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source: branches/sluengo/HeuristicLab.Problems.TradeRules/Solution/TradeRulesSolutionBase.cs @ 10782

Last change on this file since 10782 was 9499, checked in by sluengo, 12 years ago
File size: 11.8 KB
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1using System;
2using System.Collections.Generic;
3using System.Linq;
4using System.Text;
5using HeuristicLab.Problems.DataAnalysis;
6using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
7using HeuristicLab.Data;
8using HeuristicLab.Common;
9using HeuristicLab.Optimization;
10using HeuristicLab.Problems.DataAnalysis.Symbolic.Regression;
11using HeuristicLab.Problems.TradeRules.Evaluator;
12
13namespace HeuristicLab.Problems.TradeRules
14{
15      [StorableClass]
16    public abstract class TradeRulesSolutionBase : DataAnalysisSolution, IRegressionSolution
17    {
18        private const string TrainingCashResultName = "Cash after the operation (training)";
19        private const string TestCashResultName = "Cash after the operation (test)";
20        private const string TrainingUpDaysResultName = "Number of days that stock market goes up (training)";
21        private const string TrainingDownDaysResultName = "Number of days that stock market goes down (training)";
22        private const string TrainingHeuristicResultName = "Percentage of right actions after the operation (training)";
23        private const string TestHeuristicResultName = "Percentage of right actions after the operation (test)";
24        private const string TrainingMeanSquaredErrorResultName = "Mean squared error (training)";
25        private const string TestMeanSquaredErrorResultName = "Mean squared error (test)";
26        private const string TrainingMeanAbsoluteErrorResultName = "Mean absolute error (training)";
27        private const string TestMeanAbsoluteErrorResultName = "Mean absolute error (test)";
28        private const string TrainingSquaredCorrelationResultName = "Pearson's R² (training)";
29        private const string TestSquaredCorrelationResultName = "Pearson's R² (test)";
30        private const string TrainingRelativeErrorResultName = "Average relative error (training)";
31        private const string TestRelativeErrorResultName = "Average relative error (test)";
32        private const string TrainingNormalizedMeanSquaredErrorResultName = "Normalized mean squared error (training)";
33        private const string TestNormalizedMeanSquaredErrorResultName = "Normalized mean squared error (test)";
34        private const string TrainingMeanErrorResultName = "Mean error (training)";
35        private const string TestMeanErrorResultName = "Mean error (test)";
36        private const string TestTradeDaysResultName = "Trade days";
37        private const string TestNumberTradesResultName = "Number of trades";
38        private const string TestTotalTradesResultName = "Total trades";
39
40
41        public new IRegressionModel Model
42        {
43            get { return (IRegressionModel)base.Model; }
44            protected set { base.Model = value; }
45        }
46
47        public new IRegressionProblemData ProblemData
48        {
49            get { return (IRegressionProblemData)base.ProblemData; }
50            set { base.ProblemData = value; }
51        }
52
53        public abstract IEnumerable<double> EstimatedValues { get; }
54        public abstract IEnumerable<double> EstimatedTrainingValues { get; }
55        public abstract IEnumerable<double> EstimatedTestValues { get; }
56        public abstract IEnumerable<double> GetEstimatedValues(IEnumerable<int> rows);
57
58
59        #region Results
60        public double TrainingCash
61        {
62            get { return ((DoubleValue)this[TrainingCashResultName].Value).Value; }
63            private set { ((DoubleValue)this[TrainingCashResultName].Value).Value = value; }
64        }
65        public double TestCash
66        {
67            get { return ((DoubleValue)this[TestCashResultName].Value).Value; }
68            private set { ((DoubleValue)this[TestCashResultName].Value).Value = value; }
69        }
70
71        public double TrainingHeuristic
72        {
