[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/OutOfSamp
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From: Glauco S. <gla...@us...> - 2008-08-16 19:20:18
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/OutOfSampleChoosers In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12319 Added Files: RankBasedOutOfSampleChooser.cs Log Message: Given the in sample TestingPositions candidates, this class selects the positions to be opened. It selects the i_th best element, where i is given by the rank value (zero based) --- NEW FILE: RankBasedOutOfSampleChooser.cs --- /* QuantProject - Quantitative Finance Library RankBasedOutOfSampleChooser.cs Copyright (C) 2008 Glauco Siliprandi This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. */ using System; using System.Collections; using QuantProject.ADT.Collections; using QuantProject.Business.DataProviders; using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.OutOfSample; using QuantProject.Business.Strategies.ReturnsManagement; using QuantProject.Business.Strategies.ReturnsManagement.Time; using QuantProject.Business.Timing; namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases { /// <summary> /// Given the in sample TestingPositions candidates, /// this class selects the positions to be opened. /// It selects the i_th best element, where i is given /// by the rank value (zero based) /// </summary> public class RankBasedOutOfSampleChooser { private int rank; public RankBasedOutOfSampleChooser( int rank ) { this.rank = rank; } #region GetPositionsToBeOpened private void getPositionsToBeOpened_checkParameters( TestingPositions[] bestTestingPositionsInSample ) { if ( bestTestingPositionsInSample.Length <= this.rank ) throw new Exception( "The out of sample chooser was set to " + "return the best position ranked " + this.rank + " but bestTestingPositionsInSample contains " + "just " + bestTestingPositionsInSample.Length + "elements!" ); } /// <summary> /// Selects the WeghtedPositions to actually be opened /// </summary> /// <param name="bestTestingPositionsInSample">most correlated couples, /// in sample</param> /// <param name="outOfSampleReturnIntervals">return intervals for /// the current backtest</param> /// <param name="minThreshold">min requested inefficiency</param> /// <param name="maxThreshold">max allowed inefficiency</param> /// <param name="inSampleReturnsManager"></param> /// <returns></returns> public WeightedPositions GetPositionsToBeOpened( TestingPositions[] bestTestingPositionsInSample ) { this.getPositionsToBeOpened_checkParameters( bestTestingPositionsInSample ); WeightedPositions positionsToBeOpened = bestTestingPositionsInSample[ this.rank ].WeightedPositions; return positionsToBeOpened; } #endregion GetPositionsToBeOpened } } |