Re:[Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCT

[marco\.milletti\@l <mar...@li...>]

> 
> Millo,
> 
> per permettermi di provare lo script qua da me, per f=
avore, vedi se puoi 
> renderlo quanto piu' possibile indipendente dal t=
uo stato locale. Intendo:
> - portare tutti i parametri dello script in =
un punto solo (indice di 
> riferimento, data iniziale, data finale, eve=
ntuali altri; magari passati al 
> costruttore del RunEfficientCTOPortfo=
lio ... )
> - evitare, se possibile, riferimenti a path sul tuo PC (o, m=
agari, portare 
> anche quello come parametro ben "isolato")

Sapevo c=
he me l'avresti chiesto ... porca zoccola, bisognerebbe aver pi=F9 tempo =
...
Mi sembrava pi=F9 urgente sistemare il TickerSelector e dintorni. An=
che perch=E8 tra un po' scriver=F2 la classe per fare la selezione sui ti=
cker con un prezzo compreso in un certo intervallo.

Adesso ho xp pro i=
n ufficio su un pentium 4 da 2.66 con 504 MB di RAM.
Tra un po' sar=F2 o=
perativo anche qui.

> At 07:56 PM 2/27/2005 +0000, you wrote:
> >Upda=
te of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTestin=
g
> >In directory 
> >sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b7_=
Scripts/TickerSelectionTesting
> >
> >Modified Files:
> >         EndO=
fDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTO.cs
> >         GenomeMana=
gerForEfficientCTOPortfolio.cs
> >         RunEfficientCTOPortfolio.cs=0D
=
> >Log Message:
> >Advanced Ticker selection has been re-organized in a =
more rational and 
> >object-oriented way
> >(NOTE that at the moment Q=
uantdownloader solution won't compile)
> >
> >Index: EndOfDayTimerHandl=
erCTO.cs
> >=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> >RC=
S file: 
> >/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectio=
nTesting/EndOfDayTimerHandlerCTO.cs,v
> >retrieving revision 1.3
> >ret=
rieving revision 1.4
> >diff -C2 -d -r1.3 -r1.4
> >*** EndOfDayTimerHan=
dlerCTO.cs  12 Feb 2005 19:16:46 -0000      1.3
> >--- EndOfDayTimerHand=
lerCTO.cs  27 Feb 2005 19:56:08 -0000      1.4
> >***************
> >**=
* 94,98 ****
> >         long quantity =3D
> >           Convert.ToInt6=
4( Math.Floor( cashForSinglePosition / 
> > this.account.DataStreamer.Ge=
tCurrentBid( ticker ) ) );
> >!       Order order =3D new Order( OrderTy=
pe.MarketBuy, new Instrument( 
> >ticker ) , quantity );
> >         th=
is.orders.Add(order);
> >       }
> >--- 94,98 ----
> >         long q=
uantity =3D
> >           Convert.ToInt64( Math.Floor( cashForSinglePosi=
tion / 
> > this.account.DataStreamer.GetCurrentBid( ticker ) ) );
> >!=
       Order order =3D new Order( OrderType.MarketSellShort, new 
> >Ins=
trument( ticker ) , quantity );
> >         this.orders.Add(order);
> >=
       }
> >***************
> >*** 126,130 ****
> >       {
> >      =
   if(this.orders.Count =3D=3D 0 && this.account.Transactions.Count =3D=3D=
 0)
> >!         this.account.AddCash(15000);
> >
> >         this.mar=
ketOpenEventHandler_orderChosenTickers();
> >--- 126,130 ----
> >      =
 {
> >         if(this.orders.Count =3D=3D 0 && this.account.Transaction=
s.Count =3D=3D 0)
> >!         this.account.AddCash(30000);
> >
> >   =
      this.marketOpenEventHandler_orderChosenTickers();
> >*************=
**
> >*** 172,184 ****
> >       private DataTable getSetOfTickersToBeO=
ptimized(DateTime currentDate)
> >       {
> >!       TickerSelector mo=
stLiquid =3D new 
> >TickerSelector(SelectionType.Liquidity,
> >!      =
   false, this.tickerGroupID , 
> >currentDate.AddDays(-this.numDaysForL=
iquidity), currentDate, 
> >this.numberOfEligibleTickers);
> >         =
this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers();
> >!   =
    TickerSelector quotedInEachMarketDayFromMostLiquid =3D
> >!         =
new TickerSelector( this.eligibleTickers,
> >!         SelectionType.Quo=
tedInEachMarketDay, false, "",
> >!         currentDate.AddDays(-this.nu=
mDaysForLiquidity),currentDate,
> >!         this.numberOfEligibleTicker=
s);
> >!       quotedInEachMarketDayFromMostLiquid.MarketIndex =3D "^MIB=
TEL";
> >         return 
