17005 lines
968 KiB
JSON
17005 lines
968 KiB
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"code": "\tlet candle = record.current\n\tlet Al = 0.4 //initial value for alpha factor\n\tlet Bet = 0.4 //initial value for beta factor\n\tlet Ph = 0.8 //initial value for phi factor\n\tlet Ga = 0.3 //initial value for gamma factor\n\tlet sLen = 5 //length of seasonal period ; integer only\n\tlet fLen = 6 //number of season period to forecast ; integer only ; forecast will be calculated on fLen * sLen = 30 periods\n\tlet Iter = 20 //number of loop to proceed parameters optimization\n\n\n\t//initializing Factors with fixed value or optimized value if exists\n\tif (variable.Alpha === undefined) {\n\t\tvariable.Alpha = Al\n\t }\n\t else {\n\t variable.Alpha = variable.Alpha\n\t }\n\t \n\tif (variable.Beta === undefined) {\n\t\tvariable.Beta = Bet\n\t }\n\t else {\n\t variable.Beta = variable.Beta\n\t }\n\n\tif (variable.Phi === undefined) {\n\t\tvariable.Phi = Ph\n\t }\n\t else {\n\t variable.Phi = variable.Phi\n\t }\n\n\tif (variable.Gamma === undefined) {\n\t\tvariable.Gamma = Ga\n\t }\n\t else {\n\t variable.Gamma = variable.Gamma\n\t }\n\t \n\t//Fetching candle close values for sLen length \n\tvariable.lastClose.push(candle.close)\n\tif(variable.lastClose.length > sLen) {\n\t\tvariable.lastClose.splice(0,1)\n\t}\n\tvariable.lastClose2x.push(candle.close)\n\tif(variable.lastClose2x.length > 2 * sLen) {\n\t\tvariable.lastClose2x.splice(0,1)\n\t}\n\t//Initializing A, B, S, Y variables according to Hyndman parameters https://robjhyndman.com/hyndsight/hw-initialization/\n\t\n\t//managing the undefined values until lastClose2x reach sufficient length\n\tvariable.trig = 0 //variable to indicate initialization stage is over\n\tif(variable.lastClose2x.length < 2 * sLen && variable.trig === 0) {\n\t\tvariable.Y = 0 //forecast through history variable\n\t\tvariable.A = 0 //level\n\t\tvariable.B = 0 //trend\n\t\tvariable.S[0] = 0 //season\n\t\tvariable.previousB = variable.B\n\t\tvariable.previousA = variable.A\n\t\tvariable.trend = 0\n\t}\n\tif(variable.lastClose2x.length === 2 * sLen && variable.trig === 0) {\n\t\tfor(var i = 0 ; 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k < variable.Errors.length ; k++) {\n\t\t\t\tvariable.ErrSqSum = variable.ErrSqSum + variable.Errors[k]\n\t\t}\n\t\tvariable.MS = variable.ErrSqSum / variable.Errors.length\n\t\tif(variable.lastClose2x.length === 2*sLen && variable.trig === 1 ){\n\t\t//initialiying best parameters calculation\n\t\tvariable.bestAlpha = 0\n\t\tvariable.bestBeta = variable.Beta\n\t\tvariable.bestPhi = variable.Phi\n\t\tvariable.bestGamma = variable.Gamma\n\t\tvariable.bestError = variable.MS\n\t\t//Alpha optimization\n\t\tfor(var i = 0 ; i < Iter ; i++) {\n\t\t\n\t\t\tvariable.sS = []\n\t\t\tvariable.sError = []\n\t\t\tvariable.bestAlpha = variable.bestAlpha +(1 - i/Iter)\n\t\t\tvariable.sS[0] = variable.S[0]\n\t\t\tvariable.previoussA = variable.previousA\n\t\t\tvariable.previoussB = variable.previousB\n\t\t\tvariable.sErrSqSum = 0\n\t\t\tfor(var j=0 ; j < sLen ; j++) {\n\t\t\t\tvariable.sY = (variable.previoussA + variable.bestPhi * variable.previoussB) * variable.sS[0]\n\t\t\t\tvariable.sA = variable.bestAlpha * variable.sY / variable.sS[0] + (1 - variable.bestAlpha) * (variable.previoussA + variable.bestPhi * variable.previoussB)\n\t\t\t\tvariable.sB = variable.bestBeta * (variable.sA - variable.previoussA) + (1 - variable.bestBeta) * variable.bestPhi * variable.previoussB\n\t\t\t\tvariable.sS.push(variable.bestGamma * variable.sY / variable.sA + (1 - variable.bestGamma) * variable.sS[0])\n\t\t\t\tvariable.previoussA = variable.sA\n\t\t\t\tvariable.previoussB = variable.sB\n\t\t\t\tvariable.sError.push(Math.pow(variable.sY - variable.lastClose[j],2))\n\t\t\t}\n\t\t\tfor(var k = 0 ; 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