| 31 | | const int max_window_size = 30; |
| | 31 | const int max_window_size = 40; |
| | 32 | |
| | 33 | /* |
| | 34 | HDDEDATA CALLBACK DdeCallback( |
| | 35 | UINT uType, // Transaction type. |
| | 36 | UINT uFmt, // Clipboard data format. |
| | 37 | HCONV hconv, // Handle to the conversation. |
| | 38 | HSZ hsz1, // Handle to a string. |
| | 39 | HSZ hsz2, // Handle to a string. |
| | 40 | HDDEDATA hdata, // Handle to a global memory object. |
| | 41 | DWORD dwData1, // Transaction-specific data. |
| | 42 | DWORD dwData2) // Transaction-specific data. |
| | 43 | { |
| | 44 | return 0; |
| | 45 | } |
| | 46 | |
| | 47 | void DDERequest(DWORD idInst, HCONV hConv, char* szItem) |
| | 48 | { |
| | 49 | HSZ hszItem = DdeCreateStringHandle(idInst, szItem, 0); |
| | 50 | HDDEDATA hData = DdeClientTransaction(NULL,0,hConv,hszItem,CF_TEXT, |
| | 51 | XTYP_ADVSTART,TIMEOUT_ASYNC , NULL); //TIMEOUT_ASYNC |
| | 52 | if (hData==NULL) |
| | 53 | { |
| | 54 | printf("Request failed: %s\n", szItem); |
| | 55 | } |
| | 56 | |
| | 57 | if (hData==0) |
| | 58 | { |
| | 59 | printf("Request failed: %s\n", szItem); |
| | 60 | } |
| | 61 | } |
| | 62 | |
| | 63 | DWORD WINAPI ThrdFunc( LPVOID n ) |
| | 64 | { |
| | 65 | return 0; |
| | 66 | } |
| | 67 | */ |
| | 350 | for(set<set<pair<int,int>>>::iterator model_type = model_types.begin();model_type!=model_types.end();model_type++) |
| | 351 | {// prechadza rozne typy kanalov, a poctu regresorov |
| | 352 | for(int window_size = max_window_size-1;window_size < max_window_size;window_size++) |
| | 353 | { |
| | 354 | models.push_back(new model((*model_type),true,true,window_size,0,&data_matrix)); // to su len konstruktory, len inicializujeme rozne typy |
| | 355 | models.push_back(new model((*model_type),false,true,window_size,0,&data_matrix)); |
| | 356 | models.push_back(new model((*model_type),true,false,window_size,0,&data_matrix)); |
| | 357 | models.push_back(new model((*model_type),false,false,window_size,0,&data_matrix)); |
| | 358 | } |
| | 359 | |
| | 360 | //set<pair<int,int>> empty_list; |
| | 361 | //models.push_back(new model(empty_list,false,true,100,0,&data_matrix)); |
| | 362 | } |
| | 363 | |
| | 364 | mat result_lognc; |
| | 365 | // mat result_preds; |
| 301 | | |
| 302 | | |
| 303 | | while(data_matrix.rows()!=0) |
| 304 | | { |
| 305 | | for(int i=0;i<models.size();i++) |
| 306 | | { |
| 307 | | delete models[i]; |
| 308 | | } |
| 309 | | |
| 310 | | models.clear(); |
| 311 | | models.push_back(new model(model_type,true,false,max_window_size,0,&data_matrix)); |
| 312 | | models.push_back(new model(model_type,false,false,max_window_size,0,&data_matrix)); |
| 313 | | |
| 314 | | for(int time = max_model_order;time<max_window_size;time++) //time<data_matrix.cols() |
| 315 | | { |
| 316 | | vec cur_res_lognc; |
| 317 | | |
| 318 | | vector<string> nazvy; |
| 319 | | for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++) |
