[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/OTC/InSampleChoosers/Genet

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/OTC/InSampleChoosers/Genetic
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20871/InSampleChoosers/Genetic

Added Files:
	GenomeManagerForOTC_EndOfDay.cs OTCCTOFitnessEvaluator.cs 
	OTCEndOfDayGeneticChooser.cs OTCFitnessEvaluator.cs 
Log Message:
Added script files for the implementation of the OTC strategy 

--- NEW FILE: OTCCTOFitnessEvaluator.cs ---
/*
QuantProject - Quantitative Finance Library

OTCCTOFitnessEvaluator.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;

using QuantProject.ADT;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.TickerSelectionTesting.OTC.InSampleChoosers.Genetic
{
	/// <summary>
	/// Evaluates (in sample) the fitness for a given TestingPositions
	/// with respect to the "open to close" (OTC) strategy
	/// It evaluates the strategy:
	/// buy at open, sell at close; sell at close, buy at open
	/// </summary>
	[Serializable]
	public class OTCCTOFitnessEvaluator : IFitnessEvaluator
	{
		private IEquityEvaluator strategyEquityEvaluator;

		public string Description
		{
			get
			{
				string description = "OTCCTOFitnessEvaluatedWith_" +
								this.strategyEquityEvaluator.GetType().ToString();
				return description;
			}
		}

		public OTCCTOFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
		{
			this.strategyEquityEvaluator = strategyEquityEvaluator;
		}

		private float getFitnessValue_getFitnessValueActually(
			TestingPositions testingPositions, ReturnsManager returnsManager )
		{
			float fitnessValue;
			float[] strategyReturns = 
				testingPositions.WeightedPositions.GetReturns(returnsManager);
			for(int i = 0; i < strategyReturns.Length; i++)
				if(i%2 != 0)
				//strategyReturns[i] is a CloseToOpen return:
				//the OTCCTO strategy implies to reverse positions at night
				strategyReturns[i] = - strategyReturns[i];
			fitnessValue =
				this.strategyEquityEvaluator.GetReturnsEvaluation(strategyReturns);
			return fitnessValue;
		}

		public double GetFitnessValue(object meaning , ReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			TestingPositions testingPositions = (TestingPositions)meaning;
			if(testingPositions.WeightedPositions != null)
				fitnessValue = this.getFitnessValue_getFitnessValueActually( testingPositions, returnsManager );
			return fitnessValue;
		}
	}
}

--- NEW FILE: OTCEndOfDayGeneticChooser.cs ---
/*
QuantProject - Quantitative Finance Library

OTCEndOfDayGeneticChooser.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TickerSelectionTesting.OTC.InSampleChoosers.Genetic
{
	/// <summary>
	/// In sample genetic analyzer for the Open to Close strategy 
	/// </summary>
	[Serializable]
	public class OTCEndOfDayGeneticChooser : GeneticChooser
	{
    protected GenomeManagerType genomeManagerType;

		public OTCEndOfDayGeneticChooser(
			int numberOfPortfolioPositions , int numberOfBestTestingPositionsToBeReturned ,
			Benchmark benchmark ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			GenomeManagerType genomeManagerType ,
			IFitnessEvaluator fitnessEvaluator ,
			HistoricalMarketValueProvider historicalMarketValueProvider ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGenerator)
	    :
			base(numberOfPortfolioPositions, numberOfBestTestingPositionsToBeReturned,
			benchmark ,	decoderForTestingPositions ,
			fitnessEvaluator , historicalMarketValueProvider ,
			crossoverRate , mutationRate , elitismRate ,
			populationSizeForGeneticOptimizer ,
			generationNumberForGeneticOptimizer ,
			seedForRandomGenerator )
		{
    	this.genomeManagerType = genomeManagerType;
		}

		protected override string getHashCodeForGenome(QuantProject.ADT.Optimizing.Genetic.Genome genome)
		{
			string returnValue = ((TestingPositions)genome.Meaning).HashCodeForTickerComposition;
			return returnValue;
		}

		public override IGenomeManager GetGenomeManager(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			return new GenomeManagerForOTC_EndOfDay(eligibleTickers, this.numberOfPortfolioPositions,
			                                        this.decoderForTestingPositions, this.fitnessEvaluator,
			                                        this.genomeManagerType , returnsManager,
			                                        this.seedForRandomGenerator);
		}
	}
}

--- NEW FILE: GenomeManagerForOTC_EndOfDay.cs ---
/*
QuantProject - Quantitative Finance Library

GenomeManagerForOTC_EndOfDay.cs
Copyright (C) 2009 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;
using System.Data;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Statistics;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data;
using QuantProject.Data.DataTables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TickerSelectionTesting.OTC.InSampleChoosers.Genetic
{
	/// <summary>
	/// Implements what needed to use the Genetic Optimizer
	/// for finding the portfolio that best suites
	/// the Open To Close strategy using EOD data
	/// </summary>
	[Serializable]
  public class GenomeManagerForOTC_EndOfDay : BasicGenomeManager
  {
    public GenomeManagerForOTC_EndOfDay(EligibleTickers eligibleTickers,
                           int numberOfTickersInPortfolio,
                           IDecoderForTestingPositions decoderForTestingPositions,
                           IFitnessEvaluator fitnessEvaluator,
                           GenomeManagerType genomeManagerType,
													 ReturnsManager returnsManager,
													 int seedForRandomGenerator)
                           :
														base(eligibleTickers,
														numberOfTickersInPortfolio,
														decoderForTestingPositions,
														fitnessEvaluator,		
														genomeManagerType,
														returnsManager,
														seedForRandomGenerator)

