Changeset 11594 for branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading

Timestamp:

11/27/14 11:23:37 (10 years ago)

Author:

jkarder

Message:

#2116: merged r10041-r11593 from trunk into branch

Location:

branches/Breadcrumbs

Files:

• . (modified) (2 props)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineProfitCalculator.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/InstanceProviders/CsvProblemInstanceProvider.cs (modified) (3 diffs)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/InstanceProviders/EcbProblemInstanceProvider.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/IModel.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/IProblem.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/IProblemData.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/ISolution.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Plugin.cs.frame (modified) (2 diffs)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/ProblemData.cs (modified) (3 diffs)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Properties/AssemblyInfo.cs.frame (modified) (3 diffs)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Solution.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/IEvaluator.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/IModel.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/ISingleObjectiveEvaluator.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/ISolution.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Model.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/Evaluator.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/Problem.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ProfitEvaluator.cs (modified) (3 diffs)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/SharpeRatioEvaluator.cs (modified) (3 diffs)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/TrainingBestSolutionAnalyzer.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ValidationBestSolutionAnalyzer.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Solution.cs (modified) (1 diff)

branches/Breadcrumbs

@@ -8 +8 @@
 FxCopResults.txt
 Google.ProtocolBuffers-0.9.1.dll
+Google.ProtocolBuffers-2.4.1.473.dll
 HeuristicLab 3.3.5.1.ReSharper.user
 HeuristicLab 3.3.6.0.ReSharper.user
 HeuristicLab.4.5.resharper.user
 HeuristicLab.ExtLibs.6.0.ReSharper.user
+HeuristicLab.Scripting.Development
 HeuristicLab.resharper.user
 ProtoGen.exe
@@ -17 +19 @@
 _ReSharper.HeuristicLab
 _ReSharper.HeuristicLab 3.3
+_ReSharper.HeuristicLab 3.3 Tests
 _ReSharper.HeuristicLab.ExtLibs
 bin
 protoc.exe
-_ReSharper.HeuristicLab 3.3 Tests
-Google.ProtocolBuffers-2.4.1.473.dll

@@ -8 +8 @@
 FxCopResults.txt
 Google.ProtocolBuffers-0.9.1.dll
+Google.ProtocolBuffers-2.4.1.473.dll
 HeuristicLab 3.3.5.1.ReSharper.user
 HeuristicLab 3.3.6.0.ReSharper.user
 HeuristicLab.4.5.resharper.user
 HeuristicLab.ExtLibs.6.0.ReSharper.user
+HeuristicLab.Scripting.Development
 HeuristicLab.resharper.user
 ProtoGen.exe
@@ -17 +19 @@
 _ReSharper.HeuristicLab
 _ReSharper.HeuristicLab 3.3
+_ReSharper.HeuristicLab 3.3 Tests
 _ReSharper.HeuristicLab.ExtLibs
 bin
 protoc.exe
-_ReSharper.HeuristicLab 3.3 Tests
-Google.ProtocolBuffers-2.4.1.473.dll

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineProfitCalculator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/InstanceProviders/CsvProblemInstanceProvider.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.
@@ -21 +21 @@
 
 using System;
-using System.Collections;
 using System.Collections.Generic;
 using System.IO;
@@ -40 +39 @@
     }
     public override Uri WebLink {
-      get { return new Uri("http://dev.heuristiclab.com/trac/hl/core/wiki/UsersFAQ#DataAnalysisImportFileFormat"); }
+      get { return new Uri("http://dev.heuristiclab.com/trac.fcgi/wiki/Documentation/FAQ#DataAnalysisImportFileFormat"); }
     }
     public override string ReferencePublication {

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/InstanceProviders/EcbProblemInstanceProvider.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/IModel.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/IProblem.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/IProblemData.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Interfaces/ISolution.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Plugin.cs.frame

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.
@@ -23 +23 @@
 
 namespace HeuristicLab.Problems.DataAnalysis.Trading {
-  [Plugin("HeuristicLab.Problems.DataAnalysis.Trading","Provides classes to optimize trading rules.", "3.4.1.$WCREV$")]
+  [Plugin("HeuristicLab.Problems.DataAnalysis.Trading","Provides classes to optimize trading rules.", "3.4.2.$WCREV$")]
   [PluginFile("HeuristicLab.Problems.DataAnalysis.Trading-3.4.dll", PluginFileType.Assembly)]
 

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/ProblemData.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.
@@ -1627 +1627 @@
     }
 
