diff --git a/.gitignore b/.gitignore index 199093c..ea886c2 100644 --- a/.gitignore +++ b/.gitignore @@ -3,6 +3,7 @@ *.exe *.lst *.tmp +*.pdb # tex *.aux diff --git a/Makefile b/Makefile index 6933d53..04d23a8 100644 --- a/Makefile +++ b/Makefile @@ -12,10 +12,10 @@ all: macd.exe tester.exe trainer.exe macd.exe: macd.obj $(link) $(ldebug) $(conflags) /out:macd.exe macd.obj $(conlibs) -tester.exe: tester.obj decider.obj +tester.exe: tester.obj decider.obj simulator.obj $(link) $(ldebug) $(conflags) /out:tester.exe $** $(conlibs) -trainer.exe: trainer.obj decider.obj +trainer.exe: trainer.obj decider.obj simulator.obj $(link) $(ldebug) $(conflags) /out:trainer.exe $** $(conlibs) clean: diff --git a/common.h b/common.h index 66aa729..432d201 100644 --- a/common.h +++ b/common.h @@ -1,4 +1,5 @@ #include "network.h" #include "decider.h" -using current_decider = neural_decider<24, 12, 12, 32, 16>; +// 4 prices, 4 macd, 4 signal, 4 feedback loop +using current_decider = neural_decider<6, 8, 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+333.130005 +333.970001 +345 +315.230011 +310.420013 +315.730011 +323.660004 +322.309998 +334.070007 +335.48999 +334.769989 +333.299988 +346.170013 +352.049988 +357.420013 +350.98999 +343.059998 +330.929993 +335.119995 +333.350006 +328.200012 +332.299988 +329.100006 +327.170013 +345.51001 +341.839996 +326.630005 +325.600006 +321.350006 diff --git a/decider.h b/decider.h index c6f1fb1..a176958 100644 --- a/decider.h +++ b/decider.h @@ -6,11 +6,6 @@ #include #include -template -T sign(const T& value) { - return value < 0 ? -1 : (value > 0 ? value : 0); -} - class decider { public: double start_money; @@ -38,14 +33,16 @@ public: virtual void reset(double price); }; -template +template class neural_decider : public decider, macd_decider { public: - using network_t = network; - using self_t = neural_decider; + using network_t = network; + using self_t = neural_decider; network_t network; + vector feedback; + neural_decider() : network(), macd_decider() { } neural_decider(typename network_t::normalizer_t normalizer) : network(normalizer), macd_decider() { } @@ -63,6 +60,10 @@ public: double amount = buy - sell; amount -= sign(amount) * .5; + for (int i = 0; i < r; i++) { + feedback.set(i, 0, result.get(i + 2, 0)); + } + return abs(buy - sell) <= .5 ? 0 : amount * start_stock; } @@ -86,7 +87,6 @@ public: self_t combine(self_t smth, typename network_t::combiner_t combiner = [](const double& a, const double& b) { return .35*a + .65*b; }) { self_t result; - result.network = network.combine(smth.network, combiner); result.start_money = start_money; result.start_stock = start_stock; @@ -131,10 +131,9 @@ private: } // analytic data is normalized in its own domain - tech = normalize(tech); + tech = normalize(tech); - auto concated = concat(prices, tech); - return concat(concated, state); + return concat(concat(prices, tech), feedback); } }; diff --git a/helpers.h b/helpers.h index 541651e..b1fe927 100644 --- a/helpers.h +++ b/helpers.h @@ -6,6 +6,11 @@ using std::deque; +template +int sign(const T& value) { + return value < 0 ? -1 : (value > 0 ? 1 : 0); +} + template T ema(iter begin, iter end) { @@ -28,7 +33,6 @@ template class buffer : public deque { using deque::deque; - std::size_t limit; public: diff --git a/macd.cpp b/macd.cpp index 69e62f8..07ed8a7 100644 --- a/macd.cpp +++ b/macd.cpp @@ -1,5 +1,7 @@ #include +#include #include +#include #include "helpers.h" #include "argh.h" @@ -10,30 +12,49 @@ int main(int argc, const char* argv[]) args.add_params({ "l", "low" }); args.add_params({ "h", "high" }); args.add_params({ "s", "signal" }); + args.add_params({ "o", "output" }); args.parse(argc, argv); unsigned low, high, s; + std::string output; args({"l", "low"}, 12) >> low; args({"h", "high"}, 26) >> high; args({"s", "signal"}, 9) >> s; + args({"o", "output"}, "./intersections.csv") >> output; + + double price; + std::cin >> price; unsigned max = std::max({ low, high, s }); - buffer prices(max); + buffer prices(max, price); buffer macd(max); buffer signal(max); - - double price; std::cout << "no,price,macd,signal,delta" << std::endl; - for (int i = 0; std::cin >> price; i++) { + + std::ofstream intersections(output); + intersections << "no,x,action" << std::endl; + int i = 0, j = 0; + do { prices.add(price); double value = ema(prices.begin(), prices.begin() + low) - ema(prices.begin(), prices.begin() + high); macd.add(value); signal.add(ema(macd.begin(), macd.begin() + s)); - std::cout << i << "," << prices[0] << "," << macd[0] << "," << signal[0] << "," << prices[1] - prices[0] << std::endl; - } + if (sign(macd[0] - signal[0]) != sign(macd[1] - signal[1])) { + // zamiana + double x1 = i+1, x2 = i; + double y1 = macd[1], y2 = macd[0]; + double y3 = signal[1], y4 = signal[0]; + + double a = abs(y2 - y1), b = abs(y4 - y3); + double x = (a * x2 + b * x1) / (a + b); + intersections << ++j << "," << x << "," << (macd[0] - signal[0] > 0 ? "buy" : "sell") << std::endl; + } + + std::cout << ++i << "," << prices[0] << "," << macd[0] << "," << signal[0] << "," << prices[0] - prices[1] << std::endl; + } while(std::cin >> price); } diff --git a/macd/msft-intersect-a.tex b/macd/msft-intersect-a.tex new file mode 100644 index 0000000..7bf2a0d --- /dev/null +++ b/macd/msft-intersect-a.tex @@ -0,0 +1,134 @@ +\draw [sell] (action-1|-G c1r1.north) -- (action-1|-G c1r3.south); +\draw [buy] (action-2|-G c1r1.north) -- (action-2|-G c1r3.south); +\draw [sell] (action-3|-G c1r1.north) -- (action-3|-G c1r3.south); +\draw [buy] (action-4|-G c1r1.north) -- (action-4|-G c1r3.south); +\draw [sell] (action-5|-G c1r1.north) -- (action-5|-G c1r3.south); +\draw [buy] (action-6|-G c1r1.north) -- (action-6|-G c1r3.south); +\draw [sell] (action-7|-G c1r1.north) -- (action-7|-G c1r3.south); +\draw [buy] (action-8|-G c1r1.north) -- (action-8|-G c1r3.south); +\draw [sell] (action-9|-G c1r1.north) -- (action-9|-G c1r3.south); +\draw [buy] (action-10|-G c1r1.north) -- (action-10|-G c1r3.south); +\draw [sell] (action-11|-G c1r1.north) -- (action-11|-G c1r3.south); +\draw [buy] (action-12|-G c1r1.north) -- (action-12|-G c1r3.south); +\draw [sell] (action-13|-G c1r1.north) -- (action-13|-G c1r3.south); +\draw [buy] (action-14|-G c1r1.north) -- (action-14|-G c1r3.south); +\draw [sell] (action-15|-G c1r1.north) -- (action-15|-G c1r3.south); +\draw [buy] (action-16|-G c1r1.north) -- (action-16|-G c1r3.south); +\draw [sell] (action-17|-G c1r1.north) -- (action-17|-G c1r3.south); +\draw [buy] (action-18|-G c1r1.north) -- (action-18|-G c1r3.south); +\draw [sell] (action-19|-G c1r1.north) -- (action-19|-G c1r3.south); +\draw [buy] (action-20|-G c1r1.north) -- (action-20|-G c1r3.south); +\draw [sell] (action-21|-G c1r1.north) -- (action-21|-G c1r3.south); +\draw [buy] (action-22|-G c1r1.north) -- (action-22|-G c1r3.south); +\draw [sell] (action-23|-G c1r1.north) -- (action-23|-G c1r3.south); +\draw [buy] (action-24|-G c1r1.north) -- (action-24|-G c1r3.south); +\draw [sell] (action-25|-G c1r1.north) -- (action-25|-G c1r3.south); +\draw [buy] (action-26|-G c1r1.north) -- (action-26|-G c1r3.south); +\draw [sell] (action-27|-G c1r1.north) -- (action-27|-G c1r3.south); +\draw [buy] (action-28|-G c1r1.north) -- (action-28|-G c1r3.south); +\draw [sell] (action-29|-G c1r1.north) -- (action-29|-G c1r3.south); +\draw [buy] (action-30|-G c1r1.north) -- (action-30|-G c1r3.south); +\draw [sell] (action-31|-G c1r1.north) -- (action-31|-G c1r3.south); +\draw [buy] (action-32|-G c1r1.north) -- (action-32|-G c1r3.south); +\draw [sell] (action-33|-G c1r1.north) -- (action-33|-G c1r3.south); +\draw [buy] (action-34|-G c1r1.north) -- (action-34|-G c1r3.south); +\draw [sell] (action-35|-G c1r1.north) -- (action-35|-G c1r3.south); +\draw [buy] (action-36|-G c1r1.north) -- (action-36|-G c1r3.south); +\draw [sell] (action-37|-G c1r1.north) -- (action-37|-G c1r3.south); +\draw [buy] (action-38|-G c1r1.north) -- (action-38|-G c1r3.south); +\draw [sell] (action-39|-G c1r1.north) -- (action-39|-G c1r3.south); +\draw [buy] (action-40|-G c1r1.north) -- (action-40|-G c1r3.south); +\draw [sell] (action-41|-G c1r1.north) -- (action-41|-G c1r3.south); +\draw [buy] (action-42|-G c1r1.north) -- (action-42|-G c1r3.south); +\draw [sell] (action-43|-G c1r1.north) -- (action-43|-G c1r3.south); +\draw [buy] (action-44|-G c1r1.north) -- (action-44|-G c1r3.south); +\draw [sell] (action-45|-G c1r1.north) -- (action-45|-G c1r3.south); +\draw [buy] (action-46|-G c1r1.north) -- (action-46|-G c1r3.south); +\draw [sell] (action-47|-G c1r1.north) -- (action-47|-G c1r3.south); +\draw [buy] (action-48|-G c1r1.north) -- (action-48|-G c1r3.south); +\draw [sell] (action-49|-G c1r1.north) -- (action-49|-G c1r3.south); +\draw [buy] (action-50|-G c1r1.north) -- (action-50|-G c1r3.south); +\draw [sell] (action-51|-G c1r1.north) -- (action-51|-G c1r3.south); +\draw [buy] (action-52|-G c1r1.north) -- (action-52|-G c1r3.south); +\draw [sell] (action-53|-G c1r1.north) -- (action-53|-G c1r3.south); +\draw [buy] (action-54|-G c1r1.north) -- (action-54|-G c1r3.south); +\draw [sell] (action-55|-G c1r1.north) -- (action-55|-G c1r3.south); +\draw [buy] (action-56|-G c1r1.north) -- (action-56|-G c1r3.south); +\draw [sell] (action-57|-G c1r1.north) -- (action-57|-G c1r3.south); +\draw [buy] (action-58|-G c1r1.north) -- (action-58|-G c1r3.south); +\draw [sell] (action-59|-G c1r1.north) -- (action-59|-G c1r3.south); +\draw [buy] (action-60|-G c1r1.north) -- (action-60|-G c1r3.south); +\draw [sell] (action-61|-G c1r1.north) -- (action-61|-G c1r3.south); +\draw [buy] (action-62|-G c1r1.north) -- (action-62|-G c1r3.south); +\draw [sell] (action-63|-G c1r1.north) -- (action-63|-G c1r3.south); +\draw [buy] (action-64|-G c1r1.north) -- (action-64|-G c1r3.south); +\draw [sell] (action-65|-G c1r1.north) -- (action-65|-G c1r3.south); +\draw [buy] (action-66|-G c1r1.north) -- (action-66|-G c1r3.south); +\draw [sell] (action-67|-G c1r1.north) -- (action-67|-G c1r3.south); +\draw [buy] (action-68|-G c1r1.north) -- (action-68|-G c1r3.south); +\draw [sell] (action-69|-G c1r1.north) -- (action-69|-G c1r3.south); +\draw [buy] (action-70|-G c1r1.north) -- (action-70|-G c1r3.south); +\draw [sell] (action-71|-G c1r1.north) -- (action-71|-G c1r3.south); +\draw [buy] (action-72|-G c1r1.north) -- (action-72|-G c1r3.south); +\draw [sell] (action-73|-G c1r1.north) -- (action-73|-G c1r3.south); +\draw [buy] (action-74|-G c1r1.north) -- (action-74|-G c1r3.south); +\draw [sell] (action-75|-G c1r1.north) -- (action-75|-G c1r3.south); +\draw [buy] (action-76|-G c1r1.north) -- (action-76|-G c1r3.south); +\draw [sell] (action-77|-G c1r1.north) -- (action-77|-G c1r3.south); +\draw [buy] (action-78|-G c1r1.north) -- (action-78|-G c1r3.south); +\draw [sell] (action-79|-G c1r1.north) -- (action-79|-G c1r3.south); +\draw [buy] (action-80|-G c1r1.north) -- (action-80|-G c1r3.south); +\draw [sell] (action-81|-G c1r1.north) -- (action-81|-G c1r3.south); +\draw [buy] (action-82|-G c1r1.north) -- (action-82|-G c1r3.south); +\draw [sell] (action-83|-G c1r1.north) -- (action-83|-G c1r3.south); +\draw [buy] (action-84|-G c1r1.north) -- (action-84|-G c1r3.south); +\draw [sell] (action-85|-G c1r1.north) -- (action-85|-G c1r3.south); +\draw [buy] (action-86|-G c1r1.north) -- (action-86|-G c1r3.south); +\draw [sell] (action-87|-G c1r1.north) -- (action-87|-G c1r3.south); +\draw [buy] (action-88|-G c1r1.north) -- (action-88|-G c1r3.south); +\draw [sell] (action-89|-G c1r1.north) -- (action-89|-G c1r3.south); +\draw [buy] (action-90|-G c1r1.north) -- (action-90|-G c1r3.south); +\draw [sell] (action-91|-G c1r1.north) -- (action-91|-G c1r3.south); +\draw [buy] (action-92|-G c1r1.north) -- (action-92|-G c1r3.south); +\draw [sell] (action-93|-G c1r1.north) -- (action-93|-G c1r3.south); +\draw [buy] (action-94|-G c1r1.north) -- (action-94|-G c1r3.south); +\draw [sell] (action-95|-G c1r1.north) -- (action-95|-G c1r3.south); +\draw [buy] (action-96|-G c1r1.north) -- (action-96|-G c1r3.south); +\draw [sell] (action-97|-G c1r1.north) -- (action-97|-G c1r3.south); +\draw [buy] (action-98|-G c1r1.north) -- (action-98|-G c1r3.south); +\draw [sell] (action-99|-G c1r1.north) -- (action-99|-G c1r3.south); +\draw [buy] (action-100|-G c1r1.north) -- (action-100|-G c1r3.south); +\draw [sell] (action-101|-G c1r1.north) -- (action-101|-G c1r3.south); +\draw [buy] (action-102|-G c1r1.north) -- (action-102|-G c1r3.south); +\draw [sell] (action-103|-G c1r1.north) -- (action-103|-G c1r3.south); +\draw [buy] (action-104|-G c1r1.north) -- (action-104|-G c1r3.south); +\draw [sell] (action-105|-G c1r1.north) -- (action-105|-G c1r3.south); +\draw [buy] (action-106|-G c1r1.north) -- (action-106|-G c1r3.south); +\draw [sell] (action-107|-G c1r1.north) -- (action-107|-G c1r3.south); +\draw [buy] (action-108|-G c1r1.north) -- (action-108|-G c1r3.south); +\draw [sell] (action-109|-G c1r1.north) -- (action-109|-G c1r3.south); +\draw [buy] (action-110|-G c1r1.north) -- (action-110|-G c1r3.south); +\draw [sell] (action-111|-G c1r1.north) -- (action-111|-G c1r3.south); +\draw [buy] (action-112|-G c1r1.north) -- (action-112|-G c1r3.south); +\draw [sell] (action-113|-G c1r1.north) -- (action-113|-G c1r3.south); +\draw [buy] (action-114|-G c1r1.north) -- (action-114|-G c1r3.south); +\draw [sell] (action-115|-G c1r1.north) -- (action-115|-G c1r3.south); +\draw [buy] (action-116|-G c1r1.north) -- (action-116|-G c1r3.south); +\draw [sell] (action-117|-G c1r1.north) -- (action-117|-G c1r3.south); +\draw [buy] (action-118|-G c1r1.north) -- (action-118|-G c1r3.south); +\draw [sell] (action-119|-G c1r1.north) -- (action-119|-G c1r3.south); +\draw [buy] (action-120|-G c1r1.north) -- (action-120|-G c1r3.south); +\draw [sell] (action-121|-G c1r1.north) -- (action-121|-G c1r3.south); +\draw [buy] (action-122|-G c1r1.north) -- (action-122|-G c1r3.south); +\draw [sell] (action-123|-G c1r1.north) -- (action-123|-G c1r3.south); +\draw [buy] (action-124|-G c1r1.north) -- (action-124|-G c1r3.south); +\draw [sell] (action-125|-G c1r1.north) -- (action-125|-G c1r3.south); +\draw [buy] (action-126|-G c1r1.north) -- (action-126|-G c1r3.south); +\draw [sell] (action-127|-G c1r1.north) -- (action-127|-G c1r3.south); +\draw [buy] (action-128|-G c1r1.north) -- (action-128|-G c1r3.south); +\draw [sell] (action-129|-G c1r1.north) -- (action-129|-G c1r3.south); +\draw [buy] (action-130|-G c1r1.north) -- (action-130|-G c1r3.south); +\draw [sell] (action-131|-G c1r1.north) -- (action-131|-G c1r3.south); +\draw [buy] (action-132|-G c1r1.north) -- (action-132|-G c1r3.south); +\draw [sell] (action-133|-G c1r1.north) -- (action-133|-G c1r3.south); +\draw [buy] (action-134|-G c1r1.north) -- (action-134|-G c1r3.south); diff --git a/macd/msft-intersect-c.tex b/macd/msft-intersect-c.tex new file mode 100644 index 0000000..fd0a3e9 --- /dev/null +++ b/macd/msft-intersect-c.tex @@ -0,0 +1,134 @@ +\coordinate (action-1) at (0,0); +\coordinate (action-2) at (1,0); +\coordinate (action-3) at (3,0); +\coordinate (action-4) at (10,0); +\coordinate (action-5) at (29,0); +\coordinate (action-6) at (34,0); +\coordinate (action-7) at (47,0); +\coordinate (action-8) at (82,0); +\coordinate (action-9) at (96,0); +\coordinate (action-10) at (108,0); +\coordinate (action-11) at (127,0); +\coordinate (action-12) at (135,0); +\coordinate (action-13) at (144,0); +\coordinate (action-14) at (145,0); +\coordinate (action-15) at (152,0); +\coordinate (action-16) at (155,0); +\coordinate (action-17) at (163,0); +\coordinate (action-18) at (165,0); +\coordinate (action-19) at (181,0); +\coordinate (action-20) at (192,0); +\coordinate (action-21) at (193,0); +\coordinate (action-22) at (195,0); +\coordinate (action-23) at (196,0); +\coordinate (action-24) at (208,0); +\coordinate (action-25) at (214,0); +\coordinate (action-26) at (220,0); +\coordinate (action-27) at (234,0); +\coordinate (action-28) at (237,0); +\coordinate (action-29) at (251,0); +\coordinate (action-30) at (252,0); +\coordinate (action-31) at (253,0); +\coordinate (action-32) at (262,0); +\coordinate (action-33) at (275,0); +\coordinate (action-34) at (290,0); +\coordinate (action-35) at (295,0); +\coordinate (action-36) at (300,0); +\coordinate (action-37) at (305,0); +\coordinate (action-38) at (307,0); +\coordinate (action-39) at (322,0); +\coordinate (action-40) at (324,0); +\coordinate (action-41) at (331,0); +\coordinate (action-42) at (333,0); +\coordinate (action-43) at (334,0); +\coordinate (action-44) at (344,0); +\coordinate (action-45) at (354,0); +\coordinate (action-46) at (366,0); +\coordinate (action-47) at (379,0); +\coordinate (action-48) at (382,0); +\coordinate (action-49) at (389,0); +\coordinate (action-50) at (391,0); +\coordinate (action-51) at (393,0); +\coordinate (action-52) at (413,0); +\coordinate (action-53) at (433,0); +\coordinate (action-54) at (455,0); +\coordinate (action-55) at (463,0); +\coordinate (action-56) at (468,0); +\coordinate (action-57) at (469,0); +\coordinate (action-58) at (476,0); +\coordinate (action-59) at (479,0); +\coordinate (action-60) at (488,0); +\coordinate (action-61) at (505,0); +\coordinate (action-62) at (516,0); +\coordinate (action-63) at (521,0); +\coordinate (action-64) at (526,0); +\coordinate (action-65) at (548,0); +\coordinate (action-66) at (573,0); +\coordinate (action-67) at (574,0); +\coordinate (action-68) at (578,0); +\coordinate (action-69) at (585,0); +\coordinate (action-70) at (593,0); +\coordinate (action-71) at (605,0); +\coordinate (action-72) at (607,0); +\coordinate (action-73) at (612,0); +\coordinate (action-74) at (633,0); +\coordinate (action-75) at (664,0); +\coordinate (action-76) at (667,0); +\coordinate (action-77) at (678,0); +\coordinate (action-78) at (694,0); +\coordinate (action-79) at (701,0); +\coordinate (action-80) at (704,0); +\coordinate (action-81) at (706,0); +\coordinate (action-82) at (712,0); +\coordinate (action-83) at (715,0); +\coordinate (action-84) at (729,0); +\coordinate (action-85) at (739,0); +\coordinate (action-86) at (745,0); +\coordinate (action-87) at (758,0); +\coordinate (action-88) at (760,0); +\coordinate (action-89) at (772,0); +\coordinate (action-90) at (773,0); +\coordinate (action-91) at (778,0); +\coordinate (action-92) at (787,0); +\coordinate (action-93) at (791,0); +\coordinate (action-94) at (803,0); +\coordinate (action-95) at (823,0); +\coordinate (action-96) at (834,0); +\coordinate (action-97) at (835,0); +\coordinate (action-98) at (839,0); +\coordinate (action-99) at (860,0); +\coordinate (action-100) at (895,0); +\coordinate (action-101) at (910,0); +\coordinate (action-102) at (918,0); +\coordinate (action-103) at (927,0); +\coordinate (action-104) at (939,0); +\coordinate (action-105) at (946,0); +\coordinate (action-106) at (950,0); +\coordinate (action-107) at (964,0); +\coordinate (action-108) at (980,0); +\coordinate (action-109) at (989,0); +\coordinate (action-110) at (1000,0); +\coordinate (action-111) at (1001,0); +\coordinate (action-112) at (1011,0); +\coordinate (action-113) at (1015,0); +\coordinate (action-114) at (1019,0); +\coordinate (action-115) at (1020,0); +\coordinate (action-116) at (1021,0); +\coordinate (action-117) at (1034,0); +\coordinate (action-118) at (1042,0); +\coordinate (action-119) at (1055,0); +\coordinate (action-120) at (1067,0); +\coordinate (action-121) at (1077,0); +\coordinate (action-122) at (1096,0); +\coordinate (action-123) at (1110,0); +\coordinate (action-124) at (1123,0); +\coordinate (action-125) at (1124,0); +\coordinate (action-126) at (1127,0); +\coordinate (action-127) at (1147,0); +\coordinate (action-128) at (1158,0); +\coordinate (action-129) at (1183,0); +\coordinate (action-130) at (1204,0); +\coordinate (action-131) at (1215,0); +\coordinate (action-132) at (1221,0); +\coordinate (action-133) at (1240,0); +\coordinate (action-134) at (1250,0); diff --git a/macd/sin-intersect-a.tex b/macd/sin-intersect-a.tex new file mode 100644 index 0000000..6e533fa --- /dev/null +++ b/macd/sin-intersect-a.tex @@ -0,0 +1,18 @@ +\draw [sell] (action-1|-G c1r1.north) -- (action-1|-G c1r3.south); +\draw [buy] (action-2|-G c1r1.north) -- (action-2|-G c1r3.south); +\draw [sell] (action-3|-G c1r1.north) -- (action-3|-G c1r3.south); +\draw [buy] (action-4|-G c1r1.north) -- (action-4|-G c1r3.south); +\draw [sell] (action-5|-G c1r1.north) -- (action-5|-G c1r3.south); +\draw [buy] (action-6|-G c1r1.north) -- (action-6|-G c1r3.south); +\draw [sell] (action-7|-G c1r1.north) -- (action-7|-G c1r3.south); +\draw [buy] (action-8|-G c1r1.north) -- (action-8|-G c1r3.south); +\draw [sell] (action-9|-G c1r1.north) -- (action-9|-G c1r3.south); +\draw [buy] (action-10|-G c1r1.north) -- (action-10|-G c1r3.south); +\draw [sell] (action-11|-G c1r1.north) -- (action-11|-G c1r3.south); +\draw [buy] (action-12|-G c1r1.north) -- (action-12|-G c1r3.south); +\draw [sell] (action-13|-G c1r1.north) -- (action-13|-G c1r3.south); +\draw [buy] (action-14|-G c1r1.north) -- (action-14|-G c1r3.south); +\draw [sell] (action-15|-G c1r1.north) -- (action-15|-G c1r3.south); +\draw [buy] (action-16|-G c1r1.north) -- (action-16|-G c1r3.south); +\draw [sell] (action-17|-G c1r1.north) -- (action-17|-G c1r3.south); +\draw [buy] (action-18|-G c1r1.north) -- (action-18|-G c1r3.south); diff --git a/macd/sin-intersect-c.tex b/macd/sin-intersect-c.tex new file mode 100644 index 0000000..cd35d23 --- /dev/null +++ b/macd/sin-intersect-c.tex @@ -0,0 +1,18 @@ +\coordinate (action-1) at (1,0); +\coordinate (action-2) at (2,0); +\coordinate (action-3) at (23,0); +\coordinate (action-4) at (76,0); +\coordinate (action-5) at (138,0); +\coordinate (action-6) at (201,0); +\coordinate (action-7) at (264,0); +\coordinate (action-8) at (327,0); +\coordinate (action-9) at (390,0); +\coordinate (action-10) at (453,0); +\coordinate (action-11) at (515,0); +\coordinate (action-12) at (578,0); +\coordinate (action-13) at (641,0); +\coordinate (action-14) at (704,0); +\coordinate (action-15) at (767,0); +\coordinate (action-16) at (829,0); +\coordinate (action-17) at (892,0); +\coordinate (action-18) at (955,0); diff --git a/macd/wig-intersect-a.tex b/macd/wig-intersect-a.tex new file mode 100644 index 0000000..c63370a --- /dev/null +++ b/macd/wig-intersect-a.tex @@ -0,0 +1,103 @@ +\draw [buy] (action-1|-G c1r1.north) -- (action-1|-G c1r3.south); +\draw [sell] (action-2|-G c1r1.north) -- (action-2|-G c1r3.south); +\draw [buy] (action-3|-G c1r1.north) -- (action-3|-G c1r3.south); +\draw [sell] (action-4|-G c1r1.north) -- (action-4|-G c1r3.south); +\draw [buy] (action-5|-G c1r1.north) -- (action-5|-G c1r3.south); +\draw [sell] (action-6|-G c1r1.north) -- (action-6|-G c1r3.south); +\draw [buy] (action-7|-G c1r1.north) -- (action-7|-G c1r3.south); +\draw [sell] (action-8|-G c1r1.north) -- (action-8|-G c1r3.south); +\draw [buy] (action-9|-G c1r1.north) -- (action-9|-G c1r3.south); +\draw [sell] (action-10|-G c1r1.north) -- (action-10|-G c1r3.south); +\draw [buy] (action-11|-G c1r1.north) -- (action-11|-G c1r3.south); +\draw [sell] (action-12|-G c1r1.north) -- (action-12|-G c1r3.south); +\draw [buy] (action-13|-G c1r1.north) -- (action-13|-G c1r3.south); +\draw [sell] (action-14|-G c1r1.north) -- (action-14|-G c1r3.south); +\draw [buy] (action-15|-G c1r1.north) -- (action-15|-G c1r3.south); +\draw [sell] (action-16|-G c1r1.north) -- (action-16|-G c1r3.south); +\draw [buy] (action-17|-G c1r1.north) -- (action-17|-G c1r3.south); +\draw [sell] (action-18|-G c1r1.north) -- (action-18|-G c1r3.south); +\draw [buy] (action-19|-G c1r1.north) -- (action-19|-G c1r3.south); +\draw [sell] (action-20|-G c1r1.north) -- (action-20|-G c1r3.south); +\draw [buy] (action-21|-G c1r1.north) -- (action-21|-G c1r3.south); +\draw [sell] (action-22|-G c1r1.north) -- (action-22|-G c1r3.south); +\draw [buy] (action-23|-G c1r1.north) -- (action-23|-G c1r3.south); +\draw [sell] (action-24|-G c1r1.north) -- (action-24|-G c1r3.south); +\draw [buy] (action-25|-G c1r1.north) -- (action-25|-G