public void Setup()
{
_spec = new EuroJackpotSpec();
var lottery = new Lottery(_spec);
var lotteryDataFactory = new MultiLotteryDataFactory(lottery);
_provider = new LotteryProvider(lotteryDataFactory);
_featuresManager = new FeaturesFactory();
}
static void Main(string[] args)
{
var candles = Oanda.LoadCandles("EUR_USD", "S5", DateTime.Now.AddDays(-60));
var collection = new CandleCollection("EUR_USD", Period.S, 5);
var stochasticS5 = new StochasticStats(collection);
var M1Consolditation = new ConsolidatedCandleCollection(collection, Period.M, 1);
var M15Consolditation = new ConsolidatedCandleCollection(collection, Period.M, 15);
var stochasticM1 = new StochasticStats(M1Consolditation);
var H1Consolditation = new ConsolidatedCandleCollection(collection, Period.H, 1);
var stochastich1 = new StochasticStats(H1Consolditation);
var H2Consolditation = new ConsolidatedCandleCollection(collection, Period.H, 2);
var winpip = new PipExpectation(collection, 60);
float count = candles.Where(c => c.Time < DateTime.Now.AddDays(-10)).Count();
float iterator = 0;
float percentiterator = 1;
System.Console.Write("Loading candles cache [");
foreach (OandaCandle candle in candles)
{
DateTime datetime = new DateTime(candle.Time.Year, candle.Time.Month, candle.Time.Day, candle.Time.Hour, candle.Time.Minute, candle.Time.Second);
collection.AddCandle(datetime, candle.Mid.O, candle.Mid.C, candle.Mid.H, candle.Mid.L, candle.Volume);
iterator++;
if (iterator * 10 / count > percentiterator)
{
percentiterator++;
System.Console.Write(".");
}
}
System.Console.WriteLine("] DONE");
FeaturesFactory features = new FeaturesFactory();
features.SetCollection(collection);
features.AddFeaturable(M1Consolditation);
features.AddFeaturable(M15Consolditation);
features.AddFeaturable(H1Consolditation);
features.AddFeaturable(H2Consolditation);
features.AddFeaturable(stochasticM1);
features.AddFeaturable(stochastich1);
features.AddFeaturable(stochasticS5);
features.SetPredition(winpip);
MLContext mlContext = new MLContext();
var regressors = new List <IEstimator <ITransformer> >()
{
mlContext.Regression.Trainers.FastForest(),
mlContext.Regression.Trainers.FastTree(),
mlContext.Regression.Trainers.FastTreeTweedie(),
mlContext.Regression.Trainers.OnlineGradientDescent(),
mlContext.Regression.Trainers.LbfgsPoissonRegression(),
mlContext.Regression.Trainers.LightGbm(numberOfIterations: 300),
mlContext.Regression.Trainers.Sdca(),
mlContext.Regression.Trainers.Gam(),
};
foreach (var regressor in regressors)
{
var model = features.Fit(regressor, DateTime.Now.AddDays(-10));
LearnedTradeStrategy strategy = new LearnedTradeStrategy(features, model);
strategy.Initialize();
TradeSimulation simulation = new TradeSimulation(collection, strategy);
DateTime from = DateTime.Now.AddDays(-7).Date;
DateTime to = DateTime.Now.Date;
simulation.Simulate(from, to);
}
//TradeSimulation simulation = new TradeSimulation(collection, strategy);
//DateTime from = DateTime.Now.AddDays(-7).Date;
//DateTime to = DateTime.Now.Date;
//simulation.Simulate(from, to);
}
public IndexVortex(FeaturesFactory featuresManager)
{
_featuresManager = featuresManager;
}
