[6123] | 1 | #region License Information
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| 2 | /* HeuristicLab
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[11170] | 3 | * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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[6123] | 4 | *
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| 5 | * This file is part of HeuristicLab.
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| 6 | *
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| 7 | * HeuristicLab is free software: you can redistribute it and/or modify
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| 8 | * it under the terms of the GNU General Public License as published by
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| 9 | * the Free Software Foundation, either version 3 of the License, or
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| 10 | * (at your option) any later version.
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| 11 | *
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| 12 | * HeuristicLab is distributed in the hope that it will be useful,
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| 13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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| 14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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| 15 | * GNU General Public License for more details.
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| 16 | *
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| 17 | * You should have received a copy of the GNU General Public License
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| 18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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| 19 | */
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| 20 | #endregion
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| 21 |
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[9743] | 22 | using System.Collections.Generic;
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[6861] | 23 | using System.Linq;
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[6123] | 24 | using HeuristicLab.Common;
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| 25 | using HeuristicLab.Core;
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| 26 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
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| 27 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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[10020] | 28 | using HeuristicLab.Problems.DataAnalysis.Symbolic;
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[6123] | 29 |
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[10020] | 30 | namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic {
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[6123] | 31 | /// <summary>
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| 32 | /// Represents a symbolic trading model
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| 33 | /// </summary>
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| 34 | [StorableClass]
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[9745] | 35 | [Item(Name = "Model (symbolic trading)", Description = "Represents a symbolic trading model.")]
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| 36 | public class Model : SymbolicDataAnalysisModel, IModel {
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[6123] | 37 |
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| 38 | [StorableConstructor]
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[9745] | 39 | protected Model(bool deserializing) : base(deserializing) { }
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| 40 | protected Model(Model original, Cloner cloner)
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[6123] | 41 | : base(original, cloner) { }
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[9745] | 42 | public Model(ISymbolicExpressionTree tree, ISymbolicDataAnalysisExpressionTreeInterpreter interpreter)
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[9743] | 43 | : base(tree, interpreter, -10, 10) { }
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[6123] | 44 |
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| 45 | public override IDeepCloneable Clone(Cloner cloner) {
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[9745] | 46 | return new Model(this, cloner);
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[6123] | 47 | }
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| 48 |
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| 49 | public IEnumerable<double> GetSignals(Dataset dataset, IEnumerable<int> rows) {
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| 50 | ISymbolicDataAnalysisExpressionTreeInterpreter interpreter = Interpreter;
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| 51 | ISymbolicExpressionTree tree = SymbolicExpressionTree;
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[9744] | 52 | return GetSignals(interpreter.GetSymbolicExpressionTreeValues(tree, dataset, rows));
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[6123] | 53 | }
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[9744] | 54 |
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| 55 | // Transforms an enumerable of real values to an enumerable of trading signals (buy(1) / hold(0) / sell(-1))
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| 56 | public static IEnumerable<double> GetSignals(IEnumerable<double> xs) {
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| 57 | // two iterations over xs
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| 58 | // 1) determine min / max to calculate the mid-range value
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| 59 | // 2) range is split into three thirds
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| 60 | double max = double.NegativeInfinity;
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| 61 | double min = double.PositiveInfinity;
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| 62 | foreach (var x in xs) {
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| 63 | if (x > max) max = x;
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| 64 | if (x < min) min = x;
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| 65 | }
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| 66 | if (double.IsInfinity(max) || double.IsNaN(max) || double.IsInfinity(min) || double.IsNaN(min))
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| 67 | return xs.Select(x => 0.0);
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| 68 |
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| 69 | double range = (max - min);
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| 70 | double midRange = range / 2.0 + min;
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| 71 | double offset = range / 6.0;
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| 72 | return from x in xs
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| 73 | select x > midRange + offset ? 1.0 : x < midRange - offset ? -1.0 : 0.0;
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| 74 | }
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[6123] | 75 | }
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| 76 | }
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