[6123] | 1 | #region License Information
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| 2 | /* HeuristicLab
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[12012] | 3 | * Copyright (C) 2002-2015 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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[6123] | 23 | using HeuristicLab.Common;
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| 24 | using HeuristicLab.Core;
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| 25 | using HeuristicLab.Data;
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| 26 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
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| 27 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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[9822] | 28 | using HeuristicLab.Problems.DataAnalysis.Symbolic;
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[6123] | 29 |
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[9822] | 30 | namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic {
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[6123] | 31 | [Item("Sharpe Ratio Evaluator", "")]
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| 32 | [StorableClass]
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[9745] | 33 | public class SharpeRatioEvaluator : SingleObjectiveEvaluator {
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[6123] | 34 | [StorableConstructor]
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[9745] | 35 | protected SharpeRatioEvaluator(bool deserializing) : base(deserializing) { }
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| 36 | protected SharpeRatioEvaluator(SharpeRatioEvaluator original, Cloner cloner)
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[6123] | 37 | : base(original, cloner) {
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| 38 | }
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[9745] | 39 | public SharpeRatioEvaluator()
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[6123] | 40 | : base() {
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| 41 | }
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| 42 |
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| 43 | public override IDeepCloneable Clone(Cloner cloner) {
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[9745] | 44 | return new SharpeRatioEvaluator(this, cloner);
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[6123] | 45 | }
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| 46 |
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| 47 | public override bool Maximization { get { return true; } }
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| 48 |
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[10291] | 49 | public override IOperation InstrumentedApply() {
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[6123] | 50 | var solution = SymbolicExpressionTreeParameter.ActualValue;
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| 51 | IEnumerable<int> rows = GenerateRowsToEvaluate();
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| 52 |
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| 53 | double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, rows);
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| 54 | QualityParameter.ActualValue = new DoubleValue(quality);
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| 55 |
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[10291] | 56 | return base.InstrumentedApply();
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[6123] | 57 | }
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| 58 |
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[9745] | 59 | public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable<int> rows) {
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[6123] | 60 | IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
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[9989] | 61 | IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows);
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[6123] | 62 | OnlineCalculatorError errorState;
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| 63 | double sharpRatio = OnlineSharpeRatioCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);
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| 64 | if (errorState != OnlineCalculatorError.None) return 0.0;
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| 65 | else return sharpRatio;
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| 66 | }
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| 67 |
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[12509] | 68 | private static IEnumerable<double> GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IDataset dataset, IEnumerable<int> rows) {
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[9745] | 69 | return Model.GetSignals(interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows));
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[6123] | 70 | }
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| 71 |
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[9745] | 72 | public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IProblemData problemData, IEnumerable<int> rows) {
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[6123] | 73 | SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
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| 74 | double sharpRatio = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows);
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| 75 | SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
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| 76 | return sharpRatio;
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| 77 | }
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| 78 | }
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| 79 | }
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