def get_fitness(self):
self._num_of_selected_stocks = fund_standardization.num_of_selected_stocks(
self._genes, self._num_of_stocks)
self._allocated_fund_amount = 0
if self._num_of_selected_stocks != 0:
self._allocated_fund_amount = self._initial_funds // self._num_of_selected_stocks
self._remainder_of_pf = 0
else:
self._allocated_fund_amount = 0
self._remainder_of_pf = self._initial_funds
self._allocated_fund = fund_standardization.allocated_funds(
self._genes, self._allocated_fund_amount, self._num_of_stocks)
# print("_allocated_fund", _allocated_fund)
self._remainder_of_pf = fund_standardization.remainder_of_pfs(
self._initial_funds, self._allocated_fund_amount,
self._num_of_selected_stocks)
# print("self._days", self._days)
# print("_stock_price", _stock_price)
self._share = fund_standardization.shares(self._genes,
self._num_of_stocks,
self._allocated_fund,
self._stock_prices, FEE_RATE)
# print("_share", _share)
self._handling_fee = fund_standardization.handling_fees(
self._genes, self._days, self._num_of_stocks, self._share,
self._stock_prices, FEE_RATE)
# print("_handling_fee", _handling_fee)
self._remainder_of_stock = fund_standardization.remainder_of_stocks(
self._genes, self._num_of_stocks, self._allocated_fund,
self._stock_prices, self._share, self._handling_fee)
# print("_remainder_of_stock", _remainder_of_stock)
self._return = fund_standardization.returns(self._genes, self._days,
self._num_of_stocks,
self._share,
self._stock_prices)
# print("_return", _return)
self._securities_transaction_tax = fund_standardization.securities_transaction_taxes(
self._genes, self._days, self._num_of_stocks, self._share,
self._stock_prices, TAX_RATE)
# print("_securities_transaction_tax", _securities_transaction_tax)
self._funds_standardization = fund_standardization.funds_standardizations(
self._genes, self._num_of_stocks, self._days, self._allocated_fund,
self._handling_fee, self._return, self._securities_transaction_tax,
self._remainder_of_stock)
# print("_funds_standardization", _funds_standardization)
self._pf_funds_standardization = fund_standardization.pf_funds_standardizations(
self._days, self._num_of_stocks, self._funds_standardization,
self._remainder_of_pf)
# print("_pf_funds_standardization", _pf_funds_standardization)
self._roi = fund_standardization.rois(self._pf_funds_standardization,
self._initial_funds)
# print("_roi", _roi)
self._risk = fund_standardization.risks(self._days,
self._pf_funds_standardization)
# print("_risk", _risk)
self._fitness = fund_standardization.fitnesses(self._roi, self._risk,
RISK_FREE_RATE)
# print("Fitness: ", self._fitness)
return self._fitness
def get_fitness(self):
_num_of_selected_stocks = fund_standardization.num_of_selected_stocks(
self._genes, NUM_OF_STOCKS)
_allocated_fund_amount = 0
if _num_of_selected_stocks != 0:
_allocated_fund_amount = INITIAL_FUNDS // _num_of_selected_stocks
else:
# print("NO STOCK HAS BEEN SELECTED")
_fitness = 0.0
_allocated_fund_amount = 0
_remainder_of_pf = INITIAL_FUNDS
_allocated_fund = fund_standardization.allocated_funds(
self._genes, _allocated_fund_amount, NUM_OF_STOCKS)
print("_allocated_fund", _allocated_fund)
_remainder_of_pf = fund_standardization.remainder_of_pfs(
INITIAL_FUNDS, _allocated_fund_amount, _num_of_selected_stocks)
print("_remainder_of_pf", _remainder_of_pf)
_day = fund_standardization.days(KOSPI_TICKER, STARTDATE, ENDDATE)
print("_day", _day)
_stock_price = fund_standardization.stock_prices(
self._genes, _day, KOSPI_TICKER, STARTDATE, ENDDATE)
print("_stock_price", _stock_price)
_share = fund_standardization.shares(self._genes, NUM_OF_STOCKS,
_allocated_fund, _stock_price,
FEE_RATE)
print("_share", _share)
_handling_fee = fund_standardization.handling_fees(
self._genes, _day, NUM_OF_STOCKS, _share, _stock_price, FEE_RATE)
print("_handling_fee", _handling_fee)
