[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.1

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8284/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTO.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientPortfolio.cs PortfolioType.cs 
	RunEfficientPortfolio.cs 
Log Message:
Updated files for the EfficientPortfolio script:
- Fixed bug: now co-variance is computed;
- It is now possible to find efficient portfolios in which short or long positions can be taken on the behalf of genetic optimization's results .

Index: PortfolioType.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/PortfolioType.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PortfolioType.cs	11 Apr 2005 18:52:32 -0000	1.1
--- PortfolioType.cs	26 Apr 2005 19:02:14 -0000	1.2
***************
*** 32,36 ****
    {
      OnlyLong,
!     OnlyShort
    }
  }
--- 32,37 ----
    {
      OnlyLong,
!     OnlyShort,
!     ShortAndLong
    }
  }

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerCTO.cs	14 Apr 2005 18:38:28 -0000	1.8
--- EndOfDayTimerHandlerCTO.cs	26 Apr 2005 19:02:12 -0000	1.9
***************
*** 71,75 ****
          {  
            this.addOrderForTicker( ticker );
!           this.lastChosenTickers[idx] = ticker;
          }
          idx++;
--- 71,76 ----
          {  
            this.addOrderForTicker( ticker );
!           this.lastChosenTickers[idx] = 
!           		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
          }
          idx++;
***************
*** 145,159 ****
        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();
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
          new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                     false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers, this.benchmark);
        return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 146,168 ----
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        */
!      	/*SelectorByWinningOpenToClose selectorByWinningOpenToClose = 
       					new SelectorByWinningOpenToClose(this.tickerGroupID, false, currentDate,
       		                                 currentDate, this.numberOfEligibleTickers);
       	DataTable winningOpenToCloseTickers = selectorByWinningOpenToClose.GetTableOfSelectedTickers();
!       */
!      	SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
!                                       currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
!                                       this.numberOfEligibleTickers/2);
!       SelectorByOpenToCloseVolatility lessVolatile = 
!       	new SelectorByOpenToCloseVolatility(mostLiquid.GetTableOfSelectedTickers(),
!       	                                    false, currentDate.AddDays(-this.numDaysForLiquidity),
!       	                                    currentDate,
!       	                                    this.numberOfEligibleTickers/4);
!       
!       this.eligibleTickers = lessVolatile.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
          new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                     false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers/4, this.benchmark);
        return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** GenomeManagerForEfficientCTOPortfolio.cs	11 Apr 2005 18:52:31 -0000	1.7
--- GenomeManagerForEfficientCTOPortfolio.cs	26 Apr 2005 19:02:13 -0000	1.8
***************
*** 87,98 ****
      {
        float[] returnValue;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
        returnValue = ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(tickerQuotes, "quClose", "quOpen");
        for(int idx = 0; idx!= returnValue.Length; idx++)
        {
!         returnValue[idx] = returnValue[idx] - 1;
        }
        return returnValue; 
      }
     
    }
--- 87,102 ----
      {
        float[] returnValue;
!       float coefficient = this.getCoefficient(ticker);
!       string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
        returnValue = ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(tickerQuotes, "quClose", "quOpen");
+       
        for(int idx = 0; idx!= returnValue.Length; idx++)
        {
!       	returnValue[idx] = coefficient*(returnValue[idx] - 1);
        }
        return returnValue; 
      }
+     
     
    }

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunEfficientPortfolio.cs	17 Apr 2005 13:36:37 -0000	1.4
--- RunEfficientPortfolio.cs	26 Apr 2005 19:02:14 -0000	1.5
***************
*** 53,57 ****
    public class RunEfficientPorfolio
  	{
!     
      protected string tickerGroupID;
      protected int numberOfEligibleTickers;
--- 53,59 ----
    public class RunEfficientPorfolio
  	{
!     public static double MaxNumberOfHoursForScript = 10;
!     //if MaxNumberOfHoursForScript has elapsed and the script
!     //is still running, it will be stopped.
      protected string tickerGroupID;
      protected int numberOfEligibleTickers;
***************
*** 83,86 ****
--- 85,90 ----
      
      protected PortfolioType portfolioType;
+     
+     protected DateTime startingTimeForScript;
     	    
      public virtual string ScriptName
***************
*** 115,118 ****
--- 119,123 ----
       	this.targetReturn = targetReturn;
       	this.portfolioType = portfolioType;
+      	this.startingTimeForScript = DateTime.Now;
        //this.numIntervalDays = 3;
  		}
***************
*** 157,164 ****
  
        if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!          File.Exists(Application.ExecutablePath.Substring(0, Application.ExecutablePath.LastIndexOf('\\'))
! 								      + @"\StopScript.txt"))
!       //If you want to stop timer and save script until now, create 
!         //in bin dir a file named "StopScript.txt"
        {
          this.endOfDayTimer.Stop();
--- 162,168 ----
  
        if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!          DateTime.Now >= this.startingTimeForScript.AddHours(RunEfficientPorfolio.MaxNumberOfHoursForScript))
!       //last date is reached by the timer or MaxNumberOfHoursForScript hours
!       //are elapsed from the time script started
        {
          this.endOfDayTimer.Stop();

