[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoos

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv25429/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding

Added Files:
	DecoderFirstTradingTickerInEachSignalingPortfolio.cs 
Log Message:
ecoder for the Linear Regression strategy with ratios. The genome is decoded as follows:
assume that the genome has n elements. Then it is decoded in an array of n-1 WeightedPositions: the i_th WeightedPositions contains the balanced portfolio with two positions: one for the ticker of the first gene and one for the ticker of the i+1_th gene; the first two ticker are decoded using the eligible tickers for trading, while the other tickers are decoded using the eligible tickers for signaling

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

DecoderFirstTradingTickerInEachSignalingPortfolio.cs
Copyright (C) 2010
Glauco Siliprandi

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.Collections;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Decoder for the Linear Regression strategy with ratios. The genome is decoded
	/// as follows: assume that the genome has n elements. Then it is decoded in an array
	/// of n-1 WeightedPositions: the i_th WeightedPositions contains the balanced portfolio
	/// with two positions: one for the ticker of the first gene and one for the ticker
	/// of the i+1_th gene; the first two ticker are decoded using the eligible tickers
	/// for trading, while the other tickers are decoded using the eligible tickers
	/// for signaling
	/// </summary>
	[Serializable]
	public class DecoderFirstTradingTickerInEachSignalingPortfolio :
		DecoderForLinearRegressionTestingPositions
	{
		////		private int numberOfTickersForTrading;
		////
//		public int NumberOfTickersForTrading {
		////			get { return this.numberOfTickersForTrading; }
//			get { return 2; }
//		}
		////
//		private int numberOfTickersForSignaling;
		////
//		public int NumberOfTickersForSignaling {
//			get { return this.numberOfTickersForSignaling; }
//		}
//		private BasicDecoderForTestingPositions basicDecoderForTestingPositions;
//
		public DecoderFirstTradingTickerInEachSignalingPortfolio( int numberOfTickersForSignaling ) :
			base( numberOfTickersForSignaling )
		{

