[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators PVOFitnessEvaluator.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6639/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators

Added Files:
	PVOFitnessEvaluator.cs 
Log Message:
Added a new implementation for the PVO strategy (now common objects
recently added at business layer by Glauco are used).
At the moment, these files perform a PVO strategy using close to close returns,
on a multiday - minimum 1 day - basis.
Take profit and stop loss levels can be set.


--- NEW FILE: PVOFitnessEvaluator.cs ---
/*
QuantProject - Quantitative Finance Library

PVOFitnessEvaluator.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.FitnessEvaluators
{
	/// <summary>
	/// Evaluates (in sample) the fitness for a given TestingPositions
	/// </summary>
	public class PVOFitnessEvaluator : IFitnessEvaluator 
	{
		private IEquityEvaluator strategyEquityEvaluator;
		
		public string Description
		{
			get
			{
				string description = "FitnessEvaluatedWith_" +
								this.strategyEquityEvaluator.GetType().ToString();
				return description;
			}
		}
		
		public PVOFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
		{
			this.strategyEquityEvaluator = strategyEquityEvaluator;
		}
		
		#region GetFitnessValue
		//returns true if the strategy gets effective positions on
		//the market for at least half the market days
		private bool getFitnessValue_getFitnessValueActually_strategyGetsSufficientPositions(float[] strategyReturns)
		{
			int daysOnTheMarket = 0;
			foreach(float strategyReturn in strategyReturns)
				if(strategyReturn != 0)
					//the applied strategy gets positions on the market
					daysOnTheMarket++;

			return daysOnTheMarket >= strategyReturns.Length / 2;
		}

		private float getFitnessValue_getFitnessValueActually(
			TestingPositions testingPositions, ReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			PVOPositions pvoPositions = (PVOPositions)testingPositions;
			float oversoldThreshold = Convert.ToSingle(pvoPositions.OversoldThreshold);
			float overboughtThreshold = Convert.ToSingle(pvoPositions.OverboughtThreshold);
			float[] plainWeightedPositionsReturns = 
				testingPositions.WeightedPositions.GetReturns(returnsManager);
			float[] strategyReturns = new float[ plainWeightedPositionsReturns.Length ];
			strategyReturns[0] = 0; //a the very first day the
			//strategy return is equal to 0 because no position
			//has been entered
			float coefficient = 0;
			for(int i = 0; i < strategyReturns.Length - 1; i++)
			{
				if( plainWeightedPositionsReturns[i] >= overboughtThreshold )
					//portfolio has been overbought
					coefficient = -1;
				else if( plainWeightedPositionsReturns[i] <= - oversoldThreshold )
					//portfolio has been oversold   			
					coefficient = 1;
				//else the previous coeff is kept or, if no threshold has been
				//reached, then no positions will be opened (coefficient = 0) 
				strategyReturns[i + 1] = coefficient * plainWeightedPositionsReturns[i + 1];
			}
			if(this.getFitnessValue_getFitnessValueActually_strategyGetsSufficientPositions(strategyReturns))
				fitnessValue = this.strategyEquityEvaluator.GetReturnsEvaluation(strategyReturns);
			return fitnessValue;
		}
		
		public double GetFitnessValue(object meaning , ReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			TestingPositions testingPositions = (TestingPositions)meaning;
			if(testingPositions.WeightedPositions != null)
				fitnessValue = this.getFitnessValue_getFitnessValueActually( testingPositions, returnsManager );
			return fitnessValue;
		}
		#endregion
	}
}