[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce PairsTradingBruteForceOptimizableParametersManager.cs, 1.3, 1.4

[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-serv16765/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce

Modified Files:
	PairsTradingBruteForceOptimizableParametersManager.cs 
Log Message:
AreEquivalentAsTopBestParameters() has been changed in such a way that two candidates are considered to be equivalent if they have the same tickers and a very similar fitness.
This condition will be true for (a,b) and (-a,-b).
It will also be true for (a,-b) and (-a,b).

Index: PairsTradingBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce/PairsTradingBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PairsTradingBruteForceOptimizableParametersManager.cs	13 Apr 2008 16:58:09 -0000	1.3
--- PairsTradingBruteForceOptimizableParametersManager.cs	20 Apr 2008 17:25:56 -0000	1.4
***************
*** 91,95 ****
  			double percDifference = Math.Abs(
  				fitness1 / fitness2 - 1 );
! 			bool areEquivalentAsTopBestParameters =
  				( percDifference < 0.00001 );
  //			if ( areEquivalentAsTopBestParameters )
--- 91,95 ----
  			double percDifference = Math.Abs(
  				fitness1 / fitness2 - 1 );
! 			bool haveTheSameFitness =
  				( percDifference < 0.00001 );
  //			if ( areEquivalentAsTopBestParameters )
***************
*** 99,103 ****
  //			}
  //			return areEquivalentAsTopBestParameters;
! 			return false;
  		}
  		/// Two TestingPositions are considered equivalent as TopBestPositions
--- 99,103 ----
  //			}
  //			return areEquivalentAsTopBestParameters;
! 			return haveTheSameFitness;
  		}
  		/// Two TestingPositions are considered equivalent as TopBestPositions
***************
*** 114,127 ****
  				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 ,
--- 114,126 ----
  				bruteForceOptimizableParameters1 , bruteForceOptimizableParameters2 );
  
! 			// the following is a short way to say that, with respect to the
! 			// pairs trading strategy, (a,b) is equivalent to
! 			// (-a,-b), and that (a,-b) is equivalent to (-a,b)
! 			// We use fitness similarity instead of checking for all possible long/short
! 			// combinations
  			bool areEquivalentAsTopBestParameters =
  				this.haveTheSameTickers(
  				((TestingPositions)bruteForceOptimizableParameters1.Meaning ) ,
! 				((TestingPositions)bruteForceOptimizableParameters2.Meaning) ) &&
  				this.haveTheSameFitness(
  				bruteForceOptimizableParameters1 ,