#region License Information /* HeuristicLab * Copyright (C) 2002-2015 Heuristic and Evolutionary Algorithms Laboratory (HEAL) * * This file is part of HeuristicLab. * * HeuristicLab is free software: you can redistribute it and/or modify * it under the terms of the GNU General Public License as published by * the Free Software Foundation, either version 3 of the License, or * (at your option) any later version. * * HeuristicLab is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * GNU General Public License for more details. * * You should have received a copy of the GNU General Public License * along with HeuristicLab. If not, see . */ #endregion using System.Collections.Generic; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Data; using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; using HeuristicLab.Problems.DataAnalysis.Symbolic; namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic { [Item("Profit Evaluator", "")] [StorableType("71AC893B-A002-4469-AE1B-95E79F5D3C05")] public class ProfitEvaluator : SingleObjectiveEvaluator { [StorableConstructor] protected ProfitEvaluator(bool deserializing) : base(deserializing) { } protected ProfitEvaluator(ProfitEvaluator original, Cloner cloner) : base(original, cloner) { } public ProfitEvaluator() : base() { } public override IDeepCloneable Clone(Cloner cloner) { return new ProfitEvaluator(this, cloner); } public override bool Maximization { get { return true; } } public override IOperation InstrumentedApply() { var solution = SymbolicExpressionTreeParameter.ActualValue; IEnumerable rows = GenerateRowsToEvaluate(); double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, rows); QualityParameter.ActualValue = new DoubleValue(quality); return base.InstrumentedApply(); } public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable rows) { IEnumerable signals = GetSignals(interpreter, solution, problemData.Dataset, rows); IEnumerable returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows); OnlineCalculatorError errorState; double profit = OnlineProfitCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState); if (errorState != OnlineCalculatorError.None) return 0.0; else return profit; } private static IEnumerable GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IDataset dataset, IEnumerable rows) { return Model.GetSignals(interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows)); } public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IProblemData problemData, IEnumerable rows) { SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context; double profit = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows); SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null; return profit; } } }