[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18316/WeightedPositionsChoosers/BruteForce

Modified Files:
	WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.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: WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce/WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs	26 Mar 2008 00:54:54 -0000	1.3
--- WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs	29 Sep 2008 21:20:52 -0000	1.4
***************
*** 3,7 ****
  
  WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
***************
*** 93,99 ****
  				// this chooser doesn't use a genetic optimizer
  				// thus this property is meaningless for this chooser
! 				return -999;	
  			}
! 		}		
  		public string Benchmark
  		{
--- 93,99 ----
  				// this chooser doesn't use a genetic optimizer
  				// thus this property is meaningless for this chooser
! 				return -999;
  			}
! 		}
  		public string Benchmark
  		{
***************
*** 144,148 ****
  			string benchmark ,
  			IEquityEvaluator equityEvaluator
! 			)
  		{
  			this.numberOfDrivingPositions = numberOfDrivingPositions;
--- 144,148 ----
  			string benchmark ,
  			IEquityEvaluator equityEvaluator
! 		)
  		{
  			this.numberOfDrivingPositions = numberOfDrivingPositions;
***************
*** 181,188 ****
  //				( WFLagWeightedPositions )genomeManager.Decode( genome );
  //			this.setWeightedPositions( wFLagWeightedPositions );
! ////			this.drivingWeightedPositions =
! ////				wFLagWeightedPositions.DrivingWeightedPositions;
! ////			this.portfolioWeightedPositions =
! ////				wFLagWeightedPositions.PortfolioWeightedPositions;
  //		}
  //		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
--- 181,188 ----
  //				( WFLagWeightedPositions )genomeManager.Decode( genome );
  //			this.setWeightedPositions( wFLagWeightedPositions );
! 		////			this.drivingWeightedPositions =
! 		////				wFLagWeightedPositions.DrivingWeightedPositions;
! 		////			this.portfolioWeightedPositions =
! 		////				wFLagWeightedPositions.PortfolioWeightedPositions;
  //		}
  //		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
***************
*** 195,199 ****
  //				this.endOfDayTimer.GetCurrentTime().DateTime;
  //
! //			WFLagGenomeManager genomeManager = 
  //				new WFLagGenomeManager(
  //				eligibleTickers.EligibleTickers ,
--- 195,199 ----
  //				this.endOfDayTimer.GetCurrentTime().DateTime;
  //
! //			WFLagGenomeManager genomeManager =
  //				new WFLagGenomeManager(
  //				eligibleTickers.EligibleTickers ,
***************
*** 243,247 ****
  //
  //			WFLagBruteForceOptimizableParametersManager
! //				wFLagBruteForceOptimizableItemManager= 
  //				new WFLagBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
--- 243,247 ----
  //
  //			WFLagBruteForceOptimizableParametersManager
! //				wFLagBruteForceOptimizableItemManager=
  //				new WFLagBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
***************
*** 275,313 ****
  		#region setReturnsManager
  		protected virtual ReturnIntervals getReturnIntervals(
! 			EndOfDayDateTime now )
  		{
  			DateTime firstInSampleDateForDrivingPositions =
! 				now.DateTime.AddDays(
! 				-( this.NumberDaysForInSampleOptimization - 1 ) );
  			DateTime lastInSampleOptimizationDate =
! 				now.DateTime;
  			ReturnIntervals returnIntervals =
  				new CloseToCloseIntervals(
! 				new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				new EndOfDayDateTime( lastInSampleOptimizationDate ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				this.benchmark );
! 			return returnIntervals;
! 		}
! 		private void setReturnsManager( EndOfDayDateTime now )
  		{
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervals( now );
! 			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalQuoteProvider );
  		}
  		#endregion setReturnsManager
  		protected virtual void setDecoder(
! 			WFLagEligibleTickers eligibleTickersForDrivingPositions ,	EndOfDayDateTime now )
  		{
  			this.setReturnsManager( now );
  			this.wFLagDecoder = new
  				WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility(
! 				eligibleTickersForDrivingPositions , this.numberOfDrivingPositions ,
! 				this.portfolioSignedTickers , returnsManager );
  		}
  		#endregion setDecoder
--- 275,317 ----
  		#region setReturnsManager
  		protected virtual ReturnIntervals getReturnIntervals(
! 			DateTime now )
  		{
  			DateTime firstInSampleDateForDrivingPositions =
! 				now.AddDays(
! 					-( this.NumberDaysForInSampleOptimization - 1 ) );
  			DateTime lastInSampleOptimizationDate =
! 				now;
  			ReturnIntervals returnIntervals =
  				new CloseToCloseIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						firstInSampleDateForDrivingPositions ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						lastInSampleOptimizationDate ) ,
! //						new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! //						                     EndOfDaySpecificTime.MarketClose ) ,
! //						new EndOfDayDateTime( lastInSampleOptimizationDate ,
! //						                     EndOfDaySpecificTime.MarketClose ) ,
! 						this.benchmark );
! 					return returnIntervals;
! 			}
! 		private void setReturnsManager( DateTime now )
  		{
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervals( now );
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				                   historicalMarketValueProvider );
  		}
  		#endregion setReturnsManager
  		protected virtual void setDecoder(
! 			WFLagEligibleTickers eligibleTickersForDrivingPositions ,	DateTime now )
  		{
  			this.setReturnsManager( now );
  			this.wFLagDecoder = new
  				WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility(
! 					eligibleTickersForDrivingPositions , this.numberOfDrivingPositions ,
! 					this.portfolioSignedTickers , returnsManager );
  		}
  		#endregion setDecoder
***************
*** 326,337 ****
  			WFLagEligibleTickers eligibleTickers ,
  			string longPortfolioTicker , string shortPortfolioTicker ,
! 			EndOfDayDateTime now )
  		{
! 			this.firstOptimizationDate = now.DateTime.AddDays(
  				-( this.inSampleDays - 1 ) );
! 			this.lastOptimizationDate =	now.DateTime;
  
