R/MainSingleCompanyEuclidPreproc.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")
# Zbiór parametrów
params_set <- buildParamsSetEuclidPreprocessing(shape_DTW_params = c(SDP_traditional,
SDP_compound),
trigonometric_transform_params = TTR,
subsequenceWidth = 4)
### Loading and processing FX tick data ###
FX_tick_data_2019_04 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_04/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_05 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_05/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_06 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_06/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_07 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_07/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_08 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_08/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_09 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_09/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_10 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_10/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_11 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_11/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_12 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_12/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2020_01 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2020_01/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2020_02 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2020_02/",
data_type = "FOREX_tick", include_all = T)
FX_tick_whole_set <- purrr::pmap(list(FX2019_04 = FX_tick_data_2019_04,
FX2019_05 = FX_tick_data_2019_05,
FX2019_06 = FX_tick_data_2019_06,
FX2019_07 = FX_tick_data_2019_07,
FX2019_08 = FX_tick_data_2019_08,
FX2019_09 = FX_tick_data_2019_09,
FX2019_10 = FX_tick_data_2019_10,
FX2019_11 = FX_tick_data_2019_11,
FX2019_12 = FX_tick_data_2019_12,
FX2020_01 = FX_tick_data_2020_01,
FX2020_02 = FX_tick_data_2020_02),
function(FX2019_04, FX2019_05, FX2019_06, FX2019_07,
FX2019_08, FX2019_09, FX2019_10, FX2019_11,
FX2019_12, FX2020_01, FX2020_02){
res <- rbind(FX2019_04, FX2019_05, FX2019_06, FX2019_07,
FX2019_08, FX2019_09, FX2019_10, FX2019_11,
FX2019_12, FX2020_01, FX2020_02)
colnames(res) <- c("Instrument", "Date", "Open", "Close")
return(res)
})
rm(FX_tick_data_2019_04)
rm(FX_tick_data_2019_05)
rm(FX_tick_data_2019_06)
rm(FX_tick_data_2019_07)
rm(FX_tick_data_2019_08)
rm(FX_tick_data_2019_09)
rm(FX_tick_data_2019_10)
rm(FX_tick_data_2019_11)
rm(FX_tick_data_2019_12)
rm(FX_tick_data_2020_01)
rm(FX_tick_data_2020_02)
saveRDS(FX_tick_whole_set, file = "Data/EuclidPreproSingleStock/FXTickSetsProcessed/FX_tick_whole_set.rds")
FX_tick_d1min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(1))
saveRDS(FX_tick_d1min, file = "Data/EuclidPreproSingleStock/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/EuclidPreproSingleStock/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/EuclidPreproSingleStock/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/EuclidPreproSingleStock/FXTickSetsProcessed/FXTickd30min.RDS")
FX_daily_set <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX day/",
data_type = "FOREX_d", include_all = T)
FX_daily_parsed <- purrr::map(FX_daily_set, FXDailyParse)
saveRDS(FX_daily_parsed, "Data/EuclidPreproSingleStock/FXTickSetsProcessed/FXDailyParsed.rds")
# Loading and parsing GPW data
GPW_tick_set <- load_financial_data("Data/EuclidPreproSingleStock/GPW Tick/",
data_type = "GPW_t", include_all = T)
GPW_pattern_d1min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d1min.rds")
GPW_pattern_d5min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d5min.rds")
GPW_pattern_d10min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d10min.rds")
GPW_pattern_d30min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d30min.rds")
GPW_tick_d1min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d1min)
saveRDS(GPW_tick_d1min, "Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_d1min.rds")
GPW_tick_d5min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d5min)
saveRDS(GPW_tick_d5min, "Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_d5min.rds")
GPW_tick_d10min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d10min)
saveRDS(GPW_tick_d10min, "Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_d10min.rds")
GPW_tick_d30min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d30min)
saveRDS(GPW_tick_d30min, "Data/EuclidPreproSingleStock/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/EuclidPreproSingleStock/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/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_daily_parsed.rds")
########### Forex data filtering ###########
FX_tick_d1min_filtered <- purrr::map(FX_tick_d1min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2019-05-01"), end = as.Date("2019-05-03")),
window(full_set, start = as.Date("2019-06-05"), end = as.Date("2019-06-07")),
window(full_set, start = as.Date("2019-07-03"), end = as.Date("2019-07-05")),
