[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression LinearRegres
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From: Glauco S. <gla...@us...> - 2011-01-06 18:44:17
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15939/b7_Scripts/WalkForwardTesting/LinearRegression Modified Files: LinearRegressionMain.cs Log Message: minor changes to the script parameters Index: LinearRegressionMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/LinearRegressionMain.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** LinearRegressionMain.cs 28 Mar 2010 15:48:08 -0000 1.1 --- LinearRegressionMain.cs 6 Jan 2011 18:44:08 -0000 1.2 *************** *** 97,109 **** ITickerSelectorByGroup tickerSelectorByGroup = new TickerSelectorByGroup(); // double minPercentageOfAvailableValues = 0.8; ! double minPercentageOfAvailableValues = 0.9; double minPriceForTradingTicker = 1; double maxPriceForTradingTicker = 9000; int maxNumberOfEligiblesForTrading = 150; ! // uncomment the followings line for a faster script ! // groupIdForTradingTickers = "fastTest"; ! // groupIdForAdditionalSignalingTickers = "fastTest"; ! // maxNumberOfEligiblesForTrading = 8; IEligiblesSelector eligiblesSelector = --- 97,109 ---- ITickerSelectorByGroup tickerSelectorByGroup = new TickerSelectorByGroup(); // double minPercentageOfAvailableValues = 0.8; ! double minPercentageOfAvailableValues = 1; double minPriceForTradingTicker = 1; double maxPriceForTradingTicker = 9000; int maxNumberOfEligiblesForTrading = 150; ! // uncomment the followings lines for a faster script ! groupIdForTradingTickers = "fastTest"; ! groupIdForAdditionalSignalingTickers = "fastTest"; ! maxNumberOfEligiblesForTrading = 8; IEligiblesSelector eligiblesSelector = *************** *** 133,145 **** // uncomment the following line for a faster script // numberOfBestTestingPositionsToBeReturned = 20; ! // numberOfBestTestingPositionsToBeReturned = 5; ! // int numberOfTickersForTrading = 2; ! int numberOfSignalingPortfolios = 4; DecoderForLinearRegressionTestingPositions decoderForWeightedPositions = new DecoderForLinearRegressionTestingPositions( ! numberOfSignalingPortfolios ); ! // numberOfTickersForTrading , numberOfTickersForSignaling ); // double maxCorrelationAllowed = 0.96; copypasted --- 133,145 ---- // uncomment the following line for a faster script // numberOfBestTestingPositionsToBeReturned = 20; ! numberOfBestTestingPositionsToBeReturned = 3; ! int numberOfTickersForTrading = 1; ! int[] numberOfTickersInEachSignalingPortfolio = ! new int[] { 1 , 1 , 1 }; DecoderForLinearRegressionTestingPositions decoderForWeightedPositions = new DecoderForLinearRegressionTestingPositions( ! numberOfTickersForTrading , numberOfTickersInEachSignalingPortfolio ); // double maxCorrelationAllowed = 0.96; copypasted *************** *** 164,176 **** // parameters for the genetic optimizer ! double crossoverRate = 0.85; double mutationRate = 0.02; ! double elitismRate = 0.001; int populationSizeForGeneticOptimizer = 60000; int generationNumberForGeneticOptimizer = 15; // uncomment the followings line for a faster script ! // populationSizeForGeneticOptimizer = 300; ! // generationNumberForGeneticOptimizer = 4; int seedForRandomGeneratorForTheGeneticOptimizer = --- 164,176 ---- // parameters for the genetic optimizer ! double crossoverRate = 0.5; double mutationRate = 0.02; ! double elitismRate = 0.00001; int populationSizeForGeneticOptimizer = 60000; int generationNumberForGeneticOptimizer = 15; // uncomment the followings line for a faster script ! populationSizeForGeneticOptimizer = 300; ! generationNumberForGeneticOptimizer = 4; int seedForRandomGeneratorForTheGeneticOptimizer = *************** *** 210,217 **** { int inSampleDays = 180; ! inSampleDays = 360; // uncomment the following line for a faster script ! // inSampleDays = 5; ! // inSampleDays = 60; // IIntervalsSelector intervalsSelectorForOutOfSample = --- 210,217 ---- { int inSampleDays = 180; ! // inSampleDays = 360; // uncomment the following line for a faster script ! // inSampleDays = 20; ! inSampleDays = 60; // IIntervalsSelector intervalsSelectorForOutOfSample = *************** *** 237,241 **** maxTimeSpanToLookAhead ); ! double minForecastedReturn = 0.01F; IEntryStrategy longAndShortBasedOnAverageExpectedReturn = new EntryStrategyBasedOnForecastedReturn( --- 237,241 ---- maxTimeSpanToLookAhead ); ! double minForecastedReturn = 0.002F; IEntryStrategy longAndShortBasedOnAverageExpectedReturn = new EntryStrategyBasedOnForecastedReturn( *************** *** 250,253 **** --- 250,254 ---- 7 , inSampleDays , intervalsSelectorForInSample , intervalsSelectorForOutOfSample , + this.returnIntervalSelectorForSignaling , eligiblesSelector , // eligible selector for trading tickers // this.eligiblesSelectorForSignalingTickers , *************** *** 287,292 **** // uncomment the following two lines for a faster script ! // firstDateTime = new DateTime( 2006 , 1 , 2 ); ! // lastDateTime = new DateTime( 2006 , 1 , 10 ); double maxRunningHours = 12; --- 288,295 ---- // uncomment the following two lines for a faster script ! firstDateTime = new DateTime( 2006 , 2 , 26 ); ! lastDateTime = new DateTime( 2006 , 4 , 5 ); ! // firstDateTime = new DateTime( 2005 , 2 , 26 ); ! // lastDateTime = new DateTime( 2006 , 12 , 5 ); double maxRunningHours = 12; |