source: branches/sluengo/HeuristicLab.Problems.TradeRules/Evaluator/OnlineTradeRulesCalculator.cs @ 10024

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using HeuristicLab.Problems.DataAnalysis;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;

namespace HeuristicLab.Problems.TradeRules
{
    class OnlineTradeRulesCalculator
    {
        private static int numberTrades;
        private static int tradeDays;
        private static int totalTradeDays;

        public static double Calculate(IEnumerable<double> estimatedValues, IRegressionProblemData problemData, IEnumerable<int> rows)
        {
            double[] arrayOpen = problemData.Dataset.GetDoubleValues("\"Open\"").ToArray(); //Array with all Open prices
            int[] tick = rows.ToArray();
            double[] arrayIO = estimatedValues.ToArray();
            double[] arrayDate = problemData.Dataset.GetDoubleValues("\"Date\"").ToArray(); //Array with all dates
           
            const double COMISSION = 0.25;
            const double EAR = 5.00;  //Effective Anual Rate
            const double CASHINI = 10000.00;
            int tickIni = tick[0];
            int tickEnd = tick[tick.Length-1];
            const double DAYSYEAR = 365.00;

            double DayRat = 0.0; //One day interest
            double interest = 0.0; // Interest for one day
            int nDias1 = 0;
            int nDias2 = 0;
            int dayBefore=0;
            int yesterday=0;

            int actualRow = 0;
            int nData = tick.Length;

            bool intoMarket = false;//Equivalent to be into the market
            numberTrades = 0;
            tradeDays = 0;
            totalTradeDays = 0;
            double buyPrice = 0.0;
            double sellPrice = 0.0;
            int nShares = 0;

            double cash = CASHINI;
            double expend = 0.0;
            double profitTrade = 0.0;
            double charged = 0.0;

            double [] equity = new double [nData];
            DayRat = DAYSYEAR * (Math.Pow((1.0 + (EAR/100)), (1.0/ DAYSYEAR)) - 1.0);

            //First Day
            equity[0] = CASHINI;
            actualRow++;
            nDias2 = Convert.ToInt32(arrayDate[tick[1]] - arrayDate[tick[0]]);
            //Second day in the marquet. -----------------------------------------
            cash = CASHINI * Math.Pow((1.0 + DayRat / DAYSYEAR), nDias2);
            equity[1] = cash;
            nDias2 = Convert.ToInt32(arrayDate[tick[2]] - arrayDate[tick[1]]);
            interest = cash * Math.Pow((1.0 + DayRat / DAYSYEAR), nDias2) - cash;
            dayBefore = Convert.ToInt32(arrayIO[0]);
            yesterday = Convert.ToInt32(arrayIO[1]);
            //Earnings computation -----------------------------------------------
            actualRow = 2;

            while (actualRow<(nData-1))
            {
                if (!intoMarket)
                {
                    if (dayBefore == -1 && yesterday == 1)
                    {
                        intoMarket = true;
                        buyPrice = arrayOpen[tick[actualRow]];
                        totalTradeDays++; numberTrades++; tradeDays=1; //Increasing trading variables
                        nShares = Convert.ToInt32(Math.Floor(cash / (buyPrice * (1.0 + COMISSION / 100))));
                        expend = buyPrice * nShares * (1.0 + COMISSION / 100);
                        cash = cash + interest - expend;
                        equity[actualRow] = cash + nShares * (buyPrice * (1.0 - COMISSION / 100));
                    }
                    else  //Dia normal fuera del mercado
                    {
                        cash = cash + interest;
                        equity[actualRow] = cash;
                    }
                }
                else if (dayBefore == 1 && yesterday == -1)
                {
                    intoMarket = false;
                    sellPrice = Convert.ToDouble(arrayOpen[tick[actualRow]]);
                    profitTrade = profitTrade + sellPrice - buyPrice;
                    charged = nShares * sellPrice * (1.0 - COMISSION / 100);
                    cash = cash + interest + charged;
                    equity[actualRow] = cash;
                    nShares = 0;
                    totalTradeDays = totalTradeDays + nDias1 - 1;
                    tradeDays = tradeDays + nDias1 - 1;
                    tradeDays = 0;
                }
                else
                {
                    totalTradeDays = totalTradeDays + nDias1;
                    tradeDays = tradeDays + nDias1;
                    cash = cash + interest;
                    equity[actualRow] = cash + nShares * arrayOpen[tick[actualRow]] * (1.0 - COMISSION / 100);
                    
                }

                nDias2 = Convert.ToInt32(arrayDate[tick[(actualRow + 1)]] - arrayDate[tick[actualRow]]);
                interest = cash * Math.Pow((1.0 + DayRat / DAYSYEAR), nDias2) - cash;
                actualRow++;
                nDias1 = nDias2;
                dayBefore = Convert.ToInt32(arrayIO[(actualRow - 2)]);
                yesterday = Convert.ToInt32(arrayIO[(actualRow - 1)]);
               
            }
            if (intoMarket)
            {
                intoMarket = false;
                sellPrice = Convert.ToDouble(arrayOpen[tick[actualRow]]);
                profitTrade = profitTrade + sellPrice - buyPrice;
                charged = nShares * sellPrice * (1.0 - COMISSION / 100);
                cash = cash + interest + charged;
                equity[actualRow] = cash;
                nShares = 0;
                totalTradeDays = totalTradeDays + nDias1 - 1;
                tradeDays = tradeDays + nDias1 - 1;
            }
            else
            {
                cash = cash + interest;
                equity[actualRow] = cash;
            }
            
            return cash;
        }

        public static int getNumberTrades()
        {
            return numberTrades;
        }
        public static int getTradeDays()
        {
            return tradeDays;
        }
        public static int getTotalTradesDays()
        {
            return totalTradeDays;
        }
    }
}