| 320 | | { |
| 321 | | (*model_ref)->data_update(time); |
| 322 | | |
| 323 | | cout << "Updated:" << time << endl; |
| 324 | | |
| 325 | | if(time == max_window_size-1) |
| 326 | | { |
| 327 | | char fstring[80]; |
| 328 | | strcpy(fstring,file_string); |
| 329 | | strcat(fstring,"ml"); |
| 330 | | strcat(fstring,(*model_ref)->name); |
| 331 | | strcat(fstring,".txt"); |
| 332 | | |
| 333 | | vec coords; |
| 334 | | if((*model_ref)->my_arx!=NULL) |
| | 368 | char fstring[80]; |
| | 369 | strcpy(fstring,file_string); |
| | 370 | //strcat(fstring,"lognc.txt"); |
| | 371 | strcat(fstring,"preds.txt"); |
| | 372 | |
| | 373 | for(int time = max_model_order;time<data_matrix.cols();time++) //time<data_matrix.cols() |
| | 374 | { |
| | 375 | cout << "Steps: " << time << endl; |
| | 376 | |
| | 377 | /* |
| | 378 | if(time==max_window_size) |
| | 379 | { |
| | 380 | exit(1); |
| | 381 | }*/ |
| | 382 | |
| | 383 | //pocet stlpcov data_matrix je pocet casovych krokov |
| | 384 | vec cur_res_lognc; |
| | 385 | // vec preds; |
| | 386 | vector<string> nazvy; |
| | 387 | for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++) |
| | 388 | {//posuvam s apo models, co je pole modelov urobene o cyklus vyssie. Teda som v case time a robim to tam pre vsetky typy modelov, kombinace regresorov |
| | 389 | (*model_ref)->data_update(time); //pozret sa preco je toto tu nutne |
| | 390 | |
| | 391 | //cout << "Updated." << endl; |
| | 392 | //if (time = max_model_order) nazvy.push_back(models.model_ref]);// ako by som mohol dostat nazov modelu? |
| | 393 | |
| | 394 | if((*model_ref)->my_rarx!=NULL) //vklada normalizacni faktor do cur_res_lognc |
| | 395 | { |
| | 396 | //cout << "Maxlik vertex:" << (*model_ref)->my_rarx->posterior->minimal_vertex->get_coordinates() << endl; |
| | 397 | cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_rarx->posterior->_ll()); |
| | 398 | } |
| | 399 | else |
| | 400 | { |
| | 401 | double cur_lognc = (*model_ref)->my_arx->posterior().lognc(); |
| | 402 | double cur_ll = cur_lognc-(*model_ref)->previous_lognc; |
| | 403 | |
| | 404 | /* |
| | 405 | if(time<(*model_ref)->window_size) |
| | 406 | { |
| | 407 | cur_ll-=1.83787706640935; |
| | 408 | }*/ |
| | 409 | |
| | 410 | (*model_ref)->my_arx->_ll(); |
| | 411 | |
| | 412 | cur_res_lognc.ins(cur_res_lognc.size(),cur_ll); |
| | 413 | |
| | 414 | (*model_ref)->previous_lognc = cur_lognc; |
| | 415 | } |
| | 416 | |
| | 417 | /* |
| | 418 | if(time == max_window_size-1) |
| | 419 | { |
| | 420 | //*********************** |
| | 421 | int sample_size = 100000; |
| | 422 | //*********************** |
| | 423 | |
| | 424 | pair<vec,mat> samples; |
| | 425 | if((*model_ref)->my_arx!=NULL) |
| | 426 | { |
| | 427 | mat samp_mat = (*model_ref)->my_arx->posterior().sample_mat(sample_size); |
| | 428 | samples = pair<vec,mat>(ones(samp_mat.cols()),samp_mat); |
| | 429 | } |
| | 430 | else |
| | 431 | { |
