Changeset 9744 for branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs

Timestamp:

07/24/13 12:51:02 (11 years ago)

Author:

gkronber

Message:

#1508 refactoring: removed unused classes, unified calculation of profits and signals, implemented profit-evaluator.

File:

• branches/HeuristicLab.Problems.DataAnalysis.Trading/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs (modified) (4 diffs)

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

@@ -22 +22 @@
 using System;
 using System.Collections.Generic;
-using HeuristicLab.Common;
 
 namespace HeuristicLab.Problems.DataAnalysis.Trading {
   public class OnlineSharpeRatioCalculator : IOnlineCalculator {
 
-    private int p;
-    private double transactionCost;
-    private int c;
     private OnlineMeanAndVarianceCalculator meanAndVarianceCalculator;
+    private OnlineProfitCalculator profitCalculator;
+
     public double SharpeRatio {
       get {
@@ -40 +38 @@
 
     public OnlineSharpeRatioCalculator(double transactionCost) {
-      this.transactionCost = transactionCost;
       this.meanAndVarianceCalculator = new OnlineMeanAndVarianceCalculator();
+      this.profitCalculator = new OnlineProfitCalculator(transactionCost);
       Reset();
     }
@@ -48 +46 @@
     public OnlineCalculatorError ErrorState {
       get {
-        return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.VarianceErrorState;
+        return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.VarianceErrorState | profitCalculator.ErrorState;
       }
     }
@@ -55 +53 @@
     }
     public void Reset() {
-      p = 0;
-      c = 0;
+      profitCalculator.Reset();
       meanAndVarianceCalculator.Reset();
     }
 
     public void Add(double actualReturn, double signal) {
-      double iterationReturn = 0.0;
-      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);
+      double prevTotalProfit = profitCalculator.Profit;
+      profitCalculator.Add(actualReturn, signal);
+      double curTotalProfit = profitCalculator.Profit;
+
+      meanAndVarianceCalculator.Add(curTotalProfit - prevTotalProfit);
     }
     #endregion