Free cookie consent management tool by TermsFeed Policy Generator

source: trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/SharpeRatioEvaluator.cs @ 14145

Last change on this file since 14145 was 12509, checked in by mkommend, 9 years ago

#2276: Reintegrated branch for dataset refactoring.

File size: 3.6 KB
RevLine 
[6123]1#region License Information
2/* HeuristicLab
[12012]3 * Copyright (C) 2002-2015 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
[6123]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
[9743]22using System.Collections.Generic;
[6123]23using HeuristicLab.Common;
24using HeuristicLab.Core;
25using HeuristicLab.Data;
26using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
27using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
[9822]28using HeuristicLab.Problems.DataAnalysis.Symbolic;
[6123]29
[9822]30namespace HeuristicLab.Problems.DataAnalysis.Trading.Symbolic {
[6123]31  [Item("Sharpe Ratio Evaluator", "")]
32  [StorableClass]
[9745]33  public class SharpeRatioEvaluator : SingleObjectiveEvaluator {
[6123]34    [StorableConstructor]
[9745]35    protected SharpeRatioEvaluator(bool deserializing) : base(deserializing) { }
36    protected SharpeRatioEvaluator(SharpeRatioEvaluator original, Cloner cloner)
[6123]37      : base(original, cloner) {
38    }
[9745]39    public SharpeRatioEvaluator()
[6123]40      : base() {
41    }
42
43    public override IDeepCloneable Clone(Cloner cloner) {
[9745]44      return new SharpeRatioEvaluator(this, cloner);
[6123]45    }
46
47    public override bool Maximization { get { return true; } }
48
[10291]49    public override IOperation InstrumentedApply() {
[6123]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
[10291]56      return base.InstrumentedApply();
[6123]57    }
58
[9745]59    public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable<int> rows) {
[6123]60      IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
[9989]61      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows);
[6123]62      OnlineCalculatorError errorState;
63      double sharpRatio = OnlineSharpeRatioCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);
64      if (errorState != OnlineCalculatorError.None) return 0.0;
65      else return sharpRatio;
66    }
67
[12509]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));
[6123]70    }
71
[9745]72    public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IProblemData problemData, IEnumerable<int> rows) {
[6123]73      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
74      double sharpRatio = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, problemData, rows);
75      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
76      return sharpRatio;
77    }
78  }
79}
Note: See TracBrowser for help on using the repository browser.