_remainder_of_stock = fund_standardization.remainder_of_stocks(
self._genes, NUM_OF_STOCKS, _allocated_fund, _stock_price, _share,
_handling_fee)
print("_remainder_of_stock", _remainder_of_stock)
_return = fund_standardization.returns(self._genes, _day,
NUM_OF_STOCKS, _share,
_stock_price)
print("_return", _return)
_securities_transaction_tax = fund_standardization.securities_transaction_taxes(
self._genes, _day, NUM_OF_STOCKS, _share, _stock_price, TAX_RATE)
print("_securities_transaction_tax", _securities_transaction_tax)
_funds_standardization = fund_standardization.funds_standardizations(
self._genes, KOSPI_TICKER, NUM_OF_STOCKS, _day, _allocated_fund,
_handling_fee, _return, _securities_transaction_tax,
_remainder_of_stock)
print("_funds_standardization", _funds_standardization)
_pf_funds_standardization = fund_standardization.pf_funds_standardizations(
self._genes, _day, NUM_OF_STOCKS, _funds_standardization,
_remainder_of_pf)
print("_pf_funds_standardization", _pf_funds_standardization)
_roi = fund_standardization.rois(_pf_funds_standardization,
INITIAL_FUNDS, _day)
print("_roi", _roi)
_risk = fund_standardization.risks(_day, _pf_funds_standardization)
print("_risk", _risk)
_fitness = fund_standardization.fitnesses(_roi, _risk, RISK_FREE_RATE)
print("_fitness: ", _fitness)
return _fitness
def test_best_population(kospi_ticker, best_chromosome, test_day_list, test_stock_price_list, year, month, monthly_best_file_name):
# with open('../result/' + str(year) + "/" + str(month) + '/' + monthly_best_file_name, 'r') as in_file:
# reader = csv.reader(in_file, delimiter=",")
# for price in reader:
# print(price)
test_genes = best_chromosome.get_genes()
# print("test_genes", test_genes)
test_days = test_day_list
# print("test_days", test_days)
test_stock_prices = test_stock_price_list
# print("test_stock_prices", test_stock_prices)
test_num_of_stocks = best_chromosome.get_num_of_stocks()
# print("test_num_of_stocks", test_num_of_stocks)
test_num_of_stocks = len(kospi_ticker)
test_num_of_selected_stocks = fund_standardization.num_of_selected_stocks(test_genes, test_num_of_stocks)
test_allocated_fund_amount = 0
test_remainder_of_pf = 0
if test_num_of_selected_stocks != 0:
test_allocated_fund_amount = INITIAL_FUNDS // test_num_of_selected_stocks
test_remainder_of_pf = 0
else:
test_allocated_fund_amount = 0
test_remainder_of_pf = INITIAL_FUNDS
test_allocated_fund = fund_standardization.allocated_funds(test_genes, test_allocated_fund_amount, test_num_of_stocks)
# print("_allocated_fund", test_allocated_fund )
test_remainder_of_pf = fund_standardization.remainder_of_pfs(INITIAL_FUNDS, test_allocated_fund_amount, test_num_of_selected_stocks)
# print("test_days", test_days)
# print("_stock_price", test_stock_prices)
test_share = fund_standardization.shares(test_genes, test_num_of_stocks, test_allocated_fund, test_stock_prices, FEE_RATE)
# print("_share", test_share)
test_handling_fee = fund_standardization.handling_fees(test_genes, test_days, test_num_of_stocks, test_share, test_stock_prices, FEE_RATE)
# print("_handling_fee", test_handling_fee)
test_remainder_of_stock = fund_standardization.remainder_of_stocks(test_genes, test_num_of_stocks, test_allocated_fund, test_stock_prices, test_share, test_handling_fee)
# print("_remainder_of_stock", test_remainder_of_stock)
test_return = fund_standardization.returns(test_genes, test_days, test_num_of_stocks, test_share, test_stock_prices)
# print("_return", test_return)
test_securities_transaction_tax = fund_standardization.securities_transaction_taxes(test_genes, test_days, test_num_of_stocks, test_share, test_stock_prices, TAX_RATE)
# print("_securities_transaction_tax", test_securities_transaction_tax)
test_funds_standardization = fund_standardization.funds_standardizations(test_genes, test_num_of_stocks, test_days, test_allocated_fund, test_handling_fee, test_return, test_securities_transaction_tax, test_remainder_of_stock)
