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heal-research / HeuristicLab

HeuristicLab - An environment for heuristic and evolutionary optimization
https://dev.heuristiclab.com
GNU General Public License v3.0
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Plugin for optimization of trading rules #1508

Closed HeuristicLab-Trac-Bot closed 11 years ago

HeuristicLab-Trac-Bot commented 13 years ago

Issue migrated from trac ticket # 1508

milestone: HeuristicLab 3.3.9 | component: Problems.DataAnalysis | priority: low | resolution: done

2011-05-04 13:34:16: @gkronber created the issue

For GECCO 2011 industrial challenge (FX trading)

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-04 13:34:24: @gkronber changed status from new to accepted

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-04 14:38:27: @gkronber commented

added first implementation to branch with r6122 to r6128.

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-04 14:38:27: @gkronber

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-04 14:39:05: @gkronber changed status from accepted to assigned

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-05 11:14:37: @mkommend commented

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

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-05 12:10:40: @gkronber commented

r6131: fixed path for references

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-05 19:44:06: @gkronber commented

r6136: improved view for trading solutions.

HeuristicLab-Trac-Bot commented 13 years ago

2011-05-05 19:50:17: @gkronber commented

r6138: fixed bug in trading solution view.

HeuristicLab-Trac-Bot commented 13 years ago

2011-10-03 17:51:13: @gkronber commented

r6861: bug fixes

HeuristicLab-Trac-Bot commented 11 years ago

2013-01-22 13:39:25: @gkronber commented

r9176: updated trading plugin to work with current trunk version

HeuristicLab-Trac-Bot commented 11 years ago

2013-02-08 21:57:47: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-22 18:33:44: @gkronber changed priority from medium to low

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-22 18:33:44: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-24 11:49:33: @gkronber changed status from assigned to accepted

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-24 11:50:27: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-24 12:51:11: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-24 13:10:25: @gkronber commented

r9745: refactoring: removed smurf-naming.

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-27 21:00:46: @gkronber commented

r9796: created a separate plug-in for views.

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-27 21:03:11: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-27 21:05:38: @gkronber commented

r9798: deleted empty directories

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-27 21:11:40: @gkronber commented

r9799: renamed plugin files

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-28 13:37:11: @gkronber changed milestone from HeuristicLab 3.3.x Backlog to HeuristicLab 3.3.9

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 16:45:37: @gkronber commented

r9801: merged trading plug-in into the trunk

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 16:47:28: @gkronber commented

r9802: reverse merge of broken merge (r9801)

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 16:57:36: @gkronber commented

r9804 to r9805: merged trading branch into the trunk

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 17:31:07: @gkronber commented

r9808 (not migrated): deleted feature branch (trading) after trunk merge

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 17:35:25: @gkronber commented

r9809: included trading plug-ins into trunk solution

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 17:40:52: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-29 17:54:44: @gkronber commented

r9812: removed plugin references and change return type to IConstrainedValueParameter

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-31 10:23:23: @gkronber commented

r9822: fixed namespace for classes in Trading.Symbolic

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-31 11:00:56: @gkronber commented

r9824: additional commit for r9822 (fix build fail)

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-31 11:10:02: @gkronber commented

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

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-31 11:20:23: @gkronber changed status from accepted to reviewing

HeuristicLab-Trac-Bot commented 11 years ago

2013-07-31 11:20:23: @gkronber changed owner from gkronber to mkommend

HeuristicLab-Trac-Bot commented 11 years ago

2013-08-22 13:36:01: @Shabbafru changed status from reviewing to assigned

HeuristicLab-Trac-Bot commented 11 years ago

2013-08-22 13:36:01: @Shabbafru changed owner from mkommend to ascheibe

HeuristicLab-Trac-Bot commented 11 years ago

2013-08-22 13:37:21: @Shabbafru changed status from assigned to reviewing

HeuristicLab-Trac-Bot commented 11 years ago

2013-08-22 13:37:21: @Shabbafru changed owner from ascheibe to mkommend

HeuristicLab-Trac-Bot commented 11 years ago

2013-08-22 13:37:21: @Shabbafru commented

r9897 fixed Mono compatibility of project files

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-03 12:47:16: @mkommend commented

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.
HeuristicLab-Trac-Bot commented 11 years ago

2013-09-03 12:48:10: @mkommend changed status from reviewing to assigned

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-03 12:48:10: @mkommend changed owner from mkommend to gkronber

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-03 12:48:10: @mkommend commented

r9928: Minor code cleanup in trading plugin.

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-10 15:13:45: @gkronber commented

Replying to [comment:34 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
HeuristicLab-Trac-Bot commented 11 years ago

2013-09-10 15:13:45: @gkronber

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-10 15:13:45: @gkronber

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-14 07:39:41: @gkronber commented

r9965 added plugin dependency

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-19 10:16:45: @gkronber commented

r9989: worked on problem instance providers for trading problem

HeuristicLab-Trac-Bot commented 11 years ago

2013-09-19 11:29:36: @gkronber commented

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)
HeuristicLab-Trac-Bot commented 11 years ago

2013-09-19 13:24:15: @gkronber commented

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