wiele poprawek

.gitignore

@@ -3,6 +3,7 @@
 *.exe
 *.lst
 *.tmp
+*.pdb
 
 # tex
 *.aux

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:

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, 8, 4, 8, 8>;

decider.h

@@ -6,11 +6,6 @@
 #include <iterator>
 #include <iostream>
 
-template <typename T> 
-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 <int p, int m, int s, int ...layers>
+template <int p, int m, int s, int r, int ...layers>
 class neural_decider : public decider, macd_decider {
 public:
-    using network_t = network<double, p+m+s+2, layers..., 2>;
+    using network_t = network<double, p+m+s+r, layers..., 2+r>;
-    using self_t    = neural_decider<p, m, s, layers...>;
+    using self_t    = neural_decider<p, m, s, r, layers...>;
 
     network_t network;
 
+    vector<double, r> 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(concat(prices, tech), feedback);
-        return concat(concated, state);
     }
 };
 

helpers.h

@@ -6,6 +6,11 @@
 
 using std::deque;
 
+template <typename T> 
+int sign(const T& value) {
+    return value < 0 ? -1 : (value > 0 ? 1 : 0);
+}
+
 template <typename T, class iter>
 T ema(iter begin, iter end)
 {
@@ -28,7 +33,6 @@ template <typename T>
 class buffer : public deque<T> 
 {
     using deque<T>::deque;
-
     std::size_t limit;
 
     public:

macd.cpp

@@ -1,5 +1,7 @@
 #include <iostream>
+#include <fstream>
 #include <algorithm>
+#include <string>
 
 #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<double> prices(max);
+    buffer<double> prices(max, price);
     buffer<double> macd(max);
     buffer<double> 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<double>(prices.begin(), prices.begin() + low) - ema<double>(prices.begin(), prices.begin() + high);
         macd.add(value);
         signal.add(ema<double>(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);
 }
 

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);
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+\draw [buy] (action-14|-G c1r1.north) -- (action-14|-G c1r3.south);
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+\draw [buy] (action-134|-G c1r1.north) -- (action-134|-G c1r3.south);

macd/msft-intersect-c.tex

@@ -0,0 +1,134 @@
+\coordinate (action-1) at (0,0);
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+\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);

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);

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);

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);

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);

matrix.h

@@ -77,7 +77,7 @@ class matrix
             matrix<T, n, m> 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<T, n> normalize(const vector<T, n> &vec)
 
     accumulator /= n;
 
+    if (!accumulator) return vec;
+
     std::function<T(const T&)> normalizer = [accumulator](const T& item) { return item / accumulator; };
     return map(vec, normalizer);
 }

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<int>(decision, -stock); // cannot sell more than we actually have
+    } else if (decision > 0) {
+        decision = std::min<int>(floor((money + max_credit) / price), decision);   
+    }
+
+    money -= price * decision;
+    stock += decision;
+
+    return decision;
+}
+
+std::vector<double> simulator::proceed(std::vector<double> prices)
+{
+    std::vector<double> result;
+    for(auto price : prices) {
+        result.push_back(proceed(price));
+    }
+
+    return result;
+}

simulator.h

@@ -0,0 +1,23 @@
+#include <algorithm>
+
+#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<double> proceed(std::vector<double> prices);
+};

sprawozdanie/macd.tex

@@ -1,16 +1,26 @@
-\begin{axis}[
+\begin{groupplot}[width=\linewidth, height=4cm, group style={
-    axis lines=center, no marks, 
+        group size=1 by 4,
-    width=\linewidth, height=.66\linewidth,
+        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};
+    \nextgroupplot
-\end{axis}
+        \addplot +[thick] table [x=no, y=price, col sep=comma] {\file};
 
-\begin{axis}[
+    \nextgroupplot[height=2cm, ytick=\empty, y axis line style={draw=none}]
-    axis lines=center, no marks, 
+        \addplot +[thick, black] table [x=no, y=delta, col sep=comma] {\file};
-    width=\linewidth, height=3cm,
+
-    hide y axis,
+    \nextgroupplot[height=3cm]
-]
+        \addplot +[name path global=macd, red] table [x=no, y=macd, col sep=comma] {\file};
-    \addplot table [x expr=\coordindex, y=macd, col sep=comma] {\file};
+        \addplot +[name path global=signal, blue] table [x=no, y=signal, 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};
+    \coordinate (safe) at (35,0);
-\end{axis}
+    \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}

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}

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;
     
-    double   money, start_money;
+    bool quiet = args[{"q", "quiet"}] && output.empty();
-    unsigned stock, start_stock;
 
-    args({"s", "stock"}, 1000) >> stock;
+    double   start_money;
-    args({"m", "money"}, 1000.) >> money;
+    unsigned start_stock;
 
-    start_money = money;
+    args({"s", "stock"}, 1000)  >> start_stock;
-    start_stock = stock;
+    args({"m", "money"}, 1000.) >> start_money;
 
     std::function<double(const double&)> 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;
+    if(!quiet) *out << "x,price,decsion,money,stock" << std::endl;
-    decider.start_stock = stock;
+    for(int i = 0; *in >> price; i++) {
-    std::cout << "x,price,decsion,money,stock" << std::endl;
+        auto decision = sim.proceed(price);
-    input_file >> price;
-    decider.reset(price);
 
