[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend GenomeManagerECT.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	GenomeManagerECT.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/GenomeManagerECT.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerECT.cs	17 Sep 2006 21:48:39 -0000	1.4
--- GenomeManagerECT.cs	14 Jan 2008 23:38:36 -0000	1.5
***************
*** 24,31 ****
--- 24,37 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,158 ****
    {
      private int numDaysForReturnCalculation;
      
      public GenomeManagerECT(DataTable setOfInitialTickers,
!                                                  DateTime firstQuoteDate,
!                                                  DateTime lastQuoteDate,
!                                                  int numberOfTickersInPortfolio,
!                                                  int numDaysForReturnCalculation,
!                                                  PortfolioType portfolioType)
!                                                  :
!                                                 base(setOfInitialTickers,
!                                                 firstQuoteDate,
!                                                 lastQuoteDate,
!                                                 numberOfTickersInPortfolio,
!                                                 0.0,
!                                                 portfolioType)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.retrieveData();
      }
      
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = 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;
!     }
! 
! //delete remarks if this object inherits from
! //simple genomeManagerForEfficientPortfolio (no coefficients)
! 
! //    public override object Decode(Genome genome)
! //    {
! //    	
! //    	string[] arrayOfTickers = new string[genome.Genes().Length];
! //      int indexOfTicker;
! //      for(int index = 0; index < genome.Genes().Length; index++)
! //      {
! //        indexOfTicker = (int)genome.Genes().GetValue(index);
! //        arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
! //      }
! //      GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
! //      return meaning;
! //    }
!   
! 
! 		//fitness is a sharpe-ratio based indicator for the equity line resulting
! 		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
      {
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       
!       double[] equityLine = this.getFitnessValue_getEquityLineRates();
! //      double sharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
! //                              BasicFunctions.StdDev(equityLine);
! //      double modifiedSharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
! //                                      Math.Pow(BasicFunctions.StdDev(equityLine),0.9);
! 
! //      double[] equityLineSecondHalf = new double[equityLine.Length/2];
! //      for(int i = 0; i<equityLine.Length/2; i++)
! //        equityLineSecondHalf[i] = equityLine[i+equityLine.Length/2];
! //      double sharpeRatioSecondHalf = BasicFunctions.SimpleAverage(equityLineSecondHalf)/
! //                              Math.Pow(BasicFunctions.StdDev(equityLineSecondHalf),1.2);
! //      return sharpeRatioAll;//*sharpeRatioSecondHalf; 
! //      return modifiedSharpeRatioAll;
!       //return AdvancedFunctions.GetExpectancyScore(equityLine);
!       return AdvancedFunctions.GetSharpeRatio(equityLine);
! 
      }
      
!     private double[] getFitnessValue_getEquityLineRates()
!     {
!     	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!       double K;//initial capital invested at the beginning of the period
!       for(int i = this.numDaysForReturnCalculation - 1;
!           i<this.PortfolioRatesOfReturn.Length - this.numDaysForReturnCalculation;
!           i += this.numDaysForReturnCalculation)
        {
!         K = 1.0;
!         for(int j=this.numDaysForReturnCalculation - 1;
!             j > -1; j--)
!         {
!           K = K + K * this.PortfolioRatesOfReturn[i-j];
!         }
!        
!         for(int t=1;t<this.numDaysForReturnCalculation + 1;t++)
!         {  
!           if(K < 1.0)
!             // if gain of first half period is negative 
!              returnValue[i+t] = this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0 && this.PortfolioType == PortfolioType.ShortAndLong)
!             //if gain of first half period is positive and
!             //original positions can be reversed
!              returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0 && this.PortfolioType != PortfolioType.ShortAndLong)
!             //if gain of first half period is positive and
!             //original positions can't be reversed
!              returnValue[i+t] = 0.0;//out of the market
!         }  
!            
        }
        return returnValue;
!     }
! 	
    }
- 
  }
--- 47,121 ----
    {
      private int numDaysForReturnCalculation;
+     private ReturnsManager returnsManager;
      
      public GenomeManagerECT(DataTable setOfInitialTickers,
! 	                           DateTime firstQuoteDate,
! 	                           DateTime lastQuoteDate,
! 	                           int numberOfTickersInPortfolio,
! 	                           int numDaysForReturnCalculation,
! 	                           PortfolioType portfolioType,
! 	                           string benchmark)
! 	                           :
! 	                          base(setOfInitialTickers,
! 	                          firstQuoteDate,
! 	                          lastQuoteDate,
! 	                          numberOfTickersInPortfolio,
! 	                          0.0,
! 	                          portfolioType,
! 	                         	benchmark)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.setReturnsManager();
      }
      
!     private void setReturnsManager()
      {
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstEndOfDayDateTime, 
! 																 lastEndOfDayDateTime, 
! 																 this.benchmark,
! 																 this.numDaysForReturnCalculation) ,
! 														 new HistoricalAdjustedQuoteProvider() );
      }
      
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //a the very first day the
! 			//first strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] > 0 )
!     		//portfolio is overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= 0 )
!  				//portfolio is oversold   			
!         	coefficient = 1;
!     		
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 		}
!     
!     protected override float[] getStrategyReturns()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!               							 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
    }
  }