[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-serv17302/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs FixedLengthTwoPhasesStrategy.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: FixedLengthTwoPhasesStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** FixedLengthTwoPhasesStrategy.cs	16 Aug 2008 19:35:59 -0000	1.8
--- FixedLengthTwoPhasesStrategy.cs	29 Sep 2008 21:19:08 -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;
***************
*** 44,47 ****
--- 44,48 ----
  	/// first phase, then goes with the opposite for the second phase
  	/// </summary>
+ 	[Serializable]
  	public class FixedLengthTwoPhasesStrategy :
  		SymmetricEndOfDayStrategyForBacktester
***************
*** 66,70 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			RankBasedOutOfSampleChooser outOfSampleChooser
  		) :
--- 67,71 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
  			RankBasedOutOfSampleChooser outOfSampleChooser
  		) :
***************
*** 76,80 ****
  				eligiblesSelector ,
  				inSampleChooser ,
! 				historicalQuoteProvider )
  		{
  			this.outOfSampleChooser = outOfSampleChooser;
--- 77,81 ----
  				eligiblesSelector ,
  				inSampleChooser ,
! 				historicalMarketValueProvider )
  		{
  			this.outOfSampleChooser = outOfSampleChooser;
***************
*** 97,102 ****
  			bool arePositionsToBeClosed = (
  				( this.Account.Portfolio.Count > 0 ) &&
! 				( this.now().IsEqualTo(
! 					this.lastIntervalAppended().Begin ) ) );
  			return arePositionsToBeClosed;
  		}
--- 98,103 ----
  			bool arePositionsToBeClosed = (
  				( this.Account.Portfolio.Count > 0 ) &&
! 				( this.now() ==
! 				 this.lastIntervalAppended().Begin ) );
  			return arePositionsToBeClosed;
  		}
***************
*** 114,119 ****
  		{
  			bool beginsTheLastInterval =
! 				( this.now().IsEqualTo(
! 					this.lastIntervalAppended().Begin ) );
  			bool lastIntervalIsALongPeriod =
  				this.lastAppendedIntervalIsALongPeriod();
--- 115,120 ----
  		{
  			bool beginsTheLastInterval =
! 				( this.now() ==
! 				 this.lastIntervalAppended().Begin );
  			bool lastIntervalIsALongPeriod =
  				this.lastAppendedIntervalIsALongPeriod();
***************
*** 135,139 ****
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
! 				this.bestTestingPositionsInSample );
  			return weightedPositions;
  		}
--- 136,140 ----
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
! 					this.bestTestingPositionsInSample );
  			return weightedPositions;
  		}
***************
*** 309,318 ****
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
! ////				this.wFLagWeightedPositionsChooser.WFLagChosenPositions ,
! ////				this.wFLagWeightedPositionsChooser.GenerationWhenChosenPositionsWereFound ,
! ////				this.now().DateTime );
! ////			this.NewChosenPositions(
! ////				this , new WFLagNewChosenPositionsEventArgs(
! ////				wFLagLogItem ) );
  //		}
  //		public void OneHourAfterMarketCloseEventHandler(
--- 310,319 ----
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
! 		////				this.wFLagWeightedPositionsChooser.WFLagChosenPositions ,
! 		////				this.wFLagWeightedPositionsChooser.GenerationWhenChosenPositionsWereFound ,
! 		////				this.now().DateTime );
! 		////			this.NewChosenPositions(
! 		////				this , new WFLagNewChosenPositionsEventArgs(
! 		////				wFLagLogItem ) );
  //		}
  //		public void OneHourAfterMarketCloseEventHandler(

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** FixedLengthTwoPhasesMain.cs	18 Aug 2008 21:13:20 -0000	1.10
--- FixedLengthTwoPhasesMain.cs	29 Sep 2008 21:19:08 -0000	1.11
***************
*** 54,60 ****
  		private Benchmark benchmark;
  		private int numberOfPortfolioPositions;
! 		private IHistoricalQuoteProvider historicalQuoteProviderForInSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForTheBacktesterAccount;

  		public FixedLengthTwoPhasesMain()
--- 54,60 ----
  		private Benchmark benchmark;
  		private int numberOfPortfolioPositions;
! 		private HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForTheBacktesterAccount;

  		public FixedLengthTwoPhasesMain()
***************
*** 62,68 ****
  			this.benchmark = new Benchmark( "CCE" );
  			this.numberOfPortfolioPositions = 2;
! 			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  		}
--- 62,68 ----
  			this.benchmark = new Benchmark( "CCE" );
  			this.numberOfPortfolioPositions = 2;
! 			this.historicalMarketValueProviderForInSample =
  				new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  		}
***************
*** 126,131 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 10000;
! 			int generationNumberForGeneticOptimizer = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 126,131 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 2000;
! 			int generationNumberForGeneticOptimizer = 3;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 136,140 ****
  					benchmark ,
  					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalQuoteProviderForInSample ,
  					crossoverRate , mutationRate , elitismRate ,
  					populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
--- 136,140 ----
  					benchmark ,
  					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalMarketValueProviderForInSample ,
  					crossoverRate , mutationRate , elitismRate ,
  					populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
***************
*** 155,167 ****
  		}

! 		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 =
--- 155,167 ----
  		}

! 		protected override IStrategyForBacktester getStrategyForBacktester()
  		{
  //			int numberOfPortfolioPositions = 2;
  			int numDaysForInSampleOptimization = 180;
  			// uncomment the following line for a faster script
! //			numDaysForInSampleOptimization = 8;
  			numDaysForInSampleOptimization = 45;

! 			int numDaysBetweenEachOtpimization = 7;

  			IIntervalsSelector intervalsSelector =
***************
*** 179,183 ****
  					benchmark , intervalsSelector ,
  					eligiblesSelector , inSampleChooser ,
! 					this.historicalQuoteProviderForInSample ,
  					outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
--- 179,183 ----
  					benchmark , intervalsSelector ,
  					eligiblesSelector , inSampleChooser ,
! 					this.historicalMarketValueProviderForInSample ,
  					outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
***************
*** 206,217 ****

  			DateTime firstDateTime = new DateTime( 2006 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2008 , 4 , 1 );

! 			double maxRunningHours = 8;

  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.endOfDayStrategy ,
! 					this.historicalQuoteProviderForTheBacktesterAccount ,
  					accountProvider ,
  					firstDateTime ,	lastDateTime ,
--- 206,217 ----

  			DateTime firstDateTime = new DateTime( 2006 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2007 , 12 , 31 );

! 			double maxRunningHours = 0.01;

  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
! 					this.historicalMarketValueProviderForTheBacktesterAccount ,
  					accountProvider ,
  					firstDateTime ,	lastDateTime ,

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

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.cs, 1.10, 1.11 FixedLengthTwoPhasesStrategy.cs, 1.8, 1.9