Average outcomes as predictions
import matplotlib
import matplotlib.pyplot as plt
import matplotlib.ticker as mticker
import matplotlib.dates as mdates
import numpy as np
from numpy import loadtxt
import time
totalStart = time.time()
date,bid,ask = np.loadtxt('GBPUSD1d.txt', unpack=True,
delimiter=',',
converters={0:mdates.strpdate2num('%Y%m%d%H%M%S')})
def percentChange(startPoint,currentPoint):
try:
x = ((float(currentPoint)-startPoint)/abs(startPoint))*100.00
if x == 0.0:
return 0.000000001
else:
return x
except:
return 0.0001
def patternStorage():
'''
The goal of patternFinder is to begin collection of %change patterns
in the tick data. From there, we also collect the short-term outcome
of this pattern. Later on, the length of the pattern, how far out we
look to compare to, and the length of the compared range be changed,
and even THAT can be machine learned to find the best of all 3 by
comparing success rates.'''
startTime = time.time()
x = len(avgLine)-30
y = 31
currentStance = 'none'
while y < x:
pattern = []
p1 = percentChange(avgLine[y-30], avgLine[y-29])
p2 = percentChange(avgLine[y-30], avgLine[y-28])
p3 = percentChange(avgLine[y-30], avgLine[y-27])
p4 = percentChange(avgLine[y-30], avgLine[y-26])
p5 = percentChange(avgLine[y-30], avgLine[y-25])
p6 = percentChange(avgLine[y-30], avgLine[y-24])
p7 = percentChange(avgLine[y-30], avgLine[y-23])
p8 = percentChange(avgLine[y-30], avgLine[y-22])
p9 = percentChange(avgLine[y-30], avgLine[y-21])
p10= percentChange(avgLine[y-30], avgLine[y-20])
p11 = percentChange(avgLine[y-30], avgLine[y-19])
p12 = percentChange(avgLine[y-30], avgLine[y-18])
p13 = percentChange(avgLine[y-30], avgLine[y-17])
p14 = percentChange(avgLine[y-30], avgLine[y-16])
p15 = percentChange(avgLine[y-30], avgLine[y-15])
p16 = percentChange(avgLine[y-30], avgLine[y-14])
p17 = percentChange(avgLine[y-30], avgLine[y-13])
p18 = percentChange(avgLine[y-30], avgLine[y-12])
p19 = percentChange(avgLine[y-30], avgLine[y-11])
p20= percentChange(avgLine[y-30], avgLine[y-10])
p21 = percentChange(avgLine[y-30], avgLine[y-9])
p22 = percentChange(avgLine[y-30], avgLine[y-8])
p23 = percentChange(avgLine[y-30], avgLine[y-7])
p24 = percentChange(avgLine[y-30], avgLine[y-6])
p25 = percentChange(avgLine[y-30], avgLine[y-5])
p26 = percentChange(avgLine[y-30], avgLine[y-4])
p27 = percentChange(avgLine[y-30], avgLine[y-3])
p28 = percentChange(avgLine[y-30], avgLine[y-2])
p29 = percentChange(avgLine[y-30], avgLine[y-1])
p30= percentChange(avgLine[y-30], avgLine[y])
outcomeRange = avgLine[y+20:y+30]
currentPoint = avgLine[y]
try:
avgOutcome = reduce(lambda x, y: x + y, outcomeRange) / len(outcomeRange)
except Exception, e:
print str(e)
avgOutcome = 0
futureOutcome = percentChange(currentPoint, avgOutcome)
'''
print 'where we are historically:',currentPoint
print 'soft outcome of the horizon:',avgOutcome
print 'This pattern brings a future change of:',futureOutcome
print '_______'
print p1, p2, p3, p4, p5, p6, p7, p8, p9, p10
'''
pattern.append(p1)
pattern.append(p2)
pattern.append(p3)
pattern.append(p4)
pattern.append(p5)
pattern.append(p6)
pattern.append(p7)
pattern.append(p8)
pattern.append(p9)
pattern.append(p10)
pattern.append(p11)
pattern.append(p12)
pattern.append(p13)
pattern.append(p14)
pattern.append(p15)
pattern.append(p16)
pattern.append(p17)
pattern.append(p18)
pattern.append(p19)
pattern.append(p20)
pattern.append(p21)
pattern.append(p22)
pattern.append(p23)
pattern.append(p24)