| | 432 | samples = (*model_ref)->my_rarx->posterior->sample(sample_size,true); |
| | 433 | } |
| | 434 | |
| | 435 | char fstring[80]; |
| | 436 | strcpy(fstring,file_string); |
| | 437 | strcat(fstring,(*model_ref)->name); |
| | 438 | strcat(fstring,".txt"); |
| | 439 | |
| | 440 | //cout << samples.first << endl; |
| | 441 | |
| | 442 | myfilew.open(fstring,ios::app); |
| | 443 | |
| | 444 | |
| | 445 | //for(int i = 0;i<samples.first.size();i++) |
| | 446 | //{ |
| | 447 | // myfilew << samples.first.get(i) << ","; |
| | 448 | //} |
| | 449 | //myfilew << endl; |
| | 450 | |
| | 451 | |
| | 452 | for(int j = 0;j<samples.second.rows()+1;j++) |
| | 453 | { |
| | 454 | for(int i = 0;i<samples.second.cols();i++) |
| 350 | | |
| 351 | | myfilew.close(); |
| 352 | | } |
| 353 | | } |
| 354 | | } |
| 355 | | |
| 356 | | data_matrix.del_row(0); |
| 357 | | } |
| 358 | | |
| 359 | | |
| 360 | | |
| 361 | | |
| | 468 | } |
| | 469 | |
| | 470 | cout << "*************************************" << endl; |
| | 471 | |
| | 472 | myfilew.close(); |
| | 473 | } |
| | 474 | */ |
| | 475 | |
| | 476 | // PREDICTIONS |
| | 477 | pair<vec,vec> predictions = (*model_ref)->predict(3000,time,&LapRNG); |
| | 478 | |
| | 479 | /* |
| | 480 | cout << predictions.first << endl << endl << predictions.second << endl << "*************************************" ; |
| | 481 | pause(5); |
| | 482 | */ |
| | 483 | |
| | 484 | double avg_prediction = (predictions.first*predictions.second)/(predictions.first*ones(predictions.first.size())); |
| | 485 | |
| | 486 | (*model_ref)->predictions.ins((*model_ref)->predictions.size(),avg_prediction); |
| | 487 | |
| | 488 | myfilew.open(fstring,ios::app); |
| | 489 | myfilew << avg_prediction << ","; |
| | 490 | myfilew.close(); |
| | 491 | |
| | 492 | |
| | 493 | //preds.ins(0,data_matrix.get(0,time+1)); |
| | 494 | } |
| | 495 | |
| | 496 | |
| | 497 | // REAL PRICE |
| | 498 | myfilew.open(fstring,ios::app); |
| | 499 | myfilew << data_matrix.get(0,time+1) << endl; |
| | 500 | myfilew.close(); |
| | 501 | |
| | 502 | |
| | 503 | result_lognc.ins_col(result_lognc.cols(),cur_res_lognc); |
| | 504 | //result_preds.ins_col(result_preds.cols(),preds); |
| | 505 | |
| | 506 | // cout << "Updated." << endl; |
| | 507 | |
| | 508 | /* |
| | 509 | myfilew.open(fstring,ios::app); |
| | 510 | |
| | 511 | // myfile << my_rarx->posterior->minimal_vertex->get_coordinates()[0]; |
| | 512 | |
| | 513 | if(time == max_model_order) |
| | 514 | { |
| | 515 | for(int i = 0;i<cur_res_lognc.size();i++) |
| | 516 | { |
| | 517 | for(set<pair<int,int>>::iterator ar_ref = models[i]->ar_components.begin();ar_ref != models[i]->ar_components.end();ar_ref++) |
| | 518 | { |
| | 519 | myfilew << (*ar_ref).second << (*ar_ref).first; |
| | 520 | } |
| | 521 | |
| | 522 | myfilew << "."; |
| | 523 | |
| | 524 | if(models[i]->my_arx == NULL) |
| | 525 | { |
| | 526 | myfilew << "1"; |
| | 527 | } |
| | 528 | else |
