[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerLastCho

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14463/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerLastChosenPortfolio.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientPortfolio.cs RunEfficientPortfolio.cs 
	RunLastChosenPortfolioOutOfSample.cs 
Log Message:
(Sorry: for the last commit I was too confident. I didn't diff files before committing)
Updated files for the EfficientPortfolio script:
- new classes for testing a given array of tickers (normally, for testing out of sample an optimization's result);
- reorganized code in a more object oriented way (now code duplication has been completely erased);
- now, the optimization process for the shortAndLong portfolio should be more efficient (memory is now used properly)

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** GenomeManagerForEfficientCTOPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.10
--- GenomeManagerForEfficientCTOPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.11
***************
*** 86,100 ****
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       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; 
      }
      /*
--- 86,98 ----
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       float[] returnValue = null;
!       if(!ticker.StartsWith("-"))
        {
!       	string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       	Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
!       	returnValue = ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
!       	this.numberOfExaminedReturns = returnValue.Length;
        }
!       return returnValue;
      }
      /*

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunEfficientPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.9
--- RunEfficientPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.10
***************
*** 96,104 ****
        get { return this.portfolioType; }
      }
!     
!     public IHistoricalQuoteProvider HistoricalQuoteProvider
!     {
!       get { return this.historicalQuoteProvider; }
!     }
      public virtual string ScriptName
      {
--- 96,100 ----
        get { return this.portfolioType; }
      }
!        
      public virtual string ScriptName
      {

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GenomeManagerForEfficientCTCPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.5
--- GenomeManagerForEfficientCTCPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.6
***************
*** 82,100 ****
      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.numDaysForReturnCalculation + 1];
!       int i = 0; //index for ratesOfReturns array
!       
!       for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
        {
!         ratesOfReturns[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
!       	                     allAdjValues[idx] - 1)*coefficient;
!         i++;
        }
! 
!       return ratesOfReturns;
      }
     	/*
--- 82,104 ----
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       float[] returnValue = null;
!       if(!ticker.StartsWith("-"))
        {
!       	string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       	Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
!       	float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
!        	returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
!       	int i = 0; //index for ratesOfReturns array
!       
! 	      for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
! 	      {
! 	        returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
! 	      	                     allAdjValues[idx] - 1);
! 	        i++;
! 	      }	
!        	this.numberOfExaminedReturns = returnValue.Length;
        }
!       return returnValue;
!     	
      }
     	/*

Index: EndOfDayTimerHandlerLastChosenPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerLastChosenPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerLastChosenPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.1
--- EndOfDayTimerHandlerLastChosenPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.2
***************
*** 81,85 ****
      	//if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.lastDate) == 0)
        //	this.closePositions();
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.CompareTo(this.firstDate.DateTime) == 0)
        		this.closePositions();
      }
--- 81,85 ----
      	//if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.lastDate) == 0)
        //	this.closePositions();
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.CompareTo(this.lastDate.DateTime.AddDays(-1)) == 0)
        		this.closePositions();
      }

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** GenomeManagerForEfficientPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.10
--- GenomeManagerForEfficientPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.11
***************
*** 52,55 ****
--- 52,56 ----
      protected PortfolioType portfolioType;
      protected double[] portfolioRatesOfReturn;
+     protected int numberOfExaminedReturns;
      
      static public string GetCleanTickerCode(string tickerModifiedCode)
***************
*** 62,66 ****
      	else
      		return tickerModifiedCode;
-     		
      }
      
--- 63,66 ----
***************
*** 150,153 ****
--- 150,155 ----
      }
      
+     
+     
      protected float getCoefficient(string ticker)
      {
***************
*** 189,194 ****
      {
        double returnValue = 0;
-       //OLD IMPLEMENTATION double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
-       //OLD IMPLEMENTATION double portfolioVariance = this.getPortfolioVariance(genome.Genes());
        this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
        double averagePortfolioRateOfReturn = 
--- 191,194 ----
***************
*** 278,281 ****
--- 278,283 ----
      // end of implementation of IGenomeManager
  
+     #region old implementation for variance computation
+     
      protected double getPortfolioVariance(int[] tickerIdx)
      {
***************
*** 320,323 ****
--- 322,328 ----
      }
  
+     #endregion
+     
+     
      protected void retrieveData()
      {
***************
*** 326,379 ****
          //
          float[] arrayOfRatesOfReturn = this.getArrayOfRatesOfReturn((string)row[0]);
!         row["ArrayOfRatesOfReturn"] = arrayOfRatesOfReturn;
        }
      }
      
!     //this protected method can be overriden by inherited classes
!     //which can specify the type of rates of return
!     
!     //in this basic implementation rates of returns
!     //are based on daily close to close
      protected virtual 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];
!       int i = 0; //index for ratesOfReturns array
!       
!       for(int idx = 0; idx < allAdjValues.Length; idx++)
!       {
!         ratesOfReturns[i] = allAdjValues[idx+1]/
!           allAdjValues[idx] - 1;
!         i++;
!       }
!       
!       return ratesOfReturns;
      }
     
