Changeset 9989 for trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective

Timestamp:

09/19/13 10:16:25 (11 years ago)

Author:

gkronber

Message:

#1508 worked on problem instance providers for trading problem

Location:

trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective

Files:

• ProfitEvaluator.cs (modified) (1 diff)
• SharpeRatioEvaluator.cs (modified) (1 diff)

trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/ProfitEvaluator.cs

@@ -59 +59 @@
     public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable<int> rows) {
       IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
-      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceVariable, rows);
+      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows);
       OnlineCalculatorError errorState;
       double profit = OnlineProfitCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);

trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Symbolic/SingleObjective/SharpeRatioEvaluator.cs

@@ -59 +59 @@
     public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, IProblemData problemData, IEnumerable<int> rows) {
       IEnumerable<double> signals = GetSignals(interpreter, solution, problemData.Dataset, rows);
-      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceVariable, rows);
+      IEnumerable<double> returns = problemData.Dataset.GetDoubleValues(problemData.PriceChangeVariable, rows);
       OnlineCalculatorError errorState;
       double sharpRatio = OnlineSharpeRatioCalculator.Calculate(returns, signals, problemData.TransactionCosts, out errorState);