[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientCTOPortfolio.cs,1.1,1.2 RunEfficientCTOPortfolio.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11480/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientCTOPortfolio.cs 
	RunEfficientCTOPortfolio.cs 
Log Message:
Script based on efficient portfolio theory: 
modified GetFitnessValue implementation for the IGenomeManager used by this script. Now it is maximized a probability value. 

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerForEfficientCTOPortfolio.cs	1 Dec 2004 22:40:03 -0000	1.1
--- GenomeManagerForEfficientCTOPortfolio.cs	14 Dec 2004 21:25:45 -0000	1.2
***************
*** 104,115 ****
      {
        //parameters used to balance the rate of return against variance
!       double a=2.5, b=2.0; 
        double portofolioVariance = this.getPortfolioVariance(genome.Genes());
        double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
        this.variance = portofolioVariance;
        this.rateOfReturn = portfolioRateOfReturn;
!       
!       double returnValue = System.Math.Pow(((this.targetStdDev*this.targetStdDev)/portofolioVariance),a)*
!                            System.Math.Pow(System.Math.Max(0.0,(portfolioRateOfReturn/this.targetPerformance)),b); 
        return returnValue;
      }
--- 104,116 ----
      {
        //parameters used to balance the rate of return against variance
!       //double a=2.5, b=2.0; 
        double portofolioVariance = this.getPortfolioVariance(genome.Genes());
        double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
        this.variance = portofolioVariance;
        this.rateOfReturn = portfolioRateOfReturn;
!       NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portofolioVariance));
!       double returnValue = normal.GetProbability(this.targetPerformance*0.5,this.targetPerformance*1.5);
!       //double returnValue = System.Math.Pow(((this.targetStdDev*this.targetStdDev)/portofolioVariance),a)*
!                            //System.Math.Pow(System.Math.Max(0.0,(portfolioRateOfReturn/this.targetPerformance)),b); 
        return returnValue;
      }
***************
*** 154,157 ****
--- 155,169 ----
      public object Decode(Genome genome)
      {
+       
+       string[] arrayOfTickers = new string[genome.Genes().Length];
+       int indexOfTicker;
+       for(int index = 0; index < genome.Genes().Length; index++)
+       {
+         indexOfTicker = (int)genome.Genes().GetValue(index);
+         arrayOfTickers[index] = (string)this.setOfTickers.Rows[indexOfTicker][0];
+       }
+       return arrayOfTickers;
+       
+       /*old implementation, to be used for output to console
        string sequenceOfTickers = ""; 
        object returnValue;
***************
*** 164,167 ****
--- 176,181 ----
                          System.Math.Sqrt(this.Variance) + ")";
        return returnValue;
+       */
+       
      }
      // end of implementation of IGenomeManager

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientCTOPortfolio.cs	1 Dec 2004 22:40:03 -0000	1.1
--- RunEfficientCTOPortfolio.cs	14 Dec 2004 21:25:46 -0000	1.2
***************
*** 22,47 ****
  
  using System;
- using System.Data;
- using QuantProject.ADT.Optimizing.Genetic;
- 
- /*
  using System.Collections;
  using QuantProject.ADT;
  using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Testing;
! using QuantProject.Data.DataTables;
  using QuantProject.Data.DataProviders;
- using QuantProject.Presentation.Reporting.WindowsForm;
- */
- using QuantProject.Business.Scripting;
  using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
  	/// <summary>
! 	/// Script to find the efficient close to open daily portfolio
  	/// </summary>
  	public class RunEfficientCTOPorfolio : Script
--- 22,52 ----
  
  using System;
  using System.Collections;
+ using System.Data;
  using QuantProject.ADT;
+ using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Financial.Instruments;
+ using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Scripting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Testing;
! using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
+ using QuantProject.Presentation.Reporting.WindowsForm;
+ 
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
! 	/// the efficient close to open daily portfolio
! 	/// The efficient portfolio's generation rules
! 	/// (contained in the EndOfDayTimerHandler) are:
! 	/// - choose the most liquid tickers;
! 	/// - choose the most efficient portfolio among these tickers
  	/// </summary>
  	public class RunEfficientCTOPorfolio : Script
***************
*** 49,64 ****
      //DateTime lastDate = DateTime.Now.Date;
  		//DateTime firstDate = DateTime.Now.Date.AddDays(-60);
      DateTime lastDate = new DateTime(2004,11,25);
      DateTime firstDate = new DateTime(2004,9,25);
      
  		
      public RunEfficientCTOPorfolio()
  		{
! 			
  		}
      #region Run
      
        
!     public override void Run()
      {
        //"STOCKMI"
--- 54,89 ----
      //DateTime lastDate = DateTime.Now.Date;
  		//DateTime firstDate = DateTime.Now.Date.AddDays(-60);
+     //these two members are used by the old script
      DateTime lastDate = new DateTime(2004,11,25);
      DateTime firstDate = new DateTime(2004,9,25);
+     //
      
