[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding DecoderForLinearRegressionTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv19385/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding

Modified Files:
	DecoderForLinearRegressionTestingPositions.cs 
Log Message:
The behavior of the decoder has been changed. Now the genome is decoded as follows: a given number of tickers is used to decode a trading portfolio. Then, a given number of signaling portfolios are created, each with a given number of contained signaling tickers.

Index: DecoderForLinearRegressionTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding/DecoderForLinearRegressionTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DecoderForLinearRegressionTestingPositions.cs	28 Mar 2010 16:02:47 -0000	1.1
--- DecoderForLinearRegressionTestingPositions.cs	6 Jan 2011 18:56:26 -0000	1.2
***************
*** 34,39 ****
  	/// <summary>
  	/// Simple decoder for the Linear Regression strategy.
! 	/// The genome is decoded as follows: the first two tickers are used to decode
  	/// a trading portfolio.
  	/// For each of the other tickers is created a portfolio with that single ticker and
  	/// such portfolio is used as a signaling portfolio.
--- 34,41 ----
  	/// <summary>
  	/// Simple decoder for the Linear Regression strategy.
! 	/// The genome is decoded as follows: a given number of tickers is used to decode
  	/// a trading portfolio.
+ 	/// Then, a given number of signaling portfolios are created, each with its number
+ 	/// of contained tickers.
  	/// For each of the other tickers is created a portfolio with that single ticker and
  	/// such portfolio is used as a signaling portfolio.
***************
*** 45,78 ****
  	public class DecoderForLinearRegressionTestingPositions // : IDecoderForTestingPositions
  	{
! //		private int numberOfTickersForTrading;
! //
  		public int NumberOfTickersForTrading {
! //			get { return this.numberOfTickersForTrading; }
! 			get { return 2; }
  		}
  //
- 		private int numberOfSignalingPortfolios;
  //
  		public int NumberOfSignalingPortfolios {
! 			get { return this.numberOfSignalingPortfolios; }
  		}
  		private BasicDecoderForTestingPositions basicDecoderForTestingPositions;
  		
! 		public DecoderForLinearRegressionTestingPositions( int numberOfSignalingPortfolios )
! //			int numberOfTickersForTrading , int numberOfTickersForSignaling )
  		{
! //			this.numberOfTickersForTrading = numberOfTickersForTrading;
! 			this.numberOfSignalingPortfolios = numberOfSignalingPortfolios;
  			this.basicDecoderForTestingPositions = new BasicDecoderForTestingPositions();
  		}
  		
  		#region Decode
! 		private void decode_checkParameters( int[] genome )
  		{
! 			int numberOfExpectedGenes = this.numberOfSignalingPortfolios + 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 )
--- 47,92 ----
  	public class DecoderForLinearRegressionTestingPositions // : IDecoderForTestingPositions
  	{
! 		private int numberOfTickersForTrading;
! 
! 		private int[] numberOfTickersInEachSignalingPortfolio;
! 		
  		public int NumberOfTickersForTrading {
! 			get { return this.numberOfTickersForTrading; }
  		}
  //
  //
  		public int NumberOfSignalingPortfolios {
! 			get { return this.numberOfTickersInEachSignalingPortfolio.Length; }
  		}
+ 		
  		private BasicDecoderForTestingPositions basicDecoderForTestingPositions;
+ 		protected int expectedNumberOfGeneValues;
  		
! 		public DecoderForLinearRegressionTestingPositions(
! 			int numberOfTickersForTrading , int[] numberOfTickersInEachSignalingPortfolio )
  		{
! 			this.numberOfTickersForTrading = numberOfTickersForTrading;
! 			this.numberOfTickersInEachSignalingPortfolio =
! 				numberOfTickersInEachSignalingPortfolio;
! 			
  			this.basicDecoderForTestingPositions = new BasicDecoderForTestingPositions();
+ 			this.setExpectedNumberOfGeneValues();
+ 		}
+ 		
+ 		private void setExpectedNumberOfGeneValues()
+ 		{
+ 			this.expectedNumberOfGeneValues = this.numberOfTickersForTrading;
+ 			for( int i = 0 ; i < this.NumberOfSignalingPortfolios ; i++ )
+ 				this.expectedNumberOfGeneValues +=
+ 					this.numberOfTickersInEachSignalingPortfolio[ i ];
  		}
  		
