R/MainEuclidPreprocessing.R
In MikolajSzafraniec/DTWFinancialClassifiers: Financial series classification using various type of DTW algorithm
# Instalacja / Załadowanie niezbędnych pakietów
require(RcppShapeDTW)
require(farff)
require(Rcpp)
require(lubridate)
require(dplyr)
require(tidyr)
require(rje)
require(tibble)
require(stringr)
require(R.utils)
require(purrr)
require(furrr)
require(ggplot2)
require(gridExtra)
require(TTR)
require(timeSeries)
# Wywołanie pliku zawierającego funkcje ładujące szeregi czasowe różnego rodzaju
# (dzienne GPW, dzienne Forex, tickowe GPW, tickowe Forex)
source("R/FunctionsDataReadingAndPreprocessing.R")
source("R/ClassDefinitions.R")
source("R/RknnEuclideanAndDTWAdditions.R")
# Zdefiniowanie deskryptorów kształtu i transformaty trygonometrycznej
SDP_traditional <- new("ShapeDescriptorParams")
SDP_compound <- new("ShapeDescriptorParams",
Type = "compound",
Descriptors = c("PAADescriptor",
"slopeDescriptor"),
Additional_params = list(
Weights = c(1, 10),
PAAWindow = 3L,
slopeWindow = 3L
))
TTR <- new("TrigonometricTransformParams",
DimToApplyTransform = c(1L, 2L),
TransformType = "cosinus")
### Loading and processing FX tick data ###
FX_tick_data_Oct_2019 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Oct2019/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Nov_2019 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Nov2019/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Dec_2019 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Dec2019/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Jan_2020 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Jan2020/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Feb_2020 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Feb2020/",
data_type = "FOREX_tick", include_all = T)
FX_tick_whole_set <- purrr::pmap(list(Oct2019 = FX_tick_data_Oct_2019,
Nov2019 = FX_tick_data_Nov_2019,
Dec2019 = FX_tick_data_Dec_2019,
Jan2020 = FX_tick_data_Jan_2020,
Feb2020 = FX_tick_data_Feb_2020),
function(Oct2019, Nov2019, Dec2019, Jan2020, Feb2020){
res <- rbind(Oct2019, Nov2019, Dec2019, Jan2020, Feb2020)
colnames(res) <- c("Instrument", "Date", "Open", "Close")
return(res)
})
rm(FX_tick_data_Oct_2019)
rm(FX_tick_data_Nov_2019)
rm(FX_tick_data_Dec_2019)
rm(FX_tick_data_Jan_2020)
rm(FX_tick_data_Feb_2020)
FX_tick_d1min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(1))
saveRDS(FX_tick_d1min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd1min.RDS")
FX_tick_d5min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(5))
saveRDS(FX_tick_d5min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd5min.RDS")
FX_tick_d10min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(10))
saveRDS(FX_tick_d10min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd10min.RDS")
FX_tick_d30min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(30))
saveRDS(FX_tick_d30min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd30min.RDS")
FX_daily_set <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX day/",
data_type = "FOREX_d", include_all = T)
FX_daily_parsed <- purrr::map(FX_daily_set, FXDailyParse)
# Preparing set of parameters
params_set <- buildParamsSetEuclidPreprocessing(shape_DTW_params = c(SDP_traditional,
SDP_compound),
trigonometric_transform_params = TTR,
subsequenceWidth = 4)
# FX tick delta 1 min #
FX_tick_d1min_filtered <- purrr::map(FX_tick_d1min, function(x){
res <- x[50000:55000,]
})[-5]
FX_tick_d1min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_AUDUSD.rds")
FX_tick_d1min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_EURCHF.rds")
FX_tick_d1min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_EURPLN.rds")
FX_tick_d1min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_GBPUSD.rds")
# FX tick delta 5min #
FX_tick_d5min_filtered <- purrr::map(FX_tick_d5min[-5], function(x){
res <- x[20000:25000,]
})
FX_tick_d5min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_AUDUSD.rds")
FX_tick_d5min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_EURCHF.rds")
FX_tick_d5min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_EURPLN.rds")
FX_tick_d5min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_GBPUSD.rds")
# FX tick delta 10min #
FX_tick_d10min_filtered <- purrr::map(FX_tick_d10min[-5], function(x){
res <- x[5000:10000,]
})
FX_tick_d10min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_AUDUSD.rds")
FX_tick_d10min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_EURCHF.rds")
FX_tick_d10min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_EURPLN.rds")
FX_tick_d10min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_GBPUSD.rds")
# FX tick delta 30min #
FX_tick_d30min_filtered <- purrr::map(FX_tick_d30min[-5], function(x){
res <- x[1:5000,]
})
FX_tick_d30min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_AUDUSD.rds")
FX_tick_d30min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_EURCHF.rds")
FX_tick_d30min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_EURPLN.rds")
FX_tick_d30min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_GBPUSD.rds")
# FX daily #
FX_daily_filtered <- purrr::map(FX_daily_parsed[-5], function(x){
window(x, start = as.Date("2007-01-01"), end = Inf)
})
FX_daily_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$AUDUSD,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_AUDUSD.rds")
FX_daily_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$EURCHF,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_EURCHF.rds")
FX_daily_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$EURPLN,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_EURPLN.rds")
FX_daily_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$GBPUSD,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_GBPUSD.rds")
###########################################################################
