John Hurley, CS 461
Drools Expert + ECJ System
 Combined my rules-based system for testing strategies
with GA from ECJ
 Did not use GUI due to resource issues. Just used the GA
functionality
 This 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 Useful
 Transaction rules, including the learned ones, are
expressed in Drools Rules language
 Rules are separate from functionality
 Easy 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 System
What 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 function
 Fitness 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 runtime
 Drools applies rules, which are implemented by Investor methods
 InvestorTester returns the ending wealth to fitness function, which
returns it to Evolve
Drools Expert + ECJ System
At end of GA run:
 Evolve reports best genome based on end-of-period
wealth
 User 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 System
Data Split
 75% train, 25% test
 Allocation is stored in the data file, so I can run repeated trials on the
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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 System
Limitation 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 1001111111111111001000101010111001
Training Data
Genome 1001111111111111001000101010111001
Test Data
Drools Expert + ECJ System
package stockInvestment
rule “clearout"
salience 10
when
inv: Investor()
tick : TimeTick(tickNum:tickNum)
stock: Stock(price:price)
then
inv.sellAll(price);
inv.closeShort(price);
end
Drools Expert + ECJ System
package stockInvestment
rule "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
when
inv: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)
then
inv.shortMax(price);
end
Drools Expert + ECJ System