window(full_set, start = as.Date("2019-08-07"), end = as.Date("2019-08-09")),
window(full_set, start = as.Date("2019-09-05"), end = as.Date("2019-09-06"))
)
colnames(res) <- colnames(full_set)
res
})
FX_tick_d5min_filtered <- purrr::map(FX_tick_d5min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2019-04-01"), end = as.Date("2019-04-06")),
window(full_set, start = as.Date("2019-05-06"), end = as.Date("2019-05-11")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-06-08")),
window(full_set, start = as.Date("2019-07-01"), end = as.Date("2019-07-06")),
window(full_set, start = as.Date("2019-08-05"), end = as.Date("2019-08-10")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-09-07")),
window(full_set, start = as.Date("2019-10-07"), end = as.Date("2019-10-12")),
window(full_set, start = as.Date("2019-11-04"), end = as.Date("2019-11-09"))
)
colnames(res) <- colnames(full_set)
res
})
FX_tick_d10min_filtered <- purrr::map(FX_tick_d10min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2019-04-01"), end = as.Date("2019-04-15")),
window(full_set, start = as.Date("2019-05-06"), end = as.Date("2019-05-20")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-06-17")),
window(full_set, start = as.Date("2019-07-01"), end = as.Date("2019-07-15")),
window(full_set, start = as.Date("2019-08-05"), end = as.Date("2019-08-19")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-09-16")),
window(full_set, start = as.Date("2019-10-07"), end = as.Date("2019-10-21")),
window(full_set, start = as.Date("2019-11-04"), end = as.Date("2019-11-18"))
)
colnames(res) <- colnames(full_set)
res
})
FX_tick_d30min_filtered <- FX_tick_d30min
FX_daily_filtered <- purrr::map(FX_daily_parsed, function(x){
window(x, start = as.Date("2006-09-19"), end = as.Date("2020-07-01"))
})
########### GPW data filtering ###########
GPW_tick_d1min_filtered <- purrr::map(GPW_tick_d1min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-06-04"), end = as.Date("2007-06-07")),
window(full_set, start = as.Date("2008-06-02"), end = as.Date("2008-06-05")),
window(full_set, start = as.Date("2011-06-06"), end = as.Date("2011-06-11")),
window(full_set, start = as.Date("2015-06-01"), end = as.Date("2015-06-06")),
window(full_set, start = as.Date("2017-06-05"), end = as.Date("2017-06-10")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-06-08"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_tick_d5min_filtered <- purrr::map(GPW_tick_d5min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-09-03"), end = as.Date("2007-09-22")),
window(full_set, start = as.Date("2008-09-01"), end = as.Date("2008-09-20")),
window(full_set, start = as.Date("2009-09-07"), end = as.Date("2009-09-26")),
window(full_set, start = as.Date("2011-09-05"), end = as.Date("2011-09-24")),
window(full_set, start = as.Date("2013-09-02"), end = as.Date("2013-09-21")),
window(full_set, start = as.Date("2015-09-07"), end = as.Date("2015-09-26")),
window(full_set, start = as.Date("2017-09-04"), end = as.Date("2017-09-23")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-09-22"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_tick_d10min_filtered <- purrr::map(GPW_tick_d10min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-09-03"), end = as.Date("2007-10-13")),
window(full_set, start = as.Date("2008-09-01"), end = as.Date("2008-10-11")),
window(full_set, start = as.Date("2009-09-07"), end = as.Date("2009-10-17")),
window(full_set, start = as.Date("2011-09-05"), end = as.Date("2011-10-16")),
window(full_set, start = as.Date("2013-09-02"), end = as.Date("2013-10-12")),
window(full_set, start = as.Date("2015-09-07"), end = as.Date("2015-10-17")),
window(full_set, start = as.Date("2017-09-04"), end = as.Date("2017-10-14")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-10-12"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_tick_d30min_filtered <- purrr::map(GPW_tick_d30min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-06-04"), end = as.Date("2007-10-06")),
window(full_set, start = as.Date("2008-06-02"), end = as.Date("2008-10-04")),
window(full_set, start = as.Date("2009-06-01"), end = as.Date("2009-10-03")),
window(full_set, start = as.Date("2011-06-06"), end = as.Date("2011-10-08")),
window(full_set, start = as.Date("2013-06-03"), end = as.Date("2013-10-05")),
window(full_set, start = as.Date("2015-06-01"), end = as.Date("2015-10-03")),
window(full_set, start = as.Date("2017-06-05"), end = as.Date("2017-10-07")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-10-05"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_daily_filtered <- purrr::map(GPW_daily_parsed, function(full_set){
res <- window(full_set, start = as.Date("2006-08-17"), end = Inf)
res
})
############ Processing ##############
# Forex tick delta 1 min
FX_tick_d1min_results_ref_25 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_25.rds")
FX_tick_d1min_results_ref_50 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_50.rds")
FX_tick_d1min_results_ref_100 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_100.rds")
FX_tick_d1min_results_ref_200 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_200.rds")
