[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseLinearCorrelation.cs, 1.2, 1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12311/b3_Data/Selectors

Modified Files:
	SelectorByCloseToCloseLinearCorrelation.cs 
Log Message:
Minor changes to a class the will be deleted soon (correlations should be treated in
business project)

Index: SelectorByCloseToCloseLinearCorrelation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseLinearCorrelation.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SelectorByCloseToCloseLinearCorrelation.cs	28 Dec 2005 23:27:56 -0000	1.2
--- SelectorByCloseToCloseLinearCorrelation.cs	14 Jan 2008 23:18:47 -0000	1.3
***************
*** 25,28 ****
--- 25,30 ----
  using System.Data;
  using System.Windows.Forms;
+ 
+ using QuantProject.ADT.Statistics;
  using QuantProject.DataAccess.Tables;
  using QuantProject.Data.DataTables;
***************
*** 35,39 ****
     public class SelectorByCloseToCloseLinearCorrelation : TickerSelector , ITickerSelector
    {
-         
      
      public SelectorByCloseToCloseLinearCorrelation(DataTable setOfTickersToBeSelected, 
--- 37,40 ----
***************
*** 48,58 ****
                                           maxNumOfReturnedTickers)
      {
!      
      }
!      public SelectorByCloseToCloseLinearCorrelation(string groupID, 
                                  bool orderInASCmode,
                                  DateTime firstQuoteDate,
                                  DateTime lastQuoteDate,
!                                 long maxNumOfReturnedTickers):
                                    base(groupID, 
                                        orderInASCmode,
--- 49,59 ----
                                           maxNumOfReturnedTickers)
      {
! 
      }
!     public SelectorByCloseToCloseLinearCorrelation(string groupID, 
                                  bool orderInASCmode,
                                  DateTime firstQuoteDate,
                                  DateTime lastQuoteDate,
! 																long maxNumOfReturnedTickers):
                                    base(groupID, 
                                        orderInASCmode,
***************
*** 60,66 ****
                                        lastQuoteDate,
                                        maxNumOfReturnedTickers)
!      {
!      
!      }
  
  
--- 61,67 ----
                                        lastQuoteDate,
                                        maxNumOfReturnedTickers)
!     {
! 
!     }
  
  
***************
*** 68,77 ****
      {
        if(this.setOfTickersToBeSelected == null)
!         return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.groupID,
                                                      this.firstQuoteDate,
                                                      this.lastQuoteDate); 
        else
!         return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.setOfTickersToBeSelected,
                                                      this.firstQuoteDate,
--- 69,78 ----
      {
        if(this.setOfTickersToBeSelected == null)
!         return this.getTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.groupID,
                                                      this.firstQuoteDate,
                                                      this.lastQuoteDate); 
        else
!         return this.getTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.setOfTickersToBeSelected,
                                                      this.firstQuoteDate,
***************
*** 79,82 ****
--- 80,170 ----
      }
      
+ 		 private void getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersAdjCloses(out float[][]
+ 			 tickersReturns, DataTable setOfTickers, DateTime firstQuoteDate, DateTime lastQuoteDate) 
+                                                               
+ 		 {
+ 			 tickersReturns = new float[setOfTickers.Rows.Count][];
+ 			 for(int i = 0; i<setOfTickers.Rows.Count; i++)
+ 			 {
+ 				 DataTable tickerQuoteTable = 
+ 					 QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes((string)setOfTickers.Rows[i][0],
+ 					 firstQuoteDate,
+ 					 lastQuoteDate);
+ 				 tickersReturns[i] =
+ 					 ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuoteTable,"quAdjustedClose"); 
+ 
+ 			 }
+ 		 }
+ 
+ 		 /// <summary>
+ 		 /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
+ 		 /// for any possible couple of tickers contained in the given table, for the specified interval
+ 		 /// </summary>
+ 		 private DataTable getTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
+ 			 DataTable setOfTickers,
+ 			 DateTime firstQuoteDate,
+ 			 DateTime lastQuoteDate)
+                                                               
+ 		 {
+ 			 if(!setOfTickers.Columns.Contains("CorrelatedTicker"))
+ 				 setOfTickers.Columns.Add("CorrelatedTicker", System.Type.GetType("System.String"));
+ 			 if(!setOfTickers.Columns.Contains("PearsonCorrelationCoefficient"))
+ 				 setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double"));
+ 			 int initialNumberOfRows = setOfTickers.Rows.Count;
+ 			 float[][] tickersAdjCloses;
+ 			 getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersAdjCloses(out tickersAdjCloses, setOfTickers, firstQuoteDate, lastQuoteDate);
+ 			 for(int j=0; j!= initialNumberOfRows; j++)
+ 			 {
+ 				 string firstTicker = (string)setOfTickers.Rows[j][0];
+ 				 for(int i = j+1; i!= initialNumberOfRows; i++)
+ 				 {
+ 					 string secondTicker = (string)setOfTickers.Rows[i][0];
+ 					 DataRow rowToAdd = setOfTickers.NewRow();
+ 					 rowToAdd[0] = firstTicker;
+ 					 rowToAdd["PearsonCorrelationCoefficient"] = -2.0;
+ 					 //unassigned value for this column
+ 					 rowToAdd["CorrelatedTicker"] = secondTicker;
+ 					 try
+ 					 {
+ 						 rowToAdd["PearsonCorrelationCoefficient"] = 
+ 							 QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
+ 							 tickersAdjCloses[j],tickersAdjCloses[i]);
+ 					 }
+ 					 catch(Exception ex)
+ 					 {
+ 						 ex = ex;
+ 					 }
+ 					 finally
+ 					 {
+ 						 setOfTickers.Rows.Add(rowToAdd);
+ 					 }
+ 				 }
+ 			 }
+ 			 ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1);
+ 			 //delete initial rows that don't contain correlated ticker and Pearson coeff.
+ 			 return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient>-2.0",
+ 				 "PearsonCorrelationCoefficient", orderByASC);
+ 		 }
+ 
+ 		 /// <summary>
+ 		 /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
+ 		 /// for any possible couple of tickers contained in the given group of tickers,
+ 		 /// for the specified interval
+ 		 /// </summary>
+ 		 private DataTable getTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
+ 			 string groupID,
+ 			 DateTime firstQuoteDate,
+ 			 DateTime lastQuoteDate)
+                                                               
+ 		 {
+       
+ 			 DataTable tickersOfGroup = 
+ 				 new QuantProject.Data.DataTables.Tickers_tickerGroups(groupID);
+ 			 return this.getTickersByAdjCloseToClosePearsonCorrelationCoefficient(orderByASC,
+ 				 tickersOfGroup,
+ 				 firstQuoteDate,
+ 				 lastQuoteDate);
+ 		 }
+ 
      
      public void SelectAllTickers()