[Quantproject-developers] Re: [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

[Glauco S. <gl...@my...>]

Millo,

per permettermi di provare lo script qua da me, per favore, vedi se puoi 
renderlo quanto piu' possibile indipendente dal tuo stato locale. Intendo:
- portare tutti i parametri dello script in un punto solo (indice di 
riferimento, data iniziale, data finale, eventuali altri; magari passati al 
costruttore del RunEfficientCTOPortfolio ... )
- evitare, se possibile, riferimenti a path sul tuo PC (o, magari, portare 
anche quello come parametro ben "isolato")

At 07:56 PM 2/27/2005 +0000, you wrote:
>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 ));
>
>       }
>
>
>
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