public static void Detrend(DataHolder dataHolder)
{
var length = dataHolder.Candles.Count;
double firstLogValue = Math.Log(dataHolder.Candles[0].Close);
double lastLogValue = Math.Log(dataHolder.Candles[length - 1].Close);
double difference = (lastLogValue - firstLogValue) / length;
for (int i = 0; i < length; i++)
{
dataHolder.DetrenedValues.Add(new DetrendedValue()
{
Date = dataHolder.Candles[i].Date,
Value = Math.Exp(Math.Log(dataHolder.Candles[i].Close) - i * difference)
});
}
}
internal static void LoadData(string dataFilePath, DataHolder dataHolder)
{
string line;
var isFirstLine = true;
using (var sr = new StreamReader(dataFilePath))
{
while ((line = sr.ReadLine()) != null)
{
if (isFirstLine)
{
isFirstLine = false; continue;
}
var candle = ProcessLine(line);
dataHolder.Candles.Add(candle);
}
}
}
static void Main(string[] args)
{
//TestLinearRegression tr = new TestLinearRegression();
//return;
var vtbDataFilePath = @"AppData\ICE.BRN_090803_140803.txt";
var sbrDataFilePath = @"AppData\SBER_100526_101231.txt";
var vtbDataHolder = new DataHolder();
var sbrDataHolder = new DataHolder();
DataLoader.LoadData(vtbDataFilePath, vtbDataHolder);
DataLoader.LoadData(sbrDataFilePath, sbrDataHolder);
LinearDetrender.Detrend(vtbDataHolder);
LinearDetrender.Detrend(sbrDataHolder);
var dataWriter = new DetrendedValueResultGenerator();
dataWriter.WriteData(sbrDataHolder);
}
internal void WriteData(DataHolder result)
{
var directoryPath = Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments) + @"\R\Data";
var resultDataPath = directoryPath + "\\" + "Result.txt";
if (!Directory.Exists(directoryPath))
{
Directory.CreateDirectory(directoryPath);
}
using (var fileStream = new FileStream(resultDataPath, FileMode.Create))
{
using (var writer = new StreamWriter(fileStream))
{
writer.WriteLine("V DV");
for (int i = 0; i < result.Candles.Count; i++)
{
writer.WriteLine("{0} {1}", result.Candles[i].Close, result.DetrenedValues[i].Value);
}
}
}
}
public MonthlyDistributionRule(DataHolder usdrubDataHolder)
{
this._usdrubDataHolder = usdrubDataHolder;
}
public void Calculate(LogScaleDetrendedChangesValuator logScaleDetrendedChangesValuator, DataHolder dataHolder)
{
dataHolder.Changes = logScaleDetrendedChangesValuator.Valuate(dataHolder.Candles);
}