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerCTC.cs	14 Apr 2005 18:38:27 -0000	1.4
--- EndOfDayTimerHandlerCTC.cs	26 Apr 2005 19:02:11 -0000	1.5
***************
*** 134,138 ****
        foreach ( string ticker in this.chosenTickers )
        {
!         this.lastChosenTickers[idx] = ticker;
          if(ticker != null)
             this.addOrderForTicker( ticker );
--- 134,139 ----
        foreach ( string ticker in this.chosenTickers )
        {
!       	this.lastChosenTickers[idx] = 
!       			GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
          if(ticker != null)
             this.addOrderForTicker( ticker );

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerForEfficientCTCPortfolio.cs	11 Apr 2005 18:52:31 -0000	1.2
--- GenomeManagerForEfficientCTCPortfolio.cs	26 Apr 2005 19:02:12 -0000	1.3
***************
*** 79,83 ****
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
        float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
        float[] ratesOfReturns = new float[allAdjValues.Length/this.numDaysOfPortfolioLife + 1];
--- 79,85 ----
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       float coefficient = this.getCoefficient(ticker);
!       string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!     	Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
        float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
        float[] ratesOfReturns = new float[allAdjValues.Length/this.numDaysOfPortfolioLife + 1];
***************
*** 86,91 ****
        for(int idx = 0; idx + this.numDaysOfPortfolioLife < allAdjValues.Length; idx += this.numDaysOfPortfolioLife )
        {
!         ratesOfReturns[i] = allAdjValues[idx+this.numDaysOfPortfolioLife]/
!                             allAdjValues[idx] - 1;
          i++;
        }
--- 88,93 ----
        for(int idx = 0; idx + this.numDaysOfPortfolioLife < allAdjValues.Length; idx += this.numDaysOfPortfolioLife )
        {
!         ratesOfReturns[i] = (allAdjValues[idx+this.numDaysOfPortfolioLife]/
!       	                     allAdjValues[idx] - 1)*coefficient;
          i++;
        }

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** GenomeManagerForEfficientPortfolio.cs	19 Apr 2005 18:33:43 -0000	1.6
--- GenomeManagerForEfficientPortfolio.cs	26 Apr 2005 19:02:13 -0000	1.7
***************
*** 28,32 ****
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
! 
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
--- 28,32 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
! using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
***************
*** 43,46 ****
--- 43,47 ----
  
      protected DataTable setOfTickers;
+     protected int originalNumOfTickers;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
***************
*** 50,53 ****
--- 51,66 ----
      protected PortfolioType portfolioType;
      
+     static public string GetCleanTickerCode(string tickerModifiedCode)
+     {
+     	if(tickerModifiedCode.StartsWith("-"))
+     	//if the first char is "-"
+     	//each element of the array of rates of return is
+     	//multiplied by -1
+     		return tickerModifiedCode.Substring(1,tickerModifiedCode.Length -1);
+     	else
+     		return tickerModifiedCode;
+     		
+     }
+     
      //IGenomeManager implementation for properties 
      public int GenomeSize
***************
*** 92,96 ****
      {
        this.setOfTickers = setOfInitialTickers;
!  
        if(!this.setOfTickers.Columns.Contains("ArrayOfRatesOfReturn"))
          this.setOfTickers.Columns.Add("ArrayOfRatesOfReturn", System.Type.GetType("System.Array"));
--- 105,109 ----
      {
        this.setOfTickers = setOfInitialTickers;
!  			this.originalNumOfTickers = setOfInitialTickers.Rows.Count;
        if(!this.setOfTickers.Columns.Contains("ArrayOfRatesOfReturn"))
          this.setOfTickers.Columns.Add("ArrayOfRatesOfReturn", System.Type.GetType("System.Array"));
***************
*** 99,108 ****
        this.targetPerformance = targetPerformance;
        this.genomeSize = numberOfTickersInPortfolio;
        //each genes is the index for the setOfTickers table
        this.minValueForGenes = 0;
!       this.maxValueForGenes = this.setOfTickers.Rows.Count - 1;
!       this.portfolioType = portfolioType;
      }
      
