[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce PairsTradingBruteForceOptimizableParametersManager.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23248/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce

Modified Files:
	PairsTradingBruteForceOptimizableParametersManager.cs 
Log Message:
AreEquivalentAsTopBestParameters() now considers equivalent two TestingPositions if their fitness is very similar.
Infact, if two TestingPositions (a,b) and (c,d) have the same fitness,
but different tickers (a!=b), probably a and b represent
the same security X (probably, X's ticker changed from a to b
or viceversa and the database contains historical quotes for
both a and b); in such a case (a,b) and (c,d) are equivalent
and the second one is to be dropped down

Index: PairsTradingBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce/PairsTradingBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingBruteForceOptimizableParametersManager.cs	30 Mar 2008 15:28:13 -0000	1.1
--- PairsTradingBruteForceOptimizableParametersManager.cs	10 Apr 2008 23:16:31 -0000	1.2
***************
*** 23,26 ****
--- 23,27 ----
  using System;
  
+ using QuantProject.ADT.Optimizing.BruteForce;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.Optimizing.BruteForce;
***************
*** 60,87 ****
  		#region AreEquivalentAsTopBestParameters
  		private void areEquivalentAsTopBestParameters_checkParameters(
! 			object meaning1 , object meaning2 )
  		{
! 			if ( !(meaning1 is TestingPositions) )
  				throw new Exception( "The first parameter is expected " +
! 					"to be a TestingPositions!" );
! 			if ( !(meaning2 is TestingPositions) )
  				throw new Exception( "The second parameter is expected " +
! 					"to be a TestingPositions!" );
  		}
  		/// Two TestingPositions are considered equivalent as TopBestPositions
  		/// (and only one is kept among them) iif they have the same tickers
  		/// (consider that if two WeightedPosition are highly correlated, the
! 		/// two opposite WeightedPosition are highly correlated too)
  		public override bool AreEquivalentAsTopBestParameters(
! 			object meaning1 , object meaning2 )
  		{
  			this.areEquivalentAsTopBestParameters_checkParameters(
! 				meaning1 , meaning2 );
! 			string hashCodeForMeaning1 =
! 				((TestingPositions)meaning1).HashCodeForTickerComposition;
! 			string hashCodeForMeaning2 =
! 				((TestingPositions)meaning2).HashCodeForTickerComposition;
  			bool areEquivalentAsTopBestParameters =
! 				( hashCodeForMeaning1 == hashCodeForMeaning2 );
  			return areEquivalentAsTopBestParameters;
  		}
--- 61,129 ----
  		#region AreEquivalentAsTopBestParameters
  		private void areEquivalentAsTopBestParameters_checkParameters(
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters1 ,
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters2 )
  		{
! 			if ( !(bruteForceOptimizableParameters1.Meaning is TestingPositions) )
  				throw new Exception( "The first parameter is expected " +
! 					"to represent a TestingPositions!" );
! 			if ( !(bruteForceOptimizableParameters2.Meaning is TestingPositions) )
  				throw new Exception( "The second parameter is expected " +
! 					"to represent a TestingPositions!" );
! 		}
! 		private bool haveTheSameTickers(
! 			TestingPositions testingPositions1 ,
! 			TestingPositions testingPositions2 )
! 		{			
! 			string hashCodeForMeaning1 =
! 				testingPositions1.HashCodeForTickerComposition;
! 			string hashCodeForMeaning2 =
! 				testingPositions2.HashCodeForTickerComposition;
! 			bool areEquivalentAsTopBestParameters =
! 				( hashCodeForMeaning1 == hashCodeForMeaning2 );
! 			return areEquivalentAsTopBestParameters;
! 		}
! 		private bool haveTheSameFitness(
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters1 ,
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters2 )
! 		{			
! 			double fitness1 = bruteForceOptimizableParameters1.Fitness;
! 			double fitness2 = bruteForceOptimizableParameters2.Fitness;
! 			double percDifference = Math.Abs(
! 				fitness1 / fitness2 - 1 );
! 			bool areEquivalentAsTopBestParameters =
! 				( percDifference < 0.00001 );
! //			if ( areEquivalentAsTopBestParameters )
! //			{
! //				string forBreakpoint = "";
! //				forBreakpoint = forBreakpoint + "a";
! //			}
! 			return areEquivalentAsTopBestParameters;
  		}
  		/// Two TestingPositions are considered equivalent as TopBestPositions
  		/// (and only one is kept among them) iif they have the same tickers
  		/// (consider that if two WeightedPosition are highly correlated, the
! 		/// two opposite WeightedPosition are highly correlated too) or
! 		/// if they have the same fitness (in this second case, probably
! 		/// two tickers represent the same security and thus are equivalent)
  		public override bool AreEquivalentAsTopBestParameters(
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters1 ,
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters2 )
  		{
  			this.areEquivalentAsTopBestParameters_checkParameters(
! 				bruteForceOptimizableParameters1 , bruteForceOptimizableParameters2 );
! 
! 			// if two TestingPositions (a,b) and (c,d) have the same fitness,
! 			// but different tickers (a!=b), probably a and b represent
! 			// the same security X (probably, X's ticker changed from a to b
! 			// or viceversa and the database contains historical quotes for
! 			// both a and b); in such a case (a,b) and (c,d) are equivalent
! 			// and the second one is to be dropped down
  			bool areEquivalentAsTopBestParameters =
! 				this.haveTheSameTickers(
! 				((TestingPositions)bruteForceOptimizableParameters1.Meaning ) ,
! 				((TestingPositions)bruteForceOptimizableParameters2.Meaning) ) ||
! 				this.haveTheSameFitness(
! 				bruteForceOptimizableParameters1 ,
! 				bruteForceOptimizableParameters2 );
  			return areEquivalentAsTopBestParameters;
  		}