1 | using System;
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2 | using System.Collections.Generic;
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3 | using System.Linq;
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4 | using System.Text;
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5 | using HeuristicLab.Common;
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6 | using HeuristicLab.Core;
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7 | using HeuristicLab.Data;
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8 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
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9 | using HeuristicLab.Parameters;
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10 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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11 | using HeuristicLab.Problems.DataAnalysis.Symbolic;
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12 | using HeuristicLab.Problems.DataAnalysis;
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13 |
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14 | namespace HeuristicLab.Problems.TradeRules
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15 | {
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16 | [StorableClass]
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17 | [Item("Interpreter", "Represents a grammar for Trading Problems")]
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18 | public sealed class Interpreter : ParameterizedNamedItem, ISymbolicDataAnalysisExpressionTreeInterpreter
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19 | {
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20 | private const string CheckExpressionsWithIntervalArithmeticParameterName = "CheckExpressionsWithIntervalArithmetic";
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21 | private const string EvaluatedSolutionsParameterName = "EvaluatedSolutions";
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22 | [ThreadStatic]
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23 | private static double [] EMAValue;
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24 | [ThreadStatic]
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25 | private static double inOut;
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26 | [ThreadStatic]
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27 | private static double meanUp;
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28 | [ThreadStatic]
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29 | private static double meanDown;
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30 | [ThreadStatic]
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31 | private static double lastRSI;
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32 | #region private classes
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33 | //This class manipulate the instructions of the stack
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34 | private class InterpreterState
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35 | {
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36 | private double[] argumentStack;
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37 | private int argumentStackPointer;
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38 | private Instruction[] code;
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39 | private int pc;
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40 | public int ProgramCounter
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41 | {
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42 | get { return pc; }
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43 | set { pc = value; }
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44 | }
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45 | internal InterpreterState(Instruction[] code, int argumentStackSize)
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46 | {
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47 | this.code = code;
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48 | this.pc = 0;
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49 | if (argumentStackSize > 0)
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50 | {
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51 | this.argumentStack = new double[argumentStackSize];
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52 | }
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53 | this.argumentStackPointer = 0;
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54 | }
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55 |
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56 | internal void Reset()
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57 | {
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58 | this.pc = 0;
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59 | this.argumentStackPointer = 0;
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60 | }
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61 |
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62 | internal Instruction NextInstruction()
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63 | {
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64 | return code[pc++];
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65 | }
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66 | private void Push(double val)
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67 | {
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68 | argumentStack[argumentStackPointer++] = val;
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69 | }
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70 | private double Pop()
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71 | {
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72 | return argumentStack[--argumentStackPointer];
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73 | }
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74 |
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75 | internal void CreateStackFrame(double[] argValues)
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76 | {
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77 | // push in reverse order to make indexing easier
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78 | for (int i = argValues.Length - 1; i >= 0; i--)
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79 | {
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80 | argumentStack[argumentStackPointer++] = argValues[i];
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81 | }
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82 | Push(argValues.Length);
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83 | }
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84 |
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85 | internal void RemoveStackFrame()
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86 | {
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87 | int size = (int)Pop();
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88 | argumentStackPointer -= size;
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89 | }
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90 |
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91 | internal double GetStackFrameValue(ushort index)
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92 | {
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93 | // layout of stack:
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94 | // [0] <- argumentStackPointer
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95 | // [StackFrameSize = N + 1]
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96 | // [Arg0] <- argumentStackPointer - 2 - 0
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97 | // [Arg1] <- argumentStackPointer - 2 - 1
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98 | // [...]
