1 | #region License Information
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2 | /* HeuristicLab
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3 | * Copyright (C) 2002-2011 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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4 | *
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5 | * This file is part of HeuristicLab.
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6 | *
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7 | * HeuristicLab is free software: you can redistribute it and/or modify
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8 | * it under the terms of the GNU General Public License as published by
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9 | * the Free Software Foundation, either version 3 of the License, or
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10 | * (at your option) any later version.
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11 | *
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12 | * HeuristicLab is distributed in the hope that it will be useful,
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13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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15 | * GNU General Public License for more details.
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16 | *
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17 | * You should have received a copy of the GNU General Public License
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18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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19 | */
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20 | #endregion
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21 |
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22 | using System.Linq;
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23 | using System.Collections.Generic;
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24 | using HeuristicLab.Common;
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25 | using HeuristicLab.Core;
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26 | using HeuristicLab.Data;
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27 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
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28 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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29 | using HeuristicLab.Parameters;
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30 |
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31 | namespace HeuristicLab.Problems.DataAnalysis.Symbolic.Trading {
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32 | [Item("Sharpe Ratio Evaluator", "")]
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33 | [StorableClass]
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34 | public class SymbolicTradingSingleObjectiveSharpeRatioEvaluator : SymbolicTradingSingleObjectiveEvaluator {
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35 | [StorableConstructor]
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36 | protected SymbolicTradingSingleObjectiveSharpeRatioEvaluator(bool deserializing) : base(deserializing) { }
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37 | protected SymbolicTradingSingleObjectiveSharpeRatioEvaluator(SymbolicTradingSingleObjectiveSharpeRatioEvaluator original, Cloner cloner)
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38 | : base(original, cloner) {
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39 | }
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40 | public SymbolicTradingSingleObjectiveSharpeRatioEvaluator()
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41 | : base() {
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42 | }
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43 |
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44 | public override IDeepCloneable Clone(Cloner cloner) {
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45 | return new SymbolicTradingSingleObjectiveSharpeRatioEvaluator(this, cloner);
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46 | }
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47 |
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48 | public override bool Maximization { get { return true; } }
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49 |
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50 | public override IOperation Apply() {
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51 | var solution = SymbolicExpressionTreeParameter.ActualValue;
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52 | IEnumerable<int> rows = GenerateRowsToEvaluate();
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53 |
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54 | double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, rows);
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55 | QualityParameter.ActualValue = new DoubleValue(quality);
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56 |
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57 | return base.Apply();
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58 | }
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59 |
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60 | public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, ITradingProblemData problemData, IEnumerable<int> rows) {
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61 | IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
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62 | IEnumerable<double> returns = problemData.Dataset.GetEnumeratedVariableValues(problemData.PriceVariable, rows);
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63 | OnlineCalculatorError errorState;
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64 | double sharpRatio = OnlineSharpeRatioCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);
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65 | if (errorState != OnlineCalculatorError.None) return 0.0;
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66 | else return sharpRatio;
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67 | }
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68 |
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69 | private static IEnumerable<double> GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, Dataset dataset, IEnumerable<int> rows) {
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70 | double signal = 0;
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71 | double prevSignal = 0;
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72 | foreach (var x in interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows)) {
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73 | if (prevSignal == 1) {
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74 | signal = x > -1 ? 1 : x > -2 ? 0 : -1; // 0, -1, -2
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75 | } else if (prevSignal == 0) {
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76 | signal = x > 1 ? 1 : x < -1 ? -1 : 0; // 1, 0 , -1
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77 | } else if (prevSignal == -1) {
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78 | signal = x < 1 ? -1 : x < 2 ? 0 : 1; // 2, 1, 0
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79 | }
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80 | yield return signal;
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81 | prevSignal = signal;
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82 | }
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83 | }
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84 |
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85 | public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, ITradingProblemData problemData, IEnumerable<int> rows) {
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86 | SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
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87 |
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88 | double sharpRatio = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows);
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89 |
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90 | SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
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91 |
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92 | return sharpRatio;
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93 | }
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94 | }
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95 | }
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