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local Grammar = require 'grammar'
local GA = require 'ga'
local data = {}
local csvFile = io.open('HistoricalData_1735758980544-AAPL.csv')
local skip = true
for line in csvFile:lines() do
if skip then
skip = false
else
local tbl = {}
for lineValue in string.gmatch(line, '[^,]+') do
table.insert(tbl, lineValue)
end
table.insert(data, tbl)
end
end
local metaproduction = {}
metaproduction["<start>"] = {{'<functions>'}}
metaproduction["<functions>"] = { {}, {'<function>', '<functions>'} }
metaproduction["<function>"] = {{ 'defun(', '<arity>', ')\n' }}
metaproduction["<arity>"] = { {'0'}, {'1+', '<arity>'} }
local metagrammar = Grammar.createGrammar(metaproduction, {})
local production = {}
production["<start>"]={{'<expr>'}}
production["<expr>"]={ {'<data>'}, {'<number>'}, {'(','<expr>','<op>','<expr>',')'}, {'<func>','(','<expr>',')'} }
production["<op>"]={ {'+'}, {'-'}, {'*'}, {'/'} }
production["<func>"]={ {'math.log'}, {'math.exp'}, {'math.sin'}, {'math.cos'}, {'math.tan'}, }
production["<digit>"]={ {'0'}, {'1'}, {'2'}, {'3'}, {'4'}, {'5'}, {'6'}, {'7'}, {'8'}, {'9'} }
production["<lowdigit>"]={ {'0'}, {'1'}, {'2'} }
production["<data>"]={
{'high(','<date>',')'}, {'low(','<date>',')'},
{'volume(','<date>',')'},
{'open(','<date>',')'}, {'close(','<date>',')'}
}
production["<date>"]={ {'<lowdigit>','<digit>', '<digit>'} }
production["<number>"]={ {'0.','<digit>','<digit>','<digit>'} }
local grammar = Grammar.createGrammar(production, {})
--math.randomseed(0)
math.randomseed(os.time())
function randomGenome()
local len = math.ceil(math.random() * 300)
local genome = {}
for i=1,len do
table.insert(genome, math.floor(256 * math.random()))
end
return genome
end
local g = randomGenome()
print(#g, metagrammar:expand(randomGenome()))
os.exit(0)
function randomPop()
local pop = {}
for n=1,1000 do
table.insert(pop, randomGenome())
end
return pop
end
function evaluate(genome)
local s = 'return function(close, volume, open, high, low) return ' .. grammar:expand(genome) .. ' end'
-- print(s)
local f = assert(loadstring(s))()
local cost = 0
for n=1,1000 do
local start = math.ceil((#data-300) * math.random()) + 300
local dataView = function(offset, i) return tonumber(string.match(data[1 + start + offset][i], '[^$]+')) end
local close = function(offset) return dataView(offset, 2) end
local volume = function(offset) return dataView(offset, 3) end
local open = function(offset) return dataView(offset, 4) end
local high = function(offset) return dataView(offset, 5) end
local low = function(offset) return dataView(offset, 6) end
ok, y = pcall(f, close, volume, open, high, low)
-- if ok and type(y) == 'table' then for k,v in pairs(y) do print(k, v) end end
if (not ok) or (y ~= y) then
cost = cost + 100
else
cost = cost + math.abs(y - high(-30))
end
end
return -(cost)
end
local ga = GA.createGA(randomPop(), {
evaluate=evaluate,
crossover=function(a, b)
local crossoverPoint = math.ceil(#a * math.random())
local new = {}
for i=1,#b do
table.insert(new, (i>=crossoverPoint and b[i]) or a[i])
end
return new
end,
mutate=function(a)
local new = {}
for i,v in ipairs(a) do new[i] = v end
local mutationPoint = math.ceil(#a * math.random())
new[mutationPoint] = math.floor(256 * math.random())
return new
end,
})
for n=1,100 do
print(ga:step())
print(grammar:expand(ga.population[ga.bestMember]))
end
-- for k,v in ipairs(ga.population) do
-- print(k, '(', v[1], v[2], v[3], ')', evaluate(v))
-- end
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