[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic FixedLengthTwoPhasesGeneticChooser.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv334/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic

Modified Files:
	FixedLengthTwoPhasesGeneticChooser.cs 
Log Message:
This class now extends the QuantProject.Business.Strategies.InSample.GeneticChooser class

Index: FixedLengthTwoPhasesGeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic/FixedLengthTwoPhasesGeneticChooser.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** FixedLengthTwoPhasesGeneticChooser.cs	1 Apr 2008 21:30:11 -0000	1.6
--- FixedLengthTwoPhasesGeneticChooser.cs	16 Aug 2008 19:35:08 -0000	1.7
***************
*** 33,36 ****
--- 33,37 ----
  using QuantProject.Business.Strategies.Optimizing.Decoding;
  using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
+ using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
  using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
***************
*** 41,80 ****
  	/// In sample analyzer for the walk forward fixed length two phases strategy
  	/// </summary>
! 	public class FixedLengthTwoPhasesGeneticChooser : IInSampleChooser
  	{
- 		public event NewProgressEventHandler NewProgress;
- 		public event NewMessageEventHandler NewMessage;
  
- 		private int numberOfPortfolioPositions;
- 		private int inSampleDays;
- 		private Benchmark benchmark;
- 		private IDecoderForWeightedPositions decoderForWeightedPositions;
- 		private IFitnessEvaluator fitnessEvaluator;
- 		private IHistoricalQuoteProvider historicalQuoteProvider;
- 		private double crossoverRate;
- 		private double mutationRate;
- 		private double elitismRate;
- 		private int populationSizeForGeneticOptimizer;
- 		private int generationNumberForGeneticOptimizer;
- 		private int seedForRandomGenerator;
- 
- 		private GeneticOptimizer geneticOptimizer;
- 
- 
- 		public string Description
- 		{
- 			get
- 			{
- 				string description = "IsChsr_genetic_" +
- 					"longOnly_" +
- 					"gnrtnSz_" + this.populationSizeForGeneticOptimizer +
- 					"_gnrtnNmbr_" + this.generationNumberForGeneticOptimizer +
- 					this.decoderForWeightedPositions.Description;
- 				return description;
- 			}
- 		}
  		public FixedLengthTwoPhasesGeneticChooser(
! 			int numberOfPortfolioPositions , int inSampleDays , Benchmark benchmark ,
! 			IDecoderForWeightedPositions decoderForWeightedPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
  			IHistoricalQuoteProvider historicalQuoteProvider ,
--- 42,53 ----
  	/// In sample analyzer for the walk forward fixed length two phases strategy
  	/// </summary>
! 	public class FixedLengthTwoPhasesGeneticChooser : GeneticChooser
  	{
  
  		public FixedLengthTwoPhasesGeneticChooser(
! 			int numberOfPortfolioPositions ,
! 			int numberOfBestTestingPositionsToBeReturned ,
! 			Benchmark benchmark ,
! 			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
  			IHistoricalQuoteProvider historicalQuoteProvider ,
***************
*** 82,223 ****
  			int populationSizeForGeneticOptimizer ,
  			int generationNumberForGeneticOptimizer ,
! 			int seedForRandomGenerator )
  		{
- 			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
- 			this.inSampleDays =	inSampleDays;
- 			this.benchmark = benchmark;
- 			this.decoderForWeightedPositions = decoderForWeightedPositions;
- 			this.fitnessEvaluator =	fitnessEvaluator;
- 			this.historicalQuoteProvider = historicalQuoteProvider;
- 			this.crossoverRate = crossoverRate;
- 			this.mutationRate = mutationRate;
- 			this.elitismRate = elitismRate;
- 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
- 			this.generationNumberForGeneticOptimizer =
- 				generationNumberForGeneticOptimizer;
- 			this.seedForRandomGenerator = seedForRandomGenerator;
  		}
  
