[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/OptimizableParametersManagers WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs, 1.1, 1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/OptimizableParametersManagers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14110/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/OptimizableParametersManagers

Modified Files:
	WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs 
Log Message:
CombinationBasedBruteForceOptimizableParametersManager is now inherited (and code is simplified accordingly)

Index: WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/OptimizableParametersManagers/WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs	7 Oct 2007 12:51:55 -0000	1.1
--- WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs	30 Mar 2008 16:00:08 -0000	1.2
***************
*** 44,48 ****
  	public class
  		WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving
! 		: IBruteForceOptimizableParametersManager
  	{
  //		private double[] weightsForDrivingPositions;
--- 44,48 ----
  	public class
  		WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving
! 		: CombinationBasedBruteForceOptimizableParametersManager
  	{
  //		private double[] weightsForDrivingPositions;
***************
*** 51,86 ****
  		private WFLagFitnessEvaluator wFLagFitnessEvaluator;
  
! 		private Combination drivingCombination;
  
  //		private double[] standardDeviationForDrivingPositions;
  //		private float[][] drivingPositionsCloseToCloseReturns;
  
! 		public object Current
! 		{
! 			get
! 			{
! 				int[] currentValues = new int[ this.drivingCombination.Length ];
! 				for ( int i = 0 ; i < this.drivingCombination.Length ; i ++ )
! 					currentValues[ i ] = this.drivingCombination.GetValue( i );
! //				for ( int i = this.drivingCombination.Length ;
! //					i < this.drivingCombination.Length +
! //					this.portfolioCombination.Length ; i ++ )
! //					currentValues[ i ] =
! //						this.portfolioCombination.GetValue( i - this.drivingCombination.Length );
! 				BruteForceOptimizableParameters bruteForceOptimizableParameters =
! 					new BruteForceOptimizableParameters( currentValues ,
! 					this );
! 				return bruteForceOptimizableParameters;
! 			}
! 		}
! 
! 
! 		public int TotalIterations
! 		{
! 			get
! 			{
! 				return Convert.ToInt32( this.drivingCombination.TotalNumberOfCombinations );
! 			}
! 		}
  
  		public WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving(
--- 51,86 ----
  		private WFLagFitnessEvaluator wFLagFitnessEvaluator;
  
! //		private Combination drivingCombination;
  
  //		private double[] standardDeviationForDrivingPositions;
  //		private float[][] drivingPositionsCloseToCloseReturns;
  
! //		public object Current
! //		{
! //			get
! //			{
! //				int[] currentValues = new int[ this.drivingCombination.Length ];
! //				for ( int i = 0 ; i < this.drivingCombination.Length ; i ++ )
! //					currentValues[ i ] = this.drivingCombination.GetValue( i );
! ////				for ( int i = this.drivingCombination.Length ;
! ////					i < this.drivingCombination.Length +
! ////					this.portfolioCombination.Length ; i ++ )
! ////					currentValues[ i ] =
! ////						this.portfolioCombination.GetValue( i - this.drivingCombination.Length );
! //				BruteForceOptimizableParameters bruteForceOptimizableParameters =
! //					new BruteForceOptimizableParameters( currentValues ,
! //					this );
! //				return bruteForceOptimizableParameters;
! //			}
! //		}
! //
! //
! //		public int TotalIterations
! //		{
! //			get
! //			{
! //				return Convert.ToInt32( this.drivingCombination.TotalNumberOfCombinations );
! //			}
! //		}
  
