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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv27008/b7_Scripts/WalkForwardTesting/LinearRegression/Logging

Modified Files:
	AnalyzerForLinearRegressionTestingPositions.cs 
Log Message:
now it has been actually written: analyzes a LinearRegressionTestingPositions that has been logged in sample

Index: AnalyzerForLinearRegressionTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/AnalyzerForLinearRegressionTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AnalyzerForLinearRegressionTestingPositions.cs	28 Mar 2010 16:12:46 -0000	1.1
--- AnalyzerForLinearRegressionTestingPositions.cs	6 Jan 2011 19:28:22 -0000	1.2
***************
*** 22,27 ****
--- 22,35 ----
  
  using System;
+ using System.Drawing;
+ using System.Windows.Forms;
  
+ using QuantProject.ADT.Histories;
+ using QuantProject.ADT.Statistics;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Scripting;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
+ using QuantProject.Presentation;
  
  namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
***************
*** 34,49 ****
  	public class AnalyzerForLinearRegressionTestingPositions : IExecutable
  	{
! 		LinearRegressionTestingPositions linearRegressionTestingPositions;
! 		DateTime accountTimerDateTimeWhenThisObjectWasLogged;
  		
  		public AnalyzerForLinearRegressionTestingPositions(
  			LinearRegressionTestingPositions linearRegressionTestingPositions ,
! //			int numberOfInSampleDays ,
! 			DateTime accountTimerDateTimeWhenThisObjectWasLogged )
  		{
  			this.linearRegressionTestingPositions = linearRegressionTestingPositions;
  			this.accountTimerDateTimeWhenThisObjectWasLogged =
  				accountTimerDateTimeWhenThisObjectWasLogged;
  		}
  		public void Run()
  		{
--- 42,227 ----
  	public class AnalyzerForLinearRegressionTestingPositions : IExecutable
  	{
! 		private LinearRegressionTestingPositions linearRegressionTestingPositions;
! 		private DateTime firstDateTimeInSample;
! 		private IIntervalsSelector intervalsSelector;
! 		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
! 		private DateTime accountTimerDateTimeWhenThisObjectWasLogged;
  		
