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.Problems.DataAnalysis;
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6 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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7 | using HeuristicLab.Data;
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8 | using HeuristicLab.Common;
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9 | using HeuristicLab.Optimization;
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10 | using HeuristicLab.Problems.DataAnalysis.Symbolic.Regression;
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11 |
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12 | namespace HeuristicLab.Problems.TradeRules
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13 | {
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14 | [StorableClass]
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15 | public abstract class TradeRulesSolutionBase : DataAnalysisSolution, IRegressionSolution
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16 | {
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17 | private const string TrainingCashResultName = "Cash after the operation (training)";
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18 | private const string TestCashResultName = "Cash after the operation (test)";
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19 | private const string TrainingMeanSquaredErrorResultName = "Mean squared error (training)";
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20 | private const string TestMeanSquaredErrorResultName = "Mean squared error (test)";
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21 | private const string TrainingMeanAbsoluteErrorResultName = "Mean absolute error (training)";
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22 | private const string TestMeanAbsoluteErrorResultName = "Mean absolute error (test)";
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23 | private const string TrainingSquaredCorrelationResultName = "Pearson's R² (training)";
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24 | private const string TestSquaredCorrelationResultName = "Pearson's R² (test)";
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25 | private const string TrainingRelativeErrorResultName = "Average relative error (training)";
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26 | private const string TestRelativeErrorResultName = "Average relative error (test)";
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27 | private const string TrainingNormalizedMeanSquaredErrorResultName = "Normalized mean squared error (training)";
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28 | private const string TestNormalizedMeanSquaredErrorResultName = "Normalized mean squared error (test)";
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29 | private const string TrainingMeanErrorResultName = "Mean error (training)";
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30 | private const string TestMeanErrorResultName = "Mean error (test)";
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31 | private const string TestTradeDaysResultName = "Trade days";
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32 | private const string TestNumberTradesResultName = "Number of trades";
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33 | private const string TestTotalTradesResultName = "Total trades";
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34 |
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35 |
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36 | public new IRegressionModel Model
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37 | {
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38 | get { return (IRegressionModel)base.Model; }
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39 | protected set { base.Model = value; }
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40 | }
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41 |
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42 | public new IRegressionProblemData ProblemData
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43 | {
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44 | get { return (IRegressionProblemData)base.ProblemData; }
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45 | set { base.ProblemData = value; }
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46 | }
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47 |
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48 | public abstract IEnumerable<double> EstimatedValues { get; }
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49 | public abstract IEnumerable<double> EstimatedTrainingValues { get; }
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50 | public abstract IEnumerable<double> EstimatedTestValues { get; }
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51 | public abstract IEnumerable<double> GetEstimatedValues(IEnumerable<int> rows);
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52 |
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53 |
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54 | #region Results
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55 | public double TrainingCash
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56 | {
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57 | get { return ((DoubleValue)this[TrainingCashResultName].Value).Value; }
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58 | private set { ((DoubleValue)this[TrainingCashResultName].Value).Value = value; }
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59 | }
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60 | public double TestCash
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61 | {
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62 | get { return ((DoubleValue)this[TestCashResultName].Value).Value; }
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63 | private set { ((DoubleValue)this[TestCashResultName].Value).Value = value; }
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64 | }
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65 | public double TradeDays
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66 | {
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67 | get { return ((DoubleValue)this[TestTradeDaysResultName].Value).Value; }
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68 | private set { ((DoubleValue)this[TestTradeDaysResultName].Value).Value = value; }
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69 | }
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70 | public double NumberTrades
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71 | {
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72 | get { return ((DoubleValue)this[TestNumberTradesResultName].Value).Value; }
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73 | private set { ((DoubleValue)this[TestNumberTradesResultName].Value).Value = value; }
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74 | }
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75 | public double TotalTrades
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76 | {
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77 | get { return ((DoubleValue)this[TestTotalTradesResultName].Value).Value; }
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78 | private set { ((DoubleValue)this[TestTotalTradesResultName].Value).Value = value; }
