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* Downloading TXTS & TSDIFF * Seasonality and moving average data
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Submodule EnjoLib
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| +34 −0 | lib/Statistical/Statistical.cpp | |
| +1 −0 | lib/Statistical/Statistical.hpp |
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| Original file line number | Diff line number | Diff line change |
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| #include "Seasonal.h" | ||
| #include "IDataProvider.h" | ||
| #include "IBufferCandles.h" | ||
| #include "Candle.h" | ||
| #include "typesVec.h" | ||
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| #include <Util/CoutBuf.hpp> | ||
| #include <Statistical/Matrix.hpp> | ||
| #include <Statistical/Statistical.hpp> | ||
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| #include <STD/VectorCpp.hpp> | ||
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| using namespace EnjoLib; | ||
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| const int Seasonal::PERIOD_SEASONAL = 24; /// TODO: Exclude Weekend! Iterate by date? | ||
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| /* | ||
| Seasonal::Seasonal() | ||
| { | ||
| //ctor | ||
| } | ||
| Seasonal::~Seasonal() | ||
| { | ||
| //dtor | ||
| } | ||
| */ | ||
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| VecF Seasonal::Run(const VecD & sig, int pred) const | ||
| { | ||
| const int period = PERIOD_SEASONAL; | ||
| //const int maxNumObs = 1; /// TODO: This is the original signal | ||
| //const int maxNumObs = 50; /// TODO: This is already a model | ||
| const int maxNumObs = m_averages; | ||
| const Statistical stat; | ||
| const VecCan & canVec = m_dat.GetCandles().GetDataVec(); | ||
| //Matrix obs(period); | ||
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| VecF ret; | ||
| for (int i = 0; i < sig.size(); ++i) | ||
| { | ||
| if (i < period) | ||
| { | ||
| ret.Add(0); | ||
| } | ||
| else | ||
| { | ||
| const Candle & canThis = canVec.at(i); | ||
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| VecD obsV(period); | ||
| for (int j = i - 1; j >= pred; j -= 1) | ||
| //for (int j = i; j >= period; j -= period) | ||
| { | ||
| const Candle & canTest = canVec.at(j); | ||
| if (not IsSeasonalCandle(canThis, canTest)) | ||
| { | ||
| continue; | ||
| } | ||
| //LOGL << "Found can = " << canTest.GetDateStr() << " for this " << canThis.GetDateStr() << Nl; | ||
| const double diff = sig.at(j) - sig.at(j-pred); | ||
| //const double diff = sig.at(j) - sig.at(j-period); | ||
| const int idx = j % period; | ||
| obsV.Add(diff); | ||
| if (int(obsV.size()) >= maxNumObs) | ||
| { | ||
| break; | ||
| } | ||
| } | ||
| const double val = obsV.Mean(); | ||
| //const double val = stat.Median(obsV); | ||
| ret.Add(val); | ||
| } | ||
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| } | ||
| //ret = sig; | ||
| //LOGL << "Len ret = " << ret.Len() << ", sig = " << sig.Len() << Nl; | ||
| return ret; | ||
| } | ||
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| int Seasonal::FindOffsetToSeasonalCandle(int idxStart0, const VecCan & vecCan) | ||
| { | ||
| const Candle & canThis = vecCan.at(idxStart0); | ||
| for (int j = idxStart0 - 1; j >= 0; j -= 1) | ||
| { | ||
| const Candle & canTest = vecCan.at(j); | ||
| if (not IsSeasonalCandle(canThis, canTest)) | ||
| { | ||
| continue; | ||
| } | ||
| return j; | ||
| } | ||
| return -1; | ||
| } | ||
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| bool Seasonal::IsSeasonalCandle(const Candle & canThis, const Candle & canTest) | ||
| { | ||
| return canThis.GetHour() == canTest.GetHour(); | ||
| } | ||
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| VecF SeasonalModel::Run(const VecD & sig, int pred) const | ||
| { | ||
| const VecF & base = Seasonal::Run(sig, pred); | ||
| return base * m_averages * 0.7; | ||
| } | ||
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| double SeasonalModel::PredictNext(const BufferDouble & datExpanding) const | ||
| { | ||
| return Run(datExpanding.GetData()).Last(); | ||
| } | ||
| unsigned SeasonalModel::GetLags() const | ||
| { | ||
| return PERIOD_SEASONAL; | ||
| } | ||
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| VecF SeasonalModel2::Run(const VecD & sig, int pred) const | ||
| { | ||
| const int pers = Seasonal::PERIOD_SEASONAL; | ||
| const VecF & base = m_model.Run(sig, pred); | ||
| VecF ret(base.size(), 0); | ||
| for (int i = pred; i < 2 ; ++i) | ||
| { | ||
| const float val = base[i]; | ||
| //ret.push_back(val); | ||
| } | ||
| for (int i = pers; i < base.size() - pred; ++i) | ||
| { | ||
| //const float val = base.at(i + pred); | ||
| //ret.push_back(val); | ||
| } | ||
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| for (int i = pers; i < base.size(); ++i) | ||
| { | ||
| if (i < base.size() - 1) | ||
| { | ||
| const float val = base.at(i - pers + 1); | ||
| ret.at(i) = val; | ||
| } | ||
| else | ||
| { | ||
| const float val = base.at(i); | ||
| //ret.push_back(val); | ||
| ret.at(i) = val; | ||
| } | ||
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| } | ||
| //ret.pop_front(); | ||
| //ret.pop_back(); | ||
| //LOGL << "Seasonal2 = " << ret.Print(); | ||
| //ret = base; | ||
| return ret; | ||
| } | ||
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| double SeasonalModel2::PredictNext(const BufferDouble & datExpanding) const | ||
| { | ||
| return Run(datExpanding.GetData()).Last(); | ||
| } | ||
| unsigned SeasonalModel2::GetLags() const | ||
| { | ||
| return Seasonal::PERIOD_SEASONAL - 1; | ||
| } | ||
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