[Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfo lio RunTestingOptimizationOpenToClose.cs,1.1,1.2

[Glauco S. <gl...@my...>]

At 10:02 AM 8/28/2005 +0000, you wrote:

>Log Message:
>RunTestingOptimizationOpenToClose now saves a log file to disk at the end 
>of the test.

Sono curioso di vedere quali informazioni salva. C'e' un metodo che scrive 
il log? Che parola chiave devo cercare per trovarlo?

>Index: RunTestingOptimizationOpenToClose.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
>retrieving revision 1.1
>retrieving revision 1.2
>diff -C2 -d -r1.1 -r1.2
>*** RunTestingOptimizationOpenToClose.cs        20 Aug 2005 16:08:48 
>-0000      1.1
>--- RunTestingOptimizationOpenToClose.cs        28 Aug 2005 10:02:52 
>-0000      1.2
>***************
>*** 23,26 ****
>--- 23,27 ----
>   using System;
>   using System.Data;
>+ using System.IO;
>
>   using QuantProject.ADT;
>***************
>*** 46,49 ****
>--- 47,51 ----
>       private int numDaysForLiquidity;
>       private int populationSizeForGeneticOptimizer;
>+     private int generationNumberForGeneticOptimizer;
>         private string benchmark;
>         private DateTime marketDate;
>***************
>*** 52,64 ****
>         private int numDaysAfterLastOptimizationDay;
>         private int numberOfSubsets;
>
>       public RunTestingOptimizationOpenToClose(string tickerGroupID, int 
> numberOfEligibleTickers,
>!                                       int numberOfTickersToBeChosen, int 
>numDaysForLiquidity,
>!                                       int 
>populationSizeForGeneticOptimizer, string benchmark,
>                                         DateTime marketDate, double 
> targetReturn,
>!                                       PortfolioType portfolioType, int 
>numDaysAfterLastOptimizationDay)
>       {
>!               this.fitnessesInSample = new 
>double[populationSizeForGeneticOptimizer];
>!               this.fitnessesOutOfSample = new 
>double[populationSizeForGeneticOptimizer];
>                 this.tickerGroupID = tickerGroupID;
>                 this.numberOfEligibleTickers = numberOfEligibleTickers;
>--- 54,72 ----
>         private int numDaysAfterLastOptimizationDay;
>         private int numberOfSubsets;
>+       private Genome[] genomesToTestOutOfSample;
>+       private int numberOfGenomesToTest;
>
>       public RunTestingOptimizationOpenToClose(string tickerGroupID, int 
> numberOfEligibleTickers,
>!                                       int numberOfTickersToBeChosen, int 
>numDaysForLiquidity,
>!                                       int 
>generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer,
>!                                       string benchmark,
>                                         DateTime marketDate, double 
> targetReturn,
>!                                       PortfolioType portfolioType, int 
>numDaysAfterLastOptimizationDay,
>!                                       int numberOfSubsets, int 
>numberOfGenomesToTest)
>       {
>!               this.numberOfGenomesToTest = numberOfGenomesToTest;
>!               this.genomesToTestOutOfSample = new 
>Genome[numberOfGenomesToTest];
>!               this.fitnessesInSample = new double[numberOfGenomesToTest];
>!               this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
>                 this.tickerGroupID = tickerGroupID;
>                 this.numberOfEligibleTickers = numberOfEligibleTickers;
>***************
>*** 66,69 ****
>--- 74,78 ----
>                 this.numDaysForLiquidity = numDaysForLiquidity;
>                 this.populationSizeForGeneticOptimizer = 
> populationSizeForGeneticOptimizer;
>+               this.generationNumberForGeneticOptimizer = 
>generationNumberForGeneticOptimizer;
>                 this.benchmark = benchmark;
>                 this.marketDate = marketDate;
>***************
>*** 71,76 ****
>                 this.portfolioType = portfolioType;
>                 this.numDaysAfterLastOptimizationDay = 
> numDaysAfterLastOptimizationDay;
>!               this.numberOfSubsets = 5;
>!     }
>
>         private DataTable getSetOfTickersToBeOptimized(DateTime date)
>--- 80,86 ----
>                 this.portfolioType = portfolioType;
>                 this.numDaysAfterLastOptimizationDay = 
> numDaysAfterLastOptimizationDay;
>!               this.numberOfSubsets = numberOfSubsets;
>!
>!       }
>
>         private DataTable getSetOfTickersToBeOptimized(DateTime date)
>***************
>*** 138,150 ****
>       }
>