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99 | // [ArgN] <- argumentStackPointer - 2 - N
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100 | // <Begin of stack frame>
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101 | return argumentStack[argumentStackPointer - index - 2];
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102 | }
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103 | }
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104 |
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105 | //Operation codes
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106 | private class OpCodes
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107 | {
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108 | public const byte Add = 1;
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109 | public const byte Sub = 2;
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110 | public const byte Mul = 3;
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111 |
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112 | public const byte GT = 5;
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113 | public const byte LT = 6;
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114 |
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115 | public const byte AND = 7;
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116 | public const byte OR = 8;
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117 | public const byte NOT = 9;
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118 | public const byte BOOLEAN = 10;
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119 |
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120 | public const byte Average = 11;
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121 | public const byte MACD = 12;
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122 |
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123 | public const byte Variable = 13;
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124 | public const byte Constant = 14;
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125 | public const byte ConstantInt = 16;
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126 | public const byte BoolConstant = 15;
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127 | public const byte Max = 17;
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128 | public const byte Min = 18;
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129 | public const byte Lag = 19;
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130 | public const byte RSI = 20;
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131 | public const byte EMA = 21;
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132 |
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133 |
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134 | }
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135 | #endregion
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136 |
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137 | #region IStatefulItem
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138 | public void InitializeState()
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139 | {
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140 | EvaluatedSolutions.Value = 0;
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141 | }
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142 |
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143 | public void ClearState()
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144 | {
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145 | }
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146 | #endregion
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147 |
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148 | private Dictionary<Type, byte> symbolToOpcode = new Dictionary<Type, byte>() {
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149 | { typeof(Addition), OpCodes.Add },
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150 | { typeof(Subtraction), OpCodes.Sub },
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151 | { typeof(Multiplication), OpCodes.Mul },
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152 | { typeof(Constant), OpCodes.Constant },
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153 | { typeof(BoolConstant), OpCodes.BoolConstant },
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154 | { typeof(ConstantInt), OpCodes.ConstantInt },
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155 | { typeof(GreaterThan), OpCodes.GT },
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156 | { typeof(LessThan), OpCodes.LT },
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157 | { typeof(And), OpCodes.AND },
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158 | { typeof(Or), OpCodes.OR },
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159 | { typeof(Not), OpCodes.NOT},
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160 | { typeof(AverageTrade), OpCodes.Average},
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161 | { typeof(MACD), OpCodes.MACD},
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162 | { typeof(RSI), OpCodes.RSI},
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163 | { typeof(EMA), OpCodes.EMA},
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164 | { typeof(Max), OpCodes.Max},
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165 | { typeof(Min), OpCodes.Min},
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166 | { typeof(Lag), OpCodes.Lag},
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167 | { typeof(HeuristicLab.Problems.DataAnalysis.Symbolic.Variable), OpCodes.Variable },
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168 | };
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169 |
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170 | public override bool CanChangeName
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171 | {
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172 | get { return false; }
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173 | }
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174 | public override bool CanChangeDescription
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175 | {
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176 | get { return false; }
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177 | }
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178 |
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179 | #region parameter properties
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180 | public IValueParameter<BoolValue> CheckExpressionsWithIntervalArithmeticParameter
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181 | {
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182 | get { return (IValueParameter<BoolValue>)Parameters[CheckExpressionsWithIntervalArithmeticParameterName]; }
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183 | }
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184 |
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185 | public IValueParameter<IntValue> EvaluatedSolutionsParameter
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186 | {
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187 | get { return (IValueParameter<IntValue>)Parameters[EvaluatedSolutionsParameterName]; }
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188 | }
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189 | #endregion
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190 |
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191 | #region properties
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192 | public BoolValue CheckExpressionsWithIntervalArithmetic
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193 | {
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194 | get { return CheckExpressionsWithIntervalArithmeticParameter.Value; }
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195 | set { CheckExpressionsWithIntervalArithmeticParameter.Value = value; }
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196 | }
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197 |
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198 | public IntValue EvaluatedSolutions
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199 | {
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200 | get { return EvaluatedSolutionsParameter.Value; }