  		public WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving(
***************
*** 93,97 ****
  			IWFLagDecoder wFLagDecoder ,
  			IEquityEvaluator equityEvaluator ,
! 			ReturnsManager returnsManager )
  		{
  			this.eligibleTickersForDrivingPositions =
--- 93,101 ----
  			IWFLagDecoder wFLagDecoder ,
  			IEquityEvaluator equityEvaluator ,
! 			ReturnsManager returnsManager ) :
! 			base( new Combination(
! 			- eligibleTickersForDrivingPositions.Rows.Count ,
! 			eligibleTickersForDrivingPositions.Rows.Count - 1 ,
! 			numberOfDrivingPositions ) )
  		{
  			this.eligibleTickersForDrivingPositions =
***************
*** 101,248 ****
  				new WFLagFitnessEvaluator( equityEvaluator ,
  				returnsManager );
! 			this.drivingCombination = new Combination(
! 				- eligibleTickersForDrivingPositions.Rows.Count ,
! 				eligibleTickersForDrivingPositions.Rows.Count - 1 ,
! 				numberOfDrivingPositions );
  		}
! //		protected override double[]
! //			getWeightRelatedParameterValuesForDrivingPositions(
! //			int[] optimizableParameters )
! //		{
! //			double[] weightsForPortfolioPositions =
! //				this.getWeightsForPortfolioPositions();
! //			string[] tickersForPortfolioPositions =
! //				new string[ 2 ] { this.portfolioLongTicker , this.portfolioShortTicker };
! //			WeightedPositions weightedPositions =
! //				new WeightedPositions( weightsForPortfolioPositions ,
! //				tickersForPortfolioPositions );
! //			return weightedPositions;
! //		}
! //		#region getWeightRelatedParameterValuesForDrivingPositions
! //		private ArrayList getArrayListOfEligibleTickersForDrivingPositions()
! //		{
! //			ArrayList tickers = new ArrayList();
! //			foreach ( DataRow eligibleDrivingTicker in
! //				this.eligibleTickersForDrivingWeightedPositions.Rows )
! //				tickers.Add( eligibleDrivingTicker[ 0 ] );
! //			return tickers;
! //		}
! //		private void setDrivingPositionsCloseToCloseReturns()
! //		{
! //			ArrayList tickers =
! //				this.getArrayListOfEligibleTickersForDrivingPositions();
! //			this.drivingPositionsCloseToCloseReturns =
! //				this.wFLagCandidates.GetTickersReturns( tickers );
! //		}
! //		private void setStandardDeviationForDrivingPositionsActually(
! //			int drivingPositionIndex )
! //		{
! //			this.standardDeviationForDrivingPositions[ drivingPositionIndex ] =
! //				BasicFunctions.GetStdDev(
! //				this.drivingPositionsCloseToCloseReturns[ drivingPositionIndex ] );
! //		}
! //		private void setStandardDeviationForDrivingPositionsActually()
! //		{
! //			this.setDrivingPositionsCloseToCloseReturns();
! //			this.standardDeviationForDrivingPositions =
! //				new double[ this.eligibleTickersForDrivingWeightedPositions.Rows.Count ];
! //			for ( int i = 0 ;
! //				i < this.eligibleTickersForDrivingWeightedPositions.Rows.Count ;
! //				i++ )
! //				this.setStandardDeviationForDrivingPositionsActually( i );
! //		}
! //		private void setStandardDeviationForDrivingPositions()
! //		{
! //			if ( this.standardDeviationForDrivingPositions == null )
! //				// this.standardDeviationForDrivingPositions has not been set yet
! //				this.setStandardDeviationForDrivingPositionsActually();
! //		}
! //		private double getStandardDeviation( int[] parameterValues ,
! //			int parameterPosition )
! //		{
! //			int tickerIndex =	this.getTickerIndexForDrivingPosition(
! //				parameterValues , parameterPosition );
! //			return this.standardDeviationForDrivingPositions[ tickerIndex ];
! //		}
! //		private double getMaxStandardDeviationForCurrentDrivingPositions(
! //			int[] optimizableParameters )
! //		{
! //			double maxStandardDeviationForCurrentDrivingPositions = 0;
! //			for ( int parameterPosition = 0 ; parameterPosition < optimizableParameters.Length ;
! //				parameterPosition++ )
! //			{
! //				double drivingPositionStandardDeviation =
! //					this.getStandardDeviation( optimizableParameters , parameterPosition );
