source: branches/sluengo/HeuristicLab.Problems.TradeRules/EvaluatorTradeRules.cs @ 9262

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;

using HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
using HeuristicLab.Problems.DataAnalysis.Symbolic.Regression;
using HeuristicLab.Problems.DataAnalysis.Symbolic;
using HeuristicLab.Problems.DataAnalysis;

namespace HeuristicLab.Problems.TradeRules
{
    [Item("Trade Rules Evaluator", "Calculates the profit")]
    [StorableClass]
    public class EvaluatorTradeRules : SymbolicRegressionSingleObjectiveEvaluator
    {

        public override bool Maximization { get { return true; } }

        [StorableConstructor]
        protected EvaluatorTradeRules(bool deserializing) : base(deserializing) { }
        protected EvaluatorTradeRules(EvaluatorTradeRules original, Cloner cloner)
            : base(original, cloner)
        {
        }
        public override IDeepCloneable Clone(Cloner cloner)
        {
            return new EvaluatorTradeRules(this, cloner);
        }

        public EvaluatorTradeRules() : base() { }

        public override IOperation Apply()
        {
            var solution = SymbolicExpressionTreeParameter.ActualValue;
            IEnumerable<int> rows = GenerateRowsToEvaluate();

            double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, ProblemDataParameter.ActualValue, rows);
            QualityParameter.ActualValue = new DoubleValue(quality);

            return base.Apply();
        }

        public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, double lowerEstimationLimit, double upperEstimationLimit, IRegressionProblemData problemData, IEnumerable<int> rows)
        {
            IEnumerable<double> estimatedValues = interpreter.GetSymbolicExpressionTreeValues(solution, problemData.Dataset, rows);
            const double commission = 0.25;

            bool intoMarket = false;//Equivalent to be into the market
            int totalTradeDays = 0;
            int numberTrades = 0;
            int tradeDays = 0;
            double dayBefore = 0.0;
            double yesterday = 0.0;
            double buyPrice = 0.0;
            double sellPrice = 0.0;
            string stringPrice = "";
            int nShares = 0;
            double cash = 10000.00;
            double expend = 0.0;
            double equity = 0.0;
            double profit1 = 0.0;
            double charged = 0.0;

            //SECOND EVALUATOR
            IEnumerator<int> initialRow = rows.GetEnumerator();
            initialRow.MoveNext();
            int count = initialRow.Current + 2;
            IEnumerator<double> enumerator = estimatedValues.GetEnumerator();
            enumerator.MoveNext();
            dayBefore = enumerator.Current;
            enumerator.MoveNext();
            yesterday = enumerator.Current;
            while (enumerator.MoveNext())
            {
                if (!intoMarket)
                {
                    if (dayBefore == -1 && yesterday == 1)
                    {
                        intoMarket = true;
                        stringPrice = problemData.Dataset.GetValue(count, 0); //Extracting Open values
                        buyPrice = Convert.ToDouble(stringPrice);
                        totalTradeDays++; numberTrades++; tradeDays++; //Increasing trading variables
                        nShares = (int)Math.Floor(cash / (buyPrice * (1.0 + commission / 100)));
                        expend = buyPrice * nShares * (1 + commission / 100);
                        cash = cash - expend;
                        equity = cash + nShares * buyPrice * (1 + commission / 100);
                    }
                }
                else if (dayBefore == 1 && yesterday == -1)
                {
                    intoMarket = false;
                    stringPrice = problemData.Dataset.GetValue(count, 0); //Extracting Open values
                    sellPrice = Convert.ToDouble(stringPrice);
                    profit1 += sellPrice - buyPrice;
                    charged = sellPrice * nShares * (1 - commission / 100);
                    cash = cash + charged;
                    equity = cash;
                    nShares = 0;
                }
                else
                {
                    tradeDays++;
                    totalTradeDays++;
                    equity = cash + nShares * Convert.ToDouble(problemData.Dataset.GetValue(count, 0)) * (1 + commission / 100);
                }

                dayBefore = yesterday;
                yesterday = enumerator.Current;
                count++;
            }

            if (intoMarket)
            {
                intoMarket = false;
                stringPrice = problemData.Dataset.GetValue(count, 0); //Extracting Open values
                sellPrice = Convert.ToDouble(stringPrice);
                profit1 += sellPrice - buyPrice;
                charged = sellPrice * nShares * (1 - commission / 100);
                cash = cash + charged;
                equity = cash;
                nShares = 0;
            }

            return cash;
        }

        public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IRegressionProblemData problemData, IEnumerable<int> rows)
        {
            SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
            EstimationLimitsParameter.ExecutionContext = context;

            double r2 = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, problemData, rows);

            SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
            EstimationLimitsParameter.ExecutionContext = null;

            return r2;
        }
    }
}