pattern.append(p25)
pattern.append(p26)
pattern.append(p27)
pattern.append(p28)
pattern.append(p29)
pattern.append(p30)
patternAr.append(pattern)
performanceAr.append(futureOutcome)
y+=1
endTime = time.time()
print len(patternAr)
print len(performanceAr)
print 'Pattern storing took:', endTime-startTime
def currentPattern():
mostRecentPoint = avgLine[-1]
cp1 = percentChange(avgLine[-31],avgLine[-30])
cp2 = percentChange(avgLine[-31],avgLine[-29])
cp3 = percentChange(avgLine[-31],avgLine[-28])
cp4 = percentChange(avgLine[-31],avgLine[-27])
cp5 = percentChange(avgLine[-31],avgLine[-26])
cp6 = percentChange(avgLine[-31],avgLine[-25])
cp7 = percentChange(avgLine[-31],avgLine[-24])
cp8 = percentChange(avgLine[-31],avgLine[-23])
cp9 = percentChange(avgLine[-31],avgLine[-22])
cp10= percentChange(avgLine[-31],avgLine[-21])
cp11 = percentChange(avgLine[-31],avgLine[-20])
cp12 = percentChange(avgLine[-31],avgLine[-19])
cp13 = percentChange(avgLine[-31],avgLine[-18])
cp14 = percentChange(avgLine[-31],avgLine[-17])
cp15 = percentChange(avgLine[-31],avgLine[-16])
cp16 = percentChange(avgLine[-31],avgLine[-15])
cp17 = percentChange(avgLine[-31],avgLine[-14])
cp18 = percentChange(avgLine[-31],avgLine[-13])
cp19 = percentChange(avgLine[-31],avgLine[-12])
cp20= percentChange(avgLine[-31],avgLine[-11])
cp21 = percentChange(avgLine[-31],avgLine[-10])
cp22 = percentChange(avgLine[-31],avgLine[-9])
cp23 = percentChange(avgLine[-31],avgLine[-8])
cp24 = percentChange(avgLine[-31],avgLine[-7])
cp25 = percentChange(avgLine[-31],avgLine[-6])
cp26 = percentChange(avgLine[-31],avgLine[-5])
cp27 = percentChange(avgLine[-31],avgLine[-4])
cp28 = percentChange(avgLine[-31],avgLine[-3])
cp29 = percentChange(avgLine[-31],avgLine[-2])
cp30= percentChange(avgLine[-31],avgLine[-1])
patForRec.append(cp1)
patForRec.append(cp2)
patForRec.append(cp3)
patForRec.append(cp4)
patForRec.append(cp5)
patForRec.append(cp6)
patForRec.append(cp7)
patForRec.append(cp8)
patForRec.append(cp9)
patForRec.append(cp10)
patForRec.append(cp11)
patForRec.append(cp12)
patForRec.append(cp13)
patForRec.append(cp14)
patForRec.append(cp15)
patForRec.append(cp16)
patForRec.append(cp17)
patForRec.append(cp18)
patForRec.append(cp19)
patForRec.append(cp20)
patForRec.append(cp21)
patForRec.append(cp22)
patForRec.append(cp23)
patForRec.append(cp24)
patForRec.append(cp25)
patForRec.append(cp26)
patForRec.append(cp27)
patForRec.append(cp28)
patForRec.append(cp29)
patForRec.append(cp30)
def graphRawFX():
fig=plt.figure(figsize=(10,7))
ax1 = plt.subplot2grid((40,40), (0,0), rowspan=40, colspan=40)
ax1.plot(date,bid)
ax1.plot(date,ask)
ax1.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d %H:%M:%S'))
plt.grid(True)
for label in ax1.xaxis.get_ticklabels():
label.set_rotation(45)
plt.gca().get_yaxis().get_major_formatter().set_useOffset(False)
ax1_2 = ax1.twinx()
ax1_2.fill_between(date, 0, (ask-bid), facecolor='g',alpha=.3)
plt.subplots_adjust(bottom=.23)
plt.show()
def patternRecognition():
plotPatAr = []
patFound = 0
for eachPattern in patternAr:
sim1 = 100.00 - abs(percentChange(eachPattern[0], patForRec[0]))
sim2 = 100.00 - abs(percentChange(eachPattern[1], patForRec[1]))
sim3 = 100.00 - abs(percentChange(eachPattern[2], patForRec[2]))
sim4 = 100.00 - abs(percentChange(eachPattern[3], patForRec[3]))
sim5 = 100.00 - abs(percentChange(eachPattern[4], patForRec[4]))
sim6 = 100.00 - abs(percentChange(eachPattern[5], patForRec[5]))
sim7 = 100.00 - abs(percentChange(eachPattern[6], patForRec[6]))