    {
    }

  //		private bool getFitnessValue_isMixed_areSignsAllPositiveOrAllNegative(int[] signs)
//		{
//			bool returnValue = false;
//			int n = signs.Length;
//			int sumOfSigns = 0;
//			for(int i = 0; i < n ; i++)
//				sumOfSigns += signs[i];
//			int absoluteOfSumOfSigns = Math.Abs(sumOfSigns);
//			if( absoluteOfSumOfSigns != n &&
//			    absoluteOfSumOfSigns != - n )
//				returnValue = true;
//			return returnValue;
//		}
//		
//		private bool getFitnessValue_isMixed(Genome genome)
//		{
//			int[] signs = genome.Genes();
//			int n = signs.Length;
//			for(int i = 0; i < n ; i++)
//			{
//				if(signs[i] >= 0)
//					signs[i] = 1;
//				else
//					signs[i] = -1;
//			}
//			return getFitnessValue_isMixed_areSignsAllPositiveOrAllNegative(signs);
//		}	

	public override double GetFitnessValue(Genome genome)
	{
		double fitnessValue = double.MinValue;

		if( (this.genomeSize > 1 && 
		     this.genomeManagerType == GenomeManagerType.OnlyMixed &&
		     ((OTCPositions)genome.Meaning).BothLongAndShortPositions ) ||
		     this.genomeManagerType != GenomeManagerType.OnlyMixed )
		//if the genomeManager has to evaluate only mixed portfolio,
		// with at least two tickers and
		//the current genome is not made of tickers with the same sign OR
		//the genomeManager can evaluate mixed or not mixed portfolios
			fitnessValue =
				this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);

		return fitnessValue;
	}

    public override Genome[] GetChilds(Genome parent1, Genome parent2)
    {
    	return
      	GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
    }

    public override int GetNewGeneValue(Genome genome, int genePosition)
    {
     // in this implementation new gene values must be different from
      // the others already stored in the given genome
      int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
                           genome.GetMaxValueForGenes(genePosition) + 1);
      while( GenomeManipulator.IsTickerContainedInGenome(returnValue,genome) )
      //the portfolio can't have a long position and a short one for the same ticker 
      {
        returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
                           genome.GetMaxValueForGenes(genePosition) + 1);
      }
      return returnValue;
    }

    public override void Mutate(Genome genome)
    {
      // in this implementation only one gene is mutated
      // the new value has to be different from all the other genes of the genome
      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
      int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
                            genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
     	while( GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome) )
			//the portfolio can't have a long position and a short one for the same ticker
      {
        newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
                            genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
      }
      GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
    }
  }
}

--- NEW FILE: OTCFitnessEvaluator.cs ---
/*
QuantProject - Quantitative Finance Library

OTCFitnessEvaluator.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;

using QuantProject.ADT;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.TickerSelectionTesting.OTC.InSampleChoosers.Genetic
{
	/// <summary>
	/// Evaluates (in sample) the fitness for a given TestingPositions
	/// with respect to the "open to close" (OTC) strategy
	/// </summary>
	[Serializable]
	public class OTCFitnessEvaluator : IFitnessEvaluator
	{
		private IEquityEvaluator strategyEquityEvaluator;

		public string Description
		{
			get
			{
				string description = "FitnessEvaluatedWith_" +
								this.strategyEquityEvaluator.GetType().ToString();
				return description;
			}
		}

		public OTCFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
		{
			this.strategyEquityEvaluator = strategyEquityEvaluator;
		}

		private float getFitnessValue_getFitnessValueActually(
			TestingPositions testingPositions, ReturnsManager returnsManager )
		{
			float fitnessValue;
			//the returnsManager is based on OTCCTO End Of Day intervals -
			//always an even number, by definition!
			float[] returns = 
				testingPositions.WeightedPositions.GetReturns(returnsManager);
			float[] strategyReturns = new float[ returns.Length / 2 ];
			for( int i = 0; i < returns.Length; i++ )
				if( i%2 == 0 )
				//returns[i] is a OpenToClose return
				strategyReturns[ i / 2 ] = returns[ i ];
			fitnessValue = 
				this.strategyEquityEvaluator.GetReturnsEvaluation(strategyReturns);
			if( double.IsNaN(fitnessValue) )
				fitnessValue = 0;
			return fitnessValue;
		}

		public double GetFitnessValue(object meaning , ReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			TestingPositions testingPositions = (TestingPositions)meaning;
			if(testingPositions.WeightedPositions != null)
				fitnessValue = this.getFitnessValue_getFitnessValueActually( testingPositions, returnsManager );
			return fitnessValue;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/OTC/InSampleChoosers/Genet

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/OTC/InSampleChoosers/Genetic GenomeManagerForOTC_EndOfDay.cs, NONE, 1.1 OTCCTOFitnessEvaluator.cs, NONE, 1.1 OTCEndOfDayGeneticChooser.cs, NONE, 1.1 OTCFitnessEvaluator.cs, NONE, 1.1