[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample PairsTradingFitnessEvaluator.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11076/b7_Scripts/WalkForwardTesting/PairsTrading/InSample

Modified Files:
	PairsTradingFitnessEvaluator.cs 
Log Message:
- fitness for meaningless candidates is now set to -1000d (it was set to -0.4 in the previous revision)
- now the multipliers for the PearsonCorrelationCoefficient are either +1 or -1; in the previous revision, the positions' weights were used, instead

Index: PairsTradingFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/PairsTradingFitnessEvaluator.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingFitnessEvaluator.cs	13 Mar 2008 19:38:42 -0000	1.2
--- PairsTradingFitnessEvaluator.cs	20 Apr 2008 17:12:35 -0000	1.3
***************
*** 38,41 ****
--- 38,43 ----
  	public class PairsTradingFitnessEvaluator : IFitnessEvaluator
  	{
+ 		private const double fitnessForInvalidCandidate = -1000d;
+ 
  		private double maxCorrelationAllowed;
  
***************
*** 67,70 ****
--- 69,85 ----
  					"two positions!" );
  		}
+ 		/// <summary>
+ 		/// returns 1 if the weightedPosition is long, -1 if it is short. This
+ 		/// is used to compute the PearsonCorrelationCoefficient considering the
+ 		/// proper sign for returns
+ 		/// </summary>
+ 		/// <param name="weightedPosition"></param>
+ 		private double getMultiplierForReturns( WeightedPosition weightedPosition )
+ 		{
+ 			double multiplierForReturns = 1;
+ 			if ( weightedPosition.IsShort )
+ 				multiplierForReturns = -1;
+ 			return multiplierForReturns;
+ 		}
  		private double getFitnessValue(
  			WeightedPosition firstPosition , WeightedPosition secondPosition ,
***************
*** 76,81 ****
  				returnsManager.GetReturns( secondPosition.Ticker );
  			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
! 				firstPosition.Weight , firstPositionReturns ,
! 				secondPosition.Weight , secondPositionReturns );
  			return fitnessValue;
  		}
--- 91,98 ----
  				returnsManager.GetReturns( secondPosition.Ticker );
  			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
! 				this.getMultiplierForReturns( firstPosition ) , firstPositionReturns ,
! 				this.getMultiplierForReturns( secondPosition ) , secondPositionReturns );
! //			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
! //				firstPositionReturns , secondPositionReturns );
  			return fitnessValue;
  		}
***************
*** 99,103 ****
  				// the current optimization's candidate contains
  				// two genes that decode to the same tickers
! 				fitnessValue = -0.4;
  			else
  				// for the current optimization's candidate,
--- 116,120 ----
  				// the current optimization's candidate contains
  				// two genes that decode to the same tickers
! 				fitnessValue = fitnessForInvalidCandidate;
  			else
  				// for the current optimization's candidate,
***************
*** 108,112 ****
  					// the two positions are too correlated. They may represent
  					// the same instrument
! 					fitnessValue = -0.4;
  			}
  			return fitnessValue;
--- 125,129 ----
  					// the two positions are too correlated. They may represent
  					// the same instrument
! 					fitnessValue = fitnessForInvalidCandidate;
  			}
  			return fitnessValue;