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79 | }
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80 | public double TrainingMeanSquaredError
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81 | {
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82 | get { return ((DoubleValue)this[TrainingMeanSquaredErrorResultName].Value).Value; }
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83 | private set { ((DoubleValue)this[TrainingMeanSquaredErrorResultName].Value).Value = value; }
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84 | }
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85 | public double TestMeanSquaredError
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86 | {
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87 | get { return ((DoubleValue)this[TestMeanSquaredErrorResultName].Value).Value; }
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88 | private set { ((DoubleValue)this[TestMeanSquaredErrorResultName].Value).Value = value; }
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89 | }
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90 | public double TrainingMeanAbsoluteError
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91 | {
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92 | get { return ((DoubleValue)this[TrainingMeanAbsoluteErrorResultName].Value).Value; }
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93 | private set { ((DoubleValue)this[TrainingMeanAbsoluteErrorResultName].Value).Value = value; }
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94 | }
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95 | public double TestMeanAbsoluteError
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96 | {
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97 | get { return ((DoubleValue)this[TestMeanAbsoluteErrorResultName].Value).Value; }
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98 | private set { ((DoubleValue)this[TestMeanAbsoluteErrorResultName].Value).Value = value; }
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99 | }
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100 | public double TrainingRSquared
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101 | {
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102 | get { return ((DoubleValue)this[TrainingSquaredCorrelationResultName].Value).Value; }
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103 | private set { ((DoubleValue)this[TrainingSquaredCorrelationResultName].Value).Value = value; }
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104 | }
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105 | public double TestRSquared
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106 | {
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107 | get { return ((DoubleValue)this[TestSquaredCorrelationResultName].Value).Value; }
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108 | private set { ((DoubleValue)this[TestSquaredCorrelationResultName].Value).Value = value; }
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109 | }
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110 | public double TrainingRelativeError
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111 | {
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112 | get { return ((DoubleValue)this[TrainingRelativeErrorResultName].Value).Value; }
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113 | private set { ((DoubleValue)this[TrainingRelativeErrorResultName].Value).Value = value; }
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114 | }
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115 | public double TestRelativeError
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116 | {
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117 | get { return ((DoubleValue)this[TestRelativeErrorResultName].Value).Value; }
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118 | private set { ((DoubleValue)this[TestRelativeErrorResultName].Value).Value = value; }
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119 | }
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120 | public double TrainingNormalizedMeanSquaredError
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121 | {
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122 | get { return ((DoubleValue)this[TrainingNormalizedMeanSquaredErrorResultName].Value).Value; }
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123 | private set { ((DoubleValue)this[TrainingNormalizedMeanSquaredErrorResultName].Value).Value = value; }
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124 | }
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125 | public double TestNormalizedMeanSquaredError
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126 | {
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127 | get { return ((DoubleValue)this[TestNormalizedMeanSquaredErrorResultName].Value).Value; }
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128 | private set { ((DoubleValue)this[TestNormalizedMeanSquaredErrorResultName].Value).Value = value; }
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129 | }
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130 | public double TrainingMeanError
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131 | {
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132 | get { return ((DoubleValue)this[TrainingMeanErrorResultName].Value).Value; }
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133 | private set { ((DoubleValue)this[TrainingMeanErrorResultName].Value).Value = value; }
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134 | }
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135 | public double TestMeanError
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136 | {
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137 | get { return ((DoubleValue)this[TestMeanErrorResultName].Value).Value; }
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138 | private set { ((DoubleValue)this[TestMeanErrorResultName].Value).Value = value; }
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139 | }
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140 | #endregion
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141 |
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142 |
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143 | [StorableConstructor]
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144 | protected TradeRulesSolutionBase(bool deserializing) : base(deserializing) { }
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145 | protected TradeRulesSolutionBase(TradeRulesSolutionBase original, Cloner cloner)
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146 | : base(original, cloner) {
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147 | }
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148 | protected TradeRulesSolutionBase(IRegressionModel model, IRegressionProblemData problemData)
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149 | : base(model, problemData) {
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150 | Add(new Result(TrainingCashResultName, "Cash obtained after training period in the stock market", new DoubleValue()));
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151 | Add(new Result(TestCashResultName, "Cash obtained after test period in the stock market", new DoubleValue()));
