[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.5,1.6 RunEfficientCTOPortfolio.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12918/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs RunEfficientCTOPortfolio.cs 
Log Message:
Updated script for TickerSelection Testing, using Efficient portfolio theory

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandler.cs	27 Dec 2004 18:23:51 -0000	1.5
--- EndOfDayTimerHandler.cs	6 Jan 2005 18:58:36 -0000	1.6
***************
*** 45,51 ****
      private DataTable eligibleTickers;
      private string[] chosenTickers;
! 
      private int numberOfEligibleTickers;
      private int numberOfTickersToBeChosen;
  		
      private Account account;
--- 45,53 ----
      private DataTable eligibleTickers;
      private string[] chosenTickers;
!     
!     private string tickerGroupID;
      private int numberOfEligibleTickers;
      private int numberOfTickersToBeChosen;
+     private int generationNumberForGeneticOptimizer;
  		
      private Account account;
***************
*** 62,72 ****
      }
  		
!     public EndOfDayTimerHandler(int numberOfEligibleTickers, 
!       int numberOfTickersToBeChosen, 
!       Account account )
      {
        this.numberOfEligibleTickers = numberOfEligibleTickers;
        this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
        this.account = account;
        this.orders = new ArrayList();
      }
--- 64,76 ----
      }
  		
!     public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, Account account,
!                                 int generationNumberForGeneticOptimizer)
      {
+       this.tickerGroupID = tickerGroupID;
        this.numberOfEligibleTickers = numberOfEligibleTickers;
        this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
        this.account = account;
+       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
        this.orders = new ArrayList();
      }
***************
*** 157,170 ****
      {
        TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, "STOCKMI", currentDate.AddDays(-30), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(this.eligibleTickers,currentDate.AddDays(-30), 
          currentDate, 
          this.numberOfTickersToBeChosen, 0.005, 0.05);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 2;
!       GO.MutationRate = 0.05;
        GO.Run(false);
        this.chosenTickers = (string[])GO.BestGenome.Meaning;
--- 161,182 ----
      {
        TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, this.tickerGroupID , currentDate.AddDays(-30), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
+       TickerSelector quotedInEachMarketDayFromMostLiquid = 
+           new TickerSelector( this.eligibleTickers,
+                                SelectionType.QuotedInEachMarketDay, false, "",
+                                currentDate.AddDays(-30),currentDate,
+                                this.numberOfEligibleTickers);
+       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";   
+       DataTable setOfTickersToBeOptimized =
+           quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
+       // to check this: it doesn't work !                               
        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized, currentDate.AddDays(-30), 
          currentDate, 
          this.numberOfTickersToBeChosen, 0.005, 0.05);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = this.generationNumberForGeneticOptimizer;
        GO.Run(false);
        this.chosenTickers = (string[])GO.BestGenome.Meaning;

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunEfficientCTOPortfolio.cs	29 Dec 2004 17:17:04 -0000	1.5
--- RunEfficientCTOPortfolio.cs	6 Jan 2005 18:58:38 -0000	1.6
***************
*** 77,84 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 20 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run
--- 77,84 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2000 , 11 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2000 , 11 , 4 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 2;
  		}
      #region Run
***************
*** 96,100 ****
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 7;
        GO.MutationRate = 0.05;
        GO.Run(true);
--- 96,100 ----
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 10;
        GO.MutationRate = 0.05;
        GO.Run(true);
***************
*** 118,122 ****
      private void run_initializeEndOfDayTimerHandler()
      {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandler(70,6,this.account );
      }
      /*
--- 118,122 ----
      private void run_initializeEndOfDayTimerHandler()
      {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandler("STOCKMI",70,6,this.account,10);
      }
      /*
***************
*** 172,176 ****
          this.endOfDayTimer.Stop();
          report = new Report( this.account );
!         report.Show("CTO_Portfolio" , this.numIntervalDays , this.endDateTime , "MSFT" );
  
        }
--- 172,177 ----
          this.endOfDayTimer.Stop();
          report = new Report( this.account );
!         report.Show("CTO_Portfolio" , this.numIntervalDays , this.endDateTime , "^MIBTEL" );
! 
  
        }