source: branches/SpectralKernelForGaussianProcesses/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ProfitEvaluator.cs @ 10479

Last change on this file since 10479 was 10479, checked in by gkronber, 6 years ago

#2124 merged all changes from trunk to prepare for trunk-reintegration

File size: 3.6 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2013 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.Collections.Generic;
23using HeuristicLab.Common;
24using HeuristicLab.Core;
25using HeuristicLab.Data;
26using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
27using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
28using HeuristicLab.Problems.DataAnalysis.Symbolic;
29
30namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic {
31  [Item("Profit Evaluator", "")]
32  [StorableClass]
33  public class ProfitEvaluator : SingleObjectiveEvaluator {
34    [StorableConstructor]
35    protected ProfitEvaluator(bool deserializing) : base(deserializing) { }
36    protected ProfitEvaluator(ProfitEvaluator original, Cloner cloner)
37      : base(original, cloner) {
38    }
39    public ProfitEvaluator()
40      : base() {
41    }
42
43    public override IDeepCloneable Clone(Cloner cloner) {
44      return new ProfitEvaluator(this, cloner);
45    }
46
47    public override bool Maximization { get { return true; } }
48
49    public override IOperation InstrumentedApply() {
50      var solution = SymbolicExpressionTreeParameter.ActualValue;
51      IEnumerable<int> rows = GenerateRowsToEvaluate();
52
53      double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, rows);
54      QualityParameter.ActualValue = new DoubleValue(quality);
55
56      return base.InstrumentedApply();
57    }
58
59    public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable<int> rows) {
60      IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
61      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows);
62      OnlineCalculatorError errorState;
63      double profit = OnlineProfitCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);
64      if (errorState != OnlineCalculatorError.None) return 0.0;
65      else return profit;
66    }
67
68    private static IEnumerable<double> GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, Dataset dataset, IEnumerable<int> rows) {
69      return Model.GetSignals(interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows));
70    }
71
72    public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IProblemData problemData, IEnumerable<int> rows) {
73      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
74      double profit = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows);
75      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
76      return profit;
77    }
78  }
79}
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