### GPW Data ###
###########################################################################
# Loading and processing data
GPW_tick_set <- load_financial_data("Data/EuclidPreprocSets/GPW Tick/",
data_type = "GPW_t", include_all = T)
GPW_pattern_series <- load_financial_data("Data/EuclidPreprocSets/PatternSeries/",
data_type = "GPW_t", include_all = T)
GPW_pattern_d1min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(1),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d1min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d1min.rds")
GPW_pattern_d5min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(5),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d5min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d5min.rds")
GPW_pattern_d10min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(10),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d10min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d10min.rds")
GPW_pattern_d30min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(30),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d30min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d30min.rds")
# Aggregating sets
GPW_tick_d1min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d1min)
saveRDS(GPW_tick_d1min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d1min.rds")
GPW_tick_d5min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d5min)
saveRDS(GPW_tick_d5min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d5min.rds")
GPW_tick_d10min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d10min)
saveRDS(GPW_tick_d10min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d10min.rds")
GPW_tick_d30min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d30min)
saveRDS(GPW_tick_d30min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d30min.rds")
rm(GPW_pattern_d1min)
rm(GPW_pattern_d5min)
rm(GPW_pattern_d10min)
rm(GPW_pattern_d30min)
rm(GPW_tick_set)
GPW_daily_data <- load_financial_data(folder_path = "Data/EuclidPreprocSets/GPW day/",
data_type = "GPW_d", include_all = T)
GPW_daily_parsed <- purrr::map(GPW_daily_data, GPWDailyParse)
rm(GPW_daily_data)
saveRDS(GPW_daily_parsed, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_daily_parsed.rds")
### GPW delta 1 min ###
GPW_tick_d1min_filtered <- purrr::map(GPW_tick_d1min, function(x){
window(x, start = as.Date("2015-07-01"), end = as.Date("2015-07-15"))
})
GPW_tick_d1min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_BORYSZEW.rds")
GPW_tick_d1min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$CCC,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_CCC.rds")
GPW_tick_d1min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$LENTEX,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_LENTEX.rds")
GPW_tick_d1min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$PGNIG,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_PGNIG.rds")
### GPW delta 5 min ###
GPW_tick_d5min_filtered <- purrr::map(GPW_tick_d5min, function(x){
window(x, start = as.Date("2017-07-01"), end = as.Date("2017-09-15"))
})
GPW_tick_d5min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_BORYSZEW.rds")
GPW_tick_d5min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$CCC,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_CCC.rds")
GPW_tick_d5min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$LENTEX,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_LENTEX.rds")
GPW_tick_d5min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$PGNIG,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_PGNIG.rds")
### GPW delta 10 min ###
GPW_tick_d10min_filtered <- purrr::map(GPW_tick_d10min, function(x){
window(x, start = as.Date("2017-01-01"), end = as.Date("2017-06-15"))
})
GPW_tick_d10min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_BORYSZEW.rds")
GPW_tick_d10min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$CCC,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_CCC.rds")
GPW_tick_d10min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$LENTEX,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_LENTEX.rds")
GPW_tick_d10min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$PGNIG,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_PGNIG.rds")
GPW_tick_d30min <- readRDS("Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d30min.rds")
### GPW delta 30 min ###
GPW_tick_d30min_filtered <- purrr::map(GPW_tick_d30min, function(x){
window(x, start = as.Date("2018-01-01"), end = as.Date("2019-06-15"))
})
GPW_tick_d30min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_BORYSZEW.rds")
GPW_tick_d30min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$CCC,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_CCC.rds")
GPW_tick_d30min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$LENTEX,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_LENTEX.rds")
GPW_tick_d30min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$PGNIG,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_PGNIG.rds")
### GPW daily ###
GPW_daily_filtered <- purrr::map(GPW_daily_parsed, function(x){
window(x, start = as.Date("2005-10-01"), end = Inf)
})
GPW_daily_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$BORYSZEW,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_BORYSZEW.rds")
GPW_daily_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$CCC,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_CCC.rds")
GPW_daily_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$LENTEX,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_LENTEX.rds")
GPW_daily_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$PGNIG,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_PGNIG.rds")
MikolajSzafraniec/DTWFinancialClassifiers documentation built on Oct. 15, 2020, 9:33 p.m.
