[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositio

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18958/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.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: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	28 Oct 2007 22:35:28 -0000	1.9
--- WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	29 Sep 2008 21:21:41 -0000	1.10
***************
*** 55,59 ****
  		protected GeneticOptimizer geneticOptimizer;
  		protected WFLagWeightedPositions wFLagChosenPositions;
! 		private EndOfDayDateTime timeWhenChosePositionsIsRequested;

  //		// first in sample quote date for driving positions
--- 55,59 ----
  		protected GeneticOptimizer geneticOptimizer;
  		protected WFLagWeightedPositions wFLagChosenPositions;
! 		private DateTime timeWhenChosePositionsIsRequested;

  //		// first in sample quote date for driving positions
***************
*** 138,154 ****
  		}
  		#region setChosenPositions_usingTheGeneticOptimizer
! 		private 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;
--- 138,156 ----
  		}
  		#region setChosenPositions_usingTheGeneticOptimizer
! 		private 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;
***************
*** 162,166 ****
  				new WFLagGenerationDebugger(
  				e.Generation ,
! 				this.timeWhenChosePositionsIsRequested.DateTime ,
  				this.NumberDaysForInSampleOptimization ,
  				this.benchmark );
--- 164,168 ----
  				new WFLagGenerationDebugger(
  				e.Generation ,
! 				this.timeWhenChosePositionsIsRequested ,
  				this.NumberDaysForInSampleOptimization ,
  				this.benchmark );
***************
*** 190,194 ****
  		private void setChosenPositions_FromDecodableGenome(
  			IGenomeManager genomeManager , Genome genome ,
! 			EndOfDayDateTime now )
  		{
  			this.wFLagChosenPositions =
--- 192,196 ----
  		private void setChosenPositions_FromDecodableGenome(
  			IGenomeManager genomeManager , Genome genome ,
! 			DateTime now )
  		{
  			this.wFLagChosenPositions =
***************
*** 209,213 ****
  		public virtual void setChosenPositions_usingTheGeneticOptimizer(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			EndOfDayDateTime now )
  		{
  			ReturnIntervals returnIntervals =
--- 211,215 ----
  		public virtual void setChosenPositions_usingTheGeneticOptimizer(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			DateTime now )
  		{
  			ReturnIntervals returnIntervals =
***************
*** 247,253 ****
  		private void chosePositions_checkParameters(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			EndOfDayDateTime now )
  		{
! 			if ( now.EndOfDaySpecificTime != EndOfDaySpecificTime.OneHourAfterMarketClose )
  				throw new Exception( "The 'now' parameter must be one hour after market " +
  					"close. It is not." );
--- 249,256 ----
  		private void chosePositions_checkParameters(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			DateTime now )
  		{
! 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( now ) )
! //			if ( now.EndOfDaySpecificTime != EndOfDaySpecificTime.OneHourAfterMarketClose )
  				throw new Exception( "The 'now' parameter must be one hour after market " +
  					"close. It is not." );
***************
*** 269,273 ****
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			EndOfDayDateTime now )
  		{
  			this.timeWhenChosePositionsIsRequested = now;
--- 272,276 ----
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			DateTime now )
  		{
  			this.timeWhenChosePositionsIsRequested = now;

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	16 Sep 2007 22:17:18 -0000	1.6
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	29 Sep 2008 21:21:41 -0000	1.7
***************
*** 127,135 ****
  //				11 );
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! 			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.closeToCloseReturnsManager =
  				new ReturnsManager( this.returnIntervalsForOptimization ,
! 				historicalQuoteProvider );

  			this.wFLagMeaningForUndecodableGenomes =
--- 127,135 ----
  //				11 );
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.closeToCloseReturnsManager =
  				new ReturnsManager( this.returnIntervalsForOptimization ,
! 				historicalMarketValueProvider );

  			this.wFLagMeaningForUndecodableGenomes =