John Hurley, CS 461

Drools Expert + ECJ SystemCombined my rules-based system for testing

strategies with GA from ECJDid not use GUI due to resource issues. Just used the

GA functionalityThis still added up to a very bulky system for my four-

year old laptop (1 gig RAM). Performance was difficult, but I still got good results

Developed rules for an individual investor with a single buy rule and a single short rule, not a metainvestor. My testing system can run a metainvestor, but this was too slow to run with the GA.

How This Could Be UsefulTransaction rules, including the learned ones, are

expressed in Drools Rules languageRules are separate from functionalityEasy for humans, including subject matter experts

who are nonprogrammers, to understand Learned rules can be easily studied by humans,

applied to other testing logic, tweaked, compared to programmed rules

Additional functionality could be built for nonprogrammers to track the application of each easily-understood rule

Drools Expert + ECJ SystemWhat happens at runtime:My setup code calls ECJ’s Evolve object, which loads stock

data from file

for each genome:

Evolve generates genome, calls fitness functionFitness function calls my InvestorTester InvestorTester converts genome from array of bools to

if/then rules, writes the rules to a Drools rule file, saves file InvestorTester adds Investor, the new rules file, a standard

rule file, and necessary stock info to Drools runtimeDrools applies rules, which are implemented by Investor

methods InvestorTester returns the ending wealth to fitness function,

which returns it to Evolve

Drools Expert + ECJ SystemAt end of GA run:Evolve reports best genome based on end-of-

period wealthUser tests this genome again on training data

(matches outcome of GA test but also generates a chart with comparison to buy and hold), then tests on test data

Drools Expert + ECJ SystemData Split75% train, 25% testAllocation is stored in the data file, so I can run repeated trials on

the same data and preserve the data split from a particular training run to use in testing

Each day, a standard rule orders all investors to close all positions at the closing price

If the day is not in the current set (ie, if we are training and it is a test day or if we are testing and it is a train day) nothing else happens

If the day is in the current set, buy or short rules are executed If day is in the set, we capture *tomorrow’s* price change, not

today’s. In other words, the allocation is offset by one day. This is OK because we are interested in the *ending* value, not the particular days. Much simpler to implement than any other approach I could think of …

Drools Expert + ECJ SystemLimitation on investors

file system sync issues

Drools Expert + ECJ System

From Gen 0

Drools Expert + ECJ System

From Gen 10,Same Run

Drools Expert + ECJ System

From Gen 16,Same Run

Genome 1001111111111111001000101010111001Training Data

Genome 1001111111111111001000101010111001Test Data

Drools Expert + ECJ Systempackage stockInvestmentrule “clearout"

salience 10when

inv: Investor()tick : TimeTick(tickNum:tickNum)

stock: Stock(price:price) then

inv.sellAll(price);inv.closeShort(price);

end

package stockInvestmentrule "GA Test Buy [Z@16caf43"

salience 1 when

Inv:InvGA()tick : TimeTick()stock: Stock(price:price && trainTest:trainTest&&

lastTick:lastTick && maTen:maTen && maFifty:maFifty

&& maTwoHundred:maTwoHundred)eval(trainTest == "train")eval(lastTick == "up")(moving average tests all evaluated true for all values,

ie ignore them)then

inv.buyAll(price);end

Drools Expert + ECJ System

rule "GA Test Sell [Z@16caf43"salience 1 wheninv:InvGA()tick : TimeTick()stock: Stock(price:price && trainTest:trainTest&& lastTick:lastTick && maTen:maTen && maFifty:maFifty && maTwoHundred:maTwoHundred)eval(trainTest == "train")eval((price < maTen) == true)eval((price < maFifty) == true)eval((price < maTwoHundred) == true)eval((maTen < maTwoHundred) == true)eval((maFifty < maTwoHundred) == false)theninv.shortMax(price);

end

Drools Expert + ECJ System

Drools Expert + ECJ System