Examples with Int_Flt primal.primitive.Int_Flt used on opensource projects

Example 1 with Int_Flt

use of primal.primitive.Int_Flt in project suite by stupidsing.

the class StatisticalArbitrageTest method testReturnDistribution.

// Naive Bayes return prediction
@Test
public void testReturnDistribution() {
    var prices = cfg.dataSource(Instrument.hsiSymbol).range(period).prices;
    var maxTor = 16;
    var differencesByTor = // 
    forInt(1, maxTor).mapIntObj(tor -> {
        var differences = ts.differences(tor, prices);
        Arrays.sort(differences);
        return differences;
    }).toMap();
    for (var tor = 1; tor < maxTor; tor++) System.out.println("tor = " + tor + ", " + stat.moments(differencesByTor.get(tor)));
    Int_Flt predictFun = t -> {
        var cpsArray = // 
        forInt(1, maxTor).map(tor -> {
            var differences = differencesByTor.get(tor);
            var length = differences.length;
            // cumulative probabilities
            var cps = new double[11];
            for (int cpsi = 0, predDiff = -500; predDiff <= 500; cpsi++, predDiff += 100) {
                var f = prices[t - 1] + predDiff - prices[t - tor];
                var i = 0;
                while (i < length && differences[i] < f) i++;
                cps[cpsi] = i / (double) length;
            }
            return cps;
        }).toArray(double[].class);
        var probabilities = new HashMap<Double, Double>();
        for (int cpsi = 0, predDiff = -500; predDiff < 500; cpsi++, predDiff += 100) {
            var cpsi_ = cpsi;
            var sum = // 
            forInt(1, maxTor).map(// 
            i -> i).toDouble(AsDbl.sum(tor -> {
                var probability = cpsArray[tor - 1][cpsi_ + 1] - cpsArray[tor - 1][cpsi_];
                return 1d / probability;
            }));
            probabilities.put(predDiff + 100d / 2d, sum);
        }
        return // 
        Read.from2(// 
        probabilities).sortByValue(// 
        (p0, p1) -> Double.compare(p1, p0)).first().k.floatValue();
    };
    for (var t = maxTor + 1; t < prices.length; t++) {
        var predicted = prices[t - 1] + predictFun.apply(t);
        System.out.println(// 
        "t = " + t + ", actual = " + // 
        prices[t] + ", predicted = " + predicted);
    }
}