| | 529 | { |
| | 530 | myfilew << "0"; |
| | 531 | } |
| | 532 | |
| | 533 | if(models[i]->has_constant) |
| | 534 | { |
| | 535 | myfilew << "1"; |
| | 536 | } |
| | 537 | else |
| | 538 | { |
| | 539 | myfilew << "0"; |
| | 540 | } |
| | 541 | |
| | 542 | myfilew << ","; |
| | 543 | } |
| | 544 | |
| | 545 | myfilew << endl; |
| | 546 | } |
| | 547 | |
| | 548 | |
| | 549 | for(int i = 0;i<cur_res_lognc.size();i++) |
| | 550 | { |
| | 551 | myfilew << cur_res_lognc[i] << ' ';//zmenil som ciarku ze medzeru |
| | 552 | } |
| | 553 | |
| | 554 | myfilew << endl; |
| | 555 | myfilew.close(); |
| | 556 | */ |
| | 557 | } |
| | 558 | |
| | 559 | // EXPERIMENT: One step ahead price prediction. Comparison of classical and robust model using optimal trading |
| | 560 | // with maximization of logarithm of one-step ahead wealth. |
| | 561 | |
| | 562 | |
| | 563 | |
| | 564 | /* |
| | 565 | cout << "One experiment finished." << endl; |
| | 566 | |
| | 567 | ofstream myfile; |
| | 568 | myfile.open("c:\\robust_ar1.txt",ios::app); |
| | 569 | myfile << endl; |
| | 570 | myfile.close(); |
| | 571 | |
| | 572 | myfile.open("c:\\robust_ar2.txt",ios::app); |
| | 573 | myfile << endl; |
| | 574 | myfile.close();*/ |
| | 575 | |
| | 576 | |
| | 577 | //emlig* emlig1 = new emlig(emlig_size); |
| | 578 | |
| | 579 | //emlig1->step_me(0); |
| | 580 | //emlig* emlig2 = new emlig(emlig_size); |
| | 581 | |
| | 582 | /* |
| | 583 | emlig1->set_correction_factors(4); |
| | 584 | |
| | 585 | for(int j = 0;j<emlig1->correction_factors.size();j++) |
| | 586 | { |
| | 587 | for(set<my_ivec>::iterator vec_ref = emlig1->correction_factors[j].begin();vec_ref!=emlig1->correction_factors[j].end();vec_ref++) |
| | 588 | { |
| | 589 | cout << j << " "; |
| | 590 | |
| | 591 | for(int i=0;i<(*vec_ref).size();i++) |
| | 592 | { |
| | 593 | cout << (*vec_ref)[i]; |
| | 594 | } |
| | 595 | |
| | 596 | cout << endl; |
| | 597 | } |
| | 598 | }*/ |
| | 599 | |
| | 600 | /* |
| | 601 | vec condition5 = "1.0 1.0 1.01";//"-0.3 1.7 1.5"; |
| | 602 | |
| | 603 | emlig1->add_condition(condition5); |
| | 604 | //emlig1->step_me(0); |
| | 605 | |
| | 606 | |
| | 607 | vec condition1a = "-1.0 1.02 0.5"; |
| | 608 | //vec condition1b = "1.0 1.0 1.01"; |
| | 609 | emlig1->add_condition(condition1a); |
| | 610 | //emlig2->add_condition(condition1b); |
| | 611 | |
| | 612 | vec condition2a = "-0.3 1.7 1.5"; |
| | 613 | //vec condition2b = "-1.0 1.0 1.0"; |
| | 614 | emlig1->add_condition(condition2a); |
| | 615 | //emlig2->add_condition(condition2b); |
| | 616 | |
| | 617 | vec condition3a = "0.5 -1.01 1.0"; |
| | 618 | //vec condition3b = "0.5 -1.01 1.0"; |
| | 619 | |
| | 620 | emlig1->add_condition(condition3a); |
| | 621 | //emlig2->add_condition(condition3b); |
| | 622 | |
| | 623 | vec condition4a = "-0.5 -1.0 1.0"; |
| | 624 | //vec condition4b = "-0.5 -1.0 1.0"; |
| | 625 | |
| | 626 | emlig1->add_condition(condition4a); |