# print("_funds_standardization", test_funds_standardization)
test_pf_funds_standardization = fund_standardization.pf_funds_standardizations(test_days, test_num_of_stocks, test_funds_standardization, test_remainder_of_pf)
# print("_pf_funds_standardization", test_pf_funds_standardization )
test_roi = fund_standardization.rois(test_pf_funds_standardization, INITIAL_FUNDS)
test_risk = fund_standardization.risks(test_days, test_pf_funds_standardization)
test_fitness = fund_standardization.fitnesses(test_roi, test_risk, RISK_FREE_RATE)
for count in range(650):
print("-", end="")
print()
print("TEST_roi", test_roi, "TEST_risk", test_risk)
print("TEST_Fitness: ", test_fitness)
for count in range(650):
print("-", end="")
print()
def get_fitness(self):
_num_of_stocks = len(KOSPI_TICKER)
_num_of_selected_stocks = fund_standardization.num_of_selected_stocks(self._genes, _num_of_stocks)
self._num_of_selected_stocks = _num_of_selected_stocks
_allocated_fund_amount = 0
if _num_of_selected_stocks != 0:
_allocated_fund_amount = INITIAL_FUNDS // _num_of_selected_stocks
else:
_fitness = 0.0
_allocated_fund_amount = 0
_remainder_of_pf = INITIAL_FUNDS
_allocated_fund = fund_standardization.allocated_funds(self._genes, _allocated_fund_amount, _num_of_stocks)
self._allocated_fund = _allocated_fund
# print("_allocated_fund", _allocated_fund)
_remainder_of_pf = fund_standardization.remainder_of_pfs(INITIAL_FUNDS, _allocated_fund_amount, _num_of_selected_stocks)
# print("_remainder_of_pf", _remainder_of_pf)
self._remainder_of_pf = _remainder_of_pf
_day = self._days
# print("_day", _day)
_stock_price = self.stock_prices
# print("_stock_price", _stock_price)
_share = fund_standardization.shares(self._genes, _num_of_stocks, _allocated_fund, _stock_price, FEE_RATE)
self._share = _share
# print("_share", _share)
_handling_fee = fund_standardization.handling_fees(self._genes, _day, _num_of_stocks, _share, _stock_price, FEE_RATE)
self._handling_fee = _handling_fee
# print("_handling_fee", _handling_fee)
_remainder_of_stock = fund_standardization.remainder_of_stocks(self._genes, _num_of_stocks, _allocated_fund, _stock_price, _share, _handling_fee)
self.__remainder_of_stock = _remainder_of_stock
# print("_remainder_of_stock", _remainder_of_stock)
_return = fund_standardization.returns(self._genes, _day, _num_of_stocks, _share, _stock_price)
self._return = _return
# print("_return", _return)
_securities_transaction_tax = fund_standardization.securities_transaction_taxes(self._genes, _day, _num_of_stocks, _share, _stock_price, TAX_RATE)
self._securities_transaction_tax = _securities_transaction_tax
# print("_securities_transaction_tax", _securities_transaction_tax)
_funds_standardization = fund_standardization.funds_standardizations(self._genes, _num_of_stocks, _day, _allocated_fund, _handling_fee, _return, _securities_transaction_tax, _remainder_of_stock)
self._funds_standardization = _funds_standardization
# print("_funds_standardization", _funds_standardization)
_pf_funds_standardization = fund_standardization.pf_funds_standardizations(_day, _num_of_stocks, _funds_standardization, _remainder_of_pf)
self._pf_funds_standardization = _pf_funds_standardization
# print("_pf_funds_standardization", _pf_funds_standardization)
_roi = fund_standardization.rois(_pf_funds_standardization, INITIAL_FUNDS, _day)
self._roi = _roi
# print("_roi", _roi)
_risk = fund_standardization.risks(_day, _pf_funds_standardization)
self._risk = _risk
# print("_risk", _risk)
_fitness = fund_standardization.fitnesses(_roi, _risk, RISK_FREE_RATE)
self._fitness = _fitness
# print("Fitness: ", self._fitness)
return _fitness
def __init__(self):
self._name = KOSPI_TICKER