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201 | set { EvaluatedSolutionsParameter.Value = value; }
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202 | }
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203 | #endregion
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204 |
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205 |
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206 |
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207 |
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208 | private double Evaluate(Dataset dataset, ref int row, InterpreterState state)
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209 | {
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210 | Instruction currentInstr = state.NextInstruction();
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211 |
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212 | switch (currentInstr.opCode)
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213 | {
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214 | case OpCodes.Add:
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215 | {
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216 | double s = Evaluate(dataset, ref row, state);
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217 | for (int i = 1; i < currentInstr.nArguments; i++)
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218 | {
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219 | s += Evaluate(dataset, ref row, state);
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220 | }
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221 | return s;
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222 | }
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223 | case OpCodes.Sub:
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224 | {
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225 | double s = Evaluate(dataset, ref row, state);
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226 | for (int i = 1; i < currentInstr.nArguments; i++)
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227 | {
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228 | s -= Evaluate(dataset, ref row, state);
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229 | }
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230 | if (currentInstr.nArguments == 1) s = -s;
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231 | return s;
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232 | }
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233 | case OpCodes.Mul:
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234 | {
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235 | double p = Evaluate(dataset, ref row, state);
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236 | for (int i = 1; i < currentInstr.nArguments; i++)
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237 | {
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238 | p *= Evaluate(dataset, ref row, state);
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239 | }
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240 | return p;
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241 | }
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242 | case OpCodes.Average:
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243 | {
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244 | double sum = Evaluate(dataset, ref row, state);
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245 | int integerValue = (int) Math.Floor(sum);
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246 | if (integerValue > 100) integerValue = 100;
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247 | if (row < integerValue)
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248 | {
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249 | string variableName = dataset.GetValue(row, 2);
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250 | double inferiorValue = Convert.ToDouble(variableName);
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251 | return inferiorValue/(row+1);
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252 | }
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253 | else
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254 | {
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255 | string variableName = dataset.GetValue(row, 2);
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256 | double meanValue1 = Convert.ToDouble(variableName);
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257 | string variableName2 = dataset.GetValue((row - integerValue), 2);
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258 | double meanValue2 = Convert.ToDouble(variableName2);
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259 | return (meanValue1 - meanValue2) / integerValue;
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260 | }
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261 | }
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262 | case OpCodes.MACD:
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263 | {
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264 | /*double firstMean = Evaluate(dataset, ref row, state);
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265 | double secondMean = Evaluate(dataset, ref row, state);
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266 | double signal = Evaluate(dataset, ref row, state);
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267 | double firstEMA = 0.0;
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268 | double secondEMA = 0.0;
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269 | double lastFirstEMA = 0.0;
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270 | double lastSecondEMA = 0.0;
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271 | double macd = 0.0;
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272 | double firstFactor = 0.0;
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273 | double signalValue = Double.NegativeInfinity;
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274 | if (row == (firstMean - 1))
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275 | {
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276 | string variableName = dataset.GetValue(row, 2);
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277 | double meanValue1 = Convert.ToDouble(variableName);
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278 | firstEMA = meanValue1 / firstMean;
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279 | }
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280 | if (row == (secondMean-1))
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281 | {
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282 | string variableName = dataset.GetValue(row, 2);
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283 | double meanValue2 = Convert.ToDouble(variableName);
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284 | secondEMA = meanValue2 / secondMean;
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285 | }
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286 | string variableName2 = dataset.GetValue(row, 1);
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287 | double intValue = Convert.ToDouble(variableName2);
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288 | if (row > (firstMean-1))
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289 | {
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290 | firstFactor = 2 / (firstMean + 1);
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291 | firstEMA = (intValue * firstFactor) + (lastFirstEMA * (1-firstFactor));
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292 | }
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293 | if (row > (secondMean-1))
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294 | {
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295 | double secondFactor = 2 / (secondMean + 1);
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296 | secondEMA = (intValue * secondFactor) + (lastSecondEMA * (1 - secondFactor));
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297 | }
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298 | lastFirstEMA = firstEMA;
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299 | lastSecondEMA = secondEMA;
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300 | macd = firstEMA - secondEMA;
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301 | if ((row < (firstMean-1)) || (row < (secondMean-1))) return 0.0;