| | 627 | //cout << "************************************************" << endl; |
| | 628 | //emlig2->add_condition(condition4b); |
| | 629 | //cout << "************************************************" << endl; |
| | 630 | |
| | 631 | //cout << emlig1->minimal_vertex->get_coordinates(); |
| | 632 | |
| | 633 | //emlig1->remove_condition(condition3a); |
| | 634 | //emlig1->step_me(0); |
| | 635 | //emlig1->remove_condition(condition2a); |
| | 636 | //emlig1->remove_condition(condition1a); |
| | 637 | //emlig1->remove_condition(condition5); |
| | 638 | |
| | 639 | |
| | 640 | //emlig1->step_me(0); |
| | 641 | //emlig2->step_me(0); |
| | 642 | |
| | 643 | |
| | 644 | // DA SE POUZIT PRO VYPIS DO SOUBORU |
| | 645 | // emlig1->step_me(0); |
| | 646 | |
| | 647 | //emlig1->remove_condition(condition1); |
| | 648 | |
| | 649 | |
| | 650 | |
| | 651 | |
| | 652 | |
| | 653 | /* |
| | 654 | for(int i = 0;i<100;i++) |
| | 655 | { |
| | 656 | cout << endl << "Step:" << i << endl; |
| | 657 | |
| | 658 | double condition[emlig_size+1]; |
| | 659 | |
| | 660 | for(int k = 0;k<=emlig_size;k++) |
| | 661 | { |
| | 662 | condition[k] = (rand()-RAND_MAX/2)/1000.0; |
| | 663 | } |
| | 664 | |
| | 665 | |
| | 666 | vec* condition_vec = new vec(condition,emlig_size+1); |
| | 667 | emlig1->add_condition(*condition_vec); |
| | 668 | |
| | 669 | /* |
| | 670 | for(polyhedron* toprow_ref = emlig1->statistic.rows[emlig_size]; toprow_ref != emlig1->statistic.end_poly; toprow_ref = toprow_ref->next_poly) |
| | 671 | { |
| | 672 | cout << ((toprow*)toprow_ref)->probability << endl; |
| | 673 | } |
| | 674 | */ |
| | 675 | /* |
| | 676 | cout << emlig1->statistic_rowsize(emlig_size) << endl << endl; |
| | 677 | |
| | 678 | /* |
| | 679 | if(i-emlig1->number_of_parameters >= 0) |
| | 680 | { |
| | 681 | pause(30); |
| | 682 | } |
| | 683 | */ |
| | 684 | |
| | 685 | // emlig1->step_me(i); |
| | 686 | |
| | 687 | /* |
| | 688 | vector<int> sizevector; |
| | 689 | for(int s = 0;s<=emlig1->number_of_parameters;s++) |
| | 690 | { |
| | 691 | sizevector.push_back(emlig1->statistic_rowsize(s)); |
| | 692 | } |
| | 693 | */ |
| | 694 | //} |
| | 695 | |
| | 696 | |
| | 697 | |
| | 698 | |
| | 699 | /* |
| | 700 | emlig1->step_me(1); |
| | 701 | |
| | 702 | vec condition = "2.0 0.0 1.0"; |
| | 703 | |
| | 704 | emlig1->add_condition(condition); |
| | 705 | |
| | 706 | vector<int> sizevector; |
| | 707 | for(int s = 0;s<=emlig1->number_of_parameters;s++) |
| | 708 | { |
| | 709 | sizevector.push_back(emlig1->statistic_rowsize(s)); |
| | 710 | } |
| | 711 | |
| | 712 | emlig1->step_me(2); |
| | 713 | |
| | 714 | condition = "2.0 1.0 0.0"; |
| | 715 | |
| | 716 | emlig1->add_condition(condition); |
| | 717 | |
| | 718 | sizevector.clear(); |
| | 719 | for(int s = 0;s<=emlig1->number_of_parameters;s++) |
| | 720 | { |
| | 721 | sizevector.push_back(emlig1->statistic_rowsize(s)); |
| | 722 | } |
| | 723 | */ |