      public virtual double GetFitnessValue(Genome genome)
      {
--- 112,167 ----
        this.targetPerformance = targetPerformance;
        this.genomeSize = numberOfTickersInPortfolio;
+       this.portfolioType = portfolioType;
+       this.setMinAndMaxValueForGenes();
+       this.set_SetOfInitialTickers();
+   
+     }
+     
+     
+     private void set_SetOfInitialTickers()
+     {
+       
+       if(this.portfolioType == PortfolioType.ShortAndLong)
+       {
+       	for(int i = 0;i<this.originalNumOfTickers;i++)
+       	{
+       		string ticker = (string)this.setOfTickers.Rows[i][0];
+       		DataRow newRow = this.setOfTickers.NewRow();
+       		newRow[0] = "-" + ticker;
+       		this.setOfTickers.Rows.Add(newRow);
+       		//so, if row[i][0]="TICKER" 
+       		//row[i+originalNumOfTickers][0]="-TICKER"
+       	}
+       }
+     }
+     
+     private void setMinAndMaxValueForGenes()
+     {
        //each genes is the index for the setOfTickers table
        this.minValueForGenes = 0;
!       
!       if(this.portfolioType == PortfolioType.OnlyLong ||
!          this.portfolioType == PortfolioType.OnlyShort)
!             this.maxValueForGenes = this.setOfTickers.Rows.Count - 1;
!       else//ShortAndLong
!             this.maxValueForGenes = this.setOfTickers.Rows.Count*2 - 1;
!     }
!     
!     protected float getCoefficient(string ticker)
!     {
!     	float returnValue;
!     	if(ticker.StartsWith("-"))
!     	//if the first char is "-"
!     	//each element of the array of rates of return is
!     	//multiplied by -1
!     		returnValue = -1;
!     	else
!     		returnValue = 1;
!     	
!     	return returnValue;
!     		
      }
      
+     
      public virtual double GetFitnessValue(Genome genome)
      {
***************
*** 121,126 ****
        	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
--- 180,188 ----
        	this.rateOfReturn = portfolioRateOfReturn;
        	NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
! 	      if(this.portfolioType == PortfolioType.OnlyLong ||
!       	   this.portfolioType == PortfolioType.ShortAndLong)
! 	        //the genome fitness is evaluated as if
!       		//the portfolio was long
!       		//ALTERNATIVE: returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
  	      	returnValue = 1.0 - normal.GetProbability(this.targetPerformance);
  	      else//only short orders are permitted
***************
*** 142,146 ****
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
!       while(genome.HasGene(returnValue))
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
--- 204,211 ----
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
!       while(genome.HasGene(returnValue) ||
!             genome.HasGene(returnValue + this.originalNumOfTickers))
!       //the portfolio can't have a long position and a short position
!       // for the same ticker
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
***************
*** 208,212 ****
        float[] ticker_i;
        float[] ticker_j;
!       double tickerCoeff = 1/this.genomeSize;
        for(int i = 0; i<this.genomeSize ; i++)
        {
--- 273,277 ----
        float[] ticker_i;
        float[] ticker_j;
!       double tickerCoeff = 1.0/this.genomeSize;
        for(int i = 0; i<this.genomeSize ; i++)
        {

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** EndOfDayTimerHandler.cs	14 Apr 2005 18:38:27 -0000	1.11
--- EndOfDayTimerHandler.cs	26 Apr 2005 19:02:11 -0000	1.12
***************
*** 102,114 ****
      protected virtual void addOrderForTicker(string ticker )
      {
!  
        double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
        long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
        Order order;
!       if(this.portfolioType == PortfolioType.OnlyLong)
!           order = new Order( OrderType.MarketBuy, new Instrument( ticker ) , quantity );
!       else// only short orders are permitted
!       		order = new Order( OrderType.MarketSellShort, new Instrument( ticker ) , quantity );
        
        this.orders.Add(order);
--- 102,117 ----
      protected virtual void addOrderForTicker(string ticker )
      {
!     	string tickerCode = 
!     			GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
        double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
        long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( tickerCode ) ) );
        Order order;
!       if(this.portfolioType == PortfolioType.OnlyShort ||
!          		(this.portfolioType == PortfolioType.ShortAndLong &&
!               ticker != tickerCode))
!         order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
!       else      		
!       	order = new Order( OrderType.MarketBuy, new Instrument( tickerCode ) , quantity );
        
        this.orders.Add(order);