# GPW tick delta 1 min
GPW_tick_d1min_results_ref_25 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_25.rds")
GPW_tick_d1min_results_ref_50 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_50.rds")
GPW_tick_d1min_results_ref_100 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_100.rds")
GPW_tick_d1min_results_ref_200 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_200.rds")
# Forex tick delta 5 min
FX_tick_d5min_results_ref_25 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_25.rds")
FX_tick_d5min_results_ref_50 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_50.rds")
FX_tick_d5min_results_ref_100 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_100.rds")
FX_tick_d5min_results_ref_200 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_200.rds")
# GPW tick delta 5 min
GPW_tick_d5min_results_ref_25 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_25.rds")
GPW_tick_d5min_results_ref_50 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_50.rds")
GPW_tick_d5min_results_ref_100 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_100.rds")
GPW_tick_d5min_results_ref_200 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_200.rds")
# Forex tick delta 10 min
FX_tick_d10min_results_ref_25 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_25.rds")
FX_tick_d10min_results_ref_50 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_50.rds")
FX_tick_d10min_results_ref_100 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_100.rds")
FX_tick_d10min_results_ref_200 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_200.rds")
# GPW tick delta 10 min
GPW_tick_d10min_results_ref_25 <- purrr::map(GPW_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9926, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d10min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d10min_results_ref_25.rds")
GPW_tick_d10min_results_ref_50 <- purrr::map(GPW_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9926, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d10min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d10min_results_ref_50.rds")
GPW_tick_d10min_results_ref_100 <- purrr::map(GPW_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9926, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d10min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d10min_results_ref_100.rds")
# Forex tick delta 30 min
FX_tick_d30min_results_ref_25 <- purrr::map(FX_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d30min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d30min_results_ref_25.rds")
FX_tick_d30min_results_ref_50 <- purrr::map(FX_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d30min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d30min_results_ref_50.rds")
FX_tick_d30min_results_ref_100 <- purrr::map(FX_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d30min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d30min_results_ref_100.rds")
# GPW tick delta 30 min
GPW_tick_d30min_results_ref_25 <- purrr::map(GPW_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9936, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d30min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d30min_results_ref_25.rds")
GPW_tick_d30min_results_ref_50 <- purrr::map(GPW_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9936, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d30min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d30min_results_ref_50.rds")
GPW_tick_d30min_results_ref_100 <- purrr::map(GPW_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9936, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d30min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d30min_results_ref_100.rds")
# Forex tick daily
FX_daily_results_ref_25 <- purrr::map(FX_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 3000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_daily_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_daily_results_ref_25.rds")
FX_daily_results_ref_50 <- purrr::map(FX_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 3000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_daily_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_daily_results_ref_50.rds")
FX_daily_results_ref_100 <- purrr::map(FX_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 3000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_daily_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_daily_results_ref_100.rds")
# GPW daily results
GPW_daily_results_ref_25 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 2000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_25.rds")
GPW_daily_results_ref_50 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 2000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_50.rds")
GPW_daily_results_ref_100 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_100.rds")
GPW_daily_results_ref_200 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 1800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_200.rds")
MikolajSzafraniec/DTWFinancialClassifiers documentation built on Oct. 15, 2020, 9:33 p.m.
