source: branches/sluengo/HeuristicLab.Problems.TradeRules/Evaluator/OnlineHeuristicTradeRulesCalculator.cs

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using HeuristicLab.Problems.DataAnalysis;

namespace HeuristicLab.Problems.TradeRules.Evaluator
{
    class OnlineHeuristicTradeRulesCalculator
    {
        private static double numberUpDays;
        private static double numberDownDays;

        public static double Calculate(IEnumerable<double> estimatedValues, IRegressionProblemData problemData, IEnumerable<int> rows)
        {
            double value = 0.0;
            int position = 1;
            int countUp = 0;
            int countDown = 0;
            numberUpDays=0.0;
            numberDownDays=0.0;
            
            int [] row = rows.ToArray();
            double [] closePrice= problemData.Dataset.GetDoubleValues("\"Close\"").ToArray();
            double[] estimated = estimatedValues.ToArray();

            while (position < row.Length)
            {
                if ((closePrice[row[position]] - closePrice[row[(position - 1)]]) > 0)
                {
                    countUp++;
                    if (estimated[(position - 1)] == 1)
                    {
                        numberUpDays++;
                        value++;
                    }
                }
                else if ((closePrice[row[position]] - closePrice[row[(position - 1)]]) <= 0) 
                {
                    countDown++;
                    if (estimated[(position - 1)] == -1)
                    {
                        numberDownDays++;
                        value++;
                    }
                }
                    position++;
            }
            numberUpDays = numberUpDays / countUp;
            numberDownDays = numberDownDays / countDown;
            return value/(row.Length-2);
        }

        public static double getNumberUpDays()
        {
            return numberUpDays;
        }

        public static double getNumberDownDays()
        {
            return numberDownDays;
        }

    }
}