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 __init__(self):
self._name = KOSPI_TICKER
self._num_of_selected_stocks = 0
self._genes = []
for i in range(NUM_OF_STOCKS):
if random.random() >= 0.5:
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")
return
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, KOSPI_TICKER, STARTDATE, ENDDATE)
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.fees(self._genes, 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, NUM_OF_STOCKS, self._share, self._stock_price)
print("return: ", self._return)
self._securities_transaction_tax = fund_standardization.securities_transaction_taxes(self._genes, NUM_OF_STOCKS, self._share, self._stock_price, TAX_RATE)
print("transaction tax: ", self._securities_transaction_tax)
self._first_funds_standardization = fund_standardization.funds_standardizations(self._genes, NUM_OF_STOCKS, 1, self._allocated_fund, self._handling_fee, self._return, self._securities_transaction_tax, self._remainder_of_stock)
print("first funds standardization: ", self._first_funds_standardization)
self._funds_standardization = fund_standardization.funds_standardizations(self._genes, 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._first_pf_funds_standardization = fund_standardization.pf_funds_standardizations(self._genes, self._first_funds_standardization, self._remainder_of_pf)
print("first pf_funds standardization: ", self._first_pf_funds_standardization)
self._pf_funds_standardization = fund_standardization.pf_funds_standardizations(self._genes, 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)
print("roi: ", self._roi)
self._risk = fund_standardization.risks(self._first_pf_funds_standardization, self._pf_funds_standardization)
print("risk: ", self._risk)
self._fitness = fund_standardization.fitnesses(self._roi, self._risk, RISK_FREE_RATE)
print("fitness/ Sharpe Ratio: ", self._fitness)
print("return: ", (self._pf_funds_standardization - INITIAL_FUNDS)/INITIAL_FUNDS)
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)