start of fitness function, coming back once I know more

src/propeller/problems/stocks/data/dailyret_GLD.csv

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src/propeller/problems/stocks/stock_regression.cljc

@@ -6,81 +6,91 @@
    [propeller.gp :as gp]
    [propeller.push.interpreter :as interpreter]
    [propeller.push.state :as state]
-   [propeller.tools.loading :as loading]))
+   [propeller.tools.loading :as loading]
+   [propeller.push.instructions :as instructions]
+   [propeller.utils :as utils]))
 
 (def train-and-test-data
-  "Training data: Inputs and outputs with -10 <= x < 11
-  Test data: Inputs and outputs of -20 <= x < -10 and 11 <= x < 21"
-  (let [data (loading/basic-load-data-csv "src/propeller/problems/stocks/data/GLD.csv")
+  "Train and test data split for GLD. Might change this in a bit."
+  (let [data (loading/basic-load-data-csv "src/propeller/problems/stocks/data/dailyret_GLD.csv")
         train-len (math/round (* (count data) 0.8))
         test-len (- (count data) train-len)
         ]
-    {:train (map (fn [x] {:input1 (first (map read-string x)) :output1 (fnext (map read-string x))}) (doall (take train-len data)))
-     :test (map (fn [x] {:input1 (first (map read-string x)) :output1 (fnext (map read-string x))}) (doall (take-last test-len data)))}))
+    {:train (map (fn [x] {:input1 (vector (first (map read-string x))) :output1 (vector (fnext (map read-string x)))}) (doall (take train-len data)))
+     :test (map (fn [x] {:input1 (vector (first (map read-string x))) :output1 (vector (fnext (map read-string x)))}) (doall (take-last test-len data)))}))
+
+;; Random float between -100.0 and 100.0
+(defn random-float "Random float between -100.0 and 100.0" [] (- (* (rand) 200) 100.0))
+
+; Random integer between -100 and 100
+(defn random-int "Random integer between -100 and 100" [] (- (rand-int 201) 100))
 
 (def instructions
   "stack-specific instructions, input instructions, close, and constants"
-  (list :in1
-        :integer_add
-        :integer_subtract
-        :integer_mult
-        :integer_quot
-        :integer_eq
-        :exec_dup
-        :exec_if
-        'close
-        0
-        1
-        :buy
-        :sell
-        :hold
-        ))
-
-(comment 
+  (utils/not-lazy
+   (concat
+    (instructions/get-stack-instructions #{:float :integer :boolean :signal :exec :code})
+    (list :in1)
+    (list random-float random-int))))
+ 
 (defn error-function
-  "Finds the behaviors and errors of an individual. The error is the absolute
-  deviation between the target output value and the program's selected behavior,
-  or 1000000 if no behavior is produced. The behavior is here defined as the
-  final top item on the INTEGER stack."
+  "Finds the sharpe ratio for a given individual. Heavy penalty if the stack is empty."
   ([argmap data individual]
    (let [program (genome/plushy->push (:plushy individual) argmap)
-         inputs (map (fn [x] (first (:input1 x))) data)
-         correct-outputs (map (fn [x] (first (:output1 x))) data)
-         outputs (map (fn [input]
-                        (state/peek-stack
-                          (interpreter/interpret-program
-                            program
-                            (assoc state/empty-state :input {:in1 input})
-                            (:step-limit argmap))
-                          :integer))
-                      inputs)
-         errors (map (fn [correct-output output]
-                       (if (= output :no-stack-item)
-                         1000000
-                         (math/abs (- correct-output output))))
-                     correct-outputs
-                     outputs)]
-     (assoc individual
-       :behaviors outputs
-       :errors errors
-       :total-error #?(:clj  (apply +' errors)
-                       :cljs (apply + errors))))))
-)
+         all-inputs (map (fn [x] (first (:input1 x))) data)
+         daily-returns (map (fn [x] (first (:output1 x))) data)
+         ;outputs (map (fn [input]
+         ;               (state/peek-stack
+         ;                 (interpreter/interpret-program
+         ;                   program
+         ;                   (assoc state/empty-state :input {:in1 input})
+         ;                   (:step-limit argmap))
+         ;                 :integer))
+         ;             inputs)
+         ;errors (map (fn [correct-output output]
+         ;              (if (= output :no-stack-item)
+         ;                1000000
+         ;                (math/abs (- correct-output output))))
+         ;            correct-outputs
+         ;            outputs)]
+         ]
+     (loop [sharpes []
+            returns []
+            inputs all-inputs
+            holding-position? false ; true when :buy passes, false when :sell passes
+            trade-signal (if (empty? inputs)
+                           :end-loop
+                           (state/peek-stack
+                            (interpreter/interpret-program
+                             program
+                             (assoc state/empty-state :input {:in1 (first inputs)})
+                             (:step-limit argmap))
+                            :signal))]
+       ; TODO: I'm not confident on calculating the sharpe ratio yet.
+       ; I need time to learn. I'll come back to this when I'm ready.
+       ;(assoc individual
+       ;       :behaviors outputs
+       ;       :errors errors
+       ;       :total-error #?(:clj  (apply +' errors)
+       ;                       :cljs (apply + errors)))
+       ))))
 
-(def integer-argmap
+(def stock-argmap
   {:instructions             instructions
-   ;:error-function           error-function
+   :error-function           error-function
    :training-data            (:train train-and-test-data)
    :testing-data             (:test train-and-test-data)
    :max-generations          300
    :population-size          1000
    :max-initial-plushy-size  5
-   :step-limit               200
+   :step-limit               1000
    :parent-selection         :lexicase
    :tournament-size          5
    :umad-rate                0.1
    :variation                {:umad 1.0 :crossover 0.0}
-   :elitism                  false})
+   :elitism                  false
+   :closes                   :balanced
+   :transaction-cost         0.0005})
 
 (defn -main
   "Runs the top-level genetic programming function, giving it a map of 
@@ -89,5 +99,5 @@
   [& args]
   (gp/gp
     (merge
-     integer-argmap
+     stock-argmap
      (apply hash-map (map #(if (string? %) (read-string %) %) args)))))