-    int i = 0;
+        if (!quiet) {
-    do {
+            *out << i + 1 << "," 
-        auto decision   = decider.decide(price, money, stock);
+                 << price << "," 
-        auto current    = price * stock + money;
+                 << decision << "," 
-        auto max_credit = std::max(current * 0.05, -1e4);
+                 << sim.money << ","
-
+                 << sim.stock << std::endl;
-        if (decision < 0) {
-            decision = std::max<int>(decision, -stock); // cannot sell more than we actually have
-        } else if (decision > 0) {
-            decision = std::min<int>(floor((money + max_credit) / price), decision);   
         }
+    }
 
-        money -= price * decision;
+    auto wealth = sim.money + sim.stock * price;
-        stock += decision;
+    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 << "("
+        << wealth << " " << std::showpos 
-        << (money + stock*price) / (start_money + start_stock*price)
+        << "S: "<< (wealth - start)*100 / (start) << "%, "
-        << ")";
+        << "H: "<< (wealth - hodl)*100 / (hodl) << "%"
+        << std::noshowpos
+        << std::endl;
     /* decider.network.save(std::cout); */
 }
 

tex.php

@@ -0,0 +1,15 @@
+<?php
+$filename = $argv[1];
+$input = fopen($argv[1], "r");
+$coordinates = fopen(str_replace(".csv", "-c.tex", $filename), "w");
+$actions = fopen(str_replace(".csv", "-a.tex", $filename), "w");
+fgetcsv($input); // ommit header
+
+while (list($no, $x, $action) = fgetcsv($input)) {
+    fwrite($coordinates, sprintf("\\coordinate (action-%d) at (%d,0);\n", $no, $x));
+    fwrite($actions, sprintf("\\draw [%s] (action-%d|-G c1r1.north) -- (action-%d|-G c1r3.south);\n", $action, $no, $no));
+}
+
+fclose($input);
+fclose($coordinates);
+fclose($actions);

trainer.cpp

@@ -24,17 +24,19 @@ int main(int argc, char* argv[])
     args.add_params({"-p", "--population"});
     args.add_params({"-n", "--iterations"});
     args.add_params({"-o", "--output-dir"});
+    args.add_params({"-s", "--samples"});
 
     args.parse(argc, argv);
 
     double   money;
-    unsigned stock, population, iterations;
+    unsigned stock, population, iterations, sampling;
     std::string input_file, output_dir;
 
     args({ "m", "money" }, 1000.)   >> 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<double> distribution(-2.0, 2.0);
@@ -75,6 +77,24 @@ int main(int argc, char* argv[])
 
         datasets[filename] = set;
 
+        if (sampling) {
+            trainer<current_decider>::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<current_decider>::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;

trainer.h

@@ -7,12 +7,14 @@
 #include <memory>
 #include <string>
 
+#include "simulator.h"
+
 template<class T>
 struct trained {
     unsigned id;
     unsigned position;
 
-    double score;
+    double score, profit;
     T      decider;
 };
 
@@ -36,11 +38,16 @@ public:
     std::function<double(std::shared_ptr<trained<T>>, const dataset&, double, unsigned)> q;
 
     trainer(double money, unsigned stock, std::size_t n, std::function<T()> 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<trained<T>> 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();
+        if (generation) {
-        filter();
+            sort();
-        breed();
+            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<trained<T>> trainee) 
     {
-        trainee->decider.start_money = money;
+        simulator sim(&(trainee->decider), this->money, this->stock);
-        trainee->decider.start_stock = stock;
+        sim.proceed(input);
-        trainee->decider.reset(input.front());
 
-        double   money = this->money;
+        trainee->score += q(trainee, input, sim.money, sim.stock);
-        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<int>(decision, -stock); // cannot sell more than we actually have
-            } else if (decision > 0) {
-                decision = std::min<int>(floor((money + max_credit) / price), decision);   
-            }
-
-            money -= price * decision;
-            stock += decision;
-        }
-
-        trainee->score += q(trainee, input, money, 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->profit += (wealth - start) / start;
-            << "#" << 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; 
     }
 
     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<double> probability;
         for (auto t : trainees) {
-            probability.push_back(t->score);
+            probability.push_back(t->position);
         }
 
         std::discrete_distribution<unsigned>   distribution(probability.begin(), probability.end());
@@ -202,21 +171,15 @@ public:
             first = distribution(random_engine);
             do { second = distribution(random_engine); } while (first == second);
             
-            auto combined = trainees[first]->decider.combine(trainees[second]->decider, combiner).mutate(mutator);
+            add(trainees[first]->decider.combine(trainees[second]->decider, combiner));
-            std::cout << "Łączenie #" << trainees[first]->id << " z #" << trainees[second]->id << " dało #" << (id+1) << std::endl;
-
-            add(combined);
         }
 
         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<std::shared_ptr<trained<T>>> population() {