[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ComparableAc
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From: Glauco S. <gla...@us...> - 2005-01-20 01:19:34
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3810/b7_Scripts/WalkForwardTesting/WalkForwardOneRank Modified Files: ComparableAccount.cs Log Message: - bug fixed: proper max acceptable drop down is used now - bug fixed: proper fitness value is computed now Index: ComparableAccount.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ComparableAccount.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** ComparableAccount.cs 9 Jan 2005 22:17:19 -0000 1.4 --- ComparableAccount.cs 20 Jan 2005 01:19:24 -0000 1.5 *************** *** 36,40 **** public class ComparableAccount : Account { ! private double maxAcceptableDrawDown = 0.3; private IHistoricalQuoteProvider historicalQuoteProvider = --- 36,40 ---- public class ComparableAccount : Account { ! private double maxAcceptableDrawDown = 30; private IHistoricalQuoteProvider historicalQuoteProvider = *************** *** 70,74 **** else // max draw down is acceptable and the strategy is better than buy and hold ! returnValue = this.accountReport.Summary.TotalPnl - this.accountReport.Summary.BuyAndHoldPercentageReturn; return returnValue; --- 70,74 ---- else // max draw down is acceptable and the strategy is better than buy and hold ! returnValue = this.accountReport.Summary.ReturnOnAccount - this.accountReport.Summary.BuyAndHoldPercentageReturn; return returnValue; |