! //				if ( drivingPositionStandardDeviation > maxStandardDeviationForCurrentDrivingPositions )
! //					maxStandardDeviationForCurrentDrivingPositions = drivingPositionStandardDeviation;
! //			}
! //			return maxStandardDeviationForCurrentDrivingPositions;
! //		}
! //		private double getNonNormalizedWeightForDrivingPosition(
! //			int[] parameterValues ,
! //			int parameterPosition ,
! //			double maxStandardDeviationForCurrentDrivingPositions )
! //		{
! //			double drivingPositionStandardDeviation =
! //				this.getStandardDeviation( parameterValues , parameterPosition );
! //			double nonNormalizedWeightForDrivingPosition =
! //				maxStandardDeviationForCurrentDrivingPositions /
! //				drivingPositionStandardDeviation;
! //			if ( parameterValues[ parameterPosition ] < 0 )
! //				nonNormalizedWeightForDrivingPosition =
! //					-nonNormalizedWeightForDrivingPosition;
! //			return nonNormalizedWeightForDrivingPosition;
! //		}
! //		private double[] getNonNormalizedWeightsForDrivingPositionsUsingStandardDeviations(
! //			int[] parameterValues ,
! //			double maxStandardDeviationForCurrentDrivingPositions )
! //		{
! //			double[] nonNormalizedWeightsForDrivingPositions =
! //				new double[ parameterValues.Length ];
! //			for ( int parameterPosition = 0 ; parameterPosition < parameterValues.Length ;
! //				parameterPosition++ )
! //			{
! //				nonNormalizedWeightsForDrivingPositions[ parameterPosition ] =
! //					this.getNonNormalizedWeightForDrivingPosition(
! //					parameterValues , parameterPosition ,
! //					maxStandardDeviationForCurrentDrivingPositions );
! //			}
! //			return nonNormalizedWeightsForDrivingPositions;
! //		}
! //		private double[] getNonNormalizedWeightsForDrivingPositions(
! //			int[] parameterValues )
! //		{
! //			double maxStandardDeviationForCurrentDrivingPositions =
! //				this.getMaxStandardDeviationForCurrentDrivingPositions( parameterValues );
! //			return getNonNormalizedWeightsForDrivingPositionsUsingStandardDeviations(
! //				parameterValues , maxStandardDeviationForCurrentDrivingPositions );
! //		}
! //		private double[] getWeightsForDrivingPositions(
! //			int[] parameterValues )
  //		{
! //			double[] nonNormalizedWeightsForDrivingPositions =
! //				this.getNonNormalizedWeightsForDrivingPositions( parameterValues );
! //			return
! //				WeightedPositions.GetNormalizedWeights(
! //				nonNormalizedWeightsForDrivingPositions );
  //		}
! //		protected override double[]
! //			getWeightRelatedParameterValuesForDrivingPositions(
! //			int[] parameterValues )
  //		{
! //			this.setStandardDeviationForDrivingPositions();
! //			return this.getWeightsForDrivingPositions( parameterValues );
  //		}
- //		#endregion
- 		public bool MoveNext()
- 		{
- 			return this.drivingCombination.MoveNext();
- 		}
- 		public void Reset()
- 		{
- 			this.drivingCombination.Reset();
- 		}
  
! 		public object Decode( BruteForceOptimizableParameters
  			bruteForceOptimizableParameters )
  		{
--- 105,124 ----
  				new WFLagFitnessEvaluator( equityEvaluator ,
  				returnsManager );
! //			this.drivingCombination = new Combination(
! //				- eligibleTickersForDrivingPositions.Rows.Count ,
! //				eligibleTickersForDrivingPositions.Rows.Count - 1 ,
! //				numberOfDrivingPositions );
  		}
! 
! //		public bool MoveNext()
  //		{
! //			return this.drivingCombination.MoveNext();
  //		}
! //		public void Reset()
  //		{
! //			this.drivingCombination.Reset();
  //		}
  
! 		public override object Decode( BruteForceOptimizableParameters
  			bruteForceOptimizableParameters )
  		{
***************
*** 250,254 ****
  				bruteForceOptimizableParameters.GetValues() );
  		}
! 		public double GetFitnessValue(
  			BruteForceOptimizableParameters bruteForceOptimizableParameters )
  		{
--- 126,130 ----
  				bruteForceOptimizableParameters.GetValues() );
  		}
! 		public override double GetFitnessValue(
  			BruteForceOptimizableParameters bruteForceOptimizableParameters )
  		{