[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19721/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerOTC.cs 
	EndOfDayTimerHandlerOTCTest.cs RunEfficientOTCPortfolio.cs 
Log Message:
Minor changes for the old files implementing the OTC strategy

Index: EndOfDayTimerHandlerOTCTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerOTCTest.cs	7 Jan 2006 10:35:39 -0000	1.1
--- EndOfDayTimerHandlerOTCTest.cs	14 Aug 2008 23:29:40 -0000	1.2
***************
*** 53,57 ****
                                  PortfolioType portfolioType, int numDaysBetweenEachOptimization):
    															base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForLiquidity, account,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
--- 53,57 ----
                                  PortfolioType portfolioType, int numDaysBetweenEachOptimization):
    															base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, 10, numDaysForLiquidity, account,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** EndOfDayTimerHandler.cs	12 Mar 2008 22:09:05 -0000	1.27
--- EndOfDayTimerHandler.cs	14 Aug 2008 23:29:40 -0000	1.28
***************
*** 91,95 ****
      }
      private void endOfDayTimerHandler_initializeBasic(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
--- 91,96 ----
      }
      private void endOfDayTimerHandler_initializeBasic(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen,
!                                 int numDaysForOptimizationPeriod,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
***************
*** 108,112 ****
      }
      public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
--- 109,114 ----
      }
      public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen,
!                                 int numDaysForOptimizationPeriod, Account account,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
***************
*** 115,119 ****
      {
        this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
--- 117,122 ----
      {
        this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen,
!                                 numDaysForOptimizationPeriod,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
***************
*** 124,128 ****
      }
  		public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
--- 127,132 ----
      }
  		public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen,
!                                 int numDaysForOptimizationPeriod,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
***************
*** 131,135 ****
      {
        this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
--- 135,140 ----
      {
        this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen,
!                                 numDaysForOptimizationPeriod,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
***************
*** 211,214 ****
--- 216,237 ----
  				halfPeriodDays, portfolioType));
  		}
+ 				
+ 		protected void addGenomesToBestGenomes( Genome[] genomes,
+           DateTime firstOptimizationDate,
+ 					DateTime secondOptimizationDate,
+           int eligibleTickers, int halfPeriodDays,
+ 					PortfolioType portfolioType,
+ 					int createdGenerations)
+     {
+ 			foreach(Genome genome in genomes)
+ 				if(genome != null)
+ 					this.addGenomeToBestGenomes(genome,
+ 	          firstOptimizationDate,
+ 						secondOptimizationDate,
+ 	          eligibleTickers, halfPeriodDays,
+ 						portfolioType,
+ 						createdGenerations);
+     }
+ 		
  		protected void addGenomeToBestGenomes(Genome genome,
  			DateTime firstOptimizationDate,

Index: EndOfDayTimerHandlerOTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerOTC.cs	14 Jan 2008 23:32:31 -0000	1.7
--- EndOfDayTimerHandlerOTC.cs	14 Aug 2008 23:29:40 -0000	1.8
***************
*** 46,52 ****
    {
      protected int seedForRandomGenerator;
! 		    
      public EndOfDayTimerHandlerOTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
--- 46,55 ----
    {
      protected int seedForRandomGenerator;
! 		private int numberOfGenomesToSaveForEachOptimization;
!     
      public EndOfDayTimerHandlerOTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, 
!                                 int numberOfGenomesToSaveForEachOptimization, 
!                                 int numDaysForOptimizationPeriod, Account account,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
***************
*** 61,64 ****
--- 64,68 ----
      {
      	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
+     	this.numberOfGenomesToSaveForEachOptimization = numberOfGenomesToSaveForEachOptimization;
      	this.numDaysElapsedSinceLastOptimization = 0;
      	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
***************
*** 106,122 ****
        	                                  currentDate,
        	                                  this.numberOfEligibleTickers,
!       	                                  35);
        DataTable tickersByPrice = byPrice.GetTableOfSelectedTickers();
        
!       SelectorByOpenCloseCorrelationToBenchmark tickersLessCorrelatedToBenchmark = 
!       	new SelectorByOpenCloseCorrelationToBenchmark(tickersByPrice,
!       	                                              "^GSPC",true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!       	                                              tickersByPrice.Rows.Count/2);
        