self._num_of_selected_stocks = 0
self._genes = []
for i in range(NUM_OF_STOCKS):
if random.random() <= 0.05:
self._genes.append(1)
self._num_of_selected_stocks +=1
else:
self._genes.append(0)
# print("genes: ", self._genes)
# print("num of selected stocks: ", self._num_of_selected_stocks)
if self._num_of_selected_stocks != 0:
self._allocated_fund_amount = INITIAL_FUNDS // self._num_of_selected_stocks
else:
print("not buying any stocks")
self._fitness = 0.0
self._allocated_fund_amount = 0
self._remainder_of_pf = INITIAL_FUNDS
# print("allocated_fund_amount: ", self._allocated_fund_amount)
self._allocated_fund = fund_standardization.allocated_funds(self._genes, self._allocated_fund_amount, NUM_OF_STOCKS)
# print("allocated fund: ", self._allocated_fund)
self._remainder_of_pf = fund_standardization.remainder_of_pfs(INITIAL_FUNDS, self._allocated_fund_amount, self._num_of_selected_stocks)
# print("remainder_of_pf: ", self._remainder_of_pf)
self._day = fund_standardization.days(KOSPI_TICKER, STARTDATE, ENDDATE)
# print("days of trading: ", self._day)
self._stock_price = fund_standardization.stock_prices(self._genes, self._day, KOSPI_TICKER)
# print("stock_price: ", self._stock_price)
self._share = fund_standardization.shares(self._genes, NUM_OF_STOCKS, self._allocated_fund, self._stock_price, FEE_RATE)
# print("share: ", self._share)
self._handling_fee = fund_standardization.handling_fees(self._genes, self._day, NUM_OF_STOCKS, self._share, self._stock_price, FEE_RATE)
# print("handling fee: ", self._handling_fee)
self._remainder_of_stock = fund_standardization.remainder_of_stocks(self._genes, NUM_OF_STOCKS, self._allocated_fund, self._stock_price, self._share, self._handling_fee)
# print("remainder of stock: ", self._remainder_of_stock)
self._return = fund_standardization.returns(self._genes, self._day, NUM_OF_STOCKS, self._share, self._stock_price)
# print("return: ", self._return)
self._securities_transaction_tax = fund_standardization.securities_transaction_taxes(self._genes, self._day, NUM_OF_STOCKS, self._share, self._stock_price, TAX_RATE)
# print("transaction tax: ", self._securities_transaction_tax)
self._funds_standardization = fund_standardization.funds_standardizations(self._genes, KOSPI_TICKER, NUM_OF_STOCKS, self._day, self._allocated_fund, self._handling_fee, self._return, self._securities_transaction_tax, self._remainder_of_stock)
# print("funds standardization: ", self._funds_standardization)
self._pf_funds_standardization = fund_standardization.pf_funds_standardizations(self._genes, self._day, NUM_OF_STOCKS, self._funds_standardization, self._remainder_of_pf)
# print("pf_funds standardization: ", self._pf_funds_standardization)
# print("\n\n=====================================================")
self._roi = fund_standardization.rois(self._pf_funds_standardization, INITIAL_FUNDS, self._day)
# print("roi: ", self._roi)
self._risk = fund_standardization.risks(self._day, self._pf_funds_standardization)
# print("risk: ", self._risk)
self._fitness = fund_standardization.fitnesses(self._roi, self._risk, RISK_FREE_RATE)
def __init__(self):
self._genes = []
for i in range(NUM_OF_STOCKS):
if random.random() <= STOCK_SELCTION_RATE:
self._genes.append(1)
else:
self._genes.append(0)
self._fitness = 0
_num_of_selected_stocks = fund_standardization.num_of_selected_stocks(
self._genes, NUM_OF_STOCKS)
if _num_of_selected_stocks != 0:
_allocated_fund_amount = INITIAL_FUNDS // _num_of_selected_stocks
else:
print("NO STOCK HAS BEEN SELECTED")
_fitness = 0.0
_allocated_fund_amount = 0
_remainder_of_pf = INITIAL_FUNDS
_allocated_fund = fund_standardization.allocated_funds(
self._genes, _allocated_fund_amount, NUM_OF_STOCKS)
_remainder_of_pf = fund_standardization.remainder_of_pfs(
INITIAL_FUNDS, _allocated_fund_amount, _num_of_selected_stocks)
