[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVO_CTCCorrelationChooser.cs, 1.1, 1.2 PVO_OTCCorrelationChooser.cs, 1.1, 1.2 PVOCorrelationChooser.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8692/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Modified Files:
	PVO_CTCCorrelationChooser.cs PVO_OTCCorrelationChooser.cs 
	PVOCorrelationChooser.cs 
Log Message:
Minor changes for IInSampleChoosers based on Correlation (for the PVO strategy)

Index: PVO_OTCCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_OTCCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVO_OTCCorrelationChooser.cs	12 Mar 2008 22:04:43 -0000	1.1
--- PVO_OTCCorrelationChooser.cs	8 Apr 2008 21:53:03 -0000	1.2
***************
*** 43,46 ****
--- 43,51 ----
  	public class PVO_OTCCorrelationChooser : PVOCorrelationChooser
  	{
+ 		private float minimumAbsoluteReturnValue;
+ 		private float maximumAbsoluteReturnValue;
+ 		//correlation is computed only for returns
+ 		//between minimum and maximum
+ 		
  		/// <summary>
  		/// PVO_OTCCorrelationChooser to be used for
***************
*** 51,58 ****
  		/// AnalyzeInSample method will return
  		/// </param>
! 		public PVO_OTCCorrelationChooser(int numberOfBestTestingPositionsToBeReturned) : 
! 																		 base(numberOfBestTestingPositionsToBeReturned,1)
  		{
! 			
  		}
  
--- 56,71 ----
  		/// AnalyzeInSample method will return
  		/// </param>
! 		public PVO_OTCCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 																		 double maxCorrelationValue,
! 																		 bool balancedWeightsOnVolatilityBase,
! 																		 float minimumAbsoluteReturnValue,
! 																		 float maximumAbsoluteReturnValue) :
! 																		base(numberOfBestTestingPositionsToBeReturned,
! 																		1,
! 																		maxCorrelationValue,
! 																		balancedWeightsOnVolatilityBase)
  		{
! 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
! 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
  		}
  
***************
*** 62,66 ****
  			this.correlationProvider = 
  				new OpenToCloseCorrelationProvider(eligibleTickers.Tickers, returnsManager,
! 																					 0.0001f, 0.5f);
  		}
  	}
--- 75,80 ----
  			this.correlationProvider = 
  				new OpenToCloseCorrelationProvider(eligibleTickers.Tickers, returnsManager,
! 																					 this.minimumAbsoluteReturnValue ,
! 																					 this.maximumAbsoluteReturnValue);
  		}
  	}

Index: PVOCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOCorrelationChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVOCorrelationChooser.cs	1 Apr 2008 21:34:52 -0000	1.3
--- PVOCorrelationChooser.cs	8 Apr 2008 21:53:06 -0000	1.4
***************
*** 49,52 ****
--- 49,55 ----
  		protected int numberOfBestTestingPositionsToBeReturned;
  		protected int numDaysForOscillatingPeriod;
+ 		protected double maxCorrelationValue;
+ 		//correlations greater than this value are discarded
+ 		protected bool balancedWeightsOnVolatilityBase;
  		
  		public virtual string Description
***************
*** 57,61 ****
  														 this.correlationProvider.GetType().ToString() + "\n" +
  														 "NumOfTickersReturned:\n" +
! 														 this.numberOfBestTestingPositionsToBeReturned.ToString();
  				return description;
  			}
--- 60,67 ----
  														 this.correlationProvider.GetType().ToString() + "\n" +
  														 "NumOfTickersReturned:\n" +
! 														 this.numberOfBestTestingPositionsToBeReturned.ToString() + 
! 														 "MaxCorrelationValue: " +
! 														 this.maxCorrelationValue.ToString();
! 
  				return description;
  			}
***************
*** 70,83 ****
  		/// AnalyzeInSample method will return
  		/// </param>
! 		/// /// <param name="numDaysForOscillatingPeriod">
  		/// Interval's length of the return for the PVOPosition
  		/// to be checked out of sample, in order to update the 
  		/// status for the PVOPosition itself
  		/// </param>
  		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 														     int numDaysForOscillatingPeriod)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
  
--- 76,97 ----
  		/// AnalyzeInSample method will return
  		/// </param>
! 		/// <param name="numDaysForOscillatingPeriod">
  		/// Interval's length of the return for the PVOPosition
  		/// to be checked out of sample, in order to update the 
  		/// status for the PVOPosition itself
  		/// </param>
+ 		/// <param name="maxCorrelationValue">
+ 		/// Correlations higher than given maxCorrelationValue are discarded
+ 		/// (for avoiding analyzing tickers corresponding to the same stock)
+ 		/// </param>
  		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 														     int numDaysForOscillatingPeriod,
! 																 double maxCorrelationValue,
! 															   bool balancedWeightsOnVolatilityBase)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
+ 			this.maxCorrelationValue = maxCorrelationValue;
+ 			this.balancedWeightsOnVolatilityBase = balancedWeightsOnVolatilityBase;
  		}
  
