Plugin for optimization of trading rules

[gkronber]

For GECCO 2011 industrial challenge (FX trading)

[gkronber]

added first implementation to branch with r6122:6128.

[mkommend]

Please use absolute instead of relative paths for assembly references. Otherwise only people with the same folder structure can build this plugin.

[gkronber]

r6131: fixed path for references

[gkronber]

r6136: improved view for trading solutions.

[gkronber]

r6138: fixed bug in trading solution view.

[gkronber]

r6861: bug fixes

[gkronber]

r9176: updated trading plugin to work with current trunk version

[gkronber]

r9213: changed the ranges for buy/hold/sell signals (1/3, 1/3, 1/3)

[gkronber]

This should be integrated into the trunk and a blog post should be published that discusses the implementation.

[gkronber]

r9743: updated classes in trading branch to work with current trunk version of HL.

[gkronber]

r9744: refactoring: removed unused classes, unified calculation of profits and signals, implemented profit-evaluator.

[gkronber]

r9745: refactoring: removed smurf-naming.

[gkronber]

r9796: created a separate plug-in for views.

[gkronber]

r9797: created a separate plug-in for views (remaining commits)

[gkronber]

r9798: deleted empty directories

[gkronber]

r9799: renamed plugin files

[gkronber]

r9801: merged trading plug-in into the trunk

[gkronber]

r9802: reverse merge of broken merge (r9801)

[gkronber]

r9804:9805: merged trading branch into the trunk

[gkronber]

r9808: deleted feature branch (trading) after trunk merge

[gkronber]

r9809: included trading plug-ins into trunk solution

[gkronber]

r9811: removed empty folders from project file and set svn:ignore properties

[gkronber]

r9812: removed plugin references and change return type to IConstrainedValueParameter

[gkronber]

r9822: fixed namespace for classes in Trading.Symbolic

[gkronber]

r9824: additional commit for r9822 (fix build fail)

[gkronber]

r9825: additional commit for r9824 (additional commit for r9822) to fix build fail.

[ascheibe]

r9897 fixed Mono compatibility of project files

[mkommend]

Review comments:

• What is the purpose of the Problem class and why is it creatable?
• The grammar in the symbolic trading problem is configured in a weird way (all symbols are enabled).
• Creating a GA + symbolic trading problem is not executable as an index out of range exception occurs.
• There is no way to import new data in the problem, which makes the problem practically useless.
• Better variable naming in ProfitCalculator (e.g., c,p,sum).
• Symbolic.SolutionView is superfluous.

[mkommend]

r9928: Minor code cleanup in trading plugin.

[gkronber]

Replying to mkommend:

Review comments:

• What is the purpose of the Problem class and why is it creatable?

r9939: the file has been deleted

• The grammar in the symbolic trading problem is configured in a weird way (all symbols are enabled).

r9941: configured the grammar of the problem for GP trading as a standard time series problem grammar

• Creating a GA + symbolic trading problem is not executable as an index out of range exception occurs.

This is actually a bug in way how the linear interpreter calls the old interpreter (see #2021). After r9944 the bug does not occur anymore.

• There is no way to import new data in the problem, which makes the problem practically useless.

r9964: added a problem instance provider for the trading problem (the provider downloads historic FX rates from ECB).

• Better variable naming in ProfitCalculator (e.g., c,p,sum).

r9938: variable names have been improved.

• Symbolic.SolutionView is superfluous.

r9940: deleted unnecessary class Symbolic.SolutionView

[gkronber]

r9965 added plugin dependency

[gkronber]

r9989: worked on problem instance providers for trading problem

[gkronber]

r9991:

• fixed a bug in the ECB problem instance provider (reversed time series)
• improved the ProblemInstanceProviderViewGeneric class to show a progress bar while loading the problem instance
• fixed the build fail (in SolutionLineChartView)

[gkronber]

r9992:

• disabled "Variable" symbol in default time series grammar
• in the line chart use two different axis to display signals and prices
• in the line chart display profits for training and test partitions separately
• fixed hard-coded strings in SolutionView
• added plugin dependency

[abeham]

This ticket should be released to stable before #2110 due to changes in r9991 which likely also affect the other ticket.

[gkronber]

r9995: enabled target variable as input variable for the trading plugin

[gkronber]

r9997: fixed bugs in line chart visualization for the trading plugin

[abeham]

Not all of the instances of the ECB work: "Could not load the problem instance EUR / BGN". ArgumentException: The number of values must be equal for every variable.

[gkronber]

Thanks for testing this. I fixed the problem in the ECB data provider (some rates are not available for the full time interval) with r10004.

[ascheibe]

I have reviewed and tested the changes since mkommends review. The only problem that I found is that the "Export" button in the TradingSolutionView throws an exception. The button should be therefore hidden.

[gkronber]

r10015: hide export button in view for symb. trading solutions

[ascheibe]

Ok, looks good, thanks!

[gkronber]

r10020: merged r9804:9805, r9808:9809, r9811:9812, r9822, r9824:9825, r9897, r9928, r9938:9941, r9964:9965, r9989, r9991:9992, r9995,r9997, r10004:10015 from trunk into stable branch.