[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ComparableAccount.cs,1.10,1.11

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15310/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ComparableAccount.cs 
Log Message:
Sharpe Ratio is now used as fitness function

Index: ComparableAccount.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ComparableAccount.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** ComparableAccount.cs	19 Jun 2005 15:12:04 -0000	1.10
--- ComparableAccount.cs	15 Oct 2005 18:04:58 -0000	1.11
***************
*** 22,25 ****
--- 22,26 ----
  using System;
  
+ using QuantProject.ADT.Statistics;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
***************
*** 37,43 ****
  	public class ComparableAccount : Account
  	{
!     private double maxAcceptableDrawDown = 30;
  
! 		private double minAcceptableWinningPeriods = 52;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider =
--- 38,44 ----
  	public class ComparableAccount : Account
  	{
! //    private double maxAcceptableDrawDown = 30;
  
! //		private double minAcceptableWinningPeriods = 52;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider =
***************
*** 63,82 ****
  		private double goodness()
  		{
! 			double returnValue;
  			if ( this.accountReport == null )
! 				this.accountReport = this.CreateReport( this.Key , 1 ,
! 					this.EndOfDayTimer.GetCurrentTime() , this.Key ,
! 					this.historicalQuoteProvider );
  
  			// old goodness computation
! 			if ( ( (double)this.accountReport.Summary.MaxEquityDrawDown.Value >=
! 				this.maxAcceptableDrawDown )
! 				|| ( this.accountReport.Summary.TotalPnl <=
! 				(double)this.accountReport.Summary.BenchmarkPercentageReturn.Value ) )
! 				returnValue = Double.MinValue;
! 			else
! 				// max draw down is acceptable and the strategy is better than buy and hold
! 				returnValue = (double)this.accountReport.Summary.ReturnOnAccount.Value -
! 					(double)this.accountReport.Summary.BenchmarkPercentageReturn.Value;
  
  			// new goodness computation
--- 64,94 ----
  		private double goodness()
  		{
! 			double returnValue = Double.MinValue;
  			if ( this.accountReport == null )
! 			{
! 				this.accountReport = new AccountReport(
! 					this , this.historicalQuoteProvider );
! 				this.accountReport.SetEquityLine( 1 ,
! 					this.EndOfDayTimer.GetCurrentTime() );
! 				returnValue = AdvancedFunctions.GetSharpeRatio(
! 					this.accountReport.EquityLine.GetReturns().Values );
! 			}
  
  			// old goodness computation
! //			if ( this.accountReport == null )
! //				this.accountReport = this.CreateReport( this.Key , 1 ,
! //					this.EndOfDayTimer.GetCurrentTime() , this.Key ,
! //					this.historicalQuoteProvider );
! 
! 			// very old goodness computation
! //			if ( ( (double)this.accountReport.Summary.MaxEquityDrawDown.Value >=
! //				this.maxAcceptableDrawDown )
! //				|| ( this.accountReport.Summary.TotalPnl <=
! //				(double)this.accountReport.Summary.BenchmarkPercentageReturn.Value ) )
! //				returnValue = Double.MinValue;
! //			else
! //				// max draw down is acceptable and the strategy is better than buy and hold
! //				returnValue = (double)this.accountReport.Summary.ReturnOnAccount.Value -
! //					(double)this.accountReport.Summary.BenchmarkPercentageReturn.Value;
  
  			// new goodness computation
***************
*** 85,93 ****
  //			else
  //				returnValue = Convert.ToDouble( this.accountReport.Summary.PercentageWinningPeriods );
! 			if ( (double)this.accountReport.Summary.PercentageWinningPeriods.Value <
! 				this.minAcceptableWinningPeriods )
! 				returnValue = Double.MinValue;
! 			else
! 				returnValue = Convert.ToDouble( - (double)this.accountReport.Summary.MaxEquityDrawDown.Value );
  
  			return returnValue;
--- 97,105 ----
  //			else
  //				returnValue = Convert.ToDouble( this.accountReport.Summary.PercentageWinningPeriods );
! //			if ( (double)this.accountReport.Summary.PercentageWinningPeriods.Value <
! //				this.minAcceptableWinningPeriods )
! //				returnValue = Double.MinValue;
! //			else
! //				returnValue = Convert.ToDouble( - (double)this.accountReport.Summary.MaxEquityDrawDown.Value );
  
  			return returnValue;