c1r3.south); +\draw [sell] (action-26|-G c1r1.north) -- (action-26|-G c1r3.south); +\draw [buy] (action-27|-G c1r1.north) -- (action-27|-G c1r3.south); +\draw [sell] (action-28|-G c1r1.north) -- (action-28|-G c1r3.south); +\draw [buy] (action-29|-G c1r1.north) -- (action-29|-G c1r3.south); +\draw [sell] (action-30|-G c1r1.north) -- (action-30|-G c1r3.south); +\draw [buy] (action-31|-G c1r1.north) -- (action-31|-G c1r3.south); +\draw [sell] (action-32|-G c1r1.north) -- (action-32|-G c1r3.south); +\draw [buy] (action-33|-G c1r1.north) -- (action-33|-G c1r3.south); +\draw [sell] (action-34|-G c1r1.north) -- (action-34|-G c1r3.south); +\draw [buy] (action-35|-G c1r1.north) -- (action-35|-G c1r3.south); +\draw [sell] (action-36|-G c1r1.north) -- (action-36|-G c1r3.south); +\draw [buy] (action-37|-G c1r1.north) -- (action-37|-G c1r3.south); +\draw [sell] (action-38|-G c1r1.north) -- (action-38|-G c1r3.south); +\draw [buy] (action-39|-G c1r1.north) -- (action-39|-G c1r3.south); +\draw [sell] (action-40|-G c1r1.north) -- (action-40|-G c1r3.south); +\draw [buy] (action-41|-G c1r1.north) -- (action-41|-G c1r3.south); +\draw [sell] (action-42|-G c1r1.north) -- (action-42|-G c1r3.south); +\draw [buy] (action-43|-G c1r1.north) -- (action-43|-G c1r3.south); +\draw [sell] (action-44|-G c1r1.north) -- (action-44|-G c1r3.south); +\draw [buy] (action-45|-G c1r1.north) -- (action-45|-G c1r3.south); +\draw [sell] (action-46|-G c1r1.north) -- (action-46|-G c1r3.south); +\draw [buy] (action-47|-G c1r1.north) -- (action-47|-G c1r3.south); +\draw [sell] (action-48|-G c1r1.north) -- (action-48|-G c1r3.south); +\draw [buy] (action-49|-G c1r1.north) -- (action-49|-G c1r3.south); +\draw [sell] (action-50|-G c1r1.north) -- (action-50|-G c1r3.south); +\draw [buy] (action-51|-G c1r1.north) -- (action-51|-G c1r3.south); +\draw [sell] (action-52|-G c1r1.north) -- (action-52|-G c1r3.south); +\draw [buy] (action-53|-G c1r1.north) -- (action-53|-G c1r3.south); +\draw [sell] (action-54|-G c1r1.north) -- (action-54|-G c1r3.south); +\draw [buy] (action-55|-G c1r1.north) -- (action-55|-G c1r3.south); +\draw [sell] (action-56|-G c1r1.north) -- (action-56|-G c1r3.south); +\draw [buy] (action-57|-G c1r1.north) -- (action-57|-G c1r3.south); +\draw [sell] (action-58|-G c1r1.north) -- (action-58|-G c1r3.south); +\draw [buy] (action-59|-G c1r1.north) -- (action-59|-G c1r3.south); +\draw [sell] (action-60|-G c1r1.north) -- (action-60|-G c1r3.south); +\draw [buy] (action-61|-G c1r1.north) -- (action-61|-G c1r3.south); +\draw [sell] (action-62|-G c1r1.north) -- (action-62|-G c1r3.south); +\draw [buy] (action-63|-G c1r1.north) -- (action-63|-G c1r3.south); +\draw [sell] (action-64|-G c1r1.north) -- (action-64|-G c1r3.south); +\draw [buy] (action-65|-G c1r1.north) -- (action-65|-G c1r3.south); +\draw [sell] (action-66|-G c1r1.north) -- (action-66|-G c1r3.south); +\draw [buy] (action-67|-G c1r1.north) -- (action-67|-G c1r3.south); +\draw [sell] (action-68|-G c1r1.north) -- (action-68|-G c1r3.south); +\draw [buy] (action-69|-G c1r1.north) -- (action-69|-G c1r3.south); +\draw [sell] (action-70|-G c1r1.north) -- (action-70|-G c1r3.south); +\draw [buy] (action-71|-G c1r1.north) -- (action-71|-G c1r3.south); +\draw [sell] (action-72|-G c1r1.north) -- (action-72|-G c1r3.south); +\draw [buy] (action-73|-G c1r1.north) -- (action-73|-G c1r3.south); +\draw [sell] (action-74|-G c1r1.north) -- (action-74|-G c1r3.south); +\draw [buy] (action-75|-G c1r1.north) -- (action-75|-G c1r3.south); +\draw [sell] (action-76|-G c1r1.north) -- (action-76|-G c1r3.south); +\draw [buy] (action-77|-G c1r1.north) -- (action-77|-G c1r3.south); +\draw [sell] (action-78|-G c1r1.north) -- (action-78|-G c1r3.south); +\draw [buy] (action-79|-G c1r1.north) -- (action-79|-G c1r3.south); +\draw [sell] (action-80|-G c1r1.north) -- (action-80|-G c1r3.south); +\draw [buy] (action-81|-G c1r1.north) -- (action-81|-G c1r3.south); +\draw [sell] (action-82|-G c1r1.north) -- (action-82|-G c1r3.south); +\draw [buy] (action-83|-G c1r1.north) -- (action-83|-G c1r3.south); +\draw [sell] (action-84|-G c1r1.north) -- (action-84|-G c1r3.south); +\draw [buy] (action-85|-G c1r1.north) -- (action-85|-G c1r3.south); +\draw [sell] (action-86|-G c1r1.north) -- (action-86|-G c1r3.south); +\draw [buy] (action-87|-G c1r1.north) -- (action-87|-G c1r3.south); +\draw [sell] (action-88|-G c1r1.north) -- (action-88|-G c1r3.south); +\draw [buy] (action-89|-G c1r1.north) -- (action-89|-G c1r3.south); +\draw [sell] (action-90|-G c1r1.north) -- (action-90|-G c1r3.south); +\draw [buy] (action-91|-G c1r1.north) -- (action-91|-G c1r3.south); +\draw [sell] (action-92|-G c1r1.north) -- (action-92|-G c1r3.south); +\draw [buy] (action-93|-G c1r1.north) -- (action-93|-G c1r3.south); +\draw [sell] (action-94|-G c1r1.north) -- (action-94|-G c1r3.south); +\draw [buy] (action-95|-G c1r1.north) -- (action-95|-G c1r3.south); +\draw [sell] (action-96|-G c1r1.north) -- (action-96|-G c1r3.south); +\draw [buy] (action-97|-G c1r1.north) -- (action-97|-G c1r3.south); +\draw [sell] (action-98|-G c1r1.north) -- (action-98|-G c1r3.south); +\draw [buy] (action-99|-G c1r1.north) -- (action-99|-G c1r3.south); +\draw [sell] (action-100|-G c1r1.north) -- (action-100|-G c1r3.south); +\draw [buy] (action-101|-G c1r1.north) -- (action-101|-G c1r3.south); +\draw [sell] (action-102|-G c1r1.north) -- (action-102|-G c1r3.south); +\draw [buy] (action-103|-G c1r1.north) -- (action-103|-G c1r3.south); diff --git a/macd/wig-intersect-c.tex b/macd/wig-intersect-c.tex new file mode 100644 index 0000000..705c82d --- /dev/null +++ b/macd/wig-intersect-c.tex @@ -0,0 +1,103 @@ +\coordinate (action-1) at (1,0); +\coordinate (action-2) at (3,0); +\coordinate (action-3) at (14,0); +\coordinate (action-4) at (28,0); +\coordinate (action-5) at (48,0); +\coordinate (action-6) at (49,0); +\coordinate (action-7) at (52,0); +\coordinate (action-8) at (69,0); +\coordinate (action-9) at (90,0); +\coordinate (action-10) at (102,0); +\coordinate (action-11) at (112,0); +\coordinate (action-12) at (125,0); +\coordinate (action-13) at (126,0); +\coordinate (action-14) at (132,0); +\coordinate (action-15) at (158,0); +\coordinate (action-16) at (173,0); +\coordinate (action-17) at (186,0); +\coordinate (action-18) at (195,0); +\coordinate (action-19) at (207,0); +\coordinate (action-20) at (208,0); +\coordinate (action-21) at (209,0); +\coordinate (action-22) at (216,0); +\coordinate (action-23) at (220,0); +\coordinate (action-24) at (234,0); +\coordinate (action-25) at (236,0); +\coordinate (action-26) at (240,0); +\coordinate (action-27) at (260,0); +\coordinate (action-28) at (287,0); +\coordinate (action-29) at (319,0); +\coordinate (action-30) at (334,0); +\coordinate (action-31) at (338,0); +\coordinate (action-32) at (345,0); +\coordinate (action-33) at (352,0); +\coordinate (action-34) at (363,0); +\coordinate (action-35) at (374,0); +\coordinate (action-36) at (389,0); +\coordinate (action-37) at (400,0); +\coordinate (action-38) at (412,0); +\coordinate (action-39) at (429,0); +\coordinate (action-40) at (434,0); +\coordinate (action-41) at (450,0); +\coordinate (action-42) at (460,0); +\coordinate (action-43) at (472,0); +\coordinate (action-44) at (496,0); +\coordinate (action-45) at (502,0); +\coordinate (action-46) at (503,0); +\coordinate (action-47) at (506,0); +\coordinate (action-48) at (514,0); +\coordinate (action-49) at (517,0); +\coordinate (action-50) at (519,0); +\coordinate (action-51) at (532,0); +\coordinate (action-52) at (535,0); +\coordinate (action-53) at (549,0); +\coordinate (action-54) at (561,0); +\coordinate (action-55) at (564,0); +\coordinate (action-56) at (568,0); +\coordinate (action-57) at (574,0); +\coordinate (action-58) at (576,0); +\coordinate (action-59) at (580,0); +\coordinate (action-60) at (584,0); +\coordinate (action-61) at (588,0); +\coordinate (action-62) at (602,0); +\coordinate (action-63) at (607,0); +\coordinate (action-64) at (614,0); +\coordinate (action-65) at (629,0); +\coordinate (action-66) at (631,0); +\coordinate (action-67) at (637,0); +\coordinate (action-68) at (645,0); +\coordinate (action-69) at (648,0); +\coordinate (action-70) at (656,0); +\coordinate (action-71) at (660,0); +\coordinate (action-72) at (671,0); +\coordinate (action-73) at (682,0); +\coordinate (action-74) at (702,0); +\coordinate (action-75) at (713,0); +\coordinate (action-76) at (719,0); +\coordinate (action-77) at (726,0); +\coordinate (action-78) at (731,0); +\coordinate (action-79) at (733,0); +\coordinate (action-80) at (748,0); +\coordinate (action-81) at (761,0); +\coordinate (action-82) at (765,0); +\coordinate (action-83) at (776,0); +\coordinate (action-84) at (796,0); +\coordinate (action-85) at (816,0); +\coordinate (action-86) at (834,0); +\coordinate (action-87) at (841,0); +\coordinate (action-88) at (851,0); +\coordinate (action-89) at (853,0); +\coordinate (action-90) at (856,0); +\coordinate (action-91) at (858,0); +\coordinate (action-92) at (862,0); +\coordinate (action-93) at (870,0); +\coordinate (action-94) at (880,0); +\coordinate (action-95) at (900,0); +\coordinate (action-96) at (910,0); +\coordinate (action-97) at (918,0); +\coordinate (action-98) at (925,0); +\coordinate (action-99) at (933,0); +\coordinate (action-100) at (939,0); +\coordinate (action-101) at (949,0); +\coordinate (action-102) at (975,0); +\coordinate (action-103) at (993,0); diff --git a/matrix.h b/matrix.h index 8b1a9d1..7a1359c 100644 --- a/matrix.h +++ b/matrix.h @@ -77,7 +77,7 @@ class matrix matrix result; for (int i = 0; i < m; ++i) - for (int j = 0; j < m; ++j) + for (int j = 0; j < n; ++j) result.set(j, i, get(i, j)); @@ -243,6 +243,8 @@ vector normalize(const vector &vec) accumulator /= n; + if (!accumulator) return vec; + std::function normalizer = [accumulator](const T& item) { return item / accumulator; }; return map(vec, normalizer); } diff --git a/simulator.cpp b/simulator.cpp new file mode 100644 index 0000000..a4f57e2 --- /dev/null +++ b/simulator.cpp @@ -0,0 +1,44 @@ +#include "simulator.h" + +simulator::simulator(class decider* decider, double money, unsigned stock) + : decider(decider), money(money), start_money(money), stock(stock), start_stock(stock) +{ + decider->start_money = money; + decider->start_stock = stock; + + initialized = false; +} + +double simulator::proceed(double price) +{ + if (!initialized) { + initialized = true; + start_price = price; + decider->reset(price); + } + + auto decision = decider->decide(price, money, stock); + auto current = price * stock + money; + auto max_credit = std::max(current * this->credit_ratio, -this->max_credit); + + if (decision < 0) { + decision = std::max(decision, -stock); // cannot sell more than we actually have + } else if (decision > 0) { + decision = std::min(floor((money + max_credit) / price), decision); + } + + money -= price * decision; + stock += decision; + + return decision; +} + +std::vector simulator::proceed(std::vector prices) +{ + std::vector result; + for(auto price : prices) { + result.push_back(proceed(price)); + } + + return result; +} diff --git a/simulator.h b/simulator.h new file mode 100644 index 0000000..301e452 --- /dev/null +++ b/simulator.h @@ -0,0 +1,23 @@ +#include + +#include "decider.h" + +class simulator { + decider* decider; + double start_money; + unsigned start_stock; + + bool initialized; + +public: + double credit_ratio = 0.05; + double max_credit = 1e5; + + double money, start_price; + unsigned stock; + + simulator(class decider* decider, double money, unsigned stock); + + double proceed(double price); + std::vector proceed(std::vector prices); +}; diff --git a/sprawozdanie/macd.tex b/sprawozdanie/macd.tex index 4f430eb..130dec0 100644 --- a/sprawozdanie/macd.tex +++ b/sprawozdanie/macd.tex @@ -1,16 +1,26 @@ -\begin{axis}[ - axis lines=center, no marks, - width=\linewidth, height=.66\linewidth, +\begin{groupplot}[width=\linewidth, height=4cm, group style={ + group size=1 by 