Free cookie consent management tool by TermsFeed Policy Generator

source: stable/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ProfitEvaluator.cs @ 17514

Last change on this file since 17514 was 17181, checked in by swagner, 5 years ago

#2875: Merged r17180 from trunk to stable

File size: 3.5 KB
RevLine 
[9744]1#region License Information
2/* HeuristicLab
[17181]3 * Copyright (C) Heuristic and Evolutionary Algorithms Laboratory (HEAL)
[9744]4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System.Collections.Generic;
23using HeuristicLab.Common;
24using HeuristicLab.Core;
25using HeuristicLab.Data;
26using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
[17097]27using HEAL.Attic;
[10020]28using HeuristicLab.Problems.DataAnalysis.Symbolic;
[9744]29
[10020]30namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic {
[9744]31  [Item("Profit Evaluator", "")]
[17097]32  [StorableType("2BDA057D-5E6E-4F83-8DB0-DA12B16E9EF4")]
[9745]33  public class ProfitEvaluator : SingleObjectiveEvaluator {
[9744]34    [StorableConstructor]
[17097]35    protected ProfitEvaluator(StorableConstructorFlag _) : base(_) { }
[9744]36    protected ProfitEvaluator(ProfitEvaluator original, Cloner cloner)
37      : base(original, cloner) {
38    }
39    public ProfitEvaluator()
40      : base() {
41    }
42
43    public override IDeepCloneable Clone(Cloner cloner) {
44      return new ProfitEvaluator(this, cloner);
45    }
46
47    public override bool Maximization { get { return true; } }
48
[10507]49    public override IOperation InstrumentedApply() {
[9744]50      var solution = SymbolicExpressionTreeParameter.ActualValue;
51      IEnumerable<int> rows = GenerateRowsToEvaluate();
52
53      double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, rows);
54      QualityParameter.ActualValue = new DoubleValue(quality);
55
[10507]56      return base.InstrumentedApply();
[9744]57    }
58
[9745]59    public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable<int> rows) {
[9744]60      IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
[10020]61      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows);
[9744]62      OnlineCalculatorError errorState;
63      double profit = OnlineProfitCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);
64      if (errorState != OnlineCalculatorError.None) return 0.0;
65      else return profit;
66    }
67
[12702]68    private static IEnumerable<double> GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IDataset dataset, IEnumerable<int> rows) {
[9745]69      return Model.GetSignals(interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows));
[9744]70    }
71
[9745]72    public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IProblemData problemData, IEnumerable<int> rows) {
[9744]73      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
74      double profit = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows);
75      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
76      return profit;
77    }
78  }
79}
Note: See TracBrowser for help on using the repository browser.