-    public ProblemData(Dataset dataset, IEnumerable<string> allowedInputVariables, string targetVariable)
-      : base(dataset, allowedInputVariables) {
+    public ProblemData(Dataset dataset, IEnumerable<string> allowedInputVariables, string targetVariable, IEnumerable<ITransformation> transformations = null)
+      : base(dataset, allowedInputVariables, transformations ?? Enumerable.Empty<ITransformation>()) {
       var variables = InputVariables.Select(x => x.AsReadOnly()).ToList();
       Parameters.Add(new ConstrainedValueParameter<StringValue>(PriceChangeVariableParameterName, new ItemSet<StringValue>(variables), variables.First(x => x.Value == targetVariable)));
@@ -1650 +1650 @@
       OnChanged();
     }
+
+    public override void AdjustProblemDataProperties(IDataAnalysisProblemData problemData) {
+      var data = problemData as ProblemData;
+      if (data == null) throw new ArgumentException("The problem data is not a problem data set for trading. Instead a " + problemData.GetType().GetPrettyName() + " was provided.", "problemData");
+
+      string errorMessage;
+      if (!data.IsProblemDataCompatible(this, out errorMessage)) {
+        throw new InvalidOperationException(errorMessage);
+      }
+
+      base.AdjustProblemDataProperties(data);
+
+      var toDelete = PriceChangeVariableParameter.ValidValues.ToList();
+      foreach (var entry in data.PriceChangeVariableParameter.ValidValues) {
+        if (toDelete.Any(x => x.Value == entry.Value)) {
+          toDelete.RemoveAll(x => x.Value == entry.Value);
+        } else {
+          PriceChangeVariableParameter.ValidValues.Add(new StringValue(entry.Value));
+        }
+      }
+      PriceChangeVariableParameter.Value =
+        PriceChangeVariableParameter.ValidValues.Single(v => v.Value == data.PriceChangeVariable);
+
+      foreach (var varToDelete in toDelete) PriceChangeVariableParameter.ValidValues.Remove(varToDelete);
+
+      TransactionCostsParameter.Value.Value = data.TransactionCosts;
+
+      OnChanged();
+    }
   }
 }

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Properties/AssemblyInfo.cs.frame

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.
@@ -31 +31 @@
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct("HeuristicLab")]
-[assembly: AssemblyCopyright("(c) 2002-2013 HEAL")]
+[assembly: AssemblyCopyright("(c) 2002-2014 HEAL")]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
@@ -53 +53 @@
 // by using the '*' as shown below:
 [assembly: AssemblyVersion("3.4.0.0")]
-[assembly: AssemblyFileVersion("3.4.1.$WCREV$")]
+[assembly: AssemblyFileVersion("3.4.2.$WCREV$")]

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Solution.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/IEvaluator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/IModel.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/ISingleObjectiveEvaluator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Interfaces/ISolution.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Model.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/Evaluator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/Problem.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ProfitEvaluator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.
@@ -47 +47 @@
     public override bool Maximization { get { return true; } }
 
-    public override IOperation Apply() {
+    public override IOperation InstrumentedApply() {
       var solution = SymbolicExpressionTreeParameter.ActualValue;
       IEnumerable<int> rows = GenerateRowsToEvaluate();
@@ -54 +54 @@
       QualityParameter.ActualValue = new DoubleValue(quality);
 
-      return base.Apply();
+      return base.InstrumentedApply();
     }
 

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/SharpeRatioEvaluator.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.
@@ -47 +47 @@
     public override bool Maximization { get { return true; } }
 
-    public override IOperation Apply() {
+    public override IOperation InstrumentedApply() {
       var solution = SymbolicExpressionTreeParameter.ActualValue;
       IEnumerable<int> rows = GenerateRowsToEvaluate();
@@ -54 +54 @@
       QualityParameter.ActualValue = new DoubleValue(quality);
 
-      return base.Apply();
+      return base.InstrumentedApply();
     }
 

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/TrainingBestSolutionAnalyzer.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ValidationBestSolutionAnalyzer.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

branches/Breadcrumbs/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/Solution.cs

@@ -1 +1 @@
 #region License Information
 /* HeuristicLab
- * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
+ * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
  *
  * This file is part of HeuristicLab.

@@ -8 +8 @@
 FxCopResults.txt
 Google.ProtocolBuffers-0.9.1.dll
+Google.ProtocolBuffers-2.4.1.473.dll
 HeuristicLab 3.3.5.1.ReSharper.user
 HeuristicLab 3.3.6.0.ReSharper.user
 HeuristicLab.4.5.resharper.user
 HeuristicLab.ExtLibs.6.0.ReSharper.user
+HeuristicLab.Scripting.Development
 HeuristicLab.resharper.user
 ProtoGen.exe
@@ -17 +19 @@
 _ReSharper.HeuristicLab
 _ReSharper.HeuristicLab 3.3
+_ReSharper.HeuristicLab 3.3 Tests
 _ReSharper.HeuristicLab.ExtLibs
 bin
 protoc.exe
-_ReSharper.HeuristicLab 3.3 Tests
-Google.ProtocolBuffers-2.4.1.473.dll