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152 | Add(new Result(TestTradeDaysResultName, "Number of trading days", new DoubleValue()));
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153 | Add(new Result(TestNumberTradesResultName, "Number of trades", new DoubleValue()));
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154 | Add(new Result(TestTotalTradesResultName, "Total trades", new DoubleValue()));
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155 | }
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156 |
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157 | [StorableHook(HookType.AfterDeserialization)]
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158 | private void AfterDeserialization()
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159 | {
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160 | // BackwardsCompatibility3.4
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161 |
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162 | #region Backwards compatible code, remove with 3.5
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163 |
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164 | if (!ContainsKey(TrainingMeanAbsoluteErrorResultName))
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165 | {
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166 | OnlineCalculatorError errorState;
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167 | Add(new Result(TrainingMeanAbsoluteErrorResultName, "Mean of absolute errors of the model on the training partition", new DoubleValue()));
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168 | double trainingMAE = OnlineMeanAbsoluteErrorCalculator.Calculate(EstimatedTrainingValues, ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices), out errorState);
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169 | TrainingMeanAbsoluteError = errorState == OnlineCalculatorError.None ? trainingMAE : double.NaN;
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170 | }
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171 |
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172 | if (!ContainsKey(TestMeanAbsoluteErrorResultName))
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173 | {
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174 | OnlineCalculatorError errorState;
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175 | Add(new Result(TestMeanAbsoluteErrorResultName, "Mean of absolute errors of the model on the test partition", new DoubleValue()));
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176 | double testMAE = OnlineMeanAbsoluteErrorCalculator.Calculate(EstimatedTestValues, ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TestIndices), out errorState);
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177 | TestMeanAbsoluteError = errorState == OnlineCalculatorError.None ? testMAE : double.NaN;
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178 | }
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179 |
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180 | if (!ContainsKey(TrainingMeanErrorResultName))
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181 | {
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182 | OnlineCalculatorError errorState;
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183 | Add(new Result(TrainingMeanErrorResultName, "Mean of errors of the model on the training partition", new DoubleValue()));
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184 | double trainingME = OnlineMeanErrorCalculator.Calculate(EstimatedTrainingValues, ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices), out errorState);
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185 | TrainingMeanError = errorState == OnlineCalculatorError.None ? trainingME : double.NaN;
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186 | }
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187 | if (!ContainsKey(TestMeanErrorResultName))
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188 | {
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189 | OnlineCalculatorError errorState;
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190 | Add(new Result(TestMeanErrorResultName, "Mean of errors of the model on the test partition", new DoubleValue()));
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191 | double testME = OnlineMeanErrorCalculator.Calculate(EstimatedTestValues, ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TestIndices), out errorState);
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192 | TestMeanError = errorState == OnlineCalculatorError.None ? testME : double.NaN;
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193 | }
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194 | #endregion
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195 | }
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196 |
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197 |
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198 | protected void CalculateResults()
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199 | {
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200 | IEnumerable<double> estimatedValues = EstimatedValues;
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201 | IEnumerable<double> estimatedTrainingValues = EstimatedTrainingValues; // cache values
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202 | IEnumerable<double> originalTrainingValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices);
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203 | IEnumerable<double> estimatedTestValues = EstimatedTestValues; // cache values
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204 | IEnumerable<double> originalTestValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TestIndices);
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205 |
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206 | double trainingCTR = OnlineTradeRulesCalculator.Calculate(estimatedTrainingValues, ProblemData, ProblemData.TrainingIndices);
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207 | TrainingCash = trainingCTR;
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208 | double testCTR = OnlineTradeRulesCalculator.Calculate(estimatedTestValues, ProblemData, ProblemData.TestIndices);
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209 | TestCash = testCTR;
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210 | double testTradeDays = OnlineTradeRulesCalculator.getTradeDays();
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211 | TradeDays = testTradeDays;
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212 | double testNumberTrades = OnlineTradeRulesCalculator.getNumberTrades();
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213 | NumberTrades = testNumberTrades;
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214 | double testTotalTradeDays = OnlineTradeRulesCalculator.getTotalTradesDays();
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215 | TotalTrades = testTotalTradeDays;
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216 |
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217 | }
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218 |
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219 |
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220 | }
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221 | }
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