[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs
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[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO EndOfDayTimerHandlerWeightedPVO.cs, 1.2, 1.3 GenomeManagerWeightedPVO.cs, 1.1, 1.2 RunWeightedPVO.cs, 1.1, 1.2
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From: Marco M. <mi...@us...> - 2008-01-14 23:07:10
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO Modified Files: EndOfDayTimerHandlerWeightedPVO.cs GenomeManagerWeightedPVO.cs RunWeightedPVO.cs Log Message: Several changes applied to the classes implementing the Portfolio Value Oscillator strategy (the most important one relates to the use of ReturnsManager) Index: EndOfDayTimerHandlerWeightedPVO.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/EndOfDayTimerHandlerWeightedPVO.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** EndOfDayTimerHandlerWeightedPVO.cs 29 Aug 2007 09:50:21 -0000 1.2 --- EndOfDayTimerHandlerWeightedPVO.cs 14 Jan 2008 23:07:04 -0000 1.3 *************** *** 65,69 **** bool overboughtMoreThanOversoldForFixedPortfolio, int numDaysBetweenEachOptimization, ! PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown): base(tickerGroupID, numberOfEligibleTickers, numberOfTickersToBeChosen, numDaysForOptimizationPeriod, --- 65,70 ---- bool overboughtMoreThanOversoldForFixedPortfolio, int numDaysBetweenEachOptimization, ! PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, ! double minimumAcceptableGain): base(tickerGroupID, numberOfEligibleTickers, numberOfTickersToBeChosen, numDaysForOptimizationPeriod, *************** *** 81,85 **** overboughtMoreThanOversoldForFixedPortfolio, numDaysBetweenEachOptimization, ! portfolioType, maxAcceptableCloseToCloseDrawdown) { --- 82,87 ---- overboughtMoreThanOversoldForFixedPortfolio, numDaysBetweenEachOptimization, ! portfolioType, maxAcceptableCloseToCloseDrawdown, ! minimumAcceptableGain) { *************** *** 141,145 **** this.symmetricalThresholds, this.overboughtMoreThanOversoldForFixedPortfolio, ! this.portfolioType); GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager, this.populationSizeForGeneticOptimizer, --- 143,147 ---- this.symmetricalThresholds, this.overboughtMoreThanOversoldForFixedPortfolio, ! this.portfolioType,this.benchmark); GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager, this.populationSizeForGeneticOptimizer, *************** *** 148,152 **** if(setGenomeCounter) this.genomeCounter = new GenomeCounter(GO); ! GO.MutationRate = 0.2; GO.Run(false); --- 150,154 ---- if(setGenomeCounter) this.genomeCounter = new GenomeCounter(GO); ! GO.MutationRate = 0.5; GO.Run(false); Index: RunWeightedPVO.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/RunWeightedPVO.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunWeightedPVO.cs 27 Feb 2007 22:52:40 -0000 1.1 --- RunWeightedPVO.cs 14 Jan 2008 23:07:04 -0000 1.2 *************** *** 61,64 **** --- 61,65 ---- protected int numDaysBetweenEachOptimization; protected double maxAcceptableCloseToCloseDrawdown; + protected double minimumAcceptableGain; protected int numDaysForOscillatingPeriod; protected bool symmetricalThresholds = false; *************** *** 80,83 **** --- 81,85 ---- int numDaysBetweenEachOptimization, PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, + double minimumAcceptableGain, double maxRunningHours): base(tickerGroupID, maxNumOfEligibleTickersForOptimization, *************** *** 97,100 **** --- 99,103 ---- this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio; this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown; + this.minimumAcceptableGain = minimumAcceptableGain; this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod; this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization; *************** *** 119,123 **** this.overboughtMoreThanOversoldForFixedPortfolio, this.numDaysBetweenEachOptimization, ! this.portfolioType, this.maxAcceptableCloseToCloseDrawdown); } --- 122,127 ---- this.overboughtMoreThanOversoldForFixedPortfolio, this.numDaysBetweenEachOptimization, ! this.portfolioType, this.maxAcceptableCloseToCloseDrawdown, ! this.minimumAcceptableGain); } Index: GenomeManagerWeightedPVO.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/GenomeManagerWeightedPVO.