[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLen

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21126/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs 
Log Message:
Not the class extends BasicScriptForBacktesting (all changes have been applied for this goal)

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** FixedLengthTwoPhasesMain.cs	11 May 2008 19:00:20 -0000	1.8
--- FixedLengthTwoPhasesMain.cs	16 Aug 2008 19:26:57 -0000	1.9
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 38,41 ****
--- 38,42 ----
  using QuantProject.Business.Timing;
  using QuantProject.Presentation;
+ using QuantProject.Scripts.General;
  using QuantProject.Scripts.General.Logging;
  using QuantProject.Scripts.General.Reporting;
***************
*** 49,138 ****
  	/// be done
  	/// </summary>
! 	public class FixedLengthTwoPhasesMain
  	{
  		public FixedLengthTwoPhasesMain()
  		{
  		}
! 		#region Run
! 		private MessageManager setMessageManager(
! 			IEligiblesSelector eligiblesSelector ,
! 			IInSampleChooser inSampleChooser ,
! 			IEndOfDayStrategy endOfDayStrategy ,
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
! 		{
! 			MessageManager messageManager =
! 				new MessageManager( "FixedLengthUpDown.Txt" );
! 			messageManager.Monitor( eligiblesSelector );
! 			messageManager.Monitor( inSampleChooser );
! 			//			messageManager.Monitor( endOfDayStrategy );
! 			messageManager.Monitor( endOfDayStrategyBackTester );
! 			return messageManager;
! 		}
! 
! 		// TO DO check if you can add this to QuantProject.Presentation.Reporting.WindowsForm.Report
! 		// as a public method or as a new constructor
! //		private void showReport(
! //			DateTime lastDateTimeRequestedForTheScript ,
! //			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
! //		{			
! ////			DateTime lastReportDateTime = ExtendedDateTime.Min(
! ////				lastDateTimeRequestedForTheScript ,
! ////				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
! //			DateTime lastReportDateTime =
! //				endOfDayStrategyBackTester.ActualLastDateTime;
! //			Report report = new Report(
! //				endOfDayStrategyBackTester.AccountReport ,
! //				true );
! //			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
! //				new EndOfDayDateTime( lastReportDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
! //				endOfDayStrategyBackTester.Benchmark.Ticker );
! //			report.Show();
! //		}
! 		private void saveLog( BackTestLog backTestLog ,
! 		                    string suggestedLogFileName )
  		{
! 			string defaultFolderPath =
! 				"C:\\qpReports\\";
! //			this.wFLagLog.TransactionHistory = this.account.Transactions;
! 			LogArchiver.Save( backTestLog ,
! 			              suggestedLogFileName , defaultFolderPath );
! 		}

! 		public void Run1()
! 		{
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\" );
! 			LogViewer logViewer =
! 				new LogViewer( backTestLog );
! 			logViewer.Show();
  		}
! 
! 		public void Run()
  		{
! 			string backTestId = "WFFLTP";
! 			double cashToStart = 30000;
! 
! //			int numberOfPortfolioPositions = 2;
! //			int inSampleDays = 90;
! //			string tickersGroupId = "SP500";

! 			// uncomment the following three lines for faster scripts
! 			int numberOfPortfolioPositions = 2;
! 			int inSampleDays = 30;
! 			string tickersGroupId = "fastTest";
! 
!       Benchmark benchmark = new Benchmark( "MSFT" );
! 			int maxNumberOfEligiblesToBeChosen = 100;
! 			IDecoderForWeightedPositions decoderForWeightedPositions
! 				= new DecoderForBalancedWeightedPositions();
! 			IHistoricalQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();

  			// definition for the Fitness Evaluator
!       IEquityEvaluator equityEvaluator = new SharpeRatio();
  			IFitnessEvaluator	fitnessEvaluator =
! 				new FixedLengthTwoPhasesFitnessEvaluator( equityEvaluator );