		}
//			int numberOfTickersForTrading , int numberOfTickersForSignaling )
//		{
//			this.numberOfTickersForTrading = numberOfTickersForTrading;
//			this.numberOfTickersForSignaling = numberOfTickersForSignaling;
//			this.basicDecoderForTestingPositions = new BasicDecoderForTestingPositions();
//		}
//
//		#region Decode
//		private void decode_checkParameters( int[] genome )
//		{
//			int numberOfExpectedGenes = this.numberOfTickersForSignaling + 2;
//			if ( genome.Length != numberOfExpectedGenes )
//				throw new Exception(
//					"The given genom contains " + genome.Length + " genes, but " +
//					numberOfExpectedGenes + " where expected!" );
//		}
//		private int[] getSubGenome( int[] genome , int startingPosition , int length )
//		{
//			int[] subGenome = new int[ length ];
//			for( int i = startingPosition ; i < startingPosition + length ; i++ )
//				subGenome[ i - startingPosition ] = genome[ i ];
//			return subGenome;
//		}
//		private WeightedPositions decodeWeightedPositionsForTrading(
//			int[] encoded ,
//			EligibleTickers eligibleTickersForTrading ,
//			IReturnsManager returnsManager )
//		{
//			int[] encodedForTradingTickers =
			////				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
//				this.getSubGenome( encoded , 0 , 2 );
//			WeightedPositions weightedPositionsForTrading =
//				this.basicDecoderForTestingPositions.Decode(
//					encodedForTradingTickers ,
//					eligibleTickersForTrading , returnsManager ).WeightedPositions;
//			return weightedPositionsForTrading;
//		}
//		private WeightedPositions decodeWeightedPositionsForSignaling(
//			int[] encoded ,
//			EligibleTickers eligibleTickersForSignaling ,
//			IReturnsManager returnsManager )
//		{
//			int[] encodedForSignalingTickers =
//				this.getSubGenome(
			////					encoded , this.numberOfTickersForTrading , this.numberOfTickersForSignaling );
//					encoded , 2 , encoded.Length - 2 );
//			WeightedPositions weightedPositionsForSignaling =
//				this.basicDecoderForTestingPositions.Decode(
//					encodedForSignalingTickers ,
//					eligibleTickersForSignaling , returnsManager ).WeightedPositions;
//			return weightedPositionsForSignaling;
//		}
//
//		#region getTestingPositions
//		protected virtual WeightedPositions getBalancedPortfolio(
//			SignedTickers signedTickers ,
//			IReturnsManager returnsManager )
//		{
//			WeightedPositions balancedPortfolio = null;
//			if ( !CollectionManager.ContainsDuplicates( signedTickers.Tickers ) )
//			{
//				double[] balancedWeights = WeightedPositions.GetBalancedWeights(
//					signedTickers , returnsManager );
//				balancedPortfolio =
//					new WeightedPositions( balancedWeights , signedTickers.Tickers );
//			}
//			return balancedPortfolio;
//		}
//
//		#region getTradingPortfolio
//		protected virtual SignedTickers getSignedTickersForTradingPortfolio(
//			WeightedPositions weightedPositionsForTrading ,
//			IReturnsManager returnsManager )
//		{
//			SignedTickers signedTickersForTradingPortfolio = new SignedTickers(
//				new SignedTicker[] {
//					weightedPositionsForTrading.SignedTickers[ 0 ] ,
//					weightedPositionsForTrading.SignedTickers[ 1 ] } );
//			return signedTickersForTradingPortfolio;
//		}
//		private WeightedPositions getTradingPortfolio(
//			WeightedPositions weightedPositionsForTrading ,
//			IReturnsManager returnsManager )
//		{
//			SignedTickers signedTickers = this.getSignedTickersForTradingPortfolio(
//				weightedPositionsForTrading , returnsManager );
//			WeightedPositions tradingPortfolio = this.getBalancedPortfolio(
//				signedTickers , returnsManager );
//			return tradingPortfolio;
//		}
//		#endregion getTradingPortfolio
//
//		#region getSignalingPortfolios
		protected override SignedTickers getSignedTickersForSignalingPortfolio(
			int portfolioIndex ,
			WeightedPositions weightedPositionsForTrading ,
			WeightedPositions weightedPositionsForSignaling ,
			IReturnsManager returnsManager )
		{
			SignedTickers signedTickersForSignalingPortfolio = new SignedTickers(
				new SignedTicker[] {
					weightedPositionsForTrading.SignedTickers[ 0 ] ,
					weightedPositionsForSignaling.SignedTickers[ portfolioIndex ] } );
			return signedTickersForSignalingPortfolio;
		}
//		private WeightedPositions getSignalingPortfolio(
//			int portfolioIndex ,
//			WeightedPositions weightedPositionsForTrading ,
//			WeightedPositions weightedPositionsForSignaling ,
//			IReturnsManager returnsManager )
//		{
//			SignedTickers signedTickers = this.getSignedTickersForSignalingPortfolio(
//				portfolioIndex , weightedPositionsForTrading , weightedPositionsForSignaling ,
//				returnsManager );
//			WeightedPositions signalingPortfolio = this.getBalancedPortfolio(
//				signedTickers , returnsManager );
//			return signalingPortfolio;
//		}
//		private WeightedPositions[] getSignalingPortfolios(
//			WeightedPositions weightedPositionsForTrading ,
//			WeightedPositions weightedPositionsForSignaling ,
//			IReturnsManager returnsManager )
//		{
//			bool containsSignalingPortfolioWithDuplicateTickers = false;
//				WeightedPositions[] signalingPortfolios = new WeightedPositions[
//					weightedPositionsForSignaling.Count ];
//			for ( int j=0 ; j < weightedPositionsForSignaling.Count ; j++ )
//			{
//				signalingPortfolios[ j ] = this.getSignalingPortfolio(
//					j , weightedPositionsForTrading , weightedPositionsForSignaling ,
//					returnsManager );
//				if ( signalingPortfolios[ j ] == null )
//					containsSignalingPortfolioWithDuplicateTickers = true;
//			}
//			if ( containsSignalingPortfolioWithDuplicateTickers )
//				signalingPortfolios = null;
//			return signalingPortfolios;
//		}
//		#endregion getSignalingPortfolios
//
//
//
//		private TestingPositions getTestingPositions(
//			WeightedPositions weightedPositionsForTrading ,
//			WeightedPositions weightedPositionsForSignaling ,
//			IReturnsManager returnsManagerForTradingTickers ,
//			IReturnsManager returnsManagerForSignalingTickers )
//		{
//			TestingPositions testingPositions = new TestingPositionsForUndecodableEncoded();
//			WeightedPositions tradingPortfolio = this.getTradingPortfolio(
//				weightedPositionsForTrading , returnsManagerForTradingTickers );
//			WeightedPositions[] signalingPortfolios = this.getSignalingPortfolios(
//				weightedPositionsForTrading , weightedPositionsForSignaling ,
//				returnsManagerForSignalingTickers );
//			if ( tradingPortfolio != null && signalingPortfolios != null )
//				// all portfolios are valid, because none of them contained
//				// duplicated tickers
//				testingPositions = new LinearRegressionTestingPositions(
//						signalingPortfolios , tradingPortfolio );
//			return testingPositions;
//		}
//		#endregion getTestingPositions
//
//		public TestingPositions Decode(
//			int[] encoded ,
//			EligibleTickers eligibleTickersForTrading ,
//			EligibleTickers eligibleTickersForSignaling ,
//			IReturnsManager returnsManagerForTradingTickers ,
//			IReturnsManager returnsManagerForSignalingTickers )
//		{
//			this.decode_checkParameters( encoded );
//			WeightedPositions weightedPositionsForTrading =
//				this.decodeWeightedPositionsForTrading(
//					encoded , eligibleTickersForTrading , returnsManagerForTradingTickers );
//			WeightedPositions weightedPositionsForSignaling =
//				this.decodeWeightedPositionsForSignaling(
//					encoded , eligibleTickersForSignaling , returnsManagerForSignalingTickers );
//			TestingPositions meaning = new TestingPositionsForUndecodableEncoded();
//			if ( weightedPositionsForTrading != null && weightedPositionsForSignaling != null )
//				// there were not duplicated tickers in the encoded
//				meaning = this.getTestingPositions(
//					weightedPositionsForTrading , weightedPositionsForSignaling ,
//					returnsManagerForTradingTickers , returnsManagerForSignalingTickers );
//			return meaning;
//		}
//		#endregion Decode
		}
	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoos

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding DecoderFirstTradingTickerInEachSignalingPortfolio.cs, NONE, 1.1