R Package Documentation
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# Instalacja / Załadowanie niezbędnych pakietów
require(RcppShapeDTW)
require(farff)
require(Rcpp)
require(lubridate)
require(dplyr)
require(tidyr)
require(rje)
require(tibble)
require(stringr)
require(R.utils)
require(purrr)
require(furrr)
require(ggplot2)
require(gridExtra)
require(TTR)
require(timeSeries)
# Wywołanie pliku zawierającego funkcje ładujące szeregi czasowe różnego rodzaju
# (dzienne GPW, dzienne Forex, tickowe GPW, tickowe Forex)
source("R/FunctionsDataReadingAndPreprocessing.R")
source("R/ClassDefinitions.R")
source("R/RknnEuclideanAndDTWAdditions.R")
# Zdefiniowanie deskryptorów kształtu i transformaty trygonometrycznej
SDP_traditional <- new("ShapeDescriptorParams")
SDP_compound <- new("ShapeDescriptorParams",
Type = "compound",
Descriptors = c("PAADescriptor",
"slopeDescriptor"),
Additional_params = list(
Weights = c(1, 10),
PAAWindow = 3L,
slopeWindow = 3L
))
TTR <- new("TrigonometricTransformParams",
DimToApplyTransform = c(1L, 2L),
TransformType = "cosinus")
### Loading and processing FX tick data ###
FX_tick_data_Oct_2019 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Oct2019/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Nov_2019 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Nov2019/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Dec_2019 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Dec2019/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Jan_2020 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Jan2020/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_Feb_2020 <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX tick/Feb2020/",
data_type = "FOREX_tick", include_all = T)
FX_tick_whole_set <- purrr::pmap(list(Oct2019 = FX_tick_data_Oct_2019,
Nov2019 = FX_tick_data_Nov_2019,
Dec2019 = FX_tick_data_Dec_2019,
Jan2020 = FX_tick_data_Jan_2020,
Feb2020 = FX_tick_data_Feb_2020),
function(Oct2019, Nov2019, Dec2019, Jan2020, Feb2020){
res <- rbind(Oct2019, Nov2019, Dec2019, Jan2020, Feb2020)
colnames(res) <- c("Instrument", "Date", "Open", "Close")
return(res)
})
rm(FX_tick_data_Oct_2019)
rm(FX_tick_data_Nov_2019)
rm(FX_tick_data_Dec_2019)
rm(FX_tick_data_Jan_2020)
rm(FX_tick_data_Feb_2020)
FX_tick_d1min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(1))
saveRDS(FX_tick_d1min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd1min.RDS")
FX_tick_d5min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(5))
saveRDS(FX_tick_d5min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd5min.RDS")
FX_tick_d10min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(10))
saveRDS(FX_tick_d10min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd10min.RDS")
FX_tick_d30min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(30))
saveRDS(FX_tick_d30min, file = "Data/EuclidPreprocSets/FXTickSetsProcessed/FXTickd30min.RDS")
FX_daily_set <- load_financial_data(folder_path = "Data/EuclidPreprocSets/FX day/",
data_type = "FOREX_d", include_all = T)
FX_daily_parsed <- purrr::map(FX_daily_set, FXDailyParse)
# Preparing set of parameters
params_set <- buildParamsSetEuclidPreprocessing(shape_DTW_params = c(SDP_traditional,
SDP_compound),
trigonometric_transform_params = TTR,
subsequenceWidth = 4)
# FX tick delta 1 min #
FX_tick_d1min_filtered <- purrr::map(FX_tick_d1min, function(x){
res <- x[50000:55000,]
})[-5]
FX_tick_d1min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_AUDUSD.rds")
FX_tick_d1min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_EURCHF.rds")
FX_tick_d1min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_EURPLN.rds")
FX_tick_d1min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d1min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d1min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d1min_results_GBPUSD.rds")
# FX tick delta 5min #
FX_tick_d5min_filtered <- purrr::map(FX_tick_d5min[-5], function(x){
res <- x[20000:25000,]
})
FX_tick_d5min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_AUDUSD.rds")
FX_tick_d5min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_EURCHF.rds")
FX_tick_d5min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_EURPLN.rds")
FX_tick_d5min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d5min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d5min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d5min_results_GBPUSD.rds")
# FX tick delta 10min #
FX_tick_d10min_filtered <- purrr::map(FX_tick_d10min[-5], function(x){
res <- x[5000:10000,]
})
FX_tick_d10min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_AUDUSD.rds")
