[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression LinearRegressionMain.cs, 1.1, 1.2

[Glauco S. <gla...@us...>]

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;