[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower GenomeManagerITF.cs, 1.2, 1.3

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

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

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

Index: GenomeManagerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/GenomeManagerITF.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerITF.cs	17 Sep 2006 21:48:39 -0000	1.2
--- GenomeManagerITF.cs	14 Jan 2008 23:38:36 -0000	1.3
***************
*** 28,31 ****
--- 28,36 ----
  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;
  
***************
*** 41,44 ****
--- 46,50 ----
    {
      private int numDaysForReturnCalculation;
+     private ReturnsManager returnsManager;
      
      public GenomeManagerITF(DataTable setOfInitialTickers,
***************
*** 47,51 ****
                              int numberOfTickersInPortfolio,
                              int numDaysForReturnCalculation,
!                             PortfolioType portfolioType)
                              :
              base(setOfInitialTickers,
--- 53,58 ----
                              int numberOfTickersInPortfolio,
                              int numDaysForReturnCalculation,
!                             PortfolioType portfolioType,
!                            	string benchmark)
                              :
              base(setOfInitialTickers,
***************
*** 54,126 ****
              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;
!     }
! 
! 
! 		//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();
!       //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 && this.PortfolioType == PortfolioType.ShortAndLong)
!             // if gain of first half period is negative and
!             //positions can be reversed
!             returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0)
!             //if gain of first half period is positive
!             returnValue[i+t] = this.PortfolioRatesOfReturn[i+t];
!           else if(K < 1.0 && this.PortfolioType != PortfolioType.ShortAndLong)
!             //if gain of first half period is negative and
!             //original positions can't be reversed
!             returnValue[i+t] = 0.0;//out of the market
!         }  
!            
        }
        return returnValue;
!     }
! 	
    }
- 
  }
--- 61,118 ----
              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 )
!     			coefficient = 1;//the strategy follows ...
!     		else if( plainReturns[i] <= 0 )
!  				 	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);
! 		}
    }
  }