org.mov.analyser.ga
Class GeneticAlgorithm

java.lang.Object
  org.mov.analyser.ga.GeneticAlgorithm

public class GeneticAlgorithm
extends java.lang.Object

The Genetic Algorithm creates and breeds random paper trading individuals. This class runs the GA.

Constructor Summary

GeneticAlgorithm(EODQuoteBundle quoteBundle, OrderCache orderCache, Expression buyRule, Expression sellRule, TradingDate startDate, TradingDate endDate, Money initialCapital, Money stockValue, int numberStocks, Money tradeCost, int breedingPopulationSize, java.lang.String tradeValueBuy, java.lang.String tradeValueSell, GAIndividual lowest, GAIndividual highest, Variables variables)
Get ready to run the GA.

Method Summary

GAIndividual	getBreedingIndividual(int index) Get one of the current generation's breeding individual.
int	getBreedingPopulationSize() Get the size of the current breeding population.
Expression	getBuyRule() Get the buy rule.
int	getNextBreedingPopulationSize() Get the size of the next generation's breeding population.
Expression	getSellRule() Get the sell rule.
int	nextGeneration() Enter the next generation.
void	nextIndividual() Run one iteration of the GA.
Portfolio	paperTrade(EODQuoteBundle quoteBundle, OrderCache orderCache, TradingDate startDate, TradingDate endDate, Expression buyRule, Expression sellRule, Money initialCapital, Money stockValue, int numberStocks, Money tradeCost, Variables variables, java.lang.String tradeValueBuy, java.lang.String tradeValueSell) Paper trade with the individual's buy and sell rules.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GeneticAlgorithm

public GeneticAlgorithm(EODQuoteBundle quoteBundle,
                        OrderCache orderCache,
                        Expression buyRule,
                        Expression sellRule,
                        TradingDate startDate,
                        TradingDate endDate,
                        Money initialCapital,
                        Money stockValue,
                        int numberStocks,
                        Money tradeCost,
                        int breedingPopulationSize,
                        java.lang.String tradeValueBuy,
                        java.lang.String tradeValueSell,
                        GAIndividual lowest,
                        GAIndividual highest,
                        Variables variables)

Get ready to run the GA.

Parameters:

quoteBundle - the historical quote data

orderCache - cache of ordered symbols

startDate - start date of trading

endDate - last date of trading

initialCapital - initial capital in the portfolio

stockValue - the rough value of each stock holding

numberStocks - number of stocks in the portfolio

tradeCost - the cost of a trade

breedingPopulationSize - number of individuals that can breed

tradeValueBuy - value for buying a stock

tradeValueSell - value for selling a stock

lowest - lowest GA individual to know the lowest bound for generating new individuals

highest - highest GA individual to know the highest bound for generating new individuals

variables - variables containing the parameters of GA

Method Detail

nextIndividual

public void nextIndividual()

Run one iteration of the GA. This will create a single valid individual.

nextGeneration

public int nextGeneration()

Enter the next generation.

getBreedingIndividual

public GAIndividual getBreedingIndividual(int index)

Get one of the current generation's breeding individual.

Parameters:

index - of the breeding individual

Returns:

the breeding individual

getBreedingPopulationSize

public int getBreedingPopulationSize()

Get the size of the current breeding population.

Returns:

current breeding population size

getNextBreedingPopulationSize

public int getNextBreedingPopulationSize()

Get the size of the next generation's breeding population.

Returns:

future breeding population size

getBuyRule

public Expression getBuyRule()

Get the buy rule.

Returns:

buy rule expression

getSellRule

public Expression getSellRule()

Get the sell rule.

Returns:

sell rule expression

paperTrade

public Portfolio paperTrade(EODQuoteBundle quoteBundle,
                            OrderCache orderCache,
                            TradingDate startDate,
                            TradingDate endDate,
                            Expression buyRule,
                            Expression sellRule,
                            Money initialCapital,
                            Money stockValue,
                            int numberStocks,
                            Money tradeCost,
                            Variables variables,
                            java.lang.String tradeValueBuy,
                            java.lang.String tradeValueSell)
                     throws EvaluationException

Paper trade with the individual's buy and sell rules. Set the stockValue to null to trade by number of stocks in the portfolio.

Parameters:

quoteBundle - the historical quote data

orderCache - cache of ordered symbols

startDate - start date of trading

endDate - last date of trading

buyRule - expression got from buy rule defined by user

sellRule - expression got from sell rule defined by user

initialCapital - initial capital in the portfolio

stockValue - the rough value of each stock holding

numberStocks - number of stocks in the portfolio

tradeCost - the cost of a trade

variables - variables used by GA

tradeValueBuy - the buy value of a stock

tradeValueSell - the sell value of a stock

Returns:

portfolio of individual after paper trading

Throws:

EvaluationException