[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.20,1.21

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23226/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Changed IGenomeManager interface: added new parameters for the GetNewGeneValue method.
Changed access modifier for some methods of GenomeManagerForEfficientPortfolio
Updated Genome and GeneticOptimizer.

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** GenomeManagerForEfficientPortfolio.cs	23 Oct 2005 19:09:04 -0000	1.20
--- GenomeManagerForEfficientPortfolio.cs	8 Nov 2005 18:32:25 -0000	1.21
***************
*** 52,56 ****
      protected double targetPerformance;
      protected double variance;
!     protected double lowerPartialMoment;
      protected double rateOfReturn;
      protected PortfolioType portfolioType;
--- 52,56 ----
      protected double targetPerformance;
      protected double variance;
!     //protected double lowerPartialMoment;
      protected double rateOfReturn;
      protected PortfolioType portfolioType;
***************
*** 224,228 ****
      #endregion
  
!     public Genome[] GetChilds(Genome parent1, Genome parent2)
      {
        return
--- 224,228 ----
      #endregion
  
!     public virtual Genome[] GetChilds(Genome parent1, Genome parent2)
      {
        return
***************
*** 230,237 ****
      }
      
!     public int GetNewGeneValue(Genome genome)
      {
        // in this implementation new gene values must be different from
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
--- 230,239 ----
      }
      
!     public virtual int GetNewGeneValue(Genome genome, int genePosition)
      {
        // in this implementation new gene values must be different from
        // the others already stored in the given genome
+       // the generation of new genes doesn't depend on gene's position
+       // within the genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
***************
*** 247,251 ****
      }
          
!     public void Mutate(Genome genome, double mutationRate)
      {
        // in this implementation only one gene is mutated
--- 249,253 ----
      }
          
!     public virtual void Mutate(Genome genome, double mutationRate)
      {
        // in this implementation only one gene is mutated
***************
*** 269,273 ****
      #region Decode
  
!     private string decode_getTickerCodeForLongOrShortTrade(int geneValue)
      {
        string initialCharForTickerCode = "";
--- 271,275 ----
      #region Decode
  
!     protected string decode_getTickerCodeForLongOrShortTrade(int geneValue)
      {
        string initialCharForTickerCode = "";
***************
*** 355,364 ****
      {
      	float[] returnValue = null;
      	return returnValue;
      }
      
      #region getPortfolioRatesOfReturn
      
!     private int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(int geneValueForTickerIdx)
      {
        int position = geneValueForTickerIdx;
--- 357,374 ----
      {
      	float[] returnValue = null;
+     	this.numberOfExaminedReturns = returnValue.Length;
      	return returnValue;
+     	
+     }
+     
+     protected virtual double getTickerWeight(int[] genes, int tickerPositionInGenes)
+     {
+       return 1.0/genes.Length;
+       //weights for tickers are all the same in this implementation
      }
      
      #region getPortfolioRatesOfReturn
      
!     protected int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(int geneValueForTickerIdx)
      {
        int position = geneValueForTickerIdx;
***************
*** 368,393 ****
      }
      
!     private float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(int tickerIdx,
                                                                                 int arrayElementPosition)
      {
        bool longReturns = false;
!       if(tickerIdx > 0)
!         //the tickerIdx points to a ticker for which long returns are to be examined
          longReturns = true;
!       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(tickerIdx);
        this.setOfCandidates[position].LongRatesOfReturn = longReturns;
        float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
!       return (arrayOfRatesOfReturn[arrayElementPosition]/this.GenomeSize);
!       //the investment is assumed to be equally divided for each ticker
      }    
      
!     protected double[] getPortfolioRatesOfReturn(int[] tickersIdx)
      {
        double[] returnValue = new double[this.numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
!         foreach(int tickerIdx in tickersIdx)
            returnValue[i] +=
!             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(tickerIdx,i);
        }
        return returnValue;
--- 378,404 ----
      }
      
!     protected float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(int[] genes,
!                                                                                int tickerPositionInGenes,
                                                                                 int arrayElementPosition)
      {
        bool longReturns = false;
!       if(genes[tickerPositionInGenes] > 0)
!         //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
          longReturns = true;
!       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(genes[tickerPositionInGenes]);
        this.setOfCandidates[position].LongRatesOfReturn = longReturns;
        float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
!       double tickerWeight = this.getTickerWeight(genes,tickerPositionInGenes);
!       return (arrayOfRatesOfReturn[arrayElementPosition]*(float)tickerWeight);
      }    
      
!     protected virtual double[] getPortfolioRatesOfReturn(int[] genes)
      {
        double[] returnValue = new double[this.numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
!         for(int j=0; j<genes.Length; j++)
            returnValue[i] +=
!             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,j,i);
        }
        return returnValue;