  		#region Decode
! 		virtual protected void decode_checkParameters( int[] genome )
  		{
! 			if ( genome.Length != this.expectedNumberOfGeneValues )
  				throw new Exception(
! 					"The given genome contains " + genome.Length + " genes, but " +
! 					this.expectedNumberOfGeneValues + " where expected!" );
  		}
  		private int[] getSubGenome( int[] genome , int startingPosition , int length )
***************
*** 90,94 ****
  			int[] encodedForTradingTickers =
  //				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
! 				this.getSubGenome( encoded , 0 , 2 );
  			WeightedPositions weightedPositionsForTrading =
  				this.basicDecoderForTestingPositions.Decode(
--- 104,108 ----
  			int[] encodedForTradingTickers =
  //				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
! 				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
  			WeightedPositions weightedPositionsForTrading =
  				this.basicDecoderForTestingPositions.Decode(
***************
*** 105,109 ****
  				this.getSubGenome(
  //					encoded , this.numberOfTickersForTrading , this.numberOfTickersForSignaling );
! 					encoded , 2 , encoded.Length - 2 );
  			WeightedPositions weightedPositionsForSignaling =
  				this.basicDecoderForTestingPositions.Decode(
--- 119,124 ----
  				this.getSubGenome(
  //					encoded , this.numberOfTickersForTrading , this.numberOfTickersForSignaling );
! 					encoded , this.numberOfTickersForTrading ,
! 					encoded.Length - this.numberOfTickersForTrading );
  			WeightedPositions weightedPositionsForSignaling =
  				this.basicDecoderForTestingPositions.Decode(
***************
*** 130,133 ****
--- 145,158 ----
  		
  		#region getTradingPortfolio
+ 		
+ 		#region getSignedTickersForTradingPortfolio
+ 		private SignedTicker[] getSignedTickersArray(
+ 			WeightedPositions weightedPositionsForTrading )
+ 		{
+ 			SignedTicker[] signedTickersArray = new SignedTicker[ weightedPositionsForTrading.Count ];
+ 			for( int i = 0 ; i < weightedPositionsForTrading.Count ; i++ )
+ 				signedTickersArray[ i ] = weightedPositionsForTrading.SignedTickers[ i ];
+ 			return signedTickersArray;
+ 		}
  		protected virtual SignedTickers getSignedTickersForTradingPortfolio(
  			WeightedPositions weightedPositionsForTrading ,
***************
*** 135,143 ****
  		{
  			SignedTickers signedTickersForTradingPortfolio = new SignedTickers(
! 				new SignedTicker[] {
! 					weightedPositionsForTrading.SignedTickers[ 0 ] ,
! 					weightedPositionsForTrading.SignedTickers[ 1 ] } );
  			return signedTickersForTradingPortfolio;
  		}
  		private WeightedPositions getTradingPortfolio(
  			WeightedPositions weightedPositionsForTrading ,
--- 160,171 ----
  		{
  			SignedTickers signedTickersForTradingPortfolio = new SignedTickers(
! 				this.getSignedTickersArray( weightedPositionsForTrading ) );
! //				new SignedTicker[] {
! //					weightedPositionsForTrading.SignedTickers[ 0 ] ,
! //					weightedPositionsForTrading.SignedTickers[ 1 ] } );
  			return signedTickersForTradingPortfolio;
  		}
+ 		#endregion getSignedTickersForTradingPortfolio
+ 		
  		private WeightedPositions getTradingPortfolio(
  			WeightedPositions weightedPositionsForTrading ,
***************
*** 224,229 ****
  		
  		/// <summary>
! 		/// The genome is decoded as follows: the first two tickers are used to decode
  		/// a trading portfolio.
  		/// For each of the other tickers is created a portfolio with that single ticker and
  		/// such portfolio is used as a signaling portfolio.
--- 252,260 ----
  		
  		/// <summary>
! 		/// Simple decoder for the Linear Regression strategy.
! 		/// The genome is decoded as follows: a given number of tickers is used to decode
  		/// a trading portfolio.
+ 		/// Then, a given number of signaling portfolios are created, each with its number
+ 		/// of contained tickers.
  		/// For each of the other tickers is created a portfolio with that single ticker and
  		/// such portfolio is used as a signaling portfolio.