Changeset 14303

Timestamp:

09/23/16 12:55:16 (8 years ago)

Author:

gkronber

Message:

#2649: merged r14226 and r14292 from trunk to stable

Location:

stable

Files:

• . (modified) (1 prop)
• HeuristicLab.Problems.DataAnalysis (modified) (1 prop)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs (modified) (2 diffs)
• HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineMeanAndVarianceCalculator.cs (modified) (1 diff)
• HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineNormalizedMeanSquaredErrorCalculator.cs (modified) (2 diffs)

stable/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs

@@ -31 +31 @@
     public double SharpeRatio {
       get {
-        if (meanAndVarianceCalculator.Variance > 0)
-          return meanAndVarianceCalculator.Mean / Math.Sqrt(meanAndVarianceCalculator.Variance);
+        if (meanAndVarianceCalculator.PopulationVariance > 0)
+          return meanAndVarianceCalculator.Mean / Math.Sqrt(meanAndVarianceCalculator.PopulationVariance);
         else return 0.0;
       }
@@ -46 +46 @@
     public OnlineCalculatorError ErrorState {
       get {
-        return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.VarianceErrorState | profitCalculator.ErrorState;
+        return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.PopulationVarianceErrorState | profitCalculator.ErrorState;
       }
     }

stable/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineMeanAndVarianceCalculator.cs

@@ -75 +75 @@
       if (double.IsNaN(x) || double.IsInfinity(x) || x > 1E13 || x < -1E13 || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
         errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
-        varianceErrorState = errorState | OnlineCalculatorError.InvalidValueAdded;
+        varianceErrorState = varianceErrorState | OnlineCalculatorError.InvalidValueAdded;
       } else {
         n++;

stable/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineNormalizedMeanSquaredErrorCalculator.cs

@@ -30 +30 @@
     public double NormalizedMeanSquaredError {
       get {
-        double var = originalVarianceCalculator.Variance;
+        double var = originalVarianceCalculator.PopulationVariance;
         double m = meanSquaredErrorCalculator.Mean;
         return var > 0 ? m / var : 0.0;
@@ -44 +44 @@
     #region IOnlineCalculator Members
     public OnlineCalculatorError ErrorState {
-      get { return meanSquaredErrorCalculator.MeanErrorState | originalVarianceCalculator.VarianceErrorState; }
+      get { return meanSquaredErrorCalculator.MeanErrorState | originalVarianceCalculator.PopulationVarianceErrorState; }
     }
     public double Value {