Changeset 6861 for branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Views/TradingSolutionLineChartView.cs

Timestamp:

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

Author:

gkronber

Message:

#1508 bug fixes

File:

• branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Views/TradingSolutionLineChartView.cs (modified) (2 diffs)

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;