  			// parameters for the genetic optimizer
--- 50,124 ----
  	/// be done
  	/// </summary>
! 	public class FixedLengthTwoPhasesMain : BasicScriptForBacktesting
  	{
+ 		private Benchmark benchmark;
+ 		private int numberOfPortfolioPositions;
+ 		private IHistoricalQuoteProvider historicalQuoteProviderForInSample;
+ 		private IHistoricalQuoteProvider
+ 			historicalQuoteProviderForTheBacktesterAccount;
+ 
  		public FixedLengthTwoPhasesMain()
  		{
+ 			this.benchmark = new Benchmark( "CCE" );
+ 			this.numberOfPortfolioPositions = 1;
+ 			this.historicalQuoteProviderForInSample =
+ 				new HistoricalRawQuoteProvider();
+ 			this.historicalQuoteProviderForTheBacktesterAccount =
+ 				new HistoricalRawQuoteProvider();
  		}
! 		
! 		protected override IEligiblesSelector getEligiblesSelector()
  		{
! 			string tickersGroupId = "SP500";
! 			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
! 			
! 			int maxNumberOfEligibleTickersToBeChosen = 100;
! 			int maxNumberOfMostLiquidTickersToBeChosen =
! 				maxNumberOfEligibleTickersToBeChosen + 50;
! 			int numOfDaysForAverageOpenRawPriceComputation = 10;
! 			int numOfDaysForVolatilityComputation = 10;
! 			double minPrice = 20;
! 			double maxPrice = 75;

+ 			IEligiblesSelector eligiblesSelector =
+ 				new ByPriceMostLiquidAlwaysQuoted(
+ 					tickersGroupId ,
+ 					true ,
+ 					maxNumberOfEligibleTickersToBeChosen ,
+ 					numOfDaysForAverageOpenRawPriceComputation ,
+ 					minPrice ,
+ 					maxPrice );
+ 			eligiblesSelector =
+ 				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
+ 					tickersGroupId ,
+ 					true ,
+ 					maxNumberOfEligibleTickersToBeChosen ,
+ 					maxNumberOfMostLiquidTickersToBeChosen ,
+ 					numOfDaysForAverageOpenRawPriceComputation ,
+ 					numOfDaysForVolatilityComputation ,
+ 					minPrice ,
+ 					maxPrice );

+ //			uncomment the following line for a (logbased) log based in sample chooser
+ //			eligiblesSelector = new DummyEligibleSelector();

! 			return eligiblesSelector;
  		}
! 		
! 		protected override IInSampleChooser getInSampleChooser()
  		{
! 			int numberOfBestTestingPositionsToBeReturned = 20;
! 			// uncomment the following line for a faster script
! 			 numberOfBestTestingPositionsToBeReturned = 2;

! 			IDecoderForTestingPositions decoderForWeightedPositions =
! 				new DecoderForFLTPTestingPositionsWithBalancedWeights();

  			// definition for the Fitness Evaluator
! 			IEquityEvaluator equityEvaluator = new SharpeRatio();
  			IFitnessEvaluator	fitnessEvaluator =
! 				new FixedLengthTwoPhasesFitnessEvaluator(
! 					equityEvaluator );

  			// parameters for the genetic optimizer
***************
*** 140,204 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 3000;
! 			int generationNumberForGeneticOptimizer = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
  			IInSampleChooser inSampleChooser =
  				new FixedLengthTwoPhasesGeneticChooser(
! 				numberOfPortfolioPositions , inSampleDays , benchmark ,
! 				decoderForWeightedPositions , fitnessEvaluator ,
! 				historicalQuoteProvider ,
! 				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
! 				seedForRandomGenerator );

  			IIntervalsSelector intervalsSelector =
  				new FixedLengthTwoPhasesIntervalsSelector(
  					1 , 1 , benchmark );

! //			IEligiblesSelector eligiblesSelector =
! //				new MostLiquidAndLessVolatile(
! //				tickersGroupId , maxNumberOfEligiblesToBeChosen );
! 			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 				tickersGroupId ,
! 				true ,
! 				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfEligiblesToBeChosen + 50 ,
! 				10 , 10 , 20 , 75 );
! 

  			FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
  				new FixedLengthTwoPhasesStrategy(
! 					numberOfPortfolioPositions ,
! 					7 , 90 , benchmark , intervalsSelector ,
! 					eligiblesSelector , inSampleChooser , historicalQuoteProvider );

! 			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 6 );
! 			double maxRunningHours = 7;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , fixedLengthTwoPhasesStrategy ,
! 					historicalQuoteProvider , 
! 				new SimpleAccountProvider(), firstDateTime ,
! 					lastDateTime , benchmark , cashToStart , maxRunningHours );
! 
! 			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
! 			// constructor
! 			fixedLengthTwoPhasesStrategy.Account = endOfDayStrategyBackTester.Account;
! 
! 			MessageManager messageManager = this.setMessageManager(
! 				eligiblesSelector , inSampleChooser ,
! 				fixedLengthTwoPhasesStrategy , endOfDayStrategyBackTester );
! 			endOfDayStrategyBackTester.Run();
! 			BackTesterReportViewer.ShowReport( lastDateTime ,
! 				endOfDayStrategyBackTester );
! 			this.saveLog(
! 				endOfDayStrategyBackTester.Log ,
! 				endOfDayStrategyBackTester.Description );
  		}