+     private ReportTable reportTable;
+     private EndOfDayDateTime startDateTime;
+     private EndOfDayDateTime endDateTime;
+     private int numIntervalDays;// number of days for the equity line graph
+ 
+     //private ProgressBarForm progressBarForm;
+ 
+     private EndOfDayTimerHandler endOfDayTimerHandler;
+ 
+     private Account account;
+ 		
+     private IEndOfDayTimer endOfDayTimer;
  		
      public RunEfficientCTOPorfolio()
  		{
!       //this.progressBarForm = new ProgressBarForm();
!       this.reportTable = new ReportTable( "Summary_Reports" );
!       this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 3 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run
      
        
!     private void run_FindBestPortfolioForNextTrade()
      {
        //"STOCKMI"
***************
*** 74,80 ****
--- 99,199 ----
        GO.MutationRate = 0.05;
        GO.Run(true);
+       //it has to be changed the decode implementation for this IGenomeManager
        System.Console.WriteLine("\n\nThe best solution found is: " + (string)GO.BestGenome.Meaning +
          " with {0} generations", GO.GenerationCounter);
  		}
+ 
+     private void run_initializeEndOfDayTimer()
+     {
+       this.endOfDayTimer =
+         new HistoricalEndOfDayTimer( this.startDateTime );
+     }
+     private void run_initializeAccount()
+     {
+       this.account = new Account( "EfficientCloseToOpenPortfolio" , this.endOfDayTimer ,
+         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ) ,
+         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ) );
+      
+     }
+     private void run_initializeEndOfDayTimerHandler()
+     {
+       this.endOfDayTimerHandler = new EndOfDayTimerHandler(70,6,this.account );
+     }
+     /*
+     private  void inSampleNewProgressEventHandler(
+       Object sender , NewProgressEventArgs eventArgs )
+     {
+       this.progressBarForm.ProgressBarInSample.Value = eventArgs.CurrentProgress;
+       this.progressBarForm.ProgressBarInSample.Refresh();
+     }
+     private void run_initializeProgressHandlers()
+     {
+       this.endOfDayTimerHandler.InSampleNewProgress +=
+         new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
+     }
+     */
+ 		#region oneHourAfterMarketCloseEventHandler
+     /*
+     private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
+       IEndOfDayTimer endOfDayTimer )
+     {
+       long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
+         this.startDateTime.DateTime )).TotalDays );
+       long totalDays = Convert.ToInt64( ((TimeSpan)( this.endDateTime.DateTime - 
+         this.startDateTime.DateTime )).TotalDays );
+       if ( Math.Floor( elapsedDays / totalDays * 100 ) >
+         Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
+         // a new out of sample time percentage point has been elapsed
+         this.progressBarForm.ProgressBarOutOfSample.Value =
+           Convert.ToInt16( Math.Floor( elapsedDays / totalDays * 100 ) );
+     }
+     public void oneHourAfterMarketCloseEventHandler(
+       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+     {
+       this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
+         ( IEndOfDayTimer )sender );
+       if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
+         this.endDateTime.DateTime )
+       {
+         // the simulation has reached the ending date
+         this.account.EndOfDayTimer.Stop();
+         this.progressBarForm.Close();
+       }
+     }
+     */
+ 		#endregion
+ 
+     public override void Run()
+     {
+       //old script
+       //this.run_FindBestPortfolioForNextTrade();
+       
+       Report report;
+       run_initializeEndOfDayTimer();
+       run_initializeAccount();
+       run_initializeEndOfDayTimerHandler();
+       //run_initializeProgressHandlers();
+       this.endOfDayTimer.MarketOpen +=
+         new MarketOpenEventHandler(
+         this.endOfDayTimerHandler.MarketOpenEventHandler);  
+       
+       this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
+         new FiveMinutesBeforeMarketCloseEventHandler(
+         this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
+ 
+       this.endOfDayTimer.OneHourAfterMarketClose +=
+         new OneHourAfterMarketCloseEventHandler(
+         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
+       //this.endOfDayTimer.OneHourAfterMarketClose +=
+         //new OneHourAfterMarketCloseEventHandler(
+         //this.oneHourAfterMarketCloseEventHandler );
+       
+       //this.progressBarForm.Show();
+       this.endOfDayTimer.Start();
+       report = new Report( this.account );
+       report.Show("CTO_Portfolio" , this.numIntervalDays , this.startDateTime , "CTO_Portfolio" );
+ 
+       
+     }
      #endregion 
  	}