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302 | else return macd;*/
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303 | return 0.0;
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304 |
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305 | //macd = firstEMA - secondEMA;
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306 | //if (row == Math.Max(firstMean, secondMean)) signalValue = macd;
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307 | //if (row > firstMean && row > secondMean)
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308 | //{
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309 | // double factor = 2 / (signal + 1);
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310 | // signalValue = (macd * factor) + (lastSignal * (1 - factor));
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311 | //}
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312 | //if (!Double.IsNegativeInfinity(signalValue)) lastSignal = signalValue;
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313 | //return signalValue > macd ? 1.0 : -1.0;
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314 | }
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315 | case OpCodes.AND:
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316 | {
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317 | double result = Evaluate(dataset, ref row, state);
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318 | for (int i = 1; i < currentInstr.nArguments; i++)
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319 | {
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320 | if (result > 0.0) result = Evaluate(dataset, ref row, state);
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321 | else
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322 | {
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323 | SkipInstructions(state);
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324 | }
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325 | }
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326 | return result > 0.0 ? 1.0 : -1.0;
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327 | }
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328 | case OpCodes.OR:
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329 | {
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330 | double result = Evaluate(dataset, ref row, state);
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331 | for (int i = 1; i < currentInstr.nArguments; i++)
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332 | {
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333 | if (result <= 0.0) result = Evaluate(dataset, ref row, state);
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334 | else
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335 | {
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336 | SkipInstructions(state);
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337 | }
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338 | }
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339 | return result > 0.0 ? 1.0 : -1.0;
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340 | }
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341 | case OpCodes.NOT:
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342 | {
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343 | return Evaluate(dataset, ref row, state) > 0.0 ? -1.0 : 1.0;
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344 | }
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345 |
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346 | case OpCodes.BOOLEAN:
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347 | {
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348 | var booleanTreeNode = currentInstr.dynamicNode as BoolConstantTreeNode;
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349 | return booleanTreeNode.Value;
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350 | }
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351 | case OpCodes.GT:
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352 | {
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353 | double x = Evaluate(dataset, ref row, state);
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354 | double y = Evaluate(dataset, ref row, state);
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355 | if (x > y) return 1.0;
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356 | else return -1.0;
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357 | }
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358 | case OpCodes.LT:
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359 | {
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360 | double x = Evaluate(dataset, ref row, state);
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361 | double y = Evaluate(dataset, ref row, state);
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362 | if (x < y) return 1.0;
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363 | else return -1.0;
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364 | }
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365 | case OpCodes.Variable:
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366 | {
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367 | if (row < 0 || row >= dataset.Rows)
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368 | return double.NaN;
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369 | var variableTreeNode = (VariableTreeNode)currentInstr.dynamicNode;
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370 | return ((IList<double>)currentInstr.iArg0)[row] * variableTreeNode.Weight;
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371 | }
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372 | case OpCodes.EMA:
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373 | {
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374 | //I assume you want to calculate the EMA as defined at http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
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375 | //for the mean value saved at position 1 of the dataset
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376 | //and timevalue specifies how many days you want to include in your EMA
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377 | double timeValue = (int)Evaluate(dataset, ref row, state);
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378 |
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379 | //get all mean values from row - timeValue up to the actual row
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380 | double[] meanValues = dataset.GetDoubleValues("insert variable name", Enumerable.Range(row - (int)timeValue, timeValue)).ToArray();
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381 |
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382 | double EMA = meanValues[0];
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383 | double factor = 2.0 / (timeValue + 1.0);
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384 |
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385 | for (int i = 1; i < timeValue; i++) {
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386 | EMA = meanValues[i] * factor + (1 - factor) * EMA;
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387 | }
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388 | return EMA;
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389 | }
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390 | case OpCodes.Constant:
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391 | {
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392 | var constTreeNode = currentInstr.dynamicNode as ConstantTreeNode;
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393 | return constTreeNode.Value;
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394 | }
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395 | case OpCodes.BoolConstant:
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396 | {
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397 | var boolConstTreeNode = currentInstr.dynamicNode as BoolConstantTreeNode;
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398 | return boolConstTreeNode.Value;
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399 | }
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400 | case OpCodes.ConstantInt:
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401 | {