sim8 = 100.00 - abs(percentChange(eachPattern[7], patForRec[7]))
sim9 = 100.00 - abs(percentChange(eachPattern[8], patForRec[8]))
sim10 = 100.00 - abs(percentChange(eachPattern[9], patForRec[9]))
sim11 = 100.00 - abs(percentChange(eachPattern[10], patForRec[10]))
sim12 = 100.00 - abs(percentChange(eachPattern[11], patForRec[11]))
sim13 = 100.00 - abs(percentChange(eachPattern[12], patForRec[12]))
sim14 = 100.00 - abs(percentChange(eachPattern[13], patForRec[13]))
sim15 = 100.00 - abs(percentChange(eachPattern[14], patForRec[14]))
sim16 = 100.00 - abs(percentChange(eachPattern[15], patForRec[15]))
sim17 = 100.00 - abs(percentChange(eachPattern[16], patForRec[16]))
sim18 = 100.00 - abs(percentChange(eachPattern[17], patForRec[17]))
sim19 = 100.00 - abs(percentChange(eachPattern[18], patForRec[18]))
sim20 = 100.00 - abs(percentChange(eachPattern[19], patForRec[19]))
sim21 = 100.00 - abs(percentChange(eachPattern[20], patForRec[20]))
sim22 = 100.00 - abs(percentChange(eachPattern[21], patForRec[21]))
sim23 = 100.00 - abs(percentChange(eachPattern[22], patForRec[22]))
sim24 = 100.00 - abs(percentChange(eachPattern[23], patForRec[23]))
sim25 = 100.00 - abs(percentChange(eachPattern[24], patForRec[24]))
sim26 = 100.00 - abs(percentChange(eachPattern[25], patForRec[25]))
sim27 = 100.00 - abs(percentChange(eachPattern[26], patForRec[26]))
sim28 = 100.00 - abs(percentChange(eachPattern[27], patForRec[27]))
sim29 = 100.00 - abs(percentChange(eachPattern[28], patForRec[28]))
sim30 = 100.00 - abs(percentChange(eachPattern[29], patForRec[29]))
howSim = (sim1+sim2+sim3+sim4+sim5+sim6+sim7+sim8+sim9+sim10
+sim11+sim12+sim13+sim14+sim15+sim16+sim17+sim18+sim19+sim20
+sim21+sim22+sim23+sim24+sim25+sim26+sim27+sim28+sim29+sim30)/30.00
if howSim > 65:
patdex = patternAr.index(eachPattern)
patFound = 1
xp = [1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30]
#############
plotPatAr.append(eachPattern)
if patFound == 1:
fig = plt.figure(figsize=(10,6))
for eachPatt in plotPatAr:
futurePoints = patternAr.index(eachPatt)
if performanceAr[futurePoints] > patForRec[9]:
pcolor = '#24bc00'
else:
pcolor = '#d40000'
plt.plot(xp, eachPatt)
####################
plt.scatter(35, performanceAr[futurePoints],c=pcolor,alpha=.4)
realOutcomeRange = allData[toWhat+20:toWhat+30]
realAvgOutcome = reduce(lambda x, y: x + y, realOutcomeRange) / len(realOutcomeRange)
realMovement = percentChange(allData[toWhat],realAvgOutcome)
plt.scatter(40, realMovement, c='#54fff7',s=25)
plt.plot(xp, patForRec, '#54fff7', linewidth = 3)
plt.grid(True)
plt.title('Pattern Recognition.\nCyan line is the current pattern. Other lines are similar patterns from the past.\nPredicted outcomes are color-coded to reflect a positive or negative prediction.\nThe Cyan dot marks where the pattern went.\nOnly data in the past is used to generate patterns and predictions.')
plt.show()
dataLength = int(bid.shape[0])
print 'data length is', dataLength
allData = ((bid+ask)/2)
toWhat = 53500
while toWhat < dataLength:
avgLine = ((bid+ask)/2)
avgLine = avgLine[:toWhat]
patternAr = []
performanceAr = []
patForRec = []
#avgOutcome = reduce(lambda x, y: x + y, outcomeRange) / len(outcomeRange)
patternStorage()
currentPattern()
patternRecognition()
totalEnd = time.time()-totalStart
print 'Entire processing took:',totalEnd,'seconds'
toWhat += 1
The next 3 parts are video-only, along with the final source code:
So what we want to do now is back test this.