! 		#endregion Run
  	}
  }
--- 126,242 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 10000;
! 			int generationNumberForGeneticOptimizer = 1;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
  			IInSampleChooser inSampleChooser =
  				new FixedLengthTwoPhasesGeneticChooser(
! 					this.numberOfPortfolioPositions ,
! 					numberOfBestTestingPositionsToBeReturned ,
! 					benchmark ,
! 					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalQuoteProviderForInSample ,
! 					crossoverRate , mutationRate , elitismRate ,
! 					populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
! 					seedForRandomGenerator );
! //			inSampleChooser =
! //				new PairsTradingBruteForceChooser(
! //					numberOfBestTestingPositionsToBeReturned ,
! //					decoderForWeightedPositions ,
! //					fitnessEvaluator );

+ //			uncomment the following line for a (logbased) log based in sample chooser
+ //			inSampleChooser =
+ //				new PairsTradingChooserFromSavedBackTestLog(
+ //					@"C:\qpReports\pairsTrading\2008_05_08_23_49_18_pairsTrdng_from_2005_01_01_to_2008_04_30_annlRtrn_90.70_maxDD_5.43\2008_05_08_23_49_18_pairsTrdng_from_2005_01_01_to_2008_04_30_annlRtrn_90.70_maxDD_5.43.qpL",
+ //				  numberOfBestTestingPositionsToBeReturned);
+ 
+ 			return inSampleChooser;
+ 		}
+ 		
+ 		protected override IEndOfDayStrategyForBacktester getEndOfDayStrategy()
+ 		{
+ //			int numberOfPortfolioPositions = 2;
+ 			int numDaysForInSampleOptimization = 180;
+ 			// uncomment the following line for a faster script
+ 			numDaysForInSampleOptimization = 5;
+ 			numDaysForInSampleOptimization = 45;
+ 			
+ 			int numDaysBetweenEachOtpimization = 3;
+ 			
  			IIntervalsSelector intervalsSelector =
  				new FixedLengthTwoPhasesIntervalsSelector(
  					1 , 1 , benchmark );

! 			RankBasedOutOfSampleChooser outOfSampleChooser =
! 				new RankBasedOutOfSampleChooser( 0 );

  			FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
  				new FixedLengthTwoPhasesStrategy(
! 					this.numberOfPortfolioPositions ,
! 					numDaysBetweenEachOtpimization ,
! 					numDaysForInSampleOptimization ,
! 					benchmark , intervalsSelector ,
! 					eligiblesSelector , inSampleChooser ,
! 					this.historicalQuoteProviderForInSample ,
! 					outOfSampleChooser );
! //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
! //				new PairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.99 , 0.006 , 0.99 );
! //			endOfDayStrategyForBacktester =
! //				new LongOnlyPairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.02 , 0.006 , 0.02 );
! 			return fixedLengthTwoPhasesStrategy;
! 		}
! 		
! 		protected override EndOfDayStrategyBackTester
! 			getEndOfDayStrategyBackTester()
! 		{
! 			string backTestId = "FixedLengthTwoPhases";
! 			IAccountProvider accountProvider = new SimpleAccountProvider();
! 			double cashToStart = 30000;

! 			DateTime firstDateTime = new DateTime( 2006 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2006 , 1 , 6 );
! 
! 			double maxRunningHours = 1;
! 			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.endOfDayStrategy ,
! 					this.historicalQuoteProviderForTheBacktesterAccount ,
! 					accountProvider ,
! 					firstDateTime ,	lastDateTime ,
! 					this.benchmark , cashToStart , maxRunningHours );
! 			return endOfDayStrategyBackTester;
  		}

! 		
! 		protected override string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved()
! 		{
! 			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				"C:\\qpReports\\fixedLengthTwoPhases\\";
! 			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
! 		}
! 		
! 		protected override string getCustomSmallTextForFolderName()
! 		{
! 			return "fltp";
! 		}
! 		
! 		protected override string getFullPathFileNameForMain()
! 		{
! 			string fullPathFileNameForMain =
! 				@"C:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesMain.cs";
! 			return fullPathFileNameForMain;
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLen

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.cs, 1.8, 1.9