> > quotedInEachMarketDayFromMostLiquid.GetTa=
bleOfSelectedTickers();
> >       }
> >--- 172,182 ----
> >       priv=
ate DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
> >    =
   {
> >!       SelectorByLiquidity mostLiquid =3D new 
> >SelectorByLi=
quidity(this.tickerGroupID, false,
> >! 
> >currentDate.AddDays(-this.n=
umDaysForLiquidity), currentDate, 
> >this.numberOfEligibleTickers);
> =
>         this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers()=
;
> >!       SelectorByQuotationAtEachMarketDay 
> >quotedInEachMarketD=
ayFromMostLiquid =3D
> >!         new SelectorByQuotationAtEachMarketDay=
( this.eligibleTickers,
> >!                                    false, =0D
=
> >currentDate.AddDays(-this.numDaysForLiquidity),
> >!                 =
                    currentDate, 
> >this.numberOfEligibleTickers, "^MIB=
TEL");
> >         return 
> > quotedInEachMarketDayFromMostLiquid.GetT=
ableOfSelectedTickers();
> >       }
> >
> >Index: GenomeManagerForEff=
icientCTOPortfolio.cs
> >=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D
> >RCS file: 
> >/cvsroot/quantproject/QuantProject/b7_Scripts/Tick=
erSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
> >retriev=
ing revision 1.4
> >retrieving revision 1.5
> >diff -C2 -d -r1.4 -r1.5=0D
=
> >*** GenomeManagerForEfficientCTOPortfolio.cs    6 Feb 2005 20:14:01 =0D
=
> >-0000       1.4
> >--- GenomeManagerForEfficientCTOPortfolio.cs    27=
 Feb 2005 19:56:08 
> >-0000      1.5
> >***************
> >*** 95,98 =
****
> >--- 95,115 ----
> >         return returnValue;
> >       }=0D
=
> >+
> >+     public override double GetFitnessValue(Genome genome)
> >=
+     {
> >+       double returnValue;
> >+       double portfolioVaria=
nce =3D this.getPortfolioVariance(genome.Genes());
> >+       double por=
tfolioRateOfReturn =3D 
> >this.getPortfolioRateOfReturn(genome.Genes())=
;
> >+       this.variance =3D portfolioVariance;
> >+       this.rateO=
fReturn =3D portfolioRateOfReturn;
> >+
> >+       NormalDistribution n=
ormal =3D new 
> >NormalDistribution(portfolioRateOfReturn, Math.Sqrt(po=
rtfolioVariance));
> >+       //for long portfolio
> >+       //returnV=
alue =3D 
> >normal.GetProbability(this.targetPerformance*0.75,this.targ=
etPerformance*1.25);
> >+       //for short portfolio
> >+       return=
Value =3D 
> >normal.GetProbability(-this.targetPerformance*1.25,-this.t=
argetPerformance*0.75);
> >+       //returnValue =3D 1 - normal.GetProba=
bility(this.targetPerformance);
> >+       return returnValue;
> >+    =
 }
> >
> >     }
> >
> >Index: EndOfDayTimerHandlerCTC.cs
> >=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> >RCS file: 
> >/cvsroot/qu=
antproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHa=
ndlerCTC.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 1=
9:56:08 -0000      1.2
> >***************
> >*** 88,100 ****
> >      =
 private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
> =
>       {
> >!       TickerSelector mostLiquid =3D new 
> >TickerSelect=
or(SelectionType.Liquidity,
> >!         false, this.tickerGroupID , cur=
rentDate.AddDays(-90), 
> >currentDate, this.numberOfEligibleTickers);=0D
=
> >         this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers=
();
> >!       TickerSelector quotedInEachMarketDayFromMostLiquid =3D=0D
=
> >!         new TickerSelector( this.eligibleTickers,
> >!         Sele=
ctionType.QuotedInEachMarketDay, false, "",
> >!         currentDate.Add=
Days(-90),currentDate,
> >!         this.numberOfEligibleTickers);
> >!=
       quotedInEachMarketDayFromMostLiquid.MarketIndex =3D "^MIBTEL";
> =
>         return 
> > quotedInEachMarketDayFromMostLiquid.GetTableOfSele=
ctedTickers();
> >       }
> >--- 88,98 ----
> >       private DataTab=
le getSetOfTickersToBeOptimized(DateTime currentDate)
> >       {
> >! =
      SelectorByLiquidity mostLiquid =3D new 
> >SelectorByLiquidity(thi=
s.tickerGroupID,false,
> >!                                       curren=
tDate.AddDays(-90), 
> >currentDate, this.numberOfEligibleTickers);
> >=
         this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers();=