That said, if you've played with this data enough, you will see that,
in its current form, it is very slow.
If we were to run through everything here, ignoring charting it... just
running thru, storing patterns, comparing patterns at every plot....
with our current processing time, a full back test of 1 month of this tick data,
would land us at about 1 year's processing time.
Now there are a few fixes here that are all quite viable.
The issue of processing time MOSTLY is because of python's single
threaded nature. Natively, it is simply not capable of anything otherwise.
There are methods for threading with py, but they're somewhat futile here
1. Using the threading module in python: pythonprogramming.net/threading-tutorial-python/
2. Threading on your own via creating and running multiple scripts that handle
various sections in %s of the dataset.
3. CUDA. CUDA allows us to use our GPU to do processing. I might possibly
bring in some videos on CUDA. So if you're interested, get a CUDA enabled
gpu (meaning an NVIDIA GPU). GPUs are typically just better at processing
large bulks of calcuations.
4. Change timeframe of data. Honestly, ... we probbbbably don't need to be
using intra-second tick data. You could do this with even 1 minute... and
that would cut down our size substantially. At least 60x smaller.
So that's a start at handling where we are. That said, there are some things
that we could change to make this script far more efficient than it is, but
processing time will always be a few seconds if we have a large number
of patterns.... there is no avoiding that part in the single-threaded py when
py is acting alone.
So that in mind, we see there is a large hurdle coming up. So we need to decide
whether or not we should prepare to jump it, or fall out of the race.
Therefor, I propose a backtest on this 1 day of data, against patterns.
From our visual results, we can see that 1. pattern recognition is working.
2. ... it appears to predict direction successfully, even if all we are doing
is averaging the outcome.
import matplotlib
import matplotlib.pyplot as plt
import matplotlib.ticker as mticker
import matplotlib.dates as mdates
import numpy as np
from numpy import loadtxt
import time
totalStart = time.time()
date,bid,ask = np.loadtxt('GBPUSD1d.txt', unpack=True,
delimiter=',',
converters={0:mdates.strpdate2num('%Y%m%d%H%M%S')})
def percentChange(startPoint,currentPoint):
try:
x = ((float(currentPoint)-startPoint)/abs(startPoint))*100.00
if x == 0.0:
return 0.000000001
else:
return x
except:
return 0.0001
def patternStorage():
'''
The goal of patternFinder is to begin collection of %change patterns
in the tick data. From there, we also collect the short-term outcome
of this pattern. Later on, the length of the pattern, how far out we
look to compare to, and the length of the compared range be changed,
and even THAT can be machine learned to find the best of all 3 by
comparing success rates.'''
