修改代码以获得从牛市到熊市周期平滑趋势的综合数据 [英] Modify code to get synthetic data that trends smoothly from bull to bear market cycles

问题描述

我有一个此类，可以生成综合外观（库存）数据，并且工作正常。但是，我想对其进行修改，以使NewPrice为 n条形生成平滑的趋势数据。

I have this class that generates synthetic looking (stock) data and it works fine. However, I want to modify it so that NewPrice generates smooth trending data for say n-bars.

我知道，如果降低波动率，价格会更平稳。但是，不确定如何保证数据上下交替出现持续趋势。正弦波看似事物，但具有看似股票的价格，即没有负价格。

I know that if I reduce the volatility, I get smoother prices. However, not sure how to guarantee that the data goes into alternating persistant trend either up/down. A sine wave looking thing, but with stock looking prices, i.e, no negative prices.

价格=趋势+先前价格+随机成分

有什么建议吗？

class SyntheticData
{
    public static double previous = 1.0;

    public static double NewPrice(double volatility, double rnd)
    {               
        var change_percent = 2 * volatility * rnd;
        if (change_percent > volatility)
            change_percent -= (2 * volatility);

        var change_amount = previous * change_percent;
        var new_price = previous + change_amount;
        previous = new_price;

        return new_price;
    }
}

Trade.previous = 100.0;
Price = Trade.NewPrice(.03, rnd.NextDouble()),

推荐答案

类似的东西就是我想要的东西

Something like this is what I was looking for:

public static double[] Sine(int n)
{
    const int FS = 64; // sampling rate

    return MathNet.Numerics.Generate.Sinusoidal(n, FS, 1.0, 20.0);
}

尽管如此，对于想要交易价格和价格的人来说，这并不直观

Although, it is not intuitive for a person that wants to deal in prices and time-based periodicity and not in mathematical functions.

https://numerics.mathdotnet.com/Generate.html

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