>!       private void setFitnesses_setFitnessesActually(GeneticOptimizer GO)
>
>       {
>
>!               for(int i = 0; i<GO.CurrentGeneration.Count; i++)
>                 {
>! 
>this.fitnessesInSample[i]=((Genome)GO.CurrentGeneration[i]).Fitness;
>                         this.fitnessesOutOfSample[i]=
>! 
>this.setFitnesses_setFitnessesActually_getFitnessOutOfSample((Genome)GO.CurrentGeneration[i]);
>                 }
>
>--- 148,171 ----
>       }
>
>!       private void 
>setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(GeneticOptimizer 
>GO)
>
>       {
>+               Random random = new Random(10);
>+               for(int i = 0; i<this.numberOfGenomesToTest; i++)
>+               {
>+                       this.genomesToTestOutOfSample[i]=
>+ 
>(Genome)GO.CurrentGeneration[random.Next(this.populationSizeForGeneticOptimizer)];
>+               }
>+               Array.Sort(this.genomesToTestOutOfSample);
>+     }
>+       private void setFitnesses_setFitnessesActually(GeneticOptimizer GO)
>
>!     {
>! 
>this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(GO);
>!               for(int i = 0; i<this.numberOfGenomesToTest; i++)
>                 {
>! 
>this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
>                         this.fitnessesOutOfSample[i]=
>! 
>this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
>                 }
>
>***************
>*** 167,171 ****
>         GeneticOptimizer GO = new 
> GeneticOptimizer(genManEfficientCTOPortfolio,
> 
>this.populationSizeForGeneticOptimizer,
>!                                                   0,
> 
>ConstantsProvider.SeedForRandomGenerator);
>
>--- 188,192 ----
>         GeneticOptimizer GO = new 
> GeneticOptimizer(genManEfficientCTOPortfolio,
> 
>this.populationSizeForGeneticOptimizer,
>! 
>this.generationNumberForGeneticOptimizer,
> 
>ConstantsProvider.SeedForRandomGenerator);
>
>***************
>*** 181,184 ****
>--- 202,210 ----
>                 new OptimizationTechniqueEvaluator(this.fitnessesInSample,
> 
>this.fitnessesOutOfSample);
>+       this.run_writeToLogFile(evaluator);
>+     }
>+
>+     private void run_writeToLogFile(OptimizationTechniqueEvaluator 
>evaluator)
>+     {
>         double[] averagesInSample =
>                 evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
>***************
>*** 186,190 ****
> 
>evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
>         double r = evaluator.GetCorrelationBetweenFitnesses();
>!     }
>         }
>   }
>--- 212,245 ----
> 
>evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
>         double r = evaluator.GetCorrelationBetweenFitnesses();
>!       GenomeCounter genomeCounter = new 
>GenomeCounter(this.genomesToTestOutOfSample);
>!       int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
>!       string pathFile = 
>System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
>!                     "\\OpenToCloseOptimizationEvaluation.txt";
>!         StreamWriter w = File.AppendText(pathFile);
>!         w.WriteLine 
>("\n----------------------------------------------\r\n");
>!         w.Write("\r\nNew Test for Evaluation of Open To Close 
>Optimization {0}\r", DateTime.Now.Date.ToLongDateString());
>!         w.WriteLine ("\n----------------------------------------------");
>!         w.Write("\r\nFitnesses compared: {0}\r", 
>this.fitnessesInSample.Length.ToString());
>!         w.Write("\r\nDifferent evaluated genomes: {0}\r", 
>differentEvaluatedGenomes.ToString());
>!       w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
>!                 this.numberOfSubsets);
>!       //
>!       for(int i = 0; i<averagesInSample.Length; i++)
>!               w.WriteLine("\n{0}-->{1}", i.ToString(), 
>averagesInSample[i].ToString());
>!
>!       w.WriteLine ("\n\n----------------------------------------------");
>!       w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of 
>Sample:\r",
>!                 this.numberOfSubsets);
>!       //
>!       for(int i = 0; i<averagesOutOfSample.Length; i++)
>!               w.WriteLine("\n{0}-->{1}", i.ToString(), 
>averagesOutOfSample[i].ToString());
>!       w.WriteLine ("\n\n----------------------------------------------");
>!       //
>!       w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", 
>r.ToString());
>!       w.WriteLine ("\n-----------------End of Test------------------\r\n");
>!       // Update the underlying file.
>!       w.Flush();
>!       w.Close();
>!     }
>         }
>   }
>
>
>
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