startTime = time.time()
x = len(avgLine)-30
y = 31
currentStance = 'none'
while y < x:
pattern = []
p1 = percentChange(avgLine[y-30], avgLine[y-29])
p2 = percentChange(avgLine[y-30], avgLine[y-28])
p3 = percentChange(avgLine[y-30], avgLine[y-27])
p4 = percentChange(avgLine[y-30], avgLine[y-26])
p5 = percentChange(avgLine[y-30], avgLine[y-25])
p6 = percentChange(avgLine[y-30], avgLine[y-24])
p7 = percentChange(avgLine[y-30], avgLine[y-23])
p8 = percentChange(avgLine[y-30], avgLine[y-22])
p9 = percentChange(avgLine[y-30], avgLine[y-21])
p10= percentChange(avgLine[y-30], avgLine[y-20])
p11 = percentChange(avgLine[y-30], avgLine[y-19])
p12 = percentChange(avgLine[y-30], avgLine[y-18])
p13 = percentChange(avgLine[y-30], avgLine[y-17])
p14 = percentChange(avgLine[y-30], avgLine[y-16])
p15 = percentChange(avgLine[y-30], avgLine[y-15])
p16 = percentChange(avgLine[y-30], avgLine[y-14])
p17 = percentChange(avgLine[y-30], avgLine[y-13])
p18 = percentChange(avgLine[y-30], avgLine[y-12])
p19 = percentChange(avgLine[y-30], avgLine[y-11])
p20= percentChange(avgLine[y-30], avgLine[y-10])
p21 = percentChange(avgLine[y-30], avgLine[y-9])
p22 = percentChange(avgLine[y-30], avgLine[y-8])
p23 = percentChange(avgLine[y-30], avgLine[y-7])
p24 = percentChange(avgLine[y-30], avgLine[y-6])
p25 = percentChange(avgLine[y-30], avgLine[y-5])
p26 = percentChange(avgLine[y-30], avgLine[y-4])
p27 = percentChange(avgLine[y-30], avgLine[y-3])
p28 = percentChange(avgLine[y-30], avgLine[y-2])
p29 = percentChange(avgLine[y-30], avgLine[y-1])
p30= percentChange(avgLine[y-30], avgLine[y])
outcomeRange = avgLine[y+20:y+30]
currentPoint = avgLine[y]
try:
avgOutcome = reduce(lambda x, y: x + y, outcomeRange) / len(outcomeRange)
except Exception, e:
print str(e)
avgOutcome = 0
futureOutcome = percentChange(currentPoint, avgOutcome)
'''
print 'where we are historically:',currentPoint
print 'soft outcome of the horizon:',avgOutcome
print 'This pattern brings a future change of:',futureOutcome
print '_______'
print p1, p2, p3, p4, p5, p6, p7, p8, p9, p10
'''
pattern.append(p1)
pattern.append(p2)
pattern.append(p3)
pattern.append(p4)
pattern.append(p5)
pattern.append(p6)
pattern.append(p7)
pattern.append(p8)
pattern.append(p9)
pattern.append(p10)
pattern.append(p11)
pattern.append(p12)
pattern.append(p13)
pattern.append(p14)
pattern.append(p15)
pattern.append(p16)
pattern.append(p17)
pattern.append(p18)
pattern.append(p19)
pattern.append(p20)
pattern.append(p21)
pattern.append(p22)
pattern.append(p23)
pattern.append(p24)
pattern.append(p25)
pattern.append(p26)
pattern.append(p27)
pattern.append(p28)
pattern.append(p29)
pattern.append(p30)
patternAr.append(pattern)
performanceAr.append(futureOutcome)
y+=1
endTime = time.time()
print len(patternAr)
print len(performanceAr)
print 'Pattern storing took:', endTime-startTime
def currentPattern():
mostRecentPoint = avgLine[-1]
cp1 = percentChange(avgLine[-31],avgLine[-30])
cp2 = percentChange(avgLine[-31],avgLine[-29])
cp3 = percentChange(avgLine[-31],avgLine[-28])
cp4 = percentChange(avgLine[-31],avgLine[-27])
cp5 = percentChange(avgLine[-31],avgLine[-26])
cp6 = percentChange(avgLine[-31],avgLine[-25])
cp7 = percentChange(avgLine[-31],avgLine[-24])
cp8 = percentChange(avgLine[-31],avgLine[-23])
cp9 = percentChange(avgLine[-31],avgLine[-22])
cp10= percentChange(avgLine[-31],avgLine[-21])
cp11 = percentChange(avgLine[-31],avgLine[-20])
cp12 = percentChange(avgLine[-31],avgLine[-19])
cp13 = percentChange(avgLine[-31],avgLine[-18])
cp14 = percentChange(avgLine[-31],avgLine[-17])
cp15 = percentChange(avgLine[-31],avgLine[-16])