+ 		/// <summary>
+ 		/// Generation when the TestingPositions object has been created
+ 		/// (if genetically optimized)
+ 		/// </summary>
+ 		public int Generation
+ 		{
+ 			get
+ 			{
+ 				return this.linearRegressionTestingPositions.Generation;
+ 			}
+ 		}
+ 		public double FitnessInSample
+ 		{
+ 			get { return this.linearRegressionTestingPositions.FitnessInSample; }
+ 		}
+ 
  		public AnalyzerForLinearRegressionTestingPositions(
  			LinearRegressionTestingPositions linearRegressionTestingPositions ,
! 			DateTime accountTimerDateTimeWhenThisObjectWasLogged
! 		)
  		{
  			this.linearRegressionTestingPositions = linearRegressionTestingPositions;
+ //			this.firstDateTimeInSample = firstDateTimeInSample;
+ //			this.intervalsSelector = intervalsSelector;
+ //			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
  			this.accountTimerDateTimeWhenThisObjectWasLogged =
  				accountTimerDateTimeWhenThisObjectWasLogged;
  		}
+ 		
+ 		public void SetOtherMembers(
+ 			DateTime firstDateTimeInSample ,
+ 			IIntervalsSelector intervalsSelector ,
+ 			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling )
+ 		{
+ 			this.firstDateTimeInSample = firstDateTimeInSample;
+ 			this.intervalsSelector = intervalsSelector;
+ 			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
+ 		}
+ 		
+ 		#region Run
+ 		
+ 		#region getReturnIntervals
+ 		private ReturnIntervals initializeReturnIntervalsWithTheFirstInterval(
+ 			DateTime firstDateTime )
+ 		{
+ 			ReturnInterval firstReturnInterval =
+ 				this.intervalsSelector.GetFirstInterval( firstDateTime );
+ 			ReturnIntervals returnIntervals = new ReturnIntervals( firstReturnInterval );
+ 			return returnIntervals;
+ 		}
+ 		private DateTime getFirstDateTime()
+ 		{
+ 			DateTime firstDateTime = this.accountTimerDateTimeWhenThisObjectWasLogged.AddDays( - 180 );
+ 			return firstDateTime;
+ 		}
+ 		private DateTime getLastDateTime()
+ 		{
+ 			DateTime lastDateTime = this.accountTimerDateTimeWhenThisObjectWasLogged;
+ 			return lastDateTime;
+ 		}
+ 		private ReturnInterval getNextInterval( ReturnIntervals returnIntervals )
+ 		{
+ 			ReturnInterval returnIntervalForTrading = this.intervalsSelector.GetNextInterval(
+ 				returnIntervals );
+ //			ReturnInterval returnIntervalForSignaling =
+ //				this.returnIntervalSelectorForSignaling.GetReturnIntervalUsedForSignaling(
+ //					returnIntervalForTrading );
+ //			return returnIntervalForSignaling;
+ 			return returnIntervalForTrading;
+ 		}
+ 		private ReturnIntervals getReturnIntervals(
+ 			DateTime firstDateTime , DateTime lastDateTime )
+ 		{
+ 			ReturnIntervals returnIntervals =
+ 				this.initializeReturnIntervalsWithTheFirstInterval( firstDateTime );
+ 			while ( returnIntervals.LastInterval.End < lastDateTime )
+ 			{
+ 				ReturnInterval nextInterval = this.getNextInterval( returnIntervals );
+ 				returnIntervals.Add( nextInterval );
+ 			}
+ 			return returnIntervals;
+ 		}
+ 		private ReturnIntervals getReturnIntervals()
+ 		{
+ //			DateTime firstDateTime = this.getFirstDateTime();
+ 			DateTime firstDateTime = this.firstDateTimeInSample;
+ 			DateTime lastDateTime = this.getLastDateTime();
+ 			ReturnIntervals returnIntervals = this.getReturnIntervals(
+ 				firstDateTime , lastDateTime );
+ 			return returnIntervals;
+ 		}
+ 		#endregion getReturnIntervals
+ 		
+ 		private History getVirtualValues(
+ 			ReturnIntervals returnIntervals , IVirtualReturnComputer virtualReturnComputer )
+ 		{
+ 			History virtualValues = new History();
+ 			int currentIntervalIndex = 0;
+ 			double currentValue = 30000;
+ 			while ( currentIntervalIndex < returnIntervals.Count )
+ 			{
+ 				ReturnInterval currentInterval = returnIntervals[ currentIntervalIndex ];
+ 				if ( !virtualValues.ContainsKey( currentInterval.Begin ) )
+ 					virtualValues.Add( currentInterval.Begin , currentValue );
+ 				try
+ 				{
+ 					double currentReturn = virtualReturnComputer.ComputeReturn( currentInterval );
+ 					currentValue = currentValue + currentValue * currentReturn;
+ 					virtualValues.Add( currentInterval.End , currentValue );
+ 				}
+ 				catch( TickerNotExchangedException )
+ 				{
+ 				}
+ 				currentIntervalIndex++;
+ 			}
+ 			return virtualValues;
+ 		}
+ 		
+ 		#region getVirtualValues
+ 		private void getVirtualValues(
+ 			ReturnIntervals returnIntervals ,
+ 			out History predictedVirtualValues , out History tradingPortfolioVirtualValues )
+ 		{
+ 			IHistoricalMarketValueProvider historicalMarketValueProvider =
+ 				new HistoricalAdjustedQuoteProvider();
+ 			
+ 			ReturnPredictor returnPredictor = new ReturnPredictor(
+ 				this.linearRegressionTestingPositions , this.returnIntervalSelectorForSignaling ,
+ 				historicalMarketValueProvider );
+ 			predictedVirtualValues = this.getVirtualValues(
+ 				returnIntervals , returnPredictor );
+ 			
+ 			PortfolioReturnComputer tradingPortfolioReturnComputer =
+ 				new PortfolioReturnComputer(
+ 					this.linearRegressionTestingPositions.TradingPortfolio ,
+ 					historicalMarketValueProvider );
+ 			tradingPortfolioVirtualValues = this.getVirtualValues(
+ 				returnIntervals , tradingPortfolioReturnComputer );
+ 		}
+ 		#endregion getVirtualValues
+ 		
+ 		#region showHistoriesPlots
+ 		private HistoriesViewer showHistoriesPlots(
+ 			History predictedVirtualValues , History tradingPortfolioVirtualValues )
+ 		{
+ 			HistoriesViewer historiesViewer =
+ 				new HistoriesViewer( "Linear Regression Log Analyzer" );
+ 			historiesViewer.StartPosition = FormStartPosition.Manual;
+ 			historiesViewer.Location = new Point( 200 , 200 );
+ 			historiesViewer.Add( predictedVirtualValues , Color.Red );
+ 			historiesViewer.Add( tradingPortfolioVirtualValues , Color.Green );
+ 			historiesViewer.Show();
+ 			return historiesViewer;
+ 		}
+ 		#endregion showHistoriesPlots
+ 		
+ 		#region showCorrelation
+ 		private double[] getArrayFromHistory( History history )
+ 		{
+ 			double[] arrayValues = new double[ history.Count ];
+ 			for( int i = 0 ; i < arrayValues.Length ; i++ )
+ 				arrayValues[ i ] = (double)history.GetValueList()[ i ];
+ 			return arrayValues;			
+ 		}
+ 
+ 		private void showCorrelation(
+ 			History predictedVirtualValues , History tradingPortfolioVirtualValues )
+ 		{
+ 			double correlationValue = BasicFunctions.PearsonCorrelationCoefficient(
+ 				this.getArrayFromHistory( predictedVirtualValues ) ,
+ 				this.getArrayFromHistory( tradingPortfolioVirtualValues ) );
+ 			MessageBox.Show( "Correlation value: " + correlationValue );
+ 		}
+ 		#endregion showCorrelation
+ 		
+ 		
  		public void Run()
  		{
***************
*** 51,58 ****
  			// coefficients and then show which are those who seem to
  			// be more significant
! 			System.Windows.Forms.MessageBox.Show(
! 				"A good analyzer has not yet been thought about, for " +
! 				"a LinearRegressionTestingPositions" );
  		}
  	}
  }
--- 229,244 ----
  			// coefficients and then show which are those who seem to
  			// be more significant
! 			ReturnIntervals returnIntervals = this.getReturnIntervals();
! 			
! 			History predictedVirtualValues;
! 			History tradingPortfolioVirtualValues;
! 			this.getVirtualValues(
! 				returnIntervals , out predictedVirtualValues , out tradingPortfolioVirtualValues );
! 			
! 			this.showHistoriesPlots( predictedVirtualValues , tradingPortfolioVirtualValues );
! 			
! 			this.showCorrelation( predictedVirtualValues , tradingPortfolioVirtualValues );
  		}
+ 		#endregion Run
  	}
  }