[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28845/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
	RunTestingOptimizationCloseToOpen.cs 
Log Message:
Updated the way fitness out of sample is computed for the OTC and CTO strategies

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** RunTestingOptimizationOpenToClose.cs	7 Jan 2006 10:35:39 -0000	1.7
--- RunTestingOptimizationOpenToClose.cs	14 May 2006 18:10:31 -0000	1.8
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Data.Selectors;
  using QuantProject.Data.DataTables;
+ using QuantProject.ADT.Statistics;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 141,164 ****
          //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;
        
--- 142,180 ----
          //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;
! 		      	
! 	 			//}
!         
!         //returnValue is the sharpe ratio 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;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
!         {
!           close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
!           returns[i] = (close/open - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
        }
+ 
        return returnValue/genome.Size;
        
***************
*** 260,264 ****
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTCPortfolio = 
          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
--- 276,280 ----
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTC = 
          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
***************
*** 268,272 ****
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTCPortfolio);
        
      }
--- 284,288 ----
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTC);
        
      }
***************
*** 298,302 ****
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OpenToCloseOptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
--- 314,318 ----
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
***************
*** 304,312 ****
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test (out of sample){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        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",
--- 320,328 ----
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe r. OTC): {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",

Index: RunTestingOptimizationCloseToOpen.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationCloseToOpen.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestingOptimizationCloseToOpen.cs	8 Jan 2006 23:36:05 -0000	1.1
--- RunTestingOptimizationCloseToOpen.cs	14 May 2006 18:10:31 -0000	1.2
***************
*** 27,30 ****
--- 27,31 ----
  using QuantProject.ADT;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.ADT.Statistics;
  using QuantProject.Data.Selectors;
  using QuantProject.Data.DataTables;
***************
*** 120,134 ****
  	 			//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.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 		      open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 	 				returnValue +=
! 		      	(open/close - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
  		      	
! 	 			}
        }
        return returnValue/genome.Size;
--- 121,150 ----
  	 			//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.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 		      //open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 	 				//returnValue +=
! 		      	//(open/close - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
  		      	
! 	 			//}
!         
!         //returnValue is the sharpe ratio 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;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
!         {
!           close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
!           returns[i] = (open/close - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
        }
        return returnValue/genome.Size;
***************
*** 269,273 ****
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\CloseToOpenOptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
--- 285,289 ----
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
***************
*** 275,283 ****
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test (out of sample){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        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",
--- 291,299 ----
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe ratio CTO): {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",

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.7,1.8 RunTestingOptimizationCloseToOpen.cs,1.1,1.2