FX_tick_d10min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_EURCHF.rds")
FX_tick_d10min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_EURPLN.rds")
FX_tick_d10min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d10min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d10min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d10min_results_GBPUSD.rds")
# FX tick delta 30min #
FX_tick_d30min_filtered <- purrr::map(FX_tick_d30min[-5], function(x){
res <- x[1:5000,]
})
FX_tick_d30min_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`AUDUSD-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_AUDUSD.rds")
FX_tick_d30min_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`EURCHF-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_EURCHF.rds")
FX_tick_d30min_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`EURPLN-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_EURPLN.rds")
FX_tick_d30min_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_tick_d30min_filtered$`GBPUSD-2019-10`,
learnSeriesList = FX_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_tick_d30min_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_tick_d30min_results_GBPUSD.rds")
# FX daily #
FX_daily_filtered <- purrr::map(FX_daily_parsed[-5], function(x){
window(x, start = as.Date("2007-01-01"), end = Inf)
})
FX_daily_results_AUDUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$AUDUSD,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_AUDUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_AUDUSD.rds")
FX_daily_results_EURCHF <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$EURCHF,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_EURCHF, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_EURCHF.rds")
FX_daily_results_EURPLN <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$EURPLN,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_EURPLN, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_EURPLN.rds")
FX_daily_results_GBPUSD <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = FX_daily_filtered$GBPUSD,
learnSeriesList = FX_daily_filtered,
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(FX_daily_results_GBPUSD, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/FX_daily_results_GBPUSD.rds")
###########################################################################
### GPW Data ###
###########################################################################
# Loading and processing data
GPW_tick_set <- load_financial_data("Data/EuclidPreprocSets/GPW Tick/",
data_type = "GPW_t", include_all = T)
GPW_pattern_series <- load_financial_data("Data/EuclidPreprocSets/PatternSeries/",
data_type = "GPW_t", include_all = T)
GPW_pattern_d1min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(1),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d1min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d1min.rds")
GPW_pattern_d5min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(5),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d5min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d5min.rds")
GPW_pattern_d10min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(10),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d10min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d10min.rds")
GPW_pattern_d30min <- parsePatternGPWTickTime(GPW_pattern_series$WIG20, delta = lubridate::dminutes(30),
playOffTime = lubridate::dminutes(15),
roundingUnit = "minute")
saveRDS(GPW_pattern_d30min, file = "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_pattern_d30min.rds")
# Aggregating sets
GPW_tick_d1min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d1min)
saveRDS(GPW_tick_d1min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d1min.rds")
GPW_tick_d5min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d5min)
saveRDS(GPW_tick_d5min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d5min.rds")
GPW_tick_d10min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d10min)
saveRDS(GPW_tick_d10min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d10min.rds")
GPW_tick_d30min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d30min)
saveRDS(GPW_tick_d30min, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d30min.rds")
rm(GPW_pattern_d1min)
rm(GPW_pattern_d5min)
rm(GPW_pattern_d10min)
rm(GPW_pattern_d30min)
rm(GPW_tick_set)
GPW_daily_data <- load_financial_data(folder_path = "Data/EuclidPreprocSets/GPW day/",
data_type = "GPW_d", include_all = T)
GPW_daily_parsed <- purrr::map(GPW_daily_data, GPWDailyParse)
rm(GPW_daily_data)
saveRDS(GPW_daily_parsed, "Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_daily_parsed.rds")
