private double GetMonteCarloProbHighTouchesM(double sigma, int numSteps, double m, int iterations)
{
var countAbove = 0;
for (var i = 0; i < iterations; i++)
{
var hasAbove = false;
var startPrice = 0.0;
for (var j = 0; j < numSteps; j++)
{
startPrice += Gaussian.BoxMuller(0, sigma);
if (startPrice >= m)
{
hasAbove = true;
break;
}
}
if (hasAbove)
{
countAbove++;
}
}
return((double)countAbove / iterations);
}
private void GenerateLoop()
{
var genPass = new Random();
var quoteNames = new[] { "EURUSD", "GBPUSD", "USDJPY", "USDCHF" };
var quoteMO = new[] { 1.2858f, 1.4261f, 96.45f, 0.9875f };
var quoteSig = new[] { 0.0003f, 0.0004f, 0.03f, 0.0003f };
while (!stopFlag)
{
var lstNames = new List <string>();
var lstQuotes = new List <QuoteData>();
for (var i = 0; i < quoteNames.Length; i++)
{
// случайно пропустить пару
if (genPass.Next(100) > 70)
{
continue;
}
// расчитать новое значение
quoteMO[i] = quoteMO[i] + quoteSig[i] * (float)Gaussian.BoxMuller(0, 0.00015f);
lstNames.Add(quoteNames[i]);
lstQuotes.Add(new QuoteData(quoteMO[i], quoteMO[i] + quoteSig[i], DateTime.Now));
if (onQuotesReceived != null)
{
onQuotesReceived(lstNames, lstQuotes);
}
}
Thread.Sleep(200);
}
}
//public override void Add(Plant p)
//{
// p.Tilt = InitialTilt();
// p.currNormal = Quaternion.identity;
//}
protected Quaternion InitialTilt()
{
var gaussian = Gaussian.BoxMuller();
var tilt = Quaternion.FromToRotation(Vector3.up, Vector3.back)
* Quaternion.Euler(tiltPower * gaussian.x, Random.Range(0f, ROUND_IN_DEG), tiltPower * gaussian.y);
return(tilt);
}
public Vector2 RandomStep()
{
#if RANDOM_UNIFORM
return(new Vector2(
sigma * dist.x * Random.Range(-1f, 1f),
sigma * dist.y * Random.Range(-1f, 1f)));
#else
var g = Gaussian.BoxMuller();
return(new Vector2(sigma * dist.x * g.x, sigma * dist.y * g.y));
#endif
}
public void TestDeltaGeneration()
{
var candles = new List <CandleData>();
for (var i = 0; i < 10000; i++)
{
var delta = Gaussian.BoxMuller(0, 1);
candles.Add(new CandleData(100, 100,
99, 100 + (float)delta, new DateTime(), new DateTime()));
}
// небольшой процент больших смещений
for (var i = 0; i < 10; i++)
{
var delta = 5 * (i % 2 == 0 ? 1 : -1);
candles.Add(new CandleData(100, 100,
99, 100 + 1f * (float)delta, new DateTime(), new DateTime()));
}
var listOc = candles.Select(c => (double)(c.close - c.open)).OrderBy(c => c).ToList();
var model = new PriceModel(listOc);
const int checksCount = 5000;
var deltas = new double[checksCount];
for (var i = 0; i < checksCount; i++)
{
deltas[i] = model.GetRandomDelta();
}
var meanDelta = deltas.Average();
var maxDelta = deltas.Max(d => Math.Abs(d));
var vl = deltas.Sum(d => (d - meanDelta) * (d - meanDelta));
vl = Math.Sqrt(vl / checksCount);
Assert.Less(Math.Abs(meanDelta), 0.3, "Mean value should be around 0");
Assert.Less(Math.Abs(vl - 1), 0.3, "AD should be around 1");
Assert.Greater(maxDelta, 1, "max delta should be greater than 1");
}
public double CalculateDelta()
{
return(Gaussian.BoxMuller(0, volatility.Value));
}