program.SQLConnectionName))
{
connection.Open();
var cmd = new SqlCommand(sql, connection);
cmd.Parameters.AddWithValue("@Id", iInfo.ID);
cmd.Parameters.AddWithValue("@ProfitAverage", (object)iInfo.ProfitAverage ?? DBNull.Value);
cmd.Parameters.AddWithValue("@ProfitStdDev", (object)iInfo.ProfitStdDev ?? DBNull.Value);
cmd.Parameters.AddWithValue("@Precision", (object)iInfo.Precision ?? DBNull.Value);
cmd.Parameters.AddWithValue("@ParentID", (object)iInfo.ParentID ?? DBNull.Value);
foreach (WekaJ48.Prediction p in (WekaJ48.Prediction[])Enum.GetValues(typeof(WekaJ48.Prediction)))
{
cmd.Parameters.AddWithValue("@Child" + p.ToString() + "ID", (object)iInfo.ChildrenID[(int)p] ?? DBNull.Value);
}
cmd.Parameters.AddWithValue("@ReproductionComplete", (object)iInfo.ReproductionComplete ?? DBNull.Value);
cmd.Parameters.AddWithValue("@IsSingular", (object)iInfo.IsSingular ?? DBNull.Value);
foreach (WekaJ48.Prediction p in (WekaJ48.Prediction[])Enum.GetValues(typeof(WekaJ48.Prediction)))
{
cmd.Parameters.AddWithValue("@PP" + p.ToString(), (object)iInfo.PredictionProfits[(int)p] ?? DBNull.Value);
}
var dataAdapter = new SqlDataAdapter
{
InsertCommand = cmd
};
dataAdapter.InsertCommand.ExecuteNonQuery();
dataAdapter.InsertCommand.Dispose();
}
}
//**************************************************************************************
/// <summary>
/// Build cllasifier model and save it to a file.
/// </summary>
public override void Build(CandlestickCollection iCandlestick)
{
List <int> trainingPoints = null;
// Calculate average profit and std dev
if (J48Info.ProfitAverage is null || J48Info.ProfitStdDev is null)
{
trainingPoints = LoadTrainingPoints(iCandlestick, ID, ProfitTime);
float[] profits = FullToTraining(new List <float>(CalculateFutureProfits(iCandlestick[kTrainingPeriod], ProfitTime)), trainingPoints).ToArray();
J48Info.ProfitStdDev = Statistics.StandardDeviation(profits);
J48Info.ProfitAverage = J48Info.ParentID is null ? 0.0f : Statistics.ArithmeticMean(profits);
WekaJ48Info.UpdateDB(J48Info);
}
// Build model
if (!File.Exists(ModelFilename))
{
OutputMessage("Building model");
if (trainingPoints is null)
{
trainingPoints = LoadTrainingPoints(iCandlestick, ID, ProfitTime);
}
Model = new weka.classifiers.trees.J48();
Model.buildClassifier(CreateInstances(iCandlestick, trainingPoints, Attributes, Parameters, Period, ProfitTime));
weka.core.SerializationHelper.write(ModelFilename, Model);
}
// Perfrom crossfold test
if (J48Info.Precision is null)
{
if (Model is null)
{
LoadModel();
}
OutputMessage("Perfroming crossfold");
if (trainingPoints is null)
{
trainingPoints = LoadTrainingPoints(iCandlestick, ID, ProfitTime);
}
var instances = CreateInstances(iCandlestick, trainingPoints, Attributes, Parameters, Period, ProfitTime);
var evaluation = new weka.classifiers.Evaluation(instances);
evaluation.crossValidateModel(Model, instances, 10, new java.util.Random(0));
J48Info.Precision = (float)evaluation.pctCorrect();
WekaJ48Info.UpdateDB(J48Info);
}
// Perfrom singular test
if (J48Info.IsSingular == null)
{
if (Model is null)
{
LoadModel();
}
OutputMessage("Perfroming singular test");
var results = new SortedList <Prediction, List <int> >();
foreach (Prediction p in (Prediction[])Enum.GetValues(typeof(Prediction)))
{
results.Add(p, new List <int>());
}
if (trainingPoints is null)
{
trainingPoints = LoadTrainingPoints(iCandlestick, ID, ProfitTime);
}
var parameters = CalculateParameters(Parameters, iCandlestick, trainingPoints, Period);
for (int k = 0; k < parameters.Count; k++)
{
var pred = Predict(parameters[k]);
results[pred].Add(trainingPoints[k]);
}
J48Info.IsSingular = results.Count(x => x.Value.Count > 0) <= 1;
WekaJ48Info.UpdateDB(J48Info);
}
// Calculating prediction profits
if (J48Info.PredictionProfits.Count(x => x != null) == 0)
{
if (Model is null)
{
LoadModel();
}
OutputMessage("Calculating prediction profits");