cp16 = percentChange(avgLine[-31],avgLine[-15])
cp17 = percentChange(avgLine[-31],avgLine[-14])
cp18 = percentChange(avgLine[-31],avgLine[-13])
cp19 = percentChange(avgLine[-31],avgLine[-12])
cp20= percentChange(avgLine[-31],avgLine[-11])
cp21 = percentChange(avgLine[-31],avgLine[-10])
cp22 = percentChange(avgLine[-31],avgLine[-9])
cp23 = percentChange(avgLine[-31],avgLine[-8])
cp24 = percentChange(avgLine[-31],avgLine[-7])
cp25 = percentChange(avgLine[-31],avgLine[-6])
cp26 = percentChange(avgLine[-31],avgLine[-5])
cp27 = percentChange(avgLine[-31],avgLine[-4])
cp28 = percentChange(avgLine[-31],avgLine[-3])
cp29 = percentChange(avgLine[-31],avgLine[-2])
cp30= percentChange(avgLine[-31],avgLine[-1])
patForRec.append(cp1)
patForRec.append(cp2)
patForRec.append(cp3)
patForRec.append(cp4)
patForRec.append(cp5)
patForRec.append(cp6)
patForRec.append(cp7)
patForRec.append(cp8)
patForRec.append(cp9)
patForRec.append(cp10)
patForRec.append(cp11)
patForRec.append(cp12)
patForRec.append(cp13)
patForRec.append(cp14)
patForRec.append(cp15)
patForRec.append(cp16)
patForRec.append(cp17)
patForRec.append(cp18)
patForRec.append(cp19)
patForRec.append(cp20)
patForRec.append(cp21)
patForRec.append(cp22)
patForRec.append(cp23)
patForRec.append(cp24)
patForRec.append(cp25)
patForRec.append(cp26)
patForRec.append(cp27)
patForRec.append(cp28)
patForRec.append(cp29)
patForRec.append(cp30)
def graphRawFX():
fig=plt.figure(figsize=(10,7))
ax1 = plt.subplot2grid((40,40), (0,0), rowspan=40, colspan=40)
ax1.plot(date,bid)
ax1.plot(date,ask)
ax1.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d %H:%M:%S'))
plt.grid(True)
for label in ax1.xaxis.get_ticklabels():
label.set_rotation(45)
plt.gca().get_yaxis().get_major_formatter().set_useOffset(False)
ax1_2 = ax1.twinx()
ax1_2.fill_between(date, 0, (ask-bid), facecolor='g',alpha=.3)
plt.subplots_adjust(bottom=.23)
plt.show()
def patternRecognition():
######
predictedOutcomesAr = []
######
plotPatAr = []
patFound = 0
for eachPattern in patternAr:
sim1 = 100.00 - abs(percentChange(eachPattern[0], patForRec[0]))
sim2 = 100.00 - abs(percentChange(eachPattern[1], patForRec[1]))
sim3 = 100.00 - abs(percentChange(eachPattern[2], patForRec[2]))
sim4 = 100.00 - abs(percentChange(eachPattern[3], patForRec[3]))
sim5 = 100.00 - abs(percentChange(eachPattern[4], patForRec[4]))
sim6 = 100.00 - abs(percentChange(eachPattern[5], patForRec[5]))
sim7 = 100.00 - abs(percentChange(eachPattern[6], patForRec[6]))
sim8 = 100.00 - abs(percentChange(eachPattern[7], patForRec[7]))
sim9 = 100.00 - abs(percentChange(eachPattern[8], patForRec[8]))
sim10 = 100.00 - abs(percentChange(eachPattern[9], patForRec[9]))
sim11 = 100.00 - abs(percentChange(eachPattern[10], patForRec[10]))
sim12 = 100.00 - abs(percentChange(eachPattern[11], patForRec[11]))
sim13 = 100.00 - abs(percentChange(eachPattern[12], patForRec[12]))
sim14 = 100.00 - abs(percentChange(eachPattern[13], patForRec[13]))
sim15 = 100.00 - abs(percentChange(eachPattern[14], patForRec[14]))
sim16 = 100.00 - abs(percentChange(eachPattern[15], patForRec[15]))
sim17 = 100.00 - abs(percentChange(eachPattern[16], patForRec[16]))
sim18 = 100.00 - abs(percentChange(eachPattern[17], patForRec[17]))
sim19 = 100.00 - abs(percentChange(eachPattern[18], patForRec[18]))
sim20 = 100.00 - abs(percentChange(eachPattern[19], patForRec[19]))
sim21 = 100.00 - abs(percentChange(eachPattern[20], patForRec[20]))
sim22 = 100.00 - abs(percentChange(eachPattern[21], patForRec[21]))
sim23 = 100.00 - abs(percentChange(eachPattern[22], patForRec[22]))
