[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators PVOFitnessEvaluator.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20386/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators

Modified Files:
	PVOFitnessEvaluator.cs 
Log Message:
GetFitnessValue method has been updated (it is now more similar to what should happen out of sample)

Index: PVOFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators/PVOFitnessEvaluator.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOFitnessEvaluator.cs	9 Mar 2008 22:49:24 -0000	1.1
--- PVOFitnessEvaluator.cs	30 Aug 2009 21:42:33 -0000	1.2
***************
*** 35,41 ****
  	/// Evaluates (in sample) the fitness for a given TestingPositions
  	/// </summary>
! 	public class PVOFitnessEvaluator : IFitnessEvaluator 
  	{
  		private IEquityEvaluator strategyEquityEvaluator;
  		
  		public string Description
--- 35,44 ----
  	/// Evaluates (in sample) the fitness for a given TestingPositions
  	/// </summary>
! 	[Serializable]
! 	public class PVOFitnessEvaluator : IFitnessEvaluator
  	{
  		private IEquityEvaluator strategyEquityEvaluator;
+ 		private float takeProfit;
+ 		private float stopLoss;
  		
  		public string Description
***************
*** 49,60 ****
  		}
  		
! 		public PVOFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
  		{
  			this.strategyEquityEvaluator = strategyEquityEvaluator;
  		}
  		
  		#region GetFitnessValue
  		//returns true if the strategy gets effective positions on
! 		//the market for at least half the market days
  		private bool getFitnessValue_getFitnessValueActually_strategyGetsSufficientPositions(float[] strategyReturns)
  		{
--- 52,66 ----
  		}
  		
! 		public PVOFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator,
! 		                           double takeProfit, double stopLoss)
  		{
  			this.strategyEquityEvaluator = strategyEquityEvaluator;
+ 			this.takeProfit = Convert.ToSingle(takeProfit);
+ 			this.stopLoss = Convert.ToSingle(stopLoss);
  		}
  		
  		#region GetFitnessValue
  		//returns true if the strategy gets effective positions on
! 		//the market for at least a quarter of the market days
  		private bool getFitnessValue_getFitnessValueActually_strategyGetsSufficientPositions(float[] strategyReturns)
  		{
***************
*** 68,71 ****
--- 74,92 ----
  		}
  
+ 		private bool getFitnessValue_getFitnessValueActually_itIsTimeToExit(
+ 			float[] strategyReturns, int currentIndex, int indexOfLastSignal )
+ 		{
+ 			bool returnValue = false;
+ 			float gainOrLoss;
+ 			float equityValue = 1;
+ 			if(indexOfLastSignal >= 1 )
+ 				for(int i = 0; i + indexOfLastSignal < currentIndex; i++)
+ 					equityValue = equityValue + equityValue * strategyReturns[indexOfLastSignal + 1 + i];
+ 			gainOrLoss = equityValue - 1;
+ 			if(gainOrLoss >= this.takeProfit || gainOrLoss <= -this.stopLoss)
+ 				returnValue = true;
+ 			return returnValue;
+ 		}
+ 		
  		private float getFitnessValue_getFitnessValueActually(
  			TestingPositions testingPositions, ReturnsManager returnsManager )
***************
*** 78,95 ****
  				testingPositions.WeightedPositions.GetReturns(returnsManager);
  			float[] strategyReturns = new float[ plainWeightedPositionsReturns.Length ];
! 			strategyReturns[0] = 0; //a the very first day the
! 			//strategy return is equal to 0 because no position
  			//has been entered
  			float coefficient = 0;
! 			for(int i = 0; i < strategyReturns.Length - 1; i++)
  			{
! 				if( plainWeightedPositionsReturns[i] >= overboughtThreshold )
! 					//portfolio has been overbought
  					coefficient = -1;
! 				else if( plainWeightedPositionsReturns[i] <= - oversoldThreshold )
! 					//portfolio has been oversold   			
  					coefficient = 1;
! 				//else the previous coeff is kept or, if no threshold has been
! 				//reached, then no positions will be opened (coefficient = 0) 
  				strategyReturns[i + 1] = coefficient * plainWeightedPositionsReturns[i + 1];
  			}
--- 99,135 ----
  				testingPositions.WeightedPositions.GetReturns(returnsManager);
  			float[] strategyReturns = new float[ plainWeightedPositionsReturns.Length ];
! 			strategyReturns[0] = 0;
! 			strategyReturns[1] = 0;//at the two first days the
! 			//strategy returns is equal to 0 because no position
  			//has been entered
  			float coefficient = 0;
! 			int indexOfLastSignal = 0;// the last position where a threshold has been reached
! 			for(int i = 1; i < strategyReturns.Length - 1; i++)
  			{
! 				if( plainWeightedPositionsReturns[i] >= overboughtThreshold &&
! 				    (plainWeightedPositionsReturns[i - 1] > - oversoldThreshold && 
! 				    plainWeightedPositionsReturns[i - 1] < overboughtThreshold ) &&
! 				    indexOfLastSignal == 0 )
! 					//portfolio has been overbought and in the previous period 
! 					//it was efficient
! 				{
  					coefficient = -1;
! 					indexOfLastSignal = i;
! 				}	
! 				if( plainWeightedPositionsReturns[i] <= - oversoldThreshold && 
! 				         (plainWeightedPositionsReturns[i - 1] > - oversoldThreshold && 
! 				    			plainWeightedPositionsReturns[i - 1] < overboughtThreshold ) &&
! 				    indexOfLastSignal == 0 )
! 					//portfolio has been oversold and in the previous period 
! 					//it was efficient 			
! 				{
  					coefficient = 1;
! 					indexOfLastSignal = i;
! 				}	
! 				if ( getFitnessValue_getFitnessValueActually_itIsTimeToExit(strategyReturns, i, indexOfLastSignal) )
! 				{	
! 					coefficient = 0;
! 					indexOfLastSignal = 0;
! 				}
  				strategyReturns[i + 1] = coefficient * plainWeightedPositionsReturns[i + 1];
  			}