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** GenomeManagerWeightedPVO.cs 27 Feb 2007 22:52:40 -0000 1.1 --- GenomeManagerWeightedPVO.cs 14 Jan 2008 23:07:04 -0000 1.2 *************** *** 40,61 **** /// </summary> [Serializable] ! public class GenomeManagerWeightedPVO : GenomeManagerForEfficientPortfolio { - protected int minLevelForOversoldThreshold; - protected int maxLevelForOversoldThreshold; - protected int minLevelForOverboughtThreshold; - protected int maxLevelForOverboughtThreshold; - protected int divisorForThresholdComputation; - protected bool symmetricalThresholds = false; - protected bool overboughtMoreThanOversoldForFixedPortfolio = false; - protected int numOfGenesDedicatedToThresholds; - protected double currentOversoldThreshold = 0.0; - protected double currentOverboughtThreshold = 0.0; - protected int numDaysForOscillatingPeriod; protected int[] genePositionsPointingToTickers; ! ! protected double[] portfolioValues;//the values for each unit, invested ! //at the beginning of the optimization period, ! //throughout the period itself protected bool genePositionPointsToATicker(int genePosition) --- 40,80 ---- /// </summary> [Serializable] ! public class GenomeManagerWeightedPVO : GenomeManagerPVO { protected int[] genePositionsPointingToTickers; ! ! public GenomeManagerWeightedPVO(DataTable setOfInitialTickers, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! int numberOfTickersInPortfolio, ! int numDaysForOscillatingPeriod, ! int minLevelForOversoldThreshold, ! int maxLevelForOversoldThreshold, ! int minLevelForOverboughtThreshold, ! int maxLevelForOverboughtThreshold, ! int divisorForThresholdComputation, ! bool symmetricalThresholds, ! bool overboughtMoreThanOversoldForFixedPortfolio, ! PortfolioType inSamplePortfolioType, ! string benchmark) ! : ! base(setOfInitialTickers, ! firstQuoteDate, lastQuoteDate, ! numberOfTickersInPortfolio, ! numDaysForOscillatingPeriod, ! minLevelForOversoldThreshold, ! maxLevelForOversoldThreshold, ! minLevelForOverboughtThreshold, ! maxLevelForOverboughtThreshold, ! divisorForThresholdComputation, ! symmetricalThresholds, ! overboughtMoreThanOversoldForFixedPortfolio, ! inSamplePortfolioType, ! benchmark) ! ! ! { ! this.genePositionsPointingToTickers = new int[(this.GenomeSize - this.numOfGenesDedicatedToThresholds)/2]; ! } protected bool genePositionPointsToATicker(int genePosition) *************** *** 93,153 **** return this.genePositionsPointingToTickers; } ! ! private void genomeManagerWeightedPVO_checkParametersForThresholdsComputation() ! { ! if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold || ! this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold || ! this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold || ! this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold || ! (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold || ! this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) || ! (this.overboughtMoreThanOversoldForFixedPortfolio && ! (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) / ! (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) ) || ! this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) / ! (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) ) ! ! throw new Exception("Bad parameters for thresholds computation!"); ! } ! ! public GenomeManagerWeightedPVO(DataTable setOfInitialTickers, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! int numberOfTickersInPortfolio, ! int numDaysForOscillatingPeriod, ! int minLevelForOversoldThreshold, ! int maxLevelForOversoldThreshold, ! int minLevelForOverboughtThreshold, ! int maxLevelForOverboughtThreshold, ! int divisorForThresholdComputation, ! bool symmetricalThresholds, ! bool overboughtMoreThanOversoldForFixedPortfolio, ! PortfolioType inSamplePortfolioType) ! : ! base(setOfInitialTickers, ! firstQuoteDate, ! lastQuoteDate, ! numberOfTickersInPortfolio, ! 0.0, ! inSamplePortfolioType) ! ! ! { ! this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod; ! this.divisorForThresholdComputation = divisorForThresholdComputation; ! this.minLevelForOversoldThreshold = minLevelForOversoldThreshold; ! this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold; ! this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold; ! this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold; ! this.symmetricalThresholds = symmetricalThresholds; ! this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio; ! if(this.symmetricalThresholds)//value for thresholds must be unique ! numOfGenesDedicatedToThresholds = 1; ! else ! numOfGenesDedicatedToThresholds = 2; ! this.genePositionsPointingToTickers = new int[(this.GenomeSize - this.numOfGenesDedicatedToThresholds)/2]; ! this.genomeManagerWeightedPVO_checkParametersForThresholdsComputation(); ! this.retrieveData(); ! } public override int GenomeSize --- 112,116 ---- return this.genePositionsPointingToTickers; } ! public override int GenomeSize *************** *** 233,337 **** #endregion - protected override float[] getArrayOfRatesOfReturn(string ticker) - { - float[] returnValue = null; - Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate); - tickerQuotes.RecalculateCloseToCloseRatios(); - returnValue = QuantProject.ADT.ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, - Quotes.AdjustedCloseToCloseRatio); - for(int i = 0; i<returnValue.Length; i++) - returnValue[i] = returnValue[i] - 1.0f; - - this.numberOfExaminedReturns = returnValue.Length; - - return returnValue; - } - //starting from this.numDaysForOscillatingPeriod day, - //it computes for each day ahead the value of the - //portfolio opened numDaysForOscillatingPeriod days ago - private double[] getPortfolioMovingValues() - { - double[] returnValue = new double[this.portfolioRatesOfReturn.Length]; - double[] valuesInOscillatingPeriod = new double[this.numDaysForOscillatingPeriod]; - valuesInOscillatingPeriod[0] = 1.0; - for(int i = this.numDaysForOscillatingPeriod; i<returnValue.Length; i++) - { - for(int j = 1; - j < this.numDaysForOscillatingPeriod; j++) - valuesInOscillatingPeriod[j] = - valuesInOscillatingPeriod[j - 1] + - valuesInOscillatingPeriod[j - 1] * - this.portfolioRatesOfReturn[i-this.numDaysForOscillatingPeriod+j]; - returnValue[i-1] = valuesInOscillatingPeriod[this.numDaysForOscillatingPeriod -1]; - } - return returnValue; - } - - private void getFitnessValue_setCurrentThresholds(Genome genome) - { - this.currentOversoldThreshold = Convert.ToDouble(genome.Genes()[0])/ - Convert.ToDouble(this.divisorForThresholdComputation); - - if(this.symmetricalThresholds) - this.currentOverboughtThreshold = this.currentOversoldThreshold; - else - this.currentOverboughtThreshold = Convert.ToDouble(genome.Genes()[1])/ - Convert.ToDouble(this.divisorForThresholdComputation); - } - - private int getFitnessValue_getDaysOnTheMarket(double[] equityLine) - { - int returnValue = 0; - foreach(double equityReturn in equityLine) - if(equityReturn != 0.0) - //the applied strategy gets positions on the market - returnValue++; - - return returnValue; - } - - //fitness is a sharpe-ratio based indicator for the equity line resulting - //from applying the strategy - public override double GetFitnessValue(Genome genome) - { - double returnValue = -1.0; - this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes()); - this.portfolioValues = this.getPortfolioMovingValues(); - this.getFitnessValue_setCurrentThresholds(genome); - double[] equityLine = this.getFitnessValue_getEquityLineRates(); - double fitness = Double.NaN; - if(this.getFitnessValue_getDaysOnTheMarket(equityLine) > - equityLine.Length / 2) - //if the genome represents a portfolio that stays on the market - //at least half of the theoretical days - fitness = AdvancedFunctions.GetSharpeRatio(equityLine); - if(!double.IsNaN(fitness) && !double.IsInfinity(fitness)) - returnValue = fitness; - - return returnValue; - } - - private double[] getFitnessValue_getEquityLineRates() - { - double[] returnValue = new double[this.PortfolioRatesOfReturn.Length]; - double coefficient = 0.0; - for(int i = 0; i<this.PortfolioRatesOfReturn.Length - 1;i++) - { - if(this.portfolioValues[i] >= - 1.0 + this.currentOverboughtThreshold) - //portfolio is overbought - coefficient = -1.0; - else if(this.portfolioValues[i] <= - 1.0 - this.currentOversoldThreshold && - this.portfolioValues[i] > 0.0) - //portfolio is oversold - coefficient = 1.0; - - returnValue[i + 1] = - coefficient * this.PortfolioRatesOfReturn[i + 1]; - } - return returnValue; - } - protected override double getTickerWeight(int[] genes, int tickerPositionInGenes) { --- 196,199 ---- *************** *** 358,378 **** } - protected override double[] getPortfolioRatesOfReturn(int[] genes) - { - double[] returnValue = new double[this.numberOfExaminedReturns]; - for(int i = 0; i<returnValue.Length; i++) - { - for(int genePosition=this.numOfGenesDedicatedToThresholds; - genePosition<genes.Length; - genePosition++)//the first numOfGenesDedicatedToThresholds are for thresholds - { - if( this.genePositionPointsToATicker(genePosition) ) - returnValue[i] += - this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,genePosition,i); - } - } - return returnValue; - } - public override object Decode(Genome genome) { --- 220,223 ---- |