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402 | var constIntTreeNode = currentInstr.dynamicNode as ConstantIntTreeNode;
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403 | return constIntTreeNode.Value;
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404 | }
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405 | case OpCodes.Max:
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406 | {
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407 | int n = (int) Evaluate(dataset, ref row, state);
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408 | double max = Double.NegativeInfinity;
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409 | int i = Math.Min(n,row);
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410 | while(i>=0)
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411 | {
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412 | int position = row - i;
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413 | string variableName = dataset.GetValue(position, 1);
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414 | double intValue = Convert.ToDouble(variableName);
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415 | if (intValue>max) max = intValue;
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416 | i--;
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417 | }
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418 | return max;
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419 | }
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420 | case OpCodes.Min:
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421 | {
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422 | int n = (int)Evaluate(dataset, ref row, state);
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423 | double min = Double.NegativeInfinity;
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424 | int i = Math.Min(n, row);
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425 | while (i >= 0)
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426 | {
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427 | int position = row - i;
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428 | string variableName = dataset.GetValue(position, 1);
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429 | double intValue = Convert.ToDouble(variableName);
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430 | if (intValue < min) min = intValue;
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431 | i--;
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432 | }
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433 | return min;
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434 | }
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435 | case OpCodes.Lag:
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436 | {
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437 | int n = (int) Evaluate(dataset, ref row, state);
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438 | if (n>row) return 0;
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439 | int position = row - n;
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440 | string variableName = dataset.GetValue(position, 1);
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441 | double intValue = Convert.ToDouble(variableName);
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442 | return intValue;
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443 | }
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444 | case OpCodes.RSI:
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445 | {
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446 | /*
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447 | double numberOfDays = Evaluate(dataset, ref row, state);
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448 | double todayRSI=0.0;
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449 | if (numberOfDays > row) return 0.0;
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450 | else
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451 | {
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452 | double addUp = 0;
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453 | double addDown = 0;
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454 | double change=0;
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455 | if (row == (numberOfDays))
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456 | {
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457 | for (int k = 1; k < (numberOfDays+1); k++)
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458 | {
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459 | string variableName = dataset.GetValue(k, 1);
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460 | double intValue = Convert.ToDouble(variableName);
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461 | variableName = dataset.GetValue((k - 1), 1);
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462 | double intValue2 = Convert.ToDouble(variableName);
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463 | change = intValue - intValue2;
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464 | if (change > 0) addUp = addUp + change;
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465 | else addDown = addDown - change;
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466 |
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467 | }
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468 | meanUp = addUp / numberOfDays;
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469 | meanDown = addDown / numberOfDays;
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470 | if (meanDown != 0) todayRSI = 100 - (100 / (1 + (meanUp / meanDown)));
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471 | else todayRSI = 100;
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472 | }
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473 | else
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474 | {
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475 | string variableName = dataset.GetValue(row, 1);
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476 | double intValue = Convert.ToDouble(variableName);
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477 | variableName = dataset.GetValue((row - 1), 1);
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---|
478 | double intValue2 = Convert.ToDouble(variableName);
|
---|
479 | change = intValue - intValue2;
|
---|
480 |
|
---|
481 | addUp = meanUp * (numberOfDays - 1);
|
---|
482 | addDown = meanDown * (numberOfDays - 1);
|
---|
483 | if (change > 0) addUp = addUp + change;
|
---|
484 | else addDown = addDown - change;
|
---|
485 | meanUp = addUp / numberOfDays;
|
---|
486 | meanDown = addDown / numberOfDays;
|
---|
487 | if (meanDown != 0) todayRSI = 100 - (100 / (1 + (meanUp / meanDown)));
|
---|
488 | else todayRSI = 100;
|
---|
489 | }
|
---|
490 | }
|
---|
491 | if ((lastRSI < 70) && (todayRSI >= 70)) inOut = 1;
|
---|
492 | else if((lastRSI > 30) && (todayRSI <= 30)) inOut=-1;
|
---|
493 | lastRSI = todayRSI;*/
|
---|
494 | return 0.0;
|
---|
495 |
|
---|
496 | }
|
---|
497 |
|
---|
498 | default: throw new NotSupportedException();
|
---|
499 | }
|
---|
500 | }
|
---|
501 |
|
---|
502 | private byte MapSymbolToOpCode(ISymbolicExpressionTreeNode treeNode)
|
---|
503 | {
|
---|
504 | if (symbolToOpcode.ContainsKey(treeNode.Symbol.GetType()))
|
---|
505 | return symbolToOpcode[treeNode.Symbol.GetType()];
|
---|
506 | else
|
---|
507 | throw new NotSupportedException("Symbol: " + treeNode.Symbol);
|
---|
508 | }
|
---|
509 |
|
---|
510 | // skips a whole branch
|
---|
511 | private void SkipInstructions(InterpreterState state)
|
---|
512 | {
|
---|
513 | int i = 1;
|
---|
514 | while (i > 0)
|
---|
515 | {
|
---|
516 | i += state.NextInstruction().nArguments;
|
---|
517 | i--;
|
---|
518 | }
|
---|
519 | }
|
---|
520 | [StorableConstructor]
|
---|
521 | private Interpreter(bool deserializing) : base(deserializing) { }
|
---|
522 | private Interpreter(Interpreter original, Cloner cloner) : base(original, cloner) { }
|
---|
523 | public override IDeepCloneable Clone(Cloner cloner)
|
---|
524 | {
|
---|
525 | return new Interpreter(this, cloner);
|
---|
526 | }
|
---|
527 |
|
---|
528 | public Interpreter()
|
---|
529 | : base("SymbolicDataAnalysisExpressionTreeInterpreter", "Interpreter for symbolic expression trees including automatically defined functions.")