_day = fund_standardization.days(KOSPI_TICKER, STARTDATE, ENDDATE)
_stock_price = fund_standardization.stock_prices(
self._genes, _day, KOSPI_TICKER)
_share = fund_standardization.shares(self._genes, NUM_OF_STOCKS,
_allocated_fund, _stock_price,
FEE_RATE)
_handling_fee = fund_standardization.handling_fees(
self._genes, _day, NUM_OF_STOCKS, _share, _stock_price, FEE_RATE)
_remainder_of_stock = fund_standardization.remainder_of_stocks(
self._genes, NUM_OF_STOCKS, _allocated_fund, _stock_price, _share,
_handling_fee)
_return = fund_standardization.returns(self._genes, _day,
NUM_OF_STOCKS, _share,
_stock_price)
_securities_transaction_tax = fund_standardization.securities_transaction_taxes(
self._genes, _day, NUM_OF_STOCKS, _share, _stock_price, TAX_RATE)
_funds_standardization = fund_standardization.funds_standardizations(
self._genes, KOSPI_TICKER, NUM_OF_STOCKS, _day, _allocated_fund,
_handling_fee, _return, _securities_transaction_tax,
_remainder_of_stock)
_pf_funds_standardization = fund_standardization.pf_funds_standardizations(
self._genes, _day, NUM_OF_STOCKS, _funds_standardization,
_remainder_of_pf)
_roi = fund_standardization.rois(_pf_funds_standardization,
INITIAL_FUNDS, _day)
_risk = fund_standardization.risks(_day, _pf_funds_standardization)
self._fitness = fund_standardization.fitnesses(_roi, _risk,
RISK_FREE_RATE)
def test_best_population(best_chromosome, test_day_list, test_stock_price_list, year, month, ga_start_date, ga_end_date, test_start_date, test_end_date):
test_genes = best_chromosome.get_genes()
# print("test_genes", test_genes)
test_days = test_day_list
# print("test_days", test_days)
test_stock_prices = test_stock_price_list
# print("test_stock_prices", test_stock_prices)
test_num_of_stocks = best_chromosome.get_num_of_stocks()
# print("test_num_of_stocks", test_num_of_stocks)
test_num_of_selected_stocks = fund_standardization.num_of_selected_stocks(test_genes, test_num_of_stocks)
test_allocated_fund_amount = 0
test_remainder_of_pf = 0
if test_num_of_selected_stocks != 0:
test_allocated_fund_amount = INITIAL_FUNDS // test_num_of_selected_stocks
test_remainder_of_pf = 0
else:
test_allocated_fund_amount = 0
test_remainder_of_pf = INITIAL_FUNDS
test_allocated_fund = fund_standardization.allocated_funds(test_genes, test_allocated_fund_amount, test_num_of_stocks)
# print("_allocated_fund", test_allocated_fund )
test_remainder_of_pf = fund_standardization.remainder_of_pfs(INITIAL_FUNDS, test_allocated_fund_amount, test_num_of_selected_stocks)
# print("test_days", test_days)
# print("_stock_price", test_stock_prices)
test_share = fund_standardization.shares(test_genes, test_num_of_stocks, test_allocated_fund, test_stock_prices, FEE_RATE)
# print("_share", test_share)
test_handling_fee = fund_standardization.handling_fees(test_genes, test_days, test_num_of_stocks, test_share, test_stock_prices, FEE_RATE)
# print("_handling_fee", test_handling_fee)
test_remainder_of_stock = fund_standardization.remainder_of_stocks(test_genes, test_num_of_stocks, test_allocated_fund, test_stock_prices, test_share, test_handling_fee)
# print("_remainder_of_stock", test_remainder_of_stock)
test_return = fund_standardization.returns(test_genes, test_days, test_num_of_stocks, test_share, test_stock_prices)
# print("_return", test_return)
test_securities_transaction_tax = fund_standardization.securities_transaction_taxes(test_genes, test_days, test_num_of_stocks, test_share, test_stock_prices, TAX_RATE)
# print("_securities_transaction_tax", test_securities_transaction_tax)
test_funds_standardization = fund_standardization.funds_standardizations(test_genes, test_num_of_stocks, test_days, test_allocated_fund, test_handling_fee, test_return, test_securities_transaction_tax, test_remainder_of_stock)
