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source: branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/SymbolicTradingSingleObjectiveSharpeRatioEvaluator.cs @ 6861

Last change on this file since 6861 was 6861, checked in by gkronber, 12 years ago

#1508 bug fixes

File size: 3.9 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2011 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System.Linq;
23using System.Collections.Generic;
24using HeuristicLab.Common;
25using HeuristicLab.Core;
26using HeuristicLab.Data;
27using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
28using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
29using HeuristicLab.Parameters;
30
31namespace HeuristicLab.Problems.DataAnalysis.Symbolic.Trading {
32  [Item("Sharpe Ratio Evaluator", "")]
33  [StorableClass]
34  public class SymbolicTradingSingleObjectiveSharpeRatioEvaluator : SymbolicTradingSingleObjectiveEvaluator {
35    [StorableConstructor]
36    protected SymbolicTradingSingleObjectiveSharpeRatioEvaluator(bool deserializing) : base(deserializing) { }
37    protected SymbolicTradingSingleObjectiveSharpeRatioEvaluator(SymbolicTradingSingleObjectiveSharpeRatioEvaluator original, Cloner cloner)
38      : base(original, cloner) {
39    }
40    public SymbolicTradingSingleObjectiveSharpeRatioEvaluator()
41      : base() {
42    }
43
44    public override IDeepCloneable Clone(Cloner cloner) {
45      return new SymbolicTradingSingleObjectiveSharpeRatioEvaluator(this, cloner);
46    }
47
48    public override bool Maximization { get { return true; } }
49
50    public override IOperation Apply() {
51      var solution = SymbolicExpressionTreeParameter.ActualValue;
52      IEnumerable<int> rows = GenerateRowsToEvaluate();
53
54      double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, rows);
55      QualityParameter.ActualValue = new DoubleValue(quality);
56
57      return base.Apply();
58    }
59
60    public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, ITradingProblemData problemData, IEnumerable<int> rows) {
61      IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
62      IEnumerable<double> returns = problemData.Dataset.GetEnumeratedVariableValues(problemData.PriceVariable, rows);
63      OnlineCalculatorError errorState;
64      double sharpRatio = OnlineSharpeRatioCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);
65      if (errorState != OnlineCalculatorError.None) return 0.0;
66      else return sharpRatio;
67    }
68
69    private static IEnumerable<double> GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, Dataset dataset, IEnumerable<int> rows) {
70      return from x in interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows)
71             select x > 0.5 ? 1.0 : x < 0.5 ? -1.0 : 0.0;
72    }
73
74    public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, ITradingProblemData problemData, IEnumerable<int> rows) {
75      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
76
77      double sharpRatio = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows);
78
79      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
80
81      return sharpRatio;
82    }
83  }
84}
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