73            get { return ((DoubleValue)this[TrainingHeuristicResultName].Value).Value; }
74            private set { ((DoubleValue)this[TrainingHeuristicResultName].Value).Value = value; }
75        }
76        public double TestHeuristic
77        {
78            get { return ((DoubleValue)this[TestHeuristicResultName].Value).Value; }
79            private set { ((DoubleValue)this[TestHeuristicResultName].Value).Value = value; }
80        }
81
82        public double NumberUpDays
83        {
84            get { return ((DoubleValue)this[TrainingUpDaysResultName].Value).Value; }
85            private set { ((DoubleValue)this[TrainingUpDaysResultName].Value).Value = value; }
86        }
87
88        public double NumberDownDays
89        {
90            get { return ((DoubleValue)this[TrainingDownDaysResultName].Value).Value; }
91            private set { ((DoubleValue)this[TrainingDownDaysResultName].Value).Value = value; }
92        }
93
94        public double TradeDays
95        {
96            get { return ((DoubleValue)this[TestTradeDaysResultName].Value).Value; }
97            private set { ((DoubleValue)this[TestTradeDaysResultName].Value).Value = value; }
98        }
99        public double NumberTrades
100        {
101            get { return ((DoubleValue)this[TestNumberTradesResultName].Value).Value; }
102            private set { ((DoubleValue)this[TestNumberTradesResultName].Value).Value = value; }
103        }
104        public double TotalTrades
105        {
106            get { return ((DoubleValue)this[TestTotalTradesResultName].Value).Value; }
107            private set { ((DoubleValue)this[TestTotalTradesResultName].Value).Value = value; }
108        }
109       public double TrainingMeanSquaredError
110        {
111            get { return ((DoubleValue)this[TrainingMeanSquaredErrorResultName].Value).Value; }
112            private set { ((DoubleValue)this[TrainingMeanSquaredErrorResultName].Value).Value = value; }
113        }
114        public double TestMeanSquaredError
115        {
116            get { return ((DoubleValue)this[TestMeanSquaredErrorResultName].Value).Value; }
117            private set { ((DoubleValue)this[TestMeanSquaredErrorResultName].Value).Value = value; }
118        }
119        public double TrainingMeanAbsoluteError
120        {
121            get { return ((DoubleValue)this[TrainingMeanAbsoluteErrorResultName].Value).Value; }
122            private set { ((DoubleValue)this[TrainingMeanAbsoluteErrorResultName].Value).Value = value; }
123        }
124        public double TestMeanAbsoluteError
125        {
126            get { return ((DoubleValue)this[TestMeanAbsoluteErrorResultName].Value).Value; }
127            private set { ((DoubleValue)this[TestMeanAbsoluteErrorResultName].Value).Value = value; }
128        }
129        public double TrainingRSquared
130        {
131            get { return ((DoubleValue)this[TrainingSquaredCorrelationResultName].Value).Value; }
132            private set { ((DoubleValue)this[TrainingSquaredCorrelationResultName].Value).Value = value; }
133        }
134        public double TestRSquared
135        {
136            get { return ((DoubleValue)this[TestSquaredCorrelationResultName].Value).Value; }
137            private set { ((DoubleValue)this[TestSquaredCorrelationResultName].Value).Value = value; }
138        }
139        public double TrainingRelativeError
140        {
141            get { return ((DoubleValue)this[TrainingRelativeErrorResultName].Value).Value; }
142            private set { ((DoubleValue)this[TrainingRelativeErrorResultName].Value).Value = value; }
143        }
144        public double TestRelativeError
145        {
146            get { return ((DoubleValue)this[TestRelativeErrorResultName].Value).Value; }
147            private set { ((DoubleValue)this[TestRelativeErrorResultName].Value).Value = value; }
148        }
149        public double TrainingNormalizedMeanSquaredError
150        {
151            get { return ((DoubleValue)this[TrainingNormalizedMeanSquaredErrorResultName].Value).Value; }
152            private set { ((DoubleValue)this[TrainingNormalizedMeanSquaredErrorResultName].Value).Value = value; }
153        }
154        public double TestNormalizedMeanSquaredError