# print("_funds_standardization", test_funds_standardization)
test_pf_funds_standardization = fund_standardization.pf_funds_standardizations(test_days, test_num_of_stocks, test_funds_standardization, test_remainder_of_pf)
# print("_pf_funds_standardization", test_pf_funds_standardization )
test_roi = fund_standardization.rois(test_pf_funds_standardization, INITIAL_FUNDS)
test_risk = fund_standardization.risks(test_days, test_pf_funds_standardization)
test_fitness = fund_standardization.fitnesses(test_roi, test_risk, RISK_FREE_RATE)
save.print_test_population(best_chromosome, ga_start_date, ga_end_date, test_start_date, test_end_date, test_genes, test_num_of_selected_stocks, test_roi, test_risk, test_fitness)
save.save_test_generation(best_chromosome, year, month, ga_start_date, ga_end_date, test_start_date, test_end_date, test_genes, test_roi, test_risk, test_fitness)
def __init__(self, days, stock_prices):
self._genes = []
for i in range(len(KOSPI_TICKER)):
if random.random() <= INITIAL_STOCK_SELCTION_RATE:
self._genes.append(1)
else:
self._genes.append(0)
self._days = days
self._stock_prices = stock_prices
self._initial_funds = INITIAL_FUNDS
self._fee_rate = FEE_RATE
self._tax_rate = TAX_RATE
self._risk_free_rate = RISK_FREE_RATE
self._ticker = KOSPI_TICKER
self._num_of_stocks = len(KOSPI_TICKER)
self._num_of_selected_stocks = fund_standardization.num_of_selected_stocks(
self._genes, self._num_of_stocks)
self._allocated_fund_amount = 0
if self._num_of_selected_stocks != 0:
self._allocated_fund_amount = self._initial_funds // self._num_of_selected_stocks
self._remainder_of_pf = 0
else:
self._allocated_fund_amount = 0
self._remainder_of_pf = self._initial_funds
self._allocated_fund = fund_standardization.allocated_funds(
self._genes, self._allocated_fund_amount, self._num_of_stocks)
# print("_allocated_fund", _allocated_fund)
self._remainder_of_pf = fund_standardization.remainder_of_pfs(
self._initial_funds, self._allocated_fund_amount,
self._num_of_selected_stocks)
# print("self._days", self._days)
# print("_stock_price", _stock_price)
self._share = fund_standardization.shares(self._genes,
self._num_of_stocks,
self._allocated_fund,
self._stock_prices, FEE_RATE)
# print("_share", _share)
self._handling_fee = fund_standardization.handling_fees(
self._genes, self._days, self._num_of_stocks, self._share,
self._stock_prices, FEE_RATE)
# print("_handling_fee", _handling_fee)
self._remainder_of_stock = fund_standardization.remainder_of_stocks(
self._genes, self._num_of_stocks, self._allocated_fund,
self._stock_prices, self._share, self._handling_fee)
# print("_remainder_of_stock", _remainder_of_stock)
self._return = fund_standardization.returns(self._genes, self._days,
self._num_of_stocks,
self._share,
self._stock_prices)
# print("_return", _return)
self._securities_transaction_tax = fund_standardization.securities_transaction_taxes(
self._genes, self._days, self._num_of_stocks, self._share,
self._stock_prices, TAX_RATE)
# print("_securities_transaction_tax", _securities_transaction_tax)
self._funds_standardization = fund_standardization.funds_standardizations(
self._genes, self._num_of_stocks, self._days, self._allocated_fund,
self._handling_fee, self._return, self._securities_transaction_tax,
self._remainder_of_stock)
# print("_funds_standardization", _funds_standardization)
self._pf_funds_standardization = fund_standardization.pf_funds_standardizations(
self._days, self._num_of_stocks, self._funds_standardization,
self._remainder_of_pf)
# print("_pf_funds_standardization", _pf_funds_standardization)
self._roi = fund_standardization.rois(self._pf_funds_standardization,
self._initial_funds)
# print("_roi", _roi)
self._risk = fund_standardization.risks(self._days,
self._pf_funds_standardization)
# print("_risk", _risk)
self._fitness = fund_standardization.fitnesses(self._roi, self._risk,
RISK_FREE_RATE)
