[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23365/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
Log Message:
no message

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunTestingOptimizationOpenToClose.cs	23 Oct 2005 19:05:37 -0000	1.5
--- RunTestingOptimizationOpenToClose.cs	8 Nov 2005 18:32:43 -0000	1.6
***************
*** 136,145 ****
          }
          DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!           dateOutOfSample);
!         returnValue += 
!           (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
!           tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			
        }
        return returnValue/genome.Size;
--- 136,163 ----
          }
          DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
!         //after the given market date
!         
!         //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!         //  															 dateOutOfSample);
!         
!         //returnValue +=
!         //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
!         //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			//
!         //returnValue is the average return for the interval between
! 	 			//the given market date and the numDaysAfterLastOptimizationDay - th
! 	 			//day after the given market date
! 	 			Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 dateOutOfSample);
!         double close, open;
! 	 			for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			{
! 		      close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 		      open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 	 				returnValue +=
! 		      	(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			}
        }
        return returnValue/genome.Size;