[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.10,1.11 EndOfDayTimerHandlerCTC.cs,1.3,1.4 EndOfDayTimerHandlerCTO.cs,1.7,1.8 GenomeManagerForEfficientPortfolio.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22306/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTO.cs 
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Updated files for the EfficientPortfolio script.

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerCTO.cs	11 Apr 2005 18:52:31 -0000	1.7
--- EndOfDayTimerHandlerCTO.cs	14 Apr 2005 18:38:28 -0000	1.8
***************
*** 70,74 ****
          if(ticker != null)
          {  
!           this.AddOrderForTicker( ticker );
            this.lastChosenTickers[idx] = ticker;
          }
--- 70,74 ----
          if(ticker != null)
          {  
!           this.addOrderForTicker( ticker );
            this.lastChosenTickers[idx] = ticker;
          }
***************
*** 145,150 ****
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        */
!      
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
                                        currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
--- 145,153 ----
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        */
!      	SelectorByWinningOpenToClose selectorByWinningOpenToClose = 
!      					new SelectorByWinningOpenToClose(this.tickerGroupID, false, currentDate,
!      		                                 currentDate, this.numberOfEligibleTickers);
!      	DataTable winningOpenToCloseTickers = selectorByWinningOpenToClose.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(winningOpenToCloseTickers, false,
                                        currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** EndOfDayTimerHandler.cs	11 Apr 2005 18:52:32 -0000	1.10
--- EndOfDayTimerHandler.cs	14 Apr 2005 18:38:27 -0000	1.11
***************
*** 100,104 ****
      }
  		
!     public virtual void AddOrderForTicker(string ticker )
      {
   
--- 100,104 ----
      }
  		
!     protected virtual void addOrderForTicker(string ticker )
      {
   

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerForEfficientPortfolio.cs	11 Apr 2005 18:52:31 -0000	1.4
--- GenomeManagerForEfficientPortfolio.cs	14 Apr 2005 18:38:28 -0000	1.5
***************
*** 80,84 ****
      {
        get{return this.portfolioType;}
!       set{this.portfolioType = value;}
      }
      
--- 80,84 ----
      {
        get{return this.portfolioType;}
!       //set{this.portfolioType = value;}
      }
      
***************
*** 107,122 ****
      public virtual 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));
-       if(this.portfolioType == PortfolioType.OnlyLong)
-          returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
-       else//only short orders are permitted
-       	returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
        
        return returnValue;
      }
--- 107,131 ----
      public virtual double GetFitnessValue(Genome genome)
      {
!       double returnValue = 0;
        double portfolioVariance = this.getPortfolioVariance(genome.Genes());
        double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
        
+       if(!Double.IsInfinity(portfolioVariance) ||
+          !Double.IsInfinity(portfolioRateOfReturn) ||
+          !Double.IsNaN(portfolioVariance) ||
+          !Double.IsNaN(portfolioRateOfReturn))
+       //variance and rate of return are 
+       //double values computed in the right way
+       {
+ 	      this.variance = portfolioVariance;
+       	this.rateOfReturn = portfolioRateOfReturn;
+       	NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
+ 	      if(this.portfolioType == PortfolioType.OnlyLong)
+ 	         //returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
+ 	      	returnValue = 1.0 - normal.GetProbability(this.targetPerformance);
+ 	      else//only short orders are permitted
+ 	      	//returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
+ 	      	returnValue = normal.GetProbability(this.targetPerformance);
+       }
        return returnValue;
      }

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerCTC.cs	11 Apr 2005 18:52:30 -0000	1.3
--- EndOfDayTimerHandlerCTC.cs	14 Apr 2005 18:38:27 -0000	1.4
***************
*** 136,140 ****
          this.lastChosenTickers[idx] = ticker;
          if(ticker != null)
!            this.AddOrderForTicker( ticker );
          idx++;
        }
--- 136,140 ----
          this.lastChosenTickers[idx] = ticker;
          if(ticker != null)
!            this.addOrderForTicker( ticker );
          idx++;
        }