Changeset 6861 for branches/HeuristicLab.Problems.DataAnalysis.Trading

Timestamp:

10/03/11 17:51:02 (13 years ago)

Author:

gkronber

Message:

#1508 bug fixes

Location:

branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4

Files:

• Calculators/OnlineSharpeRatioCalculator.cs (modified) (3 diffs)
• Symbolic/SingleObjective/SymbolicTradingSingleObjectiveSharpeRatioEvaluator.cs (modified) (1 diff)
• Symbolic/SymbolicTradingModel.cs (modified) (2 diffs)
• Views/TradingSolutionLineChartView.cs (modified) (2 diffs)

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

@@ -29 +29 @@
     private int p;
     private double transactionCost;
+    private int c;
     private OnlineMeanAndVarianceCalculator meanAndVarianceCalculator;
     public double SharpeRatio {
@@ -55 +56 @@
     public void Reset() {
       p = 0;
+      c = 0;
       meanAndVarianceCalculator.Reset();
     }
@@ -60 +62 @@
     public void Add(double actualReturn, double signal) {
       double iterationReturn = 0.0;
-      if (p == 0 && signal.IsAlmost(0)) {
-      } else if (p == 0 && signal.IsAlmost(1)) {
-        p = 1;
-      } else if (p == 0 && signal.IsAlmost(-1)) {
-        p = -1;
-      } else if (p == 1 && signal.IsAlmost(1)) {
-        iterationReturn = actualReturn;
-      } else if (p == 1 && signal.IsAlmost(0)) {
-        iterationReturn = actualReturn - transactionCost;
-        p = 0;
-      } else if (p == 1 && signal.IsAlmost(-1)) {
-        iterationReturn = actualReturn - transactionCost;
-        p = -1;
-      } else if (p == -1 && signal.IsAlmost(-1)) {
-        iterationReturn = -actualReturn;
-      } else if (p == -1 && signal.IsAlmost(0)) {
-        iterationReturn = -actualReturn - transactionCost;
-        p = 0;
-      } else if (p == -1 && signal.IsAlmost(1)) {
-        iterationReturn = -actualReturn - transactionCost;
-        p = -1;
+      if (c == 0) {
+        p = (int)signal;
+        iterationReturn = 0;
+        c++;
+      } else {
+        if (p == 0 && signal.IsAlmost(0)) {
+        } else if (p == 0 && signal.IsAlmost(1)) {
+          p = 1;
+        } else if (p == 0 && signal.IsAlmost(-1)) {
+          p = -1;
+        } else if (p == 1 && signal.IsAlmost(1)) {
+          iterationReturn = actualReturn;
+        } else if (p == 1 && signal.IsAlmost(0)) {
+          iterationReturn = actualReturn - transactionCost;
+          p = 0;
+        } else if (p == 1 && signal.IsAlmost(-1)) {
+          iterationReturn = actualReturn - transactionCost;
+          p = -1;
+        } else if (p == -1 && signal.IsAlmost(-1)) {
+          iterationReturn = -actualReturn;
+        } else if (p == -1 && signal.IsAlmost(0)) {
+          iterationReturn = -(actualReturn - transactionCost);
+          p = 0;
+        } else if (p == -1 && signal.IsAlmost(1)) {
+          iterationReturn = -(actualReturn - transactionCost);
+          p = 1;
+        }
+        c++;
       }
       meanAndVarianceCalculator.Add(iterationReturn);

branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/SymbolicTradingSingleObjectiveSharpeRatioEvaluator.cs

@@ -68 +68 @@
 
     private static IEnumerable<double> GetSignals(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, Dataset dataset, IEnumerable<int> rows) {
-      double signal = 0;
-      double prevSignal = 0;
-      foreach (var x in interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows)) {
-        if (prevSignal == 1) {
-          signal = x > -1 ? 1 : x > -2 ? 0 : -1; // 0, -1, -2
-        } else if (prevSignal == 0) {
-          signal = x > 1 ? 1 : x < -1 ? -1 : 0; // 1, 0 , -1
-        } else if (prevSignal == -1) {
-          signal = x < 1 ? -1 : x < 2 ? 0 : 1; // 2, 1, 0
-        }
-        yield return signal;
-        prevSignal = signal;
-      }
+      return from x in interpreter.GetSymbolicExpressionTreeValues(solution, dataset, rows)
+             select x > 0.5 ? 1.0 : x < 0.5 ? -1.0 : 0.0;
     }
 

branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SymbolicTradingModel.cs

@@ -20 +20 @@
 #endregion
 
+using System.Linq;
 using System.Collections.Generic;
 using HeuristicLab.Common;
@@ -48 +49 @@
       ISymbolicDataAnalysisExpressionTreeInterpreter interpreter = Interpreter;
       ISymbolicExpressionTree tree = SymbolicExpressionTree;
-      double signal = 0;
-      double prevSignal = 0;
-      foreach (var x in interpreter.GetSymbolicExpressionTreeValues(tree, dataset, rows)) {
-        if (prevSignal == 1) {
-          signal = x > -1 ? 1 : x > -2 ? 0 : -1; // 0, -1, -2
-        } else if (prevSignal == 0) {
-          signal = x > 1 ? 1 : x < -1 ? -1 : 0; // 1, 0 , -1
-        } else if (prevSignal == -1) {
-          signal = x < 1 ? -1 : x < 2 ? 0 : 1; // 2, 1, 0
-        }
-        yield return signal;
-        prevSignal = signal;
-      }
+      return from x in interpreter.GetSymbolicExpressionTreeValues(tree, dataset, rows)
+             select x > 0.5 ? 1.0 : x < 0.5 ? -1.0 : 0.0;
     }
   }

branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Views/TradingSolutionLineChartView.cs

@@ -94 +94 @@
 
     private IEnumerable<double> GetProfits(IEnumerable<double> returns, IEnumerable<double> signals, double transactionCost) {
-      double p = 0;
-      foreach (var signalReturn in returns.Zip(signals, (r, s) => new { Return = r, Signal = s })) {
-        double iterationReturn = 0.0;
+      double p = signals.First();
+      yield return 0.0;
+      foreach (var signalReturn in returns.Skip(1).Zip(signals.Skip(1), (r, s) => new { Return = r, Signal = s })) {
+        double iterationReturn = 0;
         double signal = signalReturn.Signal;
         double actualReturn = signalReturn.Return;
         if (p == 0 && signal.IsAlmost(0)) {
         } else if (p == 0 && signal.IsAlmost(1)) {
+          iterationReturn = 0;
           p = 1;
         } else if (p == 0 && signal.IsAlmost(-1)) {
+          iterationReturn = 0;
           p = -1;
         } else if (p == 1 && signal.IsAlmost(1)) {
@@ -115 +118 @@
           iterationReturn = -actualReturn;
         } else if (p == -1 && signal.IsAlmost(0)) {
-          iterationReturn = -actualReturn - transactionCost;
+          iterationReturn = -(actualReturn - transactionCost);
           p = 0;
         } else if (p == -1 && signal.IsAlmost(1)) {
-          iterationReturn = -actualReturn - transactionCost;
-          p = -1;
+          iterationReturn = -(actualReturn - transactionCost);
+          p = 1;
         }
         yield return iterationReturn;