155        {
156            get { return ((DoubleValue)this[TestNormalizedMeanSquaredErrorResultName].Value).Value; }
157            private set { ((DoubleValue)this[TestNormalizedMeanSquaredErrorResultName].Value).Value = value; }
158        }
159        public double TrainingMeanError
160        {
161            get { return ((DoubleValue)this[TrainingMeanErrorResultName].Value).Value; }
162            private set { ((DoubleValue)this[TrainingMeanErrorResultName].Value).Value = value; }
163        }
164        public double TestMeanError
165        {
166            get { return ((DoubleValue)this[TestMeanErrorResultName].Value).Value; }
167            private set { ((DoubleValue)this[TestMeanErrorResultName].Value).Value = value; }
168        }
169        #endregion
170
171
172          [StorableConstructor]
173    protected TradeRulesSolutionBase(bool deserializing) : base(deserializing) { }
174    protected TradeRulesSolutionBase(TradeRulesSolutionBase original, Cloner cloner)
175      : base(original, cloner) {
176    }
177    protected TradeRulesSolutionBase(IRegressionModel model, IRegressionProblemData problemData)
178      : base(model, problemData) {
179      /*Add(new Result(TrainingCashResultName, "Cash obtained after training period in the stock market", new DoubleValue()));*/
180      Add(new Result(TestCashResultName, "Cash obtained after test period in the stock market", new DoubleValue()));
181      Add(new Result(TrainingHeuristicResultName, "Percentage of right actions after training period in the stock market", new DoubleValue()));
182      Add(new Result(TestHeuristicResultName, "Percentage of right actions after test period in the stock market", new DoubleValue()));
183      Add(new Result(TrainingUpDaysResultName, "Number of days actions go up in the stock market", new DoubleValue()));
184      Add(new Result(TrainingDownDaysResultName, "Number of days actions down up in the stock market", new DoubleValue()));
185     
186      Add(new Result(TestTradeDaysResultName, "Number of trading days", new DoubleValue()));
187      Add(new Result(TestNumberTradesResultName, "Number of trades", new DoubleValue()));
188      Add(new Result(TestTotalTradesResultName, "Total trades", new DoubleValue()));
189     }
190    protected void CalculateResults()
191    {
192        IEnumerable<double> estimatedValues = EstimatedValues;
193        IEnumerable<double> estimatedTrainingValues = EstimatedTrainingValues; // cache values
194        IEnumerable<double> originalTrainingValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices);
195        IEnumerable<double> estimatedTestValues = EstimatedTestValues; // cache values
196        IEnumerable<double> originalTestValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TestIndices);
197   
198        /*double trainingCTR = OnlineTradeRulesCalculator.Calculate(estimatedTrainingValues, ProblemData, ProblemData.TrainingIndices);
199        TrainingCash = trainingCTR;*/
200
201        double trainingHTR = OnlineHeuristicTradeRulesCalculator.Calculate(estimatedTrainingValues, ProblemData, ProblemData.TrainingIndices);
202        TrainingHeuristic = trainingHTR;
203        double trainingUpDays = OnlineHeuristicTradeRulesCalculator.getNumberUpDays();
204        NumberUpDays = trainingUpDays;
205        double trainingDownDays = OnlineHeuristicTradeRulesCalculator.getNumberDownDays();
206        NumberDownDays = trainingDownDays;
207
208        double testHTR = OnlineHeuristicTradeRulesCalculator.Calculate(estimatedTestValues, ProblemData, ProblemData.TestIndices);
209        TestHeuristic = testHTR;
210
211        double testCTR = OnlineTradeRulesCalculator.Calculate(estimatedTestValues, ProblemData, ProblemData.TestIndices);
212        TestCash = testCTR;
213        double testTradeDays = OnlineTradeRulesCalculator.getTradeDays();
214        TradeDays = testTradeDays;
215        double testNumberTrades = OnlineTradeRulesCalculator.getNumberTrades();
216        NumberTrades = testNumberTrades;
217        double testTotalTradeDays = OnlineTradeRulesCalculator.getTotalTradesDays();
218        TotalTrades = testTotalTradeDays;
219
220    }
221
222
223   }
224}
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