!     protected double getPortfolioRateOfReturn(int[] tickerIdx)
!     {
!       double returnValue = 0;
!       foreach(int idx in tickerIdx)
!       {
!         returnValue += 
!         		BasicFunctions.SimpleAverage((float[])this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"]);
!       }
!       //the investment is assumed to be equally divided
!       return (returnValue/this.GenomeSize);
!       
!     }
!     
      protected double[] getPortfolioRatesOfReturn(int[] tickerIdx)
      {
!       int numberOfExaminedReturns = 
!           ((float[])this.setOfTickers.Rows[tickerIdx[0]]["ArrayOfRatesOfReturn"]).Length;
!       double[] returnValue = new double[numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
          foreach(int idx in tickerIdx)
          {
!           float[] tickerRatesOfReturn = (float[])this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"];
!           returnValue[i] += tickerRatesOfReturn[i]/this.genomeSize; 
            //the investment is assumed to be equally divided for each ticker
          }
--- 331,371 ----
          //
          float[] arrayOfRatesOfReturn = this.getArrayOfRatesOfReturn((string)row[0]);
!         if(arrayOfRatesOfReturn == null)
!         	row["ArrayOfRatesOfReturn"] = DBNull.Value;
!         else
!         	row["ArrayOfRatesOfReturn"] = arrayOfRatesOfReturn;
        }
      }
      
!     //this protected method must be overriden by inherited classes
!     //specifing the type of rates of return that have to 
!     //be analyzed
! 
      protected virtual float[] getArrayOfRatesOfReturn(string ticker)
      {
!     	float[] returnValue = null;
!     	return returnValue;
      }
     
!         
      protected double[] getPortfolioRatesOfReturn(int[] tickerIdx)
      {
!       double[] returnValue = new double[this.numberOfExaminedReturns];
!       float[] tickerRatesOfReturn;
        for(int i = 0; i<returnValue.Length; i++)    
        {  
          foreach(int idx in tickerIdx)
          {
!         	if(this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"] is System.DBNull)
!           //the idx points to a ticker for which short returns are
!           //to be examined
!         		tickerRatesOfReturn =
!         					(float[])this.setOfTickers.Rows[idx - this.originalNumOfTickers]["ArrayOfRatesOfReturn"];
!         	else
!         		tickerRatesOfReturn = (float[])this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"];
!           
!           returnValue[i] += 
!           		this.getCoefficient((string)this.setOfTickers.Rows[idx][0])*
!           		tickerRatesOfReturn[i]/this.genomeSize;
            //the investment is assumed to be equally divided for each ticker
          }

Index: RunLastChosenPortfolioOutOfSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunLastChosenPortfolioOutOfSample.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunLastChosenPortfolioOutOfSample.cs	24 Jun 2005 22:52:25 -0000	1.1
--- RunLastChosenPortfolioOutOfSample.cs	25 Jun 2005 09:50:44 -0000	1.2
***************
*** 49,60 ****
  	/// <summary>
  	/// Class for running a test based on last chosen tickers of a given
! 	/// RunEfficientPortfolio - normally, one with optimization purposes -
! 	/// , after it has been executed
  	/// </summary>
  	[Serializable]
  	public class RunLastChosenPortfolioOutOfSample : RunEfficientPorfolio
  	{
!     RunEfficientPorfolio testEfficientPortfolio;
!     public RunLastChosenPortfolioOutOfSample(RunEfficientPorfolio testEfficientPortfolio,
  		                                         string benchmark,
                                  						 DateTime startDate,
--- 49,61 ----
  	/// <summary>
  	/// Class for running a test based on last chosen tickers of a given
! 	/// PortfolioType
  	/// </summary>
  	[Serializable]
  	public class RunLastChosenPortfolioOutOfSample : RunEfficientPorfolio
  	{
! 		private string[] tickers;
! 		private PortfolioType typeOfPortfolio;
!     public RunLastChosenPortfolioOutOfSample(string[] chosenTickers,
!                                              PortfolioType typeOfPortfolio, 
  		                                         string benchmark,
                                  						 DateTime startDate,
***************
*** 64,77 ****
                                  						 		 startDate,
                                  						     endDate,
!                                 						     testEfficientPortfolio.TypeOfPortfolio,
                                  						     maxRunningHours)
  		{
!       this.startDateTime = new EndOfDayDateTime(
          startDate, EndOfDaySpecificTime.MarketOpen );
      	this.endDateTime = new EndOfDayDateTime(
          endDate, EndOfDaySpecificTime.MarketClose );
      	this.ScriptName = "LastChosenPortfolioOutOfSample";
!     	this.testEfficientPortfolio = testEfficientPortfolio;
!     	
  		}
      #region Run
--- 65,79 ----
                                  						 		 startDate,
                                  						     endDate,
!                                 						     typeOfPortfolio,
                                  						     maxRunningHours)
  		{
!       this.tickers = chosenTickers;
!       this.typeOfPortfolio = typeOfPortfolio;
! 			this.startDateTime = new EndOfDayDateTime(
          startDate, EndOfDaySpecificTime.MarketOpen );
      	this.endDateTime = new EndOfDayDateTime(
          endDate, EndOfDaySpecificTime.MarketClose );
      	this.ScriptName = "LastChosenPortfolioOutOfSample";
!     	    	
  		}
      #region Run
***************
*** 80,85 ****
      {
      	this.endOfDayTimerHandler =
!     		new EndOfDayTimerHandlerLastChosenPortfolio(this.testEfficientPortfolio.LastChosenTickers,
!     		                                            this.testEfficientPortfolio.TypeOfPortfolio,
      		                                            this.account,
      		                                            this.benchmark,
--- 82,87 ----
      {
      	this.endOfDayTimerHandler =
!     		new EndOfDayTimerHandlerLastChosenPortfolio(this.tickers,
!     		                                            this.typeOfPortfolio,
      		                                            this.account,
      		                                            this.benchmark,
***************
*** 96,100 ****
      protected override void run_initializeHistoricalQuoteProvider()
      {
!      	this.historicalQuoteProvider = this.testEfficientPortfolio.HistoricalQuoteProvider; 
      }
      protected override void run_initializeAccount()
--- 98,103 ----
      protected override void run_initializeHistoricalQuoteProvider()
      {
!     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!      		
      }
      protected override void run_initializeAccount()