Changeset 32838

Timestamp:

04/26/09 23:37:58 (4 years ago)

Author:

rezoo

Message:

add Score_Sigmoid

Location:

lang/python/tremolo/tremolo/indications

Files:

• __init__.py (modified) (1 diff)
• future.py (modified) (3 diffs)

lang/python/tremolo/tremolo/indications/__init__.py

@@ -24 +24 @@
 
 # classes to use future prices.
-from future import RelativePosition, DfSMA
+from future import RelativePosition, DfSMA, Score, Score_Sigmoid

lang/python/tremolo/tremolo/indications/future.py

@@ -6 +6 @@
 from scipy.ndimage.measurements import mean
 from scipy.stats.distributions import norm
-from pylab import arange, sum
+from pylab import arange, sum, exp
 
 class RelativePosition (Indication):
@@ -83 +83 @@
 class Score (Indication):
         """
+        t時点においての投資行動が適切であったのかどうかを判断する指標です.
+        
         この指標クラスは未来の値を参照しているため、テスト用途にのみ用いられます.
         """
@@ -136 +138 @@
                 return "(!!)Score(%i,%i,%i)" % (self.length, self.stdev)
         
-        def evaluate(self, t):
+        def evaluate(self, t): return self._score(t)
+        
+        def _score(self, t):
                 tplus = t + self.__length
                 now   = self.asset.getScalar(t)
                 dat = [self.asset.getScalar(i) - now
                        for i in xrange(tplus-self.__samples, tplus+self.__samples)]
-                score = sum(self.__weight * dat)
-                return score
+                return sum(self.__weight * dat)
+
+class Score_Sigmoid (Score):
+        """
+        スコア関数をシグモイド関数に入れて、より特徴点を顕著にした関数です.
+        
+        この指標クラスは未来の値を参照しているため、テスト用途にのみ用いられます.
+        """
+        def __init__(self, asset, parent=None, length=30,
+                     stdev=10, level=3, gain=1.0):
+                Score.__init__(self, asset, parent, length, stdev, level):
+                self.__gain = gain
+        
+        def getGain(self): return self.__gain
+        def setGain(self, g): self.__gain = g
+        gain = property(getGain, setGain)
+        
+        def getDescription(self):
+                return "(!!)Score_Sigmoid(%i,%i,%i)" % (self.length, self.stdev)
+        
+        def evaluate(self, t):
+                x = self._score(t)
+                return 1.0 / (1.0 + exp(-self.__gain*x))