R Package Documentation
Browse R Packages
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
# 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")
# Zbiór parametrów
params_set <- buildParamsSetEuclidPreprocessing(shape_DTW_params = c(SDP_traditional,
SDP_compound),
trigonometric_transform_params = TTR,
subsequenceWidth = 4)
### Loading and processing FX tick data ###
FX_tick_data_2019_04 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_04/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_05 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_05/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_06 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_06/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_07 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_07/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_08 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_08/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_09 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_09/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_10 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_10/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_11 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_11/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2019_12 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2019_12/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2020_01 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2020_01/",
data_type = "FOREX_tick", include_all = T)
FX_tick_data_2020_02 <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX tick/2020_02/",
data_type = "FOREX_tick", include_all = T)
FX_tick_whole_set <- purrr::pmap(list(FX2019_04 = FX_tick_data_2019_04,
FX2019_05 = FX_tick_data_2019_05,
FX2019_06 = FX_tick_data_2019_06,
FX2019_07 = FX_tick_data_2019_07,
FX2019_08 = FX_tick_data_2019_08,
FX2019_09 = FX_tick_data_2019_09,
FX2019_10 = FX_tick_data_2019_10,
FX2019_11 = FX_tick_data_2019_11,
FX2019_12 = FX_tick_data_2019_12,
FX2020_01 = FX_tick_data_2020_01,
FX2020_02 = FX_tick_data_2020_02),
function(FX2019_04, FX2019_05, FX2019_06, FX2019_07,
FX2019_08, FX2019_09, FX2019_10, FX2019_11,
FX2019_12, FX2020_01, FX2020_02){
res <- rbind(FX2019_04, FX2019_05, FX2019_06, FX2019_07,
FX2019_08, FX2019_09, FX2019_10, FX2019_11,
FX2019_12, FX2020_01, FX2020_02)
colnames(res) <- c("Instrument", "Date", "Open", "Close")
return(res)
})
rm(FX_tick_data_2019_04)
rm(FX_tick_data_2019_05)
rm(FX_tick_data_2019_06)
rm(FX_tick_data_2019_07)
rm(FX_tick_data_2019_08)
rm(FX_tick_data_2019_09)
rm(FX_tick_data_2019_10)
rm(FX_tick_data_2019_11)
rm(FX_tick_data_2019_12)
rm(FX_tick_data_2020_01)
rm(FX_tick_data_2020_02)
saveRDS(FX_tick_whole_set, file = "Data/EuclidPreproSingleStock/FXTickSetsProcessed/FX_tick_whole_set.rds")
FX_tick_d1min <- purrr::map(.x = FX_tick_whole_set,
.f = FXTickAggregateAndFillNA,
delta = lubridate::dminutes(1))
saveRDS(FX_tick_d1min, file = "Data/EuclidPreproSingleStock/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/EuclidPreproSingleStock/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/EuclidPreproSingleStock/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/EuclidPreproSingleStock/FXTickSetsProcessed/FXTickd30min.RDS")
FX_daily_set <- load_financial_data(folder_path = "Data/EuclidPreproSingleStock/FX day/",
data_type = "FOREX_d", include_all = T)
FX_daily_parsed <- purrr::map(FX_daily_set, FXDailyParse)
saveRDS(FX_daily_parsed, "Data/EuclidPreproSingleStock/FXTickSetsProcessed/FXDailyParsed.rds")
# Loading and parsing GPW data
GPW_tick_set <- load_financial_data("Data/EuclidPreproSingleStock/GPW Tick/",
data_type = "GPW_t", include_all = T)
GPW_pattern_d1min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d1min.rds")
GPW_pattern_d5min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d5min.rds")
GPW_pattern_d10min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d10min.rds")
GPW_pattern_d30min <- readRDS("Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_pattern_d30min.rds")
GPW_tick_d1min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d1min)
saveRDS(GPW_tick_d1min, "Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_d1min.rds")
GPW_tick_d5min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d5min)
