#region License Information /* HeuristicLab * Copyright (C) 2002-2018 Heuristic and Evolutionary Algorithms Laboratory (HEAL) * * This file is part of HeuristicLab. * * HeuristicLab is free software: you can redistribute it and/or modify * it under the terms of the GNU General Public License as published by * the Free Software Foundation, either version 3 of the License, or * (at your option) any later version. * * HeuristicLab is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * GNU General Public License for more details. * * You should have received a copy of the GNU General Public License * along with HeuristicLab. If not, see . */ #endregion using System.Collections.Generic; using System.Linq; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; using HeuristicLab.Problems.DataAnalysis.Symbolic; namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic { /// /// Represents a symbolic trading model /// [StorableClass] [Item(Name = "Model (symbolic trading)", Description = "Represents a symbolic trading model.")] public class Model : SymbolicDataAnalysisModel, IModel { [StorableConstructor] protected Model(bool deserializing) : base(deserializing) { } protected Model(Model original, Cloner cloner) : base(original, cloner) { } public Model(ISymbolicExpressionTree tree, ISymbolicDataAnalysisExpressionTreeInterpreter interpreter) : base(tree, interpreter, -10, 10) { } public override IDeepCloneable Clone(Cloner cloner) { return new Model(this, cloner); } public IEnumerable GetSignals(IDataset dataset, IEnumerable rows) { ISymbolicDataAnalysisExpressionTreeInterpreter interpreter = Interpreter; ISymbolicExpressionTree tree = SymbolicExpressionTree; return GetSignals(interpreter.GetSymbolicExpressionTreeValues(tree, dataset, rows)); } // Transforms an enumerable of real values to an enumerable of trading signals (buy(1) / hold(0) / sell(-1)) public static IEnumerable GetSignals(IEnumerable xs) { // two iterations over xs // 1) determine min / max to calculate the mid-range value // 2) range is split into three thirds double max = double.NegativeInfinity; double min = double.PositiveInfinity; foreach (var x in xs) { if (x > max) max = x; if (x < min) min = x; } if (double.IsInfinity(max) || double.IsNaN(max) || double.IsInfinity(min) || double.IsNaN(min)) return xs.Select(x => 0.0); double range = (max - min); double midRange = range / 2.0 + min; double offset = range / 6.0; return from x in xs select x > midRange + offset ? 1.0 : x < midRange - offset ? -1.0 : 0.0; } } }