[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24531

Added Files:
	TestDisplayer.cs RunBestLinearCombination.cs MainForm.cs 
Log Message:
A new Script (LinearCombination) has been add to study
linear combination optimizations.

--- NEW FILE: MainForm.cs ---
using System;
using System.Data;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Summary description for MainForm.
	/// </summary>
	public class MainForm : System.Windows.Forms.Form
	{

		private int numberOfTickersToBeSavedFromEachGeneration = 5;

		private string tickerGroupID;
		private int numberOfEligibleTickers;
		private int numberOfTickersToBeChosen;
		//		private int numDaysForLiquidity;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDate;
		private DateTime lastDate;
		private double targetReturn;
		private PortfolioType portfolioType;

		/// <summary>
		/// bestGenomes[ i ] contains an array list with the best genomes
		/// for generation i
		/// </summary>
		private ArrayList bestGenomes;

		private System.Windows.Forms.MainMenu mainMenu1;
		private System.Windows.Forms.MenuItem menuItem1;
		private System.Windows.Forms.MenuItem menuItem2;
		private System.Windows.Forms.MenuItem menuItem3;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		public MainForm( string tickerGroupID, int numberOfEligibleTickers, 
			int numberOfTickersToBeChosen, int numDaysForLiquidity, 
			int generationNumberForGeneticOptimizer,
			int populationSizeForGeneticOptimizer, string benchmark,
			DateTime firstDate, DateTime lastDate, double targetReturn,
			PortfolioType portfolioType)
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			this.tickerGroupID = tickerGroupID;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			//				this.numDaysForLiquidity = numDaysForLiquidity;
			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.benchmark = benchmark;
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.targetReturn = targetReturn;
			this.portfolioType = portfolioType;
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent()
		{
			this.mainMenu1 = new System.Windows.Forms.MainMenu();
			this.menuItem1 = new System.Windows.Forms.MenuItem();
			this.menuItem2 = new System.Windows.Forms.MenuItem();
			this.menuItem3 = new System.Windows.Forms.MenuItem();
			// 
			// mainMenu1
			// 
			this.mainMenu1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
																																							this.menuItem1});
			// 
			// menuItem1
			// 
			this.menuItem1.Index = 0;
			this.menuItem1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
																																							this.menuItem2,
																																							this.menuItem3});
			this.menuItem1.Text = "File";
			// 
			// menuItem2
			// 
			this.menuItem2.Index = 0;
			this.menuItem2.Text = "Create Optimized Genomes";
			this.menuItem2.Click += new System.EventHandler(this.menuItem2_Click);
			// 
			// menuItem3
			// 
			this.menuItem3.Index = 1;
			this.menuItem3.Text = "Test Optimized Genomes";
			this.menuItem3.Click += new System.EventHandler(this.menuItem3_Click);
			// 
			// MainForm
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(292, 273);
			this.Menu = this.mainMenu1;
			this.Name = "MainForm";
			this.Text = "MainForm";

		}
		#endregion

		#region createOptimizedGenomes
		protected DataTable getSetOfTickersToBeOptimized_quickly()
		{
			DataTable returnValue =
				new QuantProject.Data.DataTables.Tickers_tickerGroups( "test" );
			returnValue.Columns[ 0 ].ColumnName = "tiTicker";
			return returnValue;
		}
		protected DataTable getSetOfTickersToBeOptimized()
		{
			SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
				this.firstDate, this.lastDate,
				this.numberOfEligibleTickers);

			DataTable eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
				false, this.firstDate,
				this.lastDate, this.numberOfEligibleTickers, this.benchmark);
			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
		}
		private void newGenerationEventHandler( object sender ,
			NewGenerationEventArgs newGenerationEventArgs )
		{
			ArrayList newGenerationBestGenomes = new ArrayList();
			ArrayList generation = newGenerationEventArgs.Generation;
			for ( int i = generation.Count - 1 ;
				i > generation.Count - 1 - this.numberOfTickersToBeSavedFromEachGeneration ;
				i-- )
				this.bestGenomes.Add( generation[ i ] );
		}
		private void writeOptimizedGenomesToDisk()
		{
			VisualObjectArchiver visualObjectArchiver =
				new VisualObjectArchiver();
			visualObjectArchiver.Save( this.bestGenomes , "bgn" ,
				"Save best genomes" );
		}

		private void createOptimizedGenomes()
		{
			this.bestGenomes = new ArrayList();
			//			DataTable setOfTickersToBeOptimized =
			//				this.getSetOfTickersToBeOptimized_quickly();
			DataTable setOfTickersToBeOptimized =
				this.getSetOfTickersToBeOptimized();
			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
				this.firstDate,
				this.lastDate,
				this.numberOfTickersToBeChosen,
				this.targetReturn,
				this.portfolioType);

			GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
				this.populationSizeForGeneticOptimizer,
				this.generationNumberForGeneticOptimizer);
			GO.NewGeneration += new NewGenerationEventHandler(
				this.newGenerationEventHandler );

			GO.Run(false);

			this.writeOptimizedGenomesToDisk();
		}
		private void menuItem2_Click(object sender, System.EventArgs e)
		{
			this.createOptimizedGenomes();
		}

		#endregion

		#region testOptimizedGenomes
		private void loadBestGenomesFromDisk()
		{
			if ( this.bestGenomes == null )
			{
				VisualObjectArchiver visualObjectArchiver =
					new VisualObjectArchiver();
				this.bestGenomes = (ArrayList)visualObjectArchiver.Load(
					"Load best genomes" , "bgn" , "Load Genomes");
			}
		}
		private void testOptimizedGenomesActually()
		{
			TestDisplayer testDisplayer = new TestDisplayer( this.bestGenomes );
			testDisplayer.ShowDialog();
		}
		private void testOptimizedGenomes()
		{
			this.loadBestGenomesFromDisk();
			this.testOptimizedGenomesActually();
		}
		private void menuItem3_Click(object sender, System.EventArgs e)
		{
			this.testOptimizedGenomes();
		}
		#endregion
	}
}

--- NEW FILE: TestDisplayer.cs ---
using System;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Summary description for TestDisplayer.
	/// </summary>
	public class TestDisplayer : System.Windows.Forms.Form
	{
		private System.Windows.Forms.DataGrid dgBestGenomes;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		// Glauco code
		private ArrayList bestGenomes;

		private void testdisplayer()
		{
			this.dgBestGenomes.DataSource = this.bestGenomes;
		}
		public TestDisplayer( ArrayList bestGenomes )
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			// Glauco code
      this.bestGenomes = bestGenomes;
			this.testdisplayer();
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent()
		{
			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
			this.SuspendLayout();
			// 
			// dgBestGenomes
			// 
			this.dgBestGenomes.DataMember = "";
			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
			this.dgBestGenomes.Location = new System.Drawing.Point(48, 32);
			this.dgBestGenomes.Name = "dgBestGenomes";
			this.dgBestGenomes.Size = new System.Drawing.Size(208, 216);
			this.dgBestGenomes.TabIndex = 0;
			// 
			// TestDisplayer
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(292, 273);
			this.Controls.AddRange(new System.Windows.Forms.Control[] {
																																	this.dgBestGenomes});
			this.Name = "TestDisplayer";
			this.Text = "TestDisplayer";
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
			this.ResumeLayout(false);

		}
		#endregion
	}
}

--- NEW FILE: RunBestLinearCombination.cs ---
/*
QuantProject - Quantitative Finance Library

RunBestLinearCombination.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.Scripting;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Script to buy at open and sell at close 
	/// the best in sample linear combination.
	/// The generation rules
	/// (contained in the EndOfDayTimerHandler) are:
	/// - choose the most liquid tickers;
	/// - choose the best linear combination among these tickers
	/// </summary>
	[Serializable]
	public class RunBestLinearCombination : Script
	{
		private string tickerGroupID;
		private int numberOfEligibleTickers;
		private int numberOfTickersToBeChosen;
		private int numDaysForLiquidity;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDate;
		private DateTime lastDate;
		private double targetReturn;
		private PortfolioType portfolioType;

		public RunBestLinearCombination(string tickerGroupID, int numberOfEligibleTickers, 
			int numberOfTickersToBeChosen, int numDaysForLiquidity, 
			int generationNumberForGeneticOptimizer,
			int populationSizeForGeneticOptimizer, string benchmark,
			DateTime firstDate, DateTime lastDate, double targetReturn,
			PortfolioType portfolioType )
		{
			this.tickerGroupID = tickerGroupID;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			this.numDaysForLiquidity = numDaysForLiquidity;
			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.benchmark = benchmark;
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.targetReturn = targetReturn;
			this.portfolioType = portfolioType;
		}

		public override void Run()
    {
			MainForm mainForm = new MainForm( tickerGroupID, numberOfEligibleTickers, 
			numberOfTickersToBeChosen, numDaysForLiquidity, 
			generationNumberForGeneticOptimizer,
			populationSizeForGeneticOptimizer, benchmark,
			firstDate, lastDate, targetReturn,
			portfolioType);
			mainForm.ShowDialog();
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs,NONE,1.1 RunBestLinearCombination.cs,NONE,1.1 MainForm.cs,NONE,1.1