saveRDS(GPW_tick_d5min, "Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_d5min.rds")
GPW_tick_d10min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d10min)
saveRDS(GPW_tick_d10min, "Data/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_tick_d10min.rds")
GPW_tick_d30min <- purrr::map(GPW_tick_set, GPWTickAggregateAndFillNA,
patternDatesToAgg = GPW_pattern_d30min)
saveRDS(GPW_tick_d30min, "Data/EuclidPreproSingleStock/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/EuclidPreproSingleStock/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/EuclidPreproSingleStock/GPWTickSetsProcessed/GPW_daily_parsed.rds")
########### Forex data filtering ###########
FX_tick_d1min_filtered <- purrr::map(FX_tick_d1min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2019-05-01"), end = as.Date("2019-05-03")),
window(full_set, start = as.Date("2019-06-05"), end = as.Date("2019-06-07")),
window(full_set, start = as.Date("2019-07-03"), end = as.Date("2019-07-05")),
window(full_set, start = as.Date("2019-08-07"), end = as.Date("2019-08-09")),
window(full_set, start = as.Date("2019-09-05"), end = as.Date("2019-09-06"))
)
colnames(res) <- colnames(full_set)
res
})
FX_tick_d5min_filtered <- purrr::map(FX_tick_d5min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2019-04-01"), end = as.Date("2019-04-06")),
window(full_set, start = as.Date("2019-05-06"), end = as.Date("2019-05-11")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-06-08")),
window(full_set, start = as.Date("2019-07-01"), end = as.Date("2019-07-06")),
window(full_set, start = as.Date("2019-08-05"), end = as.Date("2019-08-10")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-09-07")),
window(full_set, start = as.Date("2019-10-07"), end = as.Date("2019-10-12")),
window(full_set, start = as.Date("2019-11-04"), end = as.Date("2019-11-09"))
)
colnames(res) <- colnames(full_set)
res
})
FX_tick_d10min_filtered <- purrr::map(FX_tick_d10min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2019-04-01"), end = as.Date("2019-04-15")),
window(full_set, start = as.Date("2019-05-06"), end = as.Date("2019-05-20")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-06-17")),
window(full_set, start = as.Date("2019-07-01"), end = as.Date("2019-07-15")),
window(full_set, start = as.Date("2019-08-05"), end = as.Date("2019-08-19")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-09-16")),
window(full_set, start = as.Date("2019-10-07"), end = as.Date("2019-10-21")),
window(full_set, start = as.Date("2019-11-04"), end = as.Date("2019-11-18"))
)
colnames(res) <- colnames(full_set)
res
})
FX_tick_d30min_filtered <- FX_tick_d30min
FX_daily_filtered <- purrr::map(FX_daily_parsed, function(x){
window(x, start = as.Date("2006-09-19"), end = as.Date("2020-07-01"))
})
########### GPW data filtering ###########
GPW_tick_d1min_filtered <- purrr::map(GPW_tick_d1min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-06-04"), end = as.Date("2007-06-07")),
window(full_set, start = as.Date("2008-06-02"), end = as.Date("2008-06-05")),
window(full_set, start = as.Date("2011-06-06"), end = as.Date("2011-06-11")),
window(full_set, start = as.Date("2015-06-01"), end = as.Date("2015-06-06")),
window(full_set, start = as.Date("2017-06-05"), end = as.Date("2017-06-10")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-06-08"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_tick_d5min_filtered <- purrr::map(GPW_tick_d5min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-09-03"), end = as.Date("2007-09-22")),
window(full_set, start = as.Date("2008-09-01"), end = as.Date("2008-09-20")),
window(full_set, start = as.Date("2009-09-07"), end = as.Date("2009-09-26")),
window(full_set, start = as.Date("2011-09-05"), end = as.Date("2011-09-24")),
window(full_set, start = as.Date("2013-09-02"), end = as.Date("2013-09-21")),
window(full_set, start = as.Date("2015-09-07"), end = as.Date("2015-09-26")),
window(full_set, start = as.Date("2017-09-04"), end = as.Date("2017-09-23")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-09-22"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_tick_d10min_filtered <- purrr::map(GPW_tick_d10min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-09-03"), end = as.Date("2007-10-13")),
window(full_set, start = as.Date("2008-09-01"), end = as.Date("2008-10-11")),