sim24 = 100.00 - abs(percentChange(eachPattern[23], patForRec[23]))
sim25 = 100.00 - abs(percentChange(eachPattern[24], patForRec[24]))
sim26 = 100.00 - abs(percentChange(eachPattern[25], patForRec[25]))
sim27 = 100.00 - abs(percentChange(eachPattern[26], patForRec[26]))
sim28 = 100.00 - abs(percentChange(eachPattern[27], patForRec[27]))
sim29 = 100.00 - abs(percentChange(eachPattern[28], patForRec[28]))
sim30 = 100.00 - abs(percentChange(eachPattern[29], patForRec[29]))
howSim = (sim1+sim2+sim3+sim4+sim5+sim6+sim7+sim8+sim9+sim10
+sim11+sim12+sim13+sim14+sim15+sim16+sim17+sim18+sim19+sim20
+sim21+sim22+sim23+sim24+sim25+sim26+sim27+sim28+sim29+sim30)/30.00
if howSim > 70:
patdex = patternAr.index(eachPattern)
patFound = 1
xp = [1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30]
#############
plotPatAr.append(eachPattern)
predArray = []
if patFound == 1:
#fig = plt.figure(figsize=(10,6))
for eachPatt in plotPatAr:
futurePoints = patternAr.index(eachPatt)
if performanceAr[futurePoints] > patForRec[29]:
pcolor = '#24bc00'
#####
predArray.append(1.000)
else:
pcolor = '#d40000'
#######
predArray.append(-1.000)
#plt.plot(xp, eachPatt)
predictedOutcomesAr.append(performanceAr[futurePoints])
#plt.scatter(35, performanceAr[futurePoints],c=pcolor,alpha=.4)
realOutcomeRange = allData[toWhat+20:toWhat+30]
realAvgOutcome = reduce(lambda x, y: x + y, realOutcomeRange) / len(realOutcomeRange)
predictedAvgOutcome = reduce(lambda x, y: x + y, predictedOutcomesAr) / len(predictedOutcomesAr)
realMovement = percentChange(allData[toWhat],realAvgOutcome)
#######
print predArray
predictionAverage = reduce(lambda x, y: x + y, predArray) / len(predArray)
print predictionAverage
if predictionAverage < 0:
print 'drop predicted'
print patForRec[29]
print realMovement
if realMovement < patForRec[29]:
accuracyArray.append(100)
else:
accuracyArray.append(0)
if predictionAverage > 0:
print 'rise predicted'
print patForRec[29]
print realMovement
if realMovement > patForRec[29]:
accuracyArray.append(100)
else:
accuracyArray.append(0)
#######
#plt.scatter(40, realMovement, c='#54fff7',s=25)
#plt.scatter(40, predictedAvgOutcome, c='#008db8',s=25)
#plt.plot(xp, patForRec, '#54fff7', linewidth = 3)
#plt.grid(True)
#plt.title('Pattern Recognition.\nCyan line is the current pattern. Other lines are similar patterns from the past.\nPredicted outcomes are color-coded to reflect a positive or negative prediction.\nThe Cyan dot marks where the pattern went.\nOnly data in the past is used to generate patterns and predictions.')
#plt.show()
dataLength = int(bid.shape[0])
print 'data length is', dataLength
allData = ((bid+ask)/2)
toWhat = 55000
avgLine = ((bid+ask)/2)
patternAr = []
performanceAr = []
patternStorage()
######
accuracyArray = []
####
samps = 0
while toWhat < dataLength:
######
avgLine = avgLine[:toWhat]
patForRec = []
currentPattern()
patternRecognition()
totalEnd = time.time()-totalStart
print accuracyArray
accuracyAverage = reduce(lambda x, y: x + y, accuracyArray) / len(accuracyArray)
toWhat += 1
samps +=1
print 'Entire (18) processing took:',totalEnd,'seconds'
print 'Backtested Accuracy is',str(accuracyAverage)+'% after',samps,'actionable trades'
That's all for this series. For more tutorials, head to the
-
Introduction
-
Quick Look at our Data
-
Basics
-
Percent Change
-
Finding Patterns
-
Storing Patterns
-
Current Pattern
-
Predicting outcomes
-
More predicting
-
Increasing pattern complexity
-
More on Patterns
-
Displaying all patterns
-
Variables in patterns
-
Past outcomes as possible predictions
-
Predicting from patterns
-
Average outcomes as predictions
