[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientOTCPortfolio.cs,1.1,1.2 GenomeManagerForEfficientCTOPortfolio.cs,1.17,1.18 GenomeManagerForEfficientCTCPortfolio.cs,1.12,1.13

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4734/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientOTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
Log Message:
Updated genome managers for Open to Close and Close to Open strategies

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** GenomeManagerForEfficientCTOPortfolio.cs	7 Jan 2006 10:35:39 -0000	1.17
--- GenomeManagerForEfficientCTOPortfolio.cs	14 May 2006 18:36:37 -0000	1.18
***************
*** 40,44 ****
    public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
!     
      public GenomeManagerForEfficientCTOPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
--- 40,44 ----
    public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
!     private GenomeManagerForEfficientOTCPortfolio genManOTC;
      public GenomeManagerForEfficientCTOPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
***************
*** 56,59 ****
--- 56,65 ----
      {
        this.retrieveData();
+       this.genManOTC = new GenomeManagerForEfficientOTCPortfolio(setOfInitialTickers,
+                                      firstQuoteDate,
+                                      lastQuoteDate,
+                                      numberOfTickersInPortfolio,
+                                      targetPerformance,
+                                      portfolioType);
      }
      private float[] getArrayOfRatesOfReturn_getCloseToOpenRates(Quotes tickerQuotes)
***************
*** 79,82 ****
--- 85,119 ----
        return returnValue;
      }
+     public override double GetFitnessValue(Genome genome)
+     {
+       double returnValue = 0;
+       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
+       double averagePortfolioRateOfReturn = 
+         BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
+         
+       double portfolioVariance = 
+         BasicFunctions.Variance(this.portfolioRatesOfReturn);
+ 
+       if(!Double.IsInfinity(portfolioVariance) &&
+         !Double.IsInfinity(averagePortfolioRateOfReturn) &&
+         !Double.IsNaN(portfolioVariance) &&
+         !Double.IsNaN(averagePortfolioRateOfReturn) &&
+         portfolioVariance > 0.0)
+         //both variance and rate of return are 
+         //double values computed in the right way:
+         // so it's possible to assign fitness
+       {
+         this.variance = portfolioVariance;
+         this.rateOfReturn = averagePortfolioRateOfReturn;
+         //returnValue = this.getFitnessValue_calculate();
+         returnValue = this.getFitnessValue_calculate() -
+                       this.genManOTC.GetFitnessValue(genome);
+         
+       }
+       
+       return returnValue;
+     }
+ 
+     
      /*using LPM
      protected override double getFitnessValue_calculate()

Index: GenomeManagerForEfficientOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientOTCPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerForEfficientOTCPortfolio.cs	7 Jan 2006 10:35:39 -0000	1.1
--- GenomeManagerForEfficientOTCPortfolio.cs	14 May 2006 18:36:37 -0000	1.2
***************
*** 38,42 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCPortfolio : GenomeManagerForWeightedEfficientPortfolio
    {
      
--- 38,42 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCPortfolio : GenomeManagerForEfficientPortfolio
    {
      
***************
*** 96,105 ****
      }
      */
!     /*
      protected override double getFitnessValue_calculate()
      {
        return this.RateOfReturn/Math.Sqrt(this.Variance);
      }
!     */
      
    }
--- 96,105 ----
      }
      */
!     
      protected override double getFitnessValue_calculate()
      {
        return this.RateOfReturn/Math.Sqrt(this.Variance);
      }
!     
      
    }

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** GenomeManagerForEfficientCTCPortfolio.cs	28 Dec 2005 23:29:39 -0000	1.12
--- GenomeManagerForEfficientCTCPortfolio.cs	14 May 2006 18:36:37 -0000	1.13
***************
*** 108,112 ****
        returnValue = 
        	QuantProject.Data.DataTables.Quotes.GetArrayOfCloseToCloseRatios(ticker,
!                                                             this.firstQuoteDate,
                                                              this.lastQuoteDate,
                                                              this.numDaysForReturnCalculation);
--- 108,112 ----
        returnValue = 
        	QuantProject.Data.DataTables.Quotes.GetArrayOfCloseToCloseRatios(ticker,
!                                                             ref this.firstQuoteDate,
                                                              this.lastQuoteDate,
                                                              this.numDaysForReturnCalculation);
***************
*** 151,155 ****
        try
        {
!         float[] closeToCloseRatios = Quotes.GetArrayOfCloseToCloseRatios(ticker, this