window(full_set, start = as.Date("2009-09-07"), end = as.Date("2009-10-17")),
window(full_set, start = as.Date("2011-09-05"), end = as.Date("2011-10-16")),
window(full_set, start = as.Date("2013-09-02"), end = as.Date("2013-10-12")),
window(full_set, start = as.Date("2015-09-07"), end = as.Date("2015-10-17")),
window(full_set, start = as.Date("2017-09-04"), end = as.Date("2017-10-14")),
window(full_set, start = as.Date("2019-09-02"), end = as.Date("2019-10-12"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_tick_d30min_filtered <- purrr::map(GPW_tick_d30min, function(full_set){
res <- rbind(
window(full_set, start = as.Date("2007-06-04"), end = as.Date("2007-10-06")),
window(full_set, start = as.Date("2008-06-02"), end = as.Date("2008-10-04")),
window(full_set, start = as.Date("2009-06-01"), end = as.Date("2009-10-03")),
window(full_set, start = as.Date("2011-06-06"), end = as.Date("2011-10-08")),
window(full_set, start = as.Date("2013-06-03"), end = as.Date("2013-10-05")),
window(full_set, start = as.Date("2015-06-01"), end = as.Date("2015-10-03")),
window(full_set, start = as.Date("2017-06-05"), end = as.Date("2017-10-07")),
window(full_set, start = as.Date("2019-06-03"), end = as.Date("2019-10-05"))
)
colnames(res) <- colnames(full_set)
res
})
GPW_daily_filtered <- purrr::map(GPW_daily_parsed, function(full_set){
res <- window(full_set, start = as.Date("2006-08-17"), end = Inf)
res
})
############ Processing ##############
# Forex tick delta 1 min
FX_tick_d1min_results_ref_25 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_25.rds")
FX_tick_d1min_results_ref_50 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_50.rds")
FX_tick_d1min_results_ref_100 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_100.rds")
FX_tick_d1min_results_ref_200 <- purrr::map(FX_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 11525, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d1min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d1min_results_ref_200.rds")
# GPW tick delta 1 min
GPW_tick_d1min_results_ref_25 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_25.rds")
GPW_tick_d1min_results_ref_50 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_50.rds")
GPW_tick_d1min_results_ref_100 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_100.rds")
GPW_tick_d1min_results_ref_200 <- purrr::map(GPW_tick_d1min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9372, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d1min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d1min_results_ref_200.rds")
# Forex tick delta 5 min
FX_tick_d5min_results_ref_25 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_25.rds")
FX_tick_d5min_results_ref_50 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_50.rds")
FX_tick_d5min_results_ref_100 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_100.rds")
FX_tick_d5min_results_ref_200 <- purrr::map(FX_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9829, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d5min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d5min_results_ref_200.rds")
# GPW tick delta 5 min
GPW_tick_d5min_results_ref_25 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_25.rds")
GPW_tick_d5min_results_ref_50 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_50.rds")
GPW_tick_d5min_results_ref_100 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_100.rds")
GPW_tick_d5min_results_ref_200 <- purrr::map(GPW_tick_d5min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9860, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d5min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d5min_results_ref_200.rds")
# Forex tick delta 10 min
FX_tick_d10min_results_ref_25 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_25.rds")
FX_tick_d10min_results_ref_50 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_50.rds")
FX_tick_d10min_results_ref_100 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_100.rds")
FX_tick_d10min_results_ref_200 <- purrr::map(FX_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 10076, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d10min_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d10min_results_ref_200.rds")