### GPW delta 1 min ###
GPW_tick_d1min_filtered <- purrr::map(GPW_tick_d1min, function(x){
window(x, start = as.Date("2015-07-01"), end = as.Date("2015-07-15"))
})
GPW_tick_d1min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_BORYSZEW.rds")
GPW_tick_d1min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$CCC,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_CCC.rds")
GPW_tick_d1min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$LENTEX,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_LENTEX.rds")
GPW_tick_d1min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d1min_filtered$PGNIG,
learnSeriesList = GPW_tick_d1min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d1min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d1min_results_PGNIG.rds")
### GPW delta 5 min ###
GPW_tick_d5min_filtered <- purrr::map(GPW_tick_d5min, function(x){
window(x, start = as.Date("2017-07-01"), end = as.Date("2017-09-15"))
})
GPW_tick_d5min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_BORYSZEW.rds")
GPW_tick_d5min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$CCC,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_CCC.rds")
GPW_tick_d5min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$LENTEX,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_LENTEX.rds")
GPW_tick_d5min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d5min_filtered$PGNIG,
learnSeriesList = GPW_tick_d5min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d5min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d5min_results_PGNIG.rds")
### GPW delta 10 min ###
GPW_tick_d10min_filtered <- purrr::map(GPW_tick_d10min, function(x){
window(x, start = as.Date("2017-01-01"), end = as.Date("2017-06-15"))
})
GPW_tick_d10min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_BORYSZEW.rds")
GPW_tick_d10min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$CCC,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_CCC.rds")
GPW_tick_d10min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$LENTEX,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_LENTEX.rds")
GPW_tick_d10min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d10min_filtered$PGNIG,
learnSeriesList = GPW_tick_d10min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d10min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d10min_results_PGNIG.rds")
GPW_tick_d30min <- readRDS("Data/EuclidPreprocSets/GPWTickSetsProcessed/GPW_tick_d30min.rds")
### GPW delta 30 min ###
GPW_tick_d30min_filtered <- purrr::map(GPW_tick_d30min, function(x){
window(x, start = as.Date("2018-01-01"), end = as.Date("2019-06-15"))
})
GPW_tick_d30min_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$BORYSZEW,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_BORYSZEW.rds")
GPW_tick_d30min_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$CCC,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_CCC.rds")
GPW_tick_d30min_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$LENTEX,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_LENTEX.rds")
GPW_tick_d30min_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_tick_d30min_filtered$PGNIG,
learnSeriesList = GPW_tick_d30min_filtered,
refSeriesStartIndices = seq(from = 2500, by = 10, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_tick_d30min_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_tick_d30min_results_PGNIG.rds")
### GPW daily ###
GPW_daily_filtered <- purrr::map(GPW_daily_parsed, function(x){
window(x, start = as.Date("2005-10-01"), end = Inf)
})
GPW_daily_results_BORYSZEW <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$BORYSZEW,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_BORYSZEW, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_BORYSZEW.rds")
GPW_daily_results_CCC <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$CCC,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_CCC, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_CCC.rds")
GPW_daily_results_LENTEX <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$LENTEX,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_LENTEX, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_LENTEX.rds")
GPW_daily_results_PGNIG <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = GPW_daily_filtered$PGNIG,
learnSeriesList = GPW_daily_filtered,
refSeriesStartIndices = seq(from = 2200, by = 5, length.out = 200),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 150,
refSeriesLength = 100
)
saveRDS(GPW_daily_results_PGNIG, file = "Data/EuclidPreprocSets/ResultsEuclidPreproc/GPW_daily_results_PGNIG.rds")
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