4, + vertical sep=.2cm, + group name=G + }, + axis lines=center, + no marks, + xtick=\empty, clip=false ] - \addplot table [x expr=\coordindex, y=price, col sep=comma] {\file}; -\end{axis} + \nextgroupplot + \addplot +[thick] table [x=no, y=price, col sep=comma] {\file}; -\begin{axis}[ - axis lines=center, no marks, - width=\linewidth, height=3cm, - hide y axis, -] - \addplot table [x expr=\coordindex, y=macd, col sep=comma] {\file}; - \addplot table [x expr=\coordindex, y=signal, col sep=comma] {\file}; - \addplot table [x expr=\coordindex, y=delta, col sep=comma] {\file}; -\end{axis} + \nextgroupplot[height=2cm, ytick=\empty, y axis line style={draw=none}] + \addplot +[thick, black] table [x=no, y=delta, col sep=comma] {\file}; + + \nextgroupplot[height=3cm] + \addplot +[name path global=macd, red] table [x=no, y=macd, col sep=comma] {\file}; + \addplot +[name path global=signal, blue] table [x=no, y=signal, col sep=comma] {\file}; + + \coordinate (safe) at (35,0); + \input{\action-c.tex} + + \nextgroupplot[height=3cm] + \addplot +[thick, orange] table [x=x, y=decsion, col sep=comma] {\decision}; +\end{groupplot} +\input{\action-a.tex} diff --git a/sprawozdanie/sprawozdanie.tex b/sprawozdanie/sprawozdanie.tex index cf7e65c..0c92ee4 100644 --- a/sprawozdanie/sprawozdanie.tex +++ b/sprawozdanie/sprawozdanie.tex @@ -25,14 +25,16 @@ \usepackage[polish]{babel} \usepackage{braket} \usepackage{subcaption} +\usepackage{csvsimple} % kurwa \pgfplotsset{compat=1.15} +\usepgfplotslibrary{groupplots} \DeclarePairedDelimiter\ceil{\lceil}{\rceil} \DeclarePairedDelimiter\floor{\lfloor}{\rfloor} \usetikzlibrary{decorations.pathmorphing, arrows.meta, positioning} -\usetikzlibrary{shapes.geometric, arrows} +\usetikzlibrary{shapes.geometric, arrows, intersections} \pgfdeclarelayer{background} \pgfdeclarelayer{foreground} @@ -45,15 +47,16 @@ \floatname{algorithm}{Program} +\newcommand{\macd}[1]{\def\file{../macd/#1.dat}\def\action{../macd/#2-intersect.dat}\input{macd.tex}} + +\tikzstyle{sell}=[red, -latex, densely dotted] +\tikzstyle{buy}=[green, latex-, densely dotted] \begin{document} - -\newcommand{\macd}[1]{\def\file{#1}\input{macd.tex}} - \maketitle \begin{figure}[H] \begin{tikzpicture} - \macd{msft.csv} + \macd{sin} \end{tikzpicture} \caption{XD} \end{figure} diff --git a/tester.cpp b/tester.cpp index a50e927..57c6637 100644 --- a/tester.cpp +++ b/tester.cpp @@ -6,73 +6,83 @@ #include "helpers.h" #include "argh.h" #include "common.h" +#include "simulator.h" int main(int argc, const char* argv[]) { argh::parser args; args.add_params({ "s", "stock" }); args.add_params({ "m", "money" }); + args.add_params({ "o", "output" }); args.parse(argc, argv); - std::string network, input; + std::string network, input, output; args(1) >> network; - args(2) >> input; + args(2, "") >> input; + args({"o", "output"}, "") >> output; + + bool quiet = args[{"q", "quiet"}] && output.empty(); - double money, start_money; - unsigned stock, start_stock; + double start_money; + unsigned start_stock; - args({"s", "stock"}, 1000) >> stock; - args({"m", "money"}, 1000.) >> money; - - start_money = money; - start_stock = stock; + args({"s", "stock"}, 1000) >> start_stock; + args({"m", "money"}, 1000.) >> start_money; std::function normalizer = [](const double& result) -> double { return erf(result); }; - current_decider decider(normalizer); std::ifstream network_file(network, std::ios::in | std::ios::binary); - std::ifstream input_file(input); + std::ifstream input_file; + std::ofstream output_file; + std::istream *in; + std::ostream *out; + + if (!output.empty()) { + output_file.open(output); + out = &output_file; + } else { + out = &std::cout; + } + + if (!input.empty()) { + input_file.open(input); + in = &input_file; + } else { + in = &std::cin; + } + + current_decider decider(normalizer); decider.load(network_file); + simulator sim(&decider, start_money, start_stock); + double price; - decider.start_money = money; - decider.start_stock = stock; - std::cout << "x,price,decsion,money,stock" << std::endl; - input_file >> price; - decider.reset(price); + if(!quiet) *out << "x,price,decsion,money,stock" << std::endl; + for(int i = 0; *in >> price; i++) { + auto decision = sim.proceed(price); - int i = 0; - do { - auto decision = decider.decide(price, money, stock); - auto current = price * stock + money; - auto max_credit = std::max(current * 0.05, -1e4); - - if (decision < 0) { - decision = std::max(decision, -stock); // cannot sell more than we actually have - } else if (decision > 0) { - decision = std::min(floor((money + max_credit) / price), decision); + if (!quiet) { + *out << i + 1 << "," + << price << "," + << decision << "," + << sim.money << "," + << sim.stock << std::endl; } + } - money -= price * decision; - stock += decision; + auto wealth = sim.money + sim.stock * price; + auto start = start_money + sim.start_price * start_stock; + auto hodl = start_money + price * start_stock; - std::cout - << ++i << "," - << price << "," - << decision << "," - << money << "," - << stock - << std::endl; - - - } while(input_file >> price); std::cout << "Koniec: " - << money + stock*price << std::showpos << "(" - << (money + stock*price) / (start_money + start_stock*price) - << ")"; + << wealth << " " << std::showpos + << "S: "<< (wealth - start)*100 / (start) << "%, " + << "H: "<< (wealth - hodl)*100 / (hodl) << "%" + << std::noshowpos + << std::endl; /* decider.network.save(std::cout); */ } diff --git a/tex.php b/tex.php new file mode 100644 index 0000000..641fe47 --- /dev/null +++ b/tex.php @@ -0,0 +1,15 @@ +> money; args({ "s", "stock" }, 1000) >> stock; args({ "p", "population" }, 25) >> population; args({ "n", "iterations" }, 4) >> iterations; + args({ "s", "samples" }, 0) >> sampling; args({ "o", "output-dir" }, "") >> output_dir; std::uniform_real_distribution distribution(-2.0, 2.0); @@ -75,6 +77,24 @@ int main(int argc, char* argv[]) datasets[filename] = set; + if (sampling) { + trainer::dataset sample; + + int i = 1; + for(double price : set) { + sample.push_back(price); + if (i % sampling == 0) { + std::stringstream stream; + stream << filename << "-" << i; + + datasets[stream.str()] = sample; + sample = trainer::dataset(); + std::cout << "Probka " << stream.str() << std::endl; + } + i++; + } + } + file.close(); std::cout << "Zaladowano zestaw testowy " << filename << " z " << set.size() << " wartosciami." << std::endl; } @@ -84,17 +104,28 @@ int main(int argc, char* argv[]) return -1; } + std::cout << "generation,score_med,score_high,profit_med,profit_high,best" << std::endl; while (train.generation <= iterations) { + train.evolve(); for (auto pair : datasets) { train.train(pair.second, pair.first); } - train.evolve(); + train.sort(); + std::cout + << train.generation << "," + << train.population()[population / 2]->score << "," + << train.population()[0]->score << "," + << train.population()[population / 2]->profit << "," + << train.population()[0]->profit << "," + << train.population()[0]->id + << std::endl; } if (!output_dir.empty()) { + int i = 0; for (auto trained : train.population()) { std::stringstream stream; - stream << output_dir << trained->id << ".net"; + stream << output_dir << ++i << ".net"; std::string filename = stream.str(); std::cout << "Zapisuje siec #" << trained->id << " do pliku " << filename << std::endl; diff --git a/trainer.h b/trainer.h index 520e1d4..db397b1 100644 --- a/trainer.h +++ b/trainer.h @@ -7,12 +7,14 @@ #include #include +#include "simulator.h" + template struct trained { unsigned id; unsigned position; - double score; + double score, profit; T decider; }; @@ -36,11 +38,16 @@ public: std::function>, const dataset&, double, unsigned)> q; trainer(double money, unsigned stock, std::size_t n, std::function factory) - : factory(factory), id(0), generation(1), money(money), stock(stock), n(n), random_engine(std::time(0)) + : factory(factory), id(0), generation(0), money(money), stock(stock), n(n), random_engine(std::time(0)) { this->q = [=](std::shared_ptr> x, const dataset& input, double money, unsigned stock) { - auto result = (money + stock * input.back()) / (this->money + this->stock * input.front()); + auto current = input.back() * stock + money; + auto start = input.front() * this->stock + this->money; + auto hodl = input.back() * this->stock + this->money; + + auto result = std::min((current - hodl)/hodl, (current - start)/start); + if (result < 0) result *= 5; return result / (1 + abs(result)); }; add(n); @@ -69,70 +76,38 @@ public: void evolve() { - sort(); - filter(); - breed(); + if (generation) { + sort(); + filter(); + breed(); + } // cleanup before next training sessions for (auto t : trainees) { - t->score = 0; + t->score = t->profit = 0; } + + generation++; } void train(const dataset& input, std::shared_ptr> trainee) { - trainee->decider.start_money = money; - trainee->decider.start_stock = stock; - trainee->decider.reset(input.front()); + simulator sim(&(trainee->decider), this->money, this->stock); + sim.proceed(input); - double money = this->money; - unsigned stock = this->stock; - - for (double price : input) { - auto decision = trainee->decider.decide(price, money, stock); - auto current = price * stock + money; - auto max_credit = std::max(current * 0.05, -1e4); - - if (decision < 0) { - decision = std::max(decision, -stock); // cannot sell more than we actually have - } else if (decision > 0) { - decision = std::min(floor((money + max_credit) / price), decision); - } - - money -= price * decision; - stock += decision; - } - - trainee->score += q(trainee, input, money, stock); + trainee->score += q(trainee, input, sim.money, sim.stock); auto last = input.back(); auto first = input.front(); - auto wealth = money + stock * last; + auto wealth = sim.money + sim.stock * last; - auto hodl = this->money + this->stock * last; auto start = this->money + this->stock * first; - std::cout - << "#" << trainee->id << ": " << wealth - - << std::showpos - << " H: " << wealth - hodl << " (" << (wealth - hodl) / hodl * 100 << "%)" - << " S: " << wealth - start << " (" << (wealth - start) / start * 100 << "%) " - << std::noshowpos - - << stock << " akcji, " - << money << " gelda w banku. " - << std::endl; + trainee->profit += (wealth - start) / start; } void train(const dataset& input, const std::string& name) { - std::cout << "Zestaw " << name - << " GEN #" << this->generation - << " start: " << money + input.front() * stock - << " HODL: " << money + input.back() * stock - << std::endl; - for (auto trainee : trainees) { train(input, trainee); } @@ -160,21 +135,15 @@ public: }); trainees.erase(iterator, std::end(trainees)); - - std::cout << "Przy życiu pozostają: "; - for (auto trainee : trainees) { - std::cout << "#" << trainee->id << " (" << trainee->position << ") "; - } } void breed() { std::size_t diff = n - trainees.size(); - std::cout << "W populacji brakuje " << diff << " sieci, aktualnie " << trainees.size() << "." << std::endl; std::vector probability; for (auto t : trainees) { - probability.push_back(t->score); + probability.push_back(t->position); } std::discrete_distribution distribution(probability.begin(), probability.end()); @@ -201,22 +170,16 @@ public: for (int i = 0; i < to_combine; i++) { first = distribution(random_engine); do { second = distribution(random_engine); } while (first == second); - - auto combined = trainees[first]->decider.combine(trainees[second]->decider, combiner).mutate(mutator); - std::cout << "Łączenie #" << trainees[first]->id << " z #" << trainees[second]->id << " dało #" << (id+1) << std::endl; - - add(combined); + + add(trainees[first]->decider.combine(trainees[second]->decider, combiner)); } for (int i = 0; i < to_mutate; i++) { first = distribution(random_engine); - std::cout << "Mutowanie #" << trainees[first]->id << " w #" << id+1 << std::endl; add(trainees[first]->decider.mutate(mutator)); } add(diff - to_combine - to_mutate); // some random things - - generation++; } std::vector>> population() {