[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.1,1.2 EndOfDayTimerHandlerCTO.cs,1.3,1.4 GenomeManagerForEfficientCTOPortfolio.cs,1.4,1.5 RunEfficientCTOPortfolio.cs,1.13,1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTO.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	RunEfficientCTOPortfolio.cs 
Log Message:
Advanced Ticker selection has been re-organized in a more rational and object-oriented way
(NOTE that at the moment Quantdownloader solution won't compile)

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerCTO.cs	12 Feb 2005 19:16:46 -0000	1.3
--- EndOfDayTimerHandlerCTO.cs	27 Feb 2005 19:56:08 -0000	1.4
***************
*** 94,98 ****
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketBuy, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
--- 94,98 ----
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketSellShort, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
***************
*** 126,130 ****
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);     
        
        this.marketOpenEventHandler_orderChosenTickers();
--- 126,130 ----
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);     
        
        this.marketOpenEventHandler_orderChosenTickers();
***************
*** 172,184 ****
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, this.tickerGroupID , currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       TickerSelector quotedInEachMarketDayFromMostLiquid = 
!         new TickerSelector( this.eligibleTickers,
!         SelectionType.QuotedInEachMarketDay, false, "",
!         currentDate.AddDays(-this.numDaysForLiquidity),currentDate,
!         this.numberOfEligibleTickers);
!       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 172,182 ----
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
!                                       currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
!                                    false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers, "^MIBTEL");
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerForEfficientCTOPortfolio.cs	6 Feb 2005 20:14:01 -0000	1.4
--- GenomeManagerForEfficientCTOPortfolio.cs	27 Feb 2005 19:56:08 -0000	1.5
***************
*** 95,98 ****
--- 95,115 ----
        return returnValue; 
      }
+ 
+     public override double GetFitnessValue(Genome genome)
+     {
+       double returnValue;
+       double portfolioVariance = this.getPortfolioVariance(genome.Genes());
+       double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
+       this.variance = portfolioVariance;
+       this.rateOfReturn = portfolioRateOfReturn;
+       
+       NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
+       //for long portfolio
+       //returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
+       //for short portfolio
+       returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
+       //returnValue = 1 - normal.GetProbability(this.targetPerformance);
+       return returnValue;
+     }
      
    }

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerCTC.cs	30 Jan 2005 19:53:12 -0000	1.1
--- EndOfDayTimerHandlerCTC.cs	27 Feb 2005 19:56:08 -0000	1.2
***************
*** 88,100 ****
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, this.tickerGroupID , currentDate.AddDays(-90), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       TickerSelector quotedInEachMarketDayFromMostLiquid = 
!         new TickerSelector( this.eligibleTickers,
!         SelectionType.QuotedInEachMarketDay, false, "",
!         currentDate.AddDays(-90),currentDate,
!         this.numberOfEligibleTickers);
!       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 88,98 ----
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID,false,
!                                       currentDate.AddDays(-90), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
!                                   false, currentDate.AddDays(-90),currentDate,
!                                   this.numberOfEligibleTickers, "^MIBTEL");
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** RunEfficientCTOPortfolio.cs	15 Feb 2005 19:15:36 -0000	1.13
--- RunEfficientCTOPortfolio.cs	27 Feb 2005 19:56:08 -0000	1.14
***************
*** 36,39 ****
--- 36,40 ----
  using QuantProject.Business.Testing;
  using QuantProject.Business.Timing;
+ using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors; 
***************
*** 98,104 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 1 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
--- 99,105 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 9 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 9 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
***************
*** 109,113 ****
      {
        //"STOCKMI"
!       TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
                                                      false, "STOCKMI", firstDate, lastDate, 70);
        DataTable tickers = mostLiquid.GetTableOfSelectedTickers();
--- 110,115 ----
      {
        //"STOCKMI"
!       /*
!        * SelectorByLiquidity mostLiquid = new TickerSelector(SelectionType.Liquidity,
                                                      false, "STOCKMI", firstDate, lastDate, 70);
        DataTable tickers = mostLiquid.GetTableOfSelectedTickers();
***************
*** 123,126 ****
--- 125,130 ----
        System.Console.WriteLine("\n\nThe best solution found is: " + (string)GO.BestGenome.Meaning +
          " with {0} generations", GO.GenerationCounter);
+         */
+       ;
  		}
  
***************
*** 136,140 ****
  					this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) );
       
      }
--- 140,144 ----
  					this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
       
      }