> >!       SelectorByQuotationAtEachMarketDay 
> >quotedInEachMarketDa=
yFromMostLiquid =3D
> >!         new SelectorByQuotationAtEachMarketDay(=
this.eligibleTickers,
> >!                                   false, 
> =
>currentDate.AddDays(-90),currentDate,
> >!                             =
      this.numberOfEligibleTickers, "^MIBTEL");
> >         return 
> >=
 quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
> >   =
    }
> >
> >Index: RunEfficientCTOPortfolio.cs
> >=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> >RCS file: 
> >/cvsroot/quantproject/Q=
uantProject/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 19:15:3=
6 -0000      1.13
> >--- RunEfficientCTOPortfolio.cs 27 Feb 2005 19:56:0=
8 -0000      1.14
> >***************
> >*** 36,39 ****
> >--- 36,40 --=
--
> >   using QuantProject.Business.Testing;
> >   using QuantProject.=
Business.Timing;
> >+ using QuantProject.Business.Financial.Accounting.C=
ommissions;
> >   using QuantProject.Data.DataProviders;
> >   using Qu=
antProject.Data.Selectors;
> >***************
> >*** 98,104 ****
> >  =
       this.reportTable =3D new ReportTable( "Summary_Reports" );
> >   =
      this.startDateTime =3D new EndOfDayDateTime(
> >!         new Date=
Time( 2004 , 1 , 1 ) , 
> >EndOfDaySpecificTime.FiveMinutesBeforeMarketC=
lose );
> >         this.endDateTime =3D new EndOfDayDateTime(
> >!    =
     new DateTime( 2004 , 1 , 10 ) , 
> >EndOfDaySpecificTime.OneHourAft=
erMarketClose );
> >         //this.numIntervalDays =3D 3;
> >         =
        }
> >--- 99,105 ----
> >         this.reportTable =3D new Repor=
tTable( "Summary_Reports" );
> >         this.startDateTime =3D new EndO=
fDayDateTime(
> >!         new DateTime( 2004 , 9 , 1 ) , 
> >EndOfDayS=
pecificTime.FiveMinutesBeforeMarketClose );
> >         this.endDateTime=
 =3D new EndOfDayDateTime(
> >!         new DateTime( 2004 , 9 , 10 ) , =

> >EndOfDaySpecificTime.OneHourAfterMarketClose );
> >         //this.=
numIntervalDays =3D 3;
> >                 }
> >***************
> >***=
 109,113 ****
> >       {
> >         //"STOCKMI"
> >!       TickerSel=
ector mostLiquid =3D new 
> >TickerSelector(SelectionType.Liquidity,
> =
>                                                       false, "STOCKMI",=
 
> > firstDate, lastDate, 70);
> >         DataTable tickers =3D mostL=
iquid.GetTableOfSelectedTickers();
> >--- 110,115 ----
> >       {
> >=
         //"STOCKMI"
> >!       /*
> >!        * SelectorByLiquidity mo=
stLiquid =3D new 
> >TickerSelector(SelectionType.Liquidity,
> >       =
                                                false, "STOCKMI", 
> > f=
irstDate, lastDate, 70);
> >         DataTable tickers =3D mostLiquid.Ge=
tTableOfSelectedTickers();
> >***************
> >*** 123,126 ****
> >-=
-- 125,130 ----
> >         System.Console.WriteLine("\n\nThe best solut=
ion found is: " + 
> > (string)GO.BestGenome.Meaning +
> >           " =
with {0} generations", GO.GenerationCounter);
> >+         */
> >+     =
  ;
> >                 }
> >
> >***************
> >*** 136,140 ****=0D
=
> >                                         this.historicalQuoteProvider =
) ,
> >           new HistoricalEndOfDayOrderExecutor( this.endOfDayTime=
r ,
> >!                                       this.historicalQuoteProvi=
der ) );
> >
> >       }
> >--- 140,144 ----
> >                     =
                    this.historicalQuoteProvider ) ,
> >           new H=
istoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
> >!               =
                        this.historicalQuoteProvider ));
> >
> >       =
}
> >
> >
> >
> >----------------------------------------------------=
---
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> 
> 
> 
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> =0A=0A=0A=0A____________________________________________=
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