[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/OTC/InSampleChoosers/Genetic DrivenByFVProviderFitnessEvaluator.cs, NONE, 1.1 DrivenByFVProviderInSampleChooser.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/OTC/InSampleChoosers/Genetic
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv29202/DrivenByFundamentals/DrivenByFairValueProvider/InSampleChoosers/Genetic

Added Files:
	DrivenByFVProviderFitnessEvaluator.cs 
	DrivenByFVProviderInSampleChooser.cs 
Log Message:
Added script files for the driven by fair value provider strategy

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

DrivenByFVProviderInSampleChooser.cs
Copyright (C) 2010
Marco Milletti

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.Optimizing.Genetic;
using QuantProject.Business.Strategies;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;


namespace QuantProject.Scripts.TickerSelectionTesting.DrivenByFundamentals.DrivenByFairValueProvider.InSampleChoosers.Genetic
{
	/// <summary>
	/// In sample genetic analyzer for the
	/// Driven by Fair Value Provider strategy 
	/// </summary>
	[Serializable]
	public class DrivenByFVProviderInSampleChooser : GeneticChooser
	{
    protected GenomeManagerType genomeManagerType;
    	
		public DrivenByFVProviderInSampleChooser(
			int numberOfPortfolioPositions , int numberOfBestTestingPositionsToBeReturned ,
			Benchmark benchmark ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			GenomeManagerType genomeManagerType ,
			IFitnessEvaluator fitnessEvaluator ,
			HistoricalMarketValueProvider historicalMarketValueProvider ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGenerator)
	    :
			base(numberOfPortfolioPositions, numberOfBestTestingPositionsToBeReturned,
			benchmark ,	decoderForTestingPositions ,
			fitnessEvaluator , historicalMarketValueProvider ,
			crossoverRate , mutationRate , elitismRate ,
			populationSizeForGeneticOptimizer ,
			generationNumberForGeneticOptimizer ,
			seedForRandomGenerator )
		{
    	this.genomeManagerType = genomeManagerType;
		}

		protected override string getHashCodeForGenome(QuantProject.ADT.Optimizing.Genetic.Genome genome)
		{
			string returnValue = ((TestingPositions)genome.Meaning).HashCodeForTickerComposition;
			return returnValue;
		}
    
		public override IGenomeManager GetGenomeManager(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			return new GenomeManagerForDrivenByFVProvider(eligibleTickers, this.numberOfPortfolioPositions,
			                                        this.decoderForTestingPositions, this.fitnessEvaluator,
			                                        this.genomeManagerType , returnsManager,
			                                        this.historicalMarketValueProvider,
			                                        this.seedForRandomGeneratorForTheGeneticOptimizer);
		}
	}
}

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

DrivenByFVProviderFitnessEvaluator.cs
Copyright (C) 2011
Marco Milletti

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;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.TickerSelectionTesting.DrivenByFundamentals.DrivenByFairValueProvider.InSampleChoosers.Genetic
{
	/// <summary>
	/// Evaluates (in sample) the fitness for a given TestingPositions
	/// combining fundamental analysis with the sharpe ratio
	/// of a given series of returns
	/// </summary>
	[Serializable]
	public class DrivenByFVProviderFitnessEvaluator : IFitnessEvaluator
	{
		private IEquityEvaluator pastReturnsEvaluator;
		
		public string Description
		{
			get
			{
				string description = "FitnessEvaluatedWith_" +
								this.pastReturnsEvaluator.GetType().ToString();
				return description;
			}
		}
		
		public DrivenByFVProviderFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
		{
			this.pastReturnsEvaluator = strategyEquityEvaluator;
		}

		private float getFitnessValue_getFitnessValueActually(
			TestingPositions testingPositions, IReturnsManager returnsManager )
		{
			float fitnessValue;
			//the returnsManager is based on OTCCTO End Of Day intervals -
			//always an even number, by definition!
			float[] returns = 
				testingPositions.WeightedPositions.GetReturns(returnsManager);
			float fitnessForPastReturns = this.pastReturnsEvaluator.GetReturnsEvaluation(returns);
			
			
			fitnessValue = fitnessForPastReturns * fitnessGivenByFundamentals;
				
			if( double.IsNaN(fitnessValue) )
				fitnessValue = 0;
			return fitnessValue;
		}
		
		public double GetFitnessValue(object meaning , IReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			TestingPositions testingPositions = (TestingPositions)meaning;
			if(testingPositions.WeightedPositions != null)
				fitnessValue = this.getFitnessValue_getFitnessValueActually( testingPositions, returnsManager );
			return fitnessValue;
		}
	}
}