public void TestCreateSmall()
{
//Prices 1.0 0.9, 1.1, 1.2
List <Price> prices = new List <Price>();
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 0), 1.0, 1.1));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 1), 0.9, 1.0));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 2), 1.1, 1.2));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 3), 1.2, 1.3));
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, prices.AsReadOnly());
List <IIndicator> indicators_features = new List <IIndicator>();
indicators_features.Add(new IndicatorRunningAverage(0));
indicators_features.Add(new IndicatorRunningAverage(1));
List <IIndicator> indicators_labels = new List <IIndicator>();
indicators_labels.Add(new IndicatorMagicProfit(0));
indicators_labels.Add(new IndicatorMagicProfit(1));
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
IDataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, new IndicatorFusion(indicators_features), new IndicatorFusion(indicators_labels));
Assert.AreEqual(0.90, dataset.FeatureData[0][0], 0.0000001);
Assert.AreEqual(0.95, dataset.FeatureData[0][1], 0.0000001);
Assert.AreEqual(1.10, dataset.FeatureData[1][0], 0.0000001);
Assert.AreEqual(1.00, dataset.FeatureData[1][1], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[0][0], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[0][1], 0.0000001);
Assert.AreEqual(0.10, dataset.LabelData[0][2], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[0][3], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[1][0], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[1][1], 0.0000001);
Assert.AreEqual(0.0, dataset.LabelData[1][2], 0.0000001);
Assert.AreEqual(0.0, dataset.LabelData[1][3], 0.0000001);
}
public void TestCreateMedium()
{
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, ToolsCollection.Select(ToolsPrice.GetPriceList(ToolsPrice.DefaultSymbolGBPUSD), 0, 40));
List <IIndicator> indicators_features = new List <IIndicator>();
indicators_features.Add(new IndicatorRunningAverage(0));
indicators_features.Add(new IndicatorRunningAverage(1));
List <IIndicator> indicators_labels = new List <IIndicator>();
indicators_labels.Add(new IndicatorMagicProfit(0));
indicators_labels.Add(new IndicatorMagicProfit(1));
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
IDataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, new IndicatorFusion(indicators_features), new IndicatorFusion(indicators_labels));
Assert.AreEqual(39, dataset.InstanceCount);
Assert.AreEqual(2, dataset.FeatureCount);
Assert.AreEqual(4, dataset.LabelCount);
}
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);
}