  //			WFLagFixedPortfolioBruteForceOptimizableParametersManager
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
  //				new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
--- 330,341 ----
  			WFLagEligibleTickers eligibleTickers ,
  			string longPortfolioTicker , string shortPortfolioTicker ,
! 			DateTime now )
  		{
! 			this.firstOptimizationDate = now.AddDays(
  				-( this.inSampleDays - 1 ) );
! 			this.lastOptimizationDate =	now;
  
  //			WFLagFixedPortfolioBruteForceOptimizableParametersManager
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager=
  //				new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
***************
*** 343,347 ****
  //
  //			WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
  //				new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility(
  //				eligibleTickers.EligibleTickers ,
--- 347,351 ----
  //
  //			WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager=
  //				new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility(
  //				eligibleTickers.EligibleTickers ,
***************
*** 352,366 ****
  //				this.numberOfDrivingPositions );
  			WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
  				new WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving(
! 				eligibleTickers.EligibleTickers ,
! 				longPortfolioTicker ,
! 				shortPortfolioTicker ,
! 				this.firstOptimizationDate ,
! 				this.lastOptimizationDate ,
! 				this.numberOfDrivingPositions ,
! 				this.wFLagDecoder ,
! 				this.equityEvaluator ,
! 				this.returnsManager );
  
  			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
--- 356,370 ----
  //				this.numberOfDrivingPositions );
  			WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager=
  				new WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving(
! 					eligibleTickers.EligibleTickers ,
! 					longPortfolioTicker ,
! 					shortPortfolioTicker ,
! 					this.firstOptimizationDate ,
! 					this.lastOptimizationDate ,
! 					this.numberOfDrivingPositions ,
! 					this.wFLagDecoder ,
! 					this.equityEvaluator ,
! 					this.returnsManager );
  
  			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
***************
*** 369,376 ****
  			bruteForceOptimizer.NewProgress +=
  				new NewProgressEventHandler(
! 				this.newBruteForceOptimizerProgressEventHandler );
  
  			bruteForceOptimizer.Run( 10000 ,
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations );
  
  			BruteForceOptimizableParameters bestParameters =
--- 373,380 ----
  			bruteForceOptimizer.NewProgress +=
  				new NewProgressEventHandler(
! 					this.newBruteForceOptimizerProgressEventHandler );
  
  			bruteForceOptimizer.Run( 10000 ,
! 			                        wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations );
  
  			BruteForceOptimizableParameters bestParameters =
***************
*** 379,383 ****
  			this.wFLagChosenPositions =
  				( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode(
! 				bestParameters );
  
  //			this.setWeightedPositions( wFLagWeightedPositions );
--- 383,387 ----
  			this.wFLagChosenPositions =
  				( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode(
! 					bestParameters );
  
  //			this.setWeightedPositions( wFLagWeightedPositions );
***************
*** 387,391 ****
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			EndOfDayDateTime now )
  		{
  			this.setDecoder( eligibleTickersForDrivingPositions , now );
--- 391,395 ----
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			DateTime now )
  		{
  			this.setDecoder( eligibleTickersForDrivingPositions , now );