[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression LinearRegressionMain.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression
In directory vz-cvs-3.sog:/tmp/cvs-serv30408/b7_Scripts/WalkForwardTesting/LinearRegression

Modified Files:
	LinearRegressionMain.cs 
Log Message:
Some code has been added to the script, to test a linear regression fitness, based on the PRESS statistics (this fitness is much more robust than RSquare to the outliers)

Index: LinearRegressionMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/LinearRegressionMain.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** LinearRegressionMain.cs	22 Sep 2011 19:43:55 -0000	1.6
--- LinearRegressionMain.cs	30 Apr 2012 23:41:50 -0000	1.7
***************
*** 67,73 ****
  			// uncomment the following instruction in order to test the strategy
  			// using CSCO as a perfect predictor for MSFT
! 			this.historicalMarketValueProviderForInSample =
! 				new LookingAtTheFutureQuoteProvider(
! 					this.historicalMarketValueProviderForInSample , "MSFT" , "CSCO" );
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  				this.historicalMarketValueProviderForInSample;
--- 67,73 ----
  			// uncomment the following instruction in order to test the strategy
  			// using CSCO as a perfect predictor for MSFT
! //			this.historicalMarketValueProviderForInSample =
! //				new LookingAtTheFutureQuoteProvider(
! //					this.historicalMarketValueProviderForInSample , "MSFT" , "CSCO" );
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  				this.historicalMarketValueProviderForInSample;
***************
*** 140,154 ****
  		protected override IInSampleChooser getInSampleChooser()
  		{
! 			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
  //			numberOfBestTestingPositionsToBeReturned = 20;
  //			numberOfBestTestingPositionsToBeReturned = 6;
! 			numberOfBestTestingPositionsToBeReturned = 1;
  
  			
  			int numberOfTickersForTrading = 1;
  			int[] numberOfTickersInEachSignalingPortfolio =
! //				new int[] { 1 , 1 , 1 };
! 				new int[] { 1 };
  			
  			DecoderForLinearRegressionTestingPositions decoderForWeightedPositions =
--- 140,154 ----
  		protected override IInSampleChooser getInSampleChooser()
  		{
! 			int numberOfBestTestingPositionsToBeReturned = 3;
  			// uncomment the following line for a faster script
  //			numberOfBestTestingPositionsToBeReturned = 20;
  //			numberOfBestTestingPositionsToBeReturned = 6;
! //			numberOfBestTestingPositionsToBeReturned = 1;
  
  			
  			int numberOfTickersForTrading = 1;
  			int[] numberOfTickersInEachSignalingPortfolio =
! 				new int[] { 1 , 1 , 1 };
! //				new int[] { 1 };
  			
  			DecoderForLinearRegressionTestingPositions decoderForWeightedPositions =
***************
*** 175,178 ****
--- 175,180 ----
  			this.fitnessEvaluator =
  				new LinearRegressionFitnessEvaluator( new LinearRegressionSetupManager() );
+ 			this.fitnessEvaluator =
+ 				new PRESSBasedFitnessEvaluator( new LinearRegressionSetupManager() );
  			
  			// parameters for the genetic optimizer
***************
*** 187,192 ****
  			populationSizeForGeneticOptimizer = 300;
  			generationNumberForGeneticOptimizer = 2;
! 			populationSizeForGeneticOptimizer = 1000;
! 			generationNumberForGeneticOptimizer = 3;
  
  			
--- 189,194 ----
  			populationSizeForGeneticOptimizer = 300;
  			generationNumberForGeneticOptimizer = 2;
! //			populationSizeForGeneticOptimizer = 10000;
! 			generationNumberForGeneticOptimizer = 6;
  
  			
***************
*** 272,276 ****
  					maxTimeSpanToLookAhead );
  
! 			double minForecastedReturn = 0.00002F;			
  			IEntryStrategy longAndShortBasedOnAverageExpectedReturn =
  				new EntryStrategyBasedOnForecastedReturn(
--- 274,278 ----
  					maxTimeSpanToLookAhead );
  
! 			double minForecastedReturn = 0.003F;			
  			IEntryStrategy longAndShortBasedOnAverageExpectedReturn =
  				new EntryStrategyBasedOnForecastedReturn(
***************
*** 332,338 ****
  //			lastDateTime = new DateTime( 2006 , 4 , 5 );
  			firstDateTime = new DateTime( 2004 , 5 , 1 );
! 			lastDateTime = new DateTime( 2004 , 6 , 30 );
  
! 			double maxRunningHours = 1.5;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 334,340 ----
  //			lastDateTime = new DateTime( 2006 , 4 , 5 );
  			firstDateTime = new DateTime( 2004 , 5 , 1 );
! 			lastDateTime = new DateTime( 2004 , 5 , 31 );
  
! 			double maxRunningHours = 2;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =