[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17771/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Fixed bugs in GenomeManagerForEfficientPortfolio;
- added new property CurrentGeneticOptimizer to the IGenomeManager interface;
- added new public method CalculateRandomFitness() for a new computation of fitness (now the code this new computation of fitness has been remarked: if you want more details, please write to me)

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** GenomeManagerForEfficientPortfolio.cs	27 Jul 2005 22:30:55 -0000	1.14
--- GenomeManagerForEfficientPortfolio.cs	31 Jul 2005 20:03:31 -0000	1.15
***************
*** 48,52 ****
      protected CandidateProperties[] setOfCandidates;
      protected int originalNumOfTickers;
-     protected int constToDiscoverDuplicateGenes;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
--- 48,51 ----
***************
*** 58,61 ****
--- 57,61 ----
      protected double[] portfolioRatesOfReturn;
      protected int numberOfExaminedReturns;
+     protected GeneticOptimizer currentGeneticOptimizer;
      
      static public string GetCleanTickerCode(string tickerCodeForLongOrShortTrade)
***************
*** 100,103 ****
--- 100,109 ----
      }
      
+     public GeneticOptimizer CurrentGeneticOptimizer
+     {
+       get{return this.currentGeneticOptimizer;}
+       set{this.currentGeneticOptimizer = value;}
+     }
+     
      //setOfInitialTickers has to contain the
      //ticker's symbol in the first column !
***************
*** 113,117 ****
   			this.setOfTickers = setOfInitialTickers;
        this.originalNumOfTickers = setOfInitialTickers.Rows.Count;
-       this.constToDiscoverDuplicateGenes = this.originalNumOfTickers + 1;
        this.firstQuoteDate = firstQuoteDate;
        this.lastQuoteDate = lastQuoteDate;
--- 119,122 ----
***************
*** 130,134 ****
        if(this.portfolioType == PortfolioType.ShortAndLong)
          this.minValueForGenes = - this.originalNumOfTickers;
!       //if gene g is negative, it refers to the ticker Abs(g+1) to be shorted
      }
      
--- 135,139 ----
        if(this.portfolioType == PortfolioType.ShortAndLong)
          this.minValueForGenes = - this.originalNumOfTickers;
!       //if gene g is negative, it refers to the ticker |g|-1 to be shorted
      }
      
***************
*** 168,172 ****
          //returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
          returnValue = normal.GetProbability(-this.targetPerformance);
! 
        return returnValue;
        
--- 173,188 ----
          //returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
          returnValue = normal.GetProbability(-this.targetPerformance);
!       /*the following code has to be tested
!       if(this.currentGeneticOptimizer.AverageRandomFitness != 0.0 &&
!          this.currentGeneticOptimizer.StandardDeviationOfRandomFitness != 0.0)
!       //the two properties remain equal to 0.0 for the GeneticOptimizer
!       //instance created in the Run method: the two properties are updated
!       //effectively only for the GO instance calling the Run method
!         returnValue = (returnValue - this.CurrentGeneticOptimizer.AverageRandomFitness)/
!                       this.CurrentGeneticOptimizer.StandardDeviationOfRandomFitness;
!       if(returnValue < 0.0)
!         returnValue = 0.0;
!       //fitness should be now pure positive number
!       */
        return returnValue;
        
***************
*** 205,210 ****
      {
        return
!       	GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2,
!       	                                           this.constToDiscoverDuplicateGenes);
      }
      
--- 221,225 ----
      {
        return
!       	GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
      }
      
***************
*** 216,221 ****
                                                                genome.MaxValueForGenes + 1);
        while(genome.HasGene(returnValue) ||
!             genome.HasGene(returnValue + this.constToDiscoverDuplicateGenes) ||
!             genome.HasGene(returnValue - this.constToDiscoverDuplicateGenes) )
        //the portfolio can't have a long position and a short one for the same ticker
        {
--- 231,236 ----
                                                                genome.MaxValueForGenes + 1);
        while(genome.HasGene(returnValue) ||
!             genome.HasGene(Math.Abs(returnValue) - 1 ) ||
!             genome.HasGene(- Math.Abs(returnValue) - 1) )
        //the portfolio can't have a long position and a short one for the same ticker
        {
***************
*** 232,240 ****
        // the new value has to be different from all the other genes of the genome
        int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!         genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
        while(genome.HasGene(newValueForGene) || 
!             genome.HasGene(newValueForGene + this.constToDiscoverDuplicateGenes) ||
!             genome.HasGene(newValueForGene - this.constToDiscoverDuplicateGenes) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position
--- 247,255 ----
        // the new value has to be different from all the other genes of the genome
        int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!                                                                   genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
        while(genome.HasGene(newValueForGene) || 
!             genome.HasGene(Math.Abs(newValueForGene) - 1 ) ||
!             genome.HasGene(- Math.Abs(newValueForGene) - 1) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position
***************
*** 256,260 ****
        if(geneValue<0)
        {
!         position = Math.Abs(geneValue + 1);
          initialCharForTickerCode = "-";
        }  
--- 271,275 ----
        if(geneValue<0)
        {
!         position = Math.Abs(geneValue) - 1;
          initialCharForTickerCode = "-";
        }