***************
*** 91,94 ****
--- 105,110 ----
  					"only " + eligibleTickers.Count +
  					" elements, while NumberOfDrivingPositions is 2");
+ 			if (this.maxCorrelationValue < 0.50 || this.maxCorrelationValue > 1.0 )
+ 				throw new OutOfRangeException( "maxCorrelationValue", 0.5, 1.0);
  		}
  								
***************
*** 96,101 ****
  			ReturnsManager returnsManager);
  		
! 		protected PVOPositions getTestingPositions(WeightedPositions weightedPositions)
  		{
  			return new PVOPositions(weightedPositions, 0.0, 0.0,
  			                        this.numDaysForOscillatingPeriod );
--- 112,126 ----
  			ReturnsManager returnsManager);
  		
! 		protected PVOPositions getTestingPositions(SignedTickers signedTickers,
! 																							 ReturnsManager returnsManager)
  		{
+ 			WeightedPositions weightedPositions;
+ 			if(this.balancedWeightsOnVolatilityBase == true)
+ 				weightedPositions = 
+ 					new WeightedPositions(WeightedPositions.GetBalancedWeights(signedTickers, returnsManager),
+ 																signedTickers.Tickers);
+ 			else//just equal weights
+ 				weightedPositions = new WeightedPositions(signedTickers);
+ 			
  			return new PVOPositions(weightedPositions, 0.0, 0.0,
  			                        this.numDaysForOscillatingPeriod );
***************
*** 111,123 ****
  			TickersPearsonCorrelation[] correlations = 
  				this.correlationProvider.GetOrderedTickersPearsonCorrelations();
! 			for(int i = 0; i<this.numberOfBestTestingPositionsToBeReturned; i++)
  			{
! 				SignedTickers signedTickers = 
! 					new SignedTickers("-"+correlations[correlations.Length - 1 -i].FirstTicker + ";" +
! 														correlations[correlations.Length - 1 -i].SecondTicker);
! 				WeightedPositions weightedPositions = new WeightedPositions(signedTickers);
! 				bestTestingPositions[i] = this.getTestingPositions(weightedPositions);
! 				((PVOPositions)bestTestingPositions[i]).FitnessInSample = 
! 					correlations[correlations.Length - 1 -i].CorrelationValue;
  			}	
  			return bestTestingPositions;
--- 136,155 ----
  			TickersPearsonCorrelation[] correlations = 
  				this.correlationProvider.GetOrderedTickersPearsonCorrelations();
! 			int addedTestingPositions = 0;
! 			int counter = 0;
! 			while(addedTestingPositions < this.numberOfBestTestingPositionsToBeReturned && 
! 						counter < correlations.Length)
  			{
! 				if(correlations[correlations.Length - 1 - counter].CorrelationValue < this.maxCorrelationValue)
! 				{
! 					SignedTickers signedTickers = 
! 					new SignedTickers("-"+correlations[correlations.Length - 1 - counter].FirstTicker + ";" +
! 														correlations[correlations.Length - 1 - counter].SecondTicker);
! 					bestTestingPositions[addedTestingPositions] = this.getTestingPositions(signedTickers, returnsManager);
! 					((PVOPositions)bestTestingPositions[addedTestingPositions]).FitnessInSample = 
! 						correlations[correlations.Length - 1 - counter].CorrelationValue;
! 					addedTestingPositions++;
! 				}
! 				counter++;
  			}	
  			return bestTestingPositions;

Index: PVO_CTCCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_CTCCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVO_CTCCorrelationChooser.cs	12 Mar 2008 22:04:42 -0000	1.1
--- PVO_CTCCorrelationChooser.cs	8 Apr 2008 21:53:03 -0000	1.2
***************
*** 52,58 ****
  		/// </param>
  		public PVO_CTCCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 		                                 int closeToCloseReturnIntervalLength) :
  																		 base(numberOfBestTestingPositionsToBeReturned,
! 			     															  closeToCloseReturnIntervalLength)
  		{
  			
--- 52,62 ----
  		/// </param>
  		public PVO_CTCCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 																		 int closeToCloseReturnIntervalLength,
! 																		 double maxCorrelationValue,
! 																		 bool balancedWeightsOnVolatilityBase) :
  																		 base(numberOfBestTestingPositionsToBeReturned,
! 			     															  closeToCloseReturnIntervalLength,
! 																					maxCorrelationValue,
! 																					balancedWeightsOnVolatilityBase)
  		{