# GPW tick delta 10 min
GPW_tick_d10min_results_ref_25 <- purrr::map(GPW_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9926, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d10min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d10min_results_ref_25.rds")
GPW_tick_d10min_results_ref_50 <- purrr::map(GPW_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9926, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d10min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d10min_results_ref_50.rds")
GPW_tick_d10min_results_ref_100 <- purrr::map(GPW_tick_d10min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9926, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d10min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d10min_results_ref_100.rds")
# Forex tick delta 30 min
FX_tick_d30min_results_ref_25 <- purrr::map(FX_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d30min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d30min_results_ref_25.rds")
FX_tick_d30min_results_ref_50 <- purrr::map(FX_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d30min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d30min_results_ref_50.rds")
FX_tick_d30min_results_ref_100 <- purrr::map(FX_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_tick_d30min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_tick_d30min_results_ref_100.rds")
# GPW tick delta 30 min
GPW_tick_d30min_results_ref_25 <- purrr::map(GPW_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9936, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d30min_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d30min_results_ref_25.rds")
GPW_tick_d30min_results_ref_50 <- purrr::map(GPW_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9936, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d30min_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d30min_results_ref_50.rds")
GPW_tick_d30min_results_ref_100 <- purrr::map(GPW_tick_d30min_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 9936, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_tick_d30min_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_tick_d30min_results_ref_100.rds")
# Forex tick daily
FX_daily_results_ref_25 <- purrr::map(FX_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 3000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_daily_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_daily_results_ref_25.rds")
FX_daily_results_ref_50 <- purrr::map(FX_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 3000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_daily_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_daily_results_ref_50.rds")
FX_daily_results_ref_100 <- purrr::map(FX_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 3000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(FX_daily_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/FX_daily_results_ref_100.rds")
# GPW daily results
GPW_daily_results_ref_25 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 2000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 25,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_25, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_25.rds")
GPW_daily_results_ref_50 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 2000, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 50,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_50, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_50.rds")
GPW_daily_results_ref_100 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 1900, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 100,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_100, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_100.rds")
GPW_daily_results_ref_200 <- purrr::map(GPW_daily_filtered, function(data_set){
res <- runShapeDTWForDefinedParamsTableWithEuclidPreprocessing(
refSeries = data_set,
learnSeriesList = list(data_set),
refSeriesStartIndices = seq(from = 1800, by = 10, length.out = 100),
input_params = params_set,
targetDistance = "r",
normalizationType = "Z",
knn = 25,
refSeriesLength = 200,
forecastHorizons = c(5, 10, 25, 50, 75, 100, 150, 200),
sd_borders = c(0.5, 0.6, 1, 1.4, 1.7, 2, 2.4, 2.8),
includeRefSeries = F
)
return(res)
})
saveRDS(GPW_daily_results_ref_200, file = "Data/EuclidPreproSingleStock/ResultsEuclidPreproc/GPW_daily_results_ref_200.rds")
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