|
---|
530 | {
|
---|
531 | Parameters.Add(new ValueParameter<BoolValue>(CheckExpressionsWithIntervalArithmeticParameterName, "Switch that determines if the interpreter checks the validity of expressions with interval arithmetic before evaluating the expression.", new BoolValue(false)));
|
---|
532 | Parameters.Add(new ValueParameter<IntValue>(EvaluatedSolutionsParameterName, "A counter for the total number of solutions the interpreter has evaluated", new IntValue(0)));
|
---|
533 | }
|
---|
534 |
|
---|
535 | [StorableHook(HookType.AfterDeserialization)]
|
---|
536 | private void AfterDeserialization()
|
---|
537 | {
|
---|
538 | if (!Parameters.ContainsKey(EvaluatedSolutionsParameterName))
|
---|
539 | Parameters.Add(new ValueParameter<IntValue>(EvaluatedSolutionsParameterName, "A counter for the total number of solutions the interpreter has evaluated", new IntValue(0)));
|
---|
540 | }
|
---|
541 |
|
---|
542 | //Take the symbolic expression values of the tree
|
---|
543 | public IEnumerable<double> GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, IEnumerable<int> rows)
|
---|
544 | {
|
---|
545 | if (CheckExpressionsWithIntervalArithmetic.Value)
|
---|
546 | throw new NotSupportedException("Interval arithmetic is not yet supported in the symbolic data analysis interpreter.");
|
---|
547 | EvaluatedSolutions.Value++; // increment the evaluated solutions counter
|
---|
548 | var compiler = new SymbolicExpressionTreeCompiler();
|
---|
549 | Instruction[] code = compiler.Compile(tree, MapSymbolToOpCode);//Take the type of symbol
|
---|
550 | int necessaryArgStackSize = 0;
|
---|
551 | for (int i = 0; i < code.Length; i++)
|
---|
552 | {
|
---|
553 | Instruction instr = code[i];
|
---|
554 | if (instr.opCode == OpCodes.Variable)
|
---|
555 | {
|
---|
556 | var variableTreeNode = instr.dynamicNode as VariableTreeNode;
|
---|
557 | instr.iArg0 = dataset.GetReadOnlyDoubleValues(variableTreeNode.VariableName);
|
---|
558 | code[i] = instr;
|
---|
559 | }
|
---|
560 | else if (instr.opCode == OpCodes.EMA)
|
---|
561 | {
|
---|
562 | instr.iArg0 = EMAValue;
|
---|
563 | }
|
---|
564 | }
|
---|
565 | var state = new InterpreterState(code, necessaryArgStackSize);
|
---|
566 | //Evaluate each row of the datase
|
---|
567 | foreach (var rowEnum in rows)
|
---|
568 | {
|
---|
569 | int row = rowEnum;
|
---|
570 | state.Reset();
|
---|
571 | yield return Evaluate(dataset, ref row, state);
|
---|
572 | }
|
---|
573 | }
|
---|
574 |
|
---|
575 | }
|
---|
576 | }
|
---|