! 	    return tickersLessCorrelatedToBenchmark.GetTableOfSelectedTickers();
  
      }
!     
      protected virtual void setTickers(DateTime currentDate,
                                       	bool setGenomeCounter)
--- 110,134 ----
        	                                  currentDate,
        	                                  this.numberOfEligibleTickers,
!       	                                  25);
        DataTable tickersByPrice = byPrice.GetTableOfSelectedTickers();
        
!       SelectorByAverageOpenToClosePerformance tickersByOTCPerformance = 
!       	new SelectorByAverageOpenToClosePerformance(tickersByPrice,
!       	                                            false, currentDate.AddDays(-15),
!       	                                 						currentDate, 0.05, 
!       	                                 						this.numberOfEligibleTickers);
!      
!       return tickersByOTCPerformance.GetTableOfSelectedTickers();
        
! //      SelectorByOpenCloseCorrelationToBenchmark tickersLessCorrelatedToBenchmark = 
! //      	new SelectorByOpenCloseCorrelationToBenchmark(tickersByOTCPerformance.GetTableOfSelectedTickers(),
! //      	                                              "^GSPC",true,
! //      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                              tickersByPrice.Rows.Count/2);
! //      
! //	    return tickersLessCorrelatedToBenchmark.GetTableOfSelectedTickers();
  
      }
!         
      protected virtual void setTickers(DateTime currentDate,
                                       	bool setGenomeCounter)
***************
*** 153,164 ****
          GO.MutationRate = 0.10;
          GO.Run(false);
!         this.addGenomeToBestGenomes(
!           GO.BestGenome,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!           currentDate,
!           setOfTickersToBeOptimized.Rows.Count,
!           -1,
!          	this.portfolioType,
!           GO.GenerationCounter);
          this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
  					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
--- 165,199 ----
          GO.MutationRate = 0.10;
          GO.Run(false);
!         int populationSize = GO.PopulationSize;
!         Genome[] genomesForLog =
!         	new Genome[this.numberOfGenomesToSaveForEachOptimization];
!         int numOfGenomesAdded = 0;
!         double fitnessOfPreviousCombination = 0.0;
! 		 		for(int i = 0;
! 					numOfGenomesAdded < this.numberOfGenomesToSaveForEachOptimization &&
! 					i < populationSize - 1;
! 					i++)
! 		  	{
! 		  		if(  i == 0 ||
! 		  	     	( ((Genome)GO.CurrentGeneration[populationSize - i - 1]).Fitness <
! 		  	     	fitnessOfPreviousCombination )  )
! 		  	//it is the best genome or the current genome is different from - and
! 		  	//so it has to be strictly less of - the previous scanned genome
! 		  		{
! 			  		fitnessOfPreviousCombination =
! 					  		((Genome)GO.CurrentGeneration[populationSize - i - 1]).Fitness;
! 			  		genomesForLog[numOfGenomesAdded] = 
! 				  		(Genome)GO.CurrentGeneration[populationSize - i - 1];
! 			  		numOfGenomesAdded++;
!         	}
!         }
!         this.addGenomesToBestGenomes(
! 						        genomesForLog,
! 						        currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 						        currentDate,
! 						        setOfTickersToBeOptimized.Rows.Count,
! 						        -1,
! 						       	this.portfolioType,
! 						        GO.GenerationCounter);
          this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
  					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );

Index: RunEfficientOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunEfficientOTCPortfolio.cs	29 Aug 2007 10:04:27 -0000	1.3
--- RunEfficientOTCPortfolio.cs	14 Aug 2008 23:29:40 -0000	1.4
***************
*** 102,105 ****
--- 102,106 ----
          this.numberOfEligibleTickers,
          this.numberOfTickersToBeChosen,
+         10,
          this.numDaysForOptimizationPeriod,
          this.account,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs, 1.27, 1.28 EndOfDayTimerHandlerOTC.cs, 1.7, 1.8 EndOfDayTimerHandlerOTCTest.cs, 1.1, 1.2 RunEfficientOTCPortfolio.cs, 1.3, 1.4