if (trainingPoints is null)
{
trainingPoints = LoadTrainingPoints(iCandlestick, ID, ProfitTime);
}
var predictionPoints = GetHistoricalPredictionPoints(iCandlestick, trainingPoints);
foreach (Prediction p in (Prediction[])Enum.GetValues(typeof(Prediction)))
{
float[] profits = FullToTraining(new List <float>(CalculateFutureProfits(iCandlestick[kTrainingPeriod], ProfitTime)), predictionPoints[p]).ToArray();
if (profits.Length < 10)
{
J48Info.PredictionProfits[(int)p] = DecisionToFutureProfit(p, (float)J48Info.ProfitStdDev, (float)J48Info.ProfitAverage);
}
else
{
J48Info.PredictionProfits[(int)p] = Statistics.ArithmeticMean(profits);
}
}
WekaJ48Info.UpdateDB(J48Info);
}
// Create children
if (!J48Info.ReproductionComplete.GetValueOrDefault(false))
{
lock (this)
{
if (J48Info.Precision > 50.0f && !J48Info.IsSingular.GetValueOrDefault(false))
{
OutputMessage("Creating children");
if (trainingPoints is null)
{
trainingPoints = LoadTrainingPoints(iCandlestick, ID, ProfitTime);
}
var predictionPoints = GetHistoricalPredictionPoints(iCandlestick, trainingPoints);
foreach (Prediction p in (Prediction[])Enum.GetValues(typeof(Prediction)))
{
if (predictionPoints[p] != null && predictionPoints[p].Count >= 1000 && J48Info.ChildrenID[(int)p] == null)
{
var child = CreateNew(ParametersID, Parameters, Period, ProfitTime, predictionPoints[p]);
// Set parent
child.J48Info.ParentID = ID;
WekaJ48Info.UpdateDB(child.J48Info);
// Update parent info
J48Info.ChildrenID[(int)p] = (int)child.ID;
WekaJ48Info.UpdateDB(J48Info);
childs[(int)p] = child;
}
}
}
J48Info.ReproductionComplete = true;
WekaJ48Info.UpdateDB(J48Info);
}
}
}
//**************************************************************************************
public WekaJ48(WekaInfo iInfo, List <ClassifierParameter> iParameters, WekaJ48Info iJ48Info)
: base(iInfo, iParameters)
{
J48Info = iJ48Info ?? throw new ArgumentNullException("iJ48Info");
}
//**************************************************************************************
/// <summary>
/// Loads prediction profits from DB.
/// </summary>
public static List <WekaJ48Info> LoadFromDB()
{
var results = new List <WekaJ48Info>();
var sql = "Select * from J48Info";
using (var connection = new SqlConnection(Program.SQLConnectionName))
{
connection.Open();
var command = new SqlCommand(sql, connection);
using (var reader = command.ExecuteReader())
while (reader.Read())
{
var info = new WekaJ48Info(reader.GetInt32(reader.GetOrdinal("Id")));
if (!reader.IsDBNull(reader.GetOrdinal("ProfitAverage")))
{
info.ProfitAverage = (float)reader.GetDouble(reader.GetOrdinal("ProfitAverage"));
}
if (!reader.IsDBNull(reader.GetOrdinal("ProfitStdDev")))
{
info.ProfitStdDev = (float)reader.GetDouble(reader.GetOrdinal("ProfitStdDev"));
}
if (!reader.IsDBNull(reader.GetOrdinal("Precision")))
{
info.Precision = (float)reader.GetDouble(reader.GetOrdinal("Precision"));
}
if (!reader.IsDBNull(reader.GetOrdinal("ParentID")))
{
info.ParentID = reader.GetInt32(reader.GetOrdinal("ParentID"));
}
foreach (WekaJ48.Prediction p in (WekaJ48.Prediction[])Enum.GetValues(typeof(WekaJ48.Prediction)))
{
if (!reader.IsDBNull(reader.GetOrdinal("Child" + p.ToString() + "ID")))
{
info.ChildrenID[(int)p] = reader.GetInt32(reader.GetOrdinal("Child" + p.ToString() + "ID"));
}
}
if (!reader.IsDBNull(reader.GetOrdinal("ReproductionComplete")))
{
info.ReproductionComplete = reader.GetBoolean(reader.GetOrdinal("ReproductionComplete"));
}
if (!reader.IsDBNull(reader.GetOrdinal("IsSingular")))
{
info.IsSingular = reader.GetBoolean(reader.GetOrdinal("IsSingular"));
}
foreach (WekaJ48.Prediction p in (WekaJ48.Prediction[])Enum.GetValues(typeof(WekaJ48.Prediction)))
{
if (!reader.IsDBNull(reader.GetOrdinal("PP" + p.ToString())))
{
info.PredictionProfits[(int)p] = (float)reader.GetDouble(reader.GetOrdinal("PP" + p.ToString()));
}
}
results.Add(info);
}
}
return(results);
}