! 		#region AnalyzeInSample
! 		private void analyzeInSample_checkParameters(
  			EligibleTickers eligibleTickers ,
  			ReturnsManager returnsManager )
  		{
! 			if ( eligibleTickers.Count <	this.numberOfPortfolioPositions )
! 				throw new Exception( "Eligilbe tickers for driving positions contains " +
! 					"only " + eligibleTickers.Count +
! 					" elements, while the number of portfolio positions is " +
! 					this.numberOfPortfolioPositions );
! 		}
! 		#region newGenerationEventHandler
! 		private void sendNewProgress( NewGenerationEventArgs e )
! 		{
! 			if ( this.NewProgress != null )
! 				this.NewProgress( this ,
! 					new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
! 		}
! 		#region sendNewMessage
! 		private string getProgressMessage(
! 			int generationCounter , int generationNumber )
! 		{
! 			string progressMessage =
! 				generationCounter.ToString() + " / " +
! 				generationNumber.ToString() +
! 				" - " +
! 				DateTime.Now.ToString();
! 			return progressMessage;
! 		}
! 		private void sendNewMessage( NewGenerationEventArgs e )
! 		{
! 			string message = this.getProgressMessage(
! 				e.GenerationCounter , e.GenerationNumber );
! 			NewMessageEventArgs newMessageEventArgs =
! 				new NewMessageEventArgs( message );
! 			if( this.NewMessage != null )
! 				this.NewMessage( this , newMessageEventArgs );
! 		}
! 		#endregion sendNewMessage
! 		private void newGenerationEventHandler(
! 			object sender , NewGenerationEventArgs e )
! 		{
! //			// comment out this line if no debug is done
! //			WFLagGenerationDebugger wFLagGenerationDebugger =
! //				new WFLagGenerationDebugger(
! //				e.Generation ,
! //				this.timeWhenChosePositionsIsRequested.DateTime ,
! 			//				this.NumberDaysForInSampleOptimization ,
! 			//				this.benchmark );
! 			//			wFLagGenerationDebugger.Debug();
! 			this.sendNewProgress( e );
! 			this.sendNewMessage( e );
! 		}
! 		#endregion newGenerationEventHandler
! 		private void checkIfBestGenomeIsDecodable(
! 			IGenomeManager genomeManager , Genome genome )
! 		{
! 			object genomeMeaning = genomeManager.Decode( genome );
! 			if ( !(genomeMeaning is WeightedPositions) )
! 				throw new Exception( "The genome is not a WeightedPositions. " +
! 					"It should happen only if the genome is undecodable. This " +
! 					"should never happen for the best genome." );
  		}
! 
! 		private WeightedPositions getBestWeightedPositionsInSample(
! 			EligibleTickers eligibleTickers ,
! 			ReturnsManager returnsManager
! 			)
  		{
! 			FixedLengthTwoPhasesGenomeManager	genomeManager = 
! 				new FixedLengthTwoPhasesGenomeManager(
! 				this.numberOfPortfolioPositions ,
! 				eligibleTickers ,
! 				returnsManager ,
! 				this.decoderForWeightedPositions ,
! 				this.fitnessEvaluator ,
! 				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
! 
! 			this.geneticOptimizer = new GeneticOptimizer(
! 				this.crossoverRate ,
! 				this.mutationRate ,
! 				this.elitismRate ,
! 				this.populationSizeForGeneticOptimizer ,
! 				this.generationNumberForGeneticOptimizer ,
! 				genomeManager ,
! 				this.seedForRandomGenerator );
! 
! 			this.geneticOptimizer.NewGeneration +=
! 				new NewGenerationEventHandler( this.newGenerationEventHandler );
! 
! 			this.geneticOptimizer.Run( false );
! 
! //			this.generation = geneticOptimizer.BestGenome.Generation;
! 
! 			this.checkIfBestGenomeIsDecodable(
! 				genomeManager , this.geneticOptimizer.BestGenome );
! 
! 			WeightedPositions bestWeightedPositionsInSample =
! 				(WeightedPositions)genomeManager.Decode( this.geneticOptimizer.BestGenome );
! 			
! 			return bestWeightedPositionsInSample;
  		}
  
- 		/// <summary>
- 		/// Returns the best WeightedPositions with respect to the in sample data
- 		/// </summary>
- 		/// <param name="eligibleTickers"></param>
- 		/// <param name="currentOutOfSampleEndOfDayDateTime"></param>
- 		/// <returns></returns>
- 		public object AnalyzeInSample(
- 			EligibleTickers eligibleTickers ,
- 			ReturnsManager returnsManager )
- 		{
- 			this.analyzeInSample_checkParameters( eligibleTickers ,
- 				returnsManager );
- 			WeightedPositions bestWeightedPositionsInSample =
- 				this.getBestWeightedPositionsInSample( eligibleTickers ,
- 				returnsManager );
- 			return bestWeightedPositionsInSample;
- 		}
- 		#endregion AnalyzeInSample
  	}
  }
--- 55,99 ----
  			int populationSizeForGeneticOptimizer ,
  			int generationNumberForGeneticOptimizer ,
! 			int seedForRandomGenerator ) :
! 			base(
! 				numberOfPortfolioPositions ,
! 				numberOfBestTestingPositionsToBeReturned ,
! 				benchmark ,
! 				decoderForTestingPositions ,
! 				fitnessEvaluator ,
! 				historicalQuoteProvider ,
! 				crossoverRate ,
! 				mutationRate ,
! 				elitismRate ,
! 				populationSizeForGeneticOptimizer ,
! 				generationNumberForGeneticOptimizer ,
! 				seedForRandomGenerator )
  		{
  		}
  
! 
! 
! 		
! 		protected override IGenomeManager getGenomeManager(
  			EligibleTickers eligibleTickers ,
  			ReturnsManager returnsManager )
  		{
! 			GenomeManagerWithDuplicateGenes	genomeManagerWithDuplicateGenes =
! 				new GenomeManagerWithDuplicateGenes(
! 					this.numberOfPortfolioPositions ,
! 					eligibleTickers ,
! 					returnsManager ,
! 					this.decoderForTestingPositions ,
! 					this.fitnessEvaluator ,
! 					GenomeManagerType.ShortAndLong ,
! 					this.seedForRandomGenerator );
! 			return genomeManagerWithDuplicateGenes;
  		}
! 		
! 		protected override string getHashCodeForGenome( Genome genome )
  		{
! 			return ((FLTPTestingPositions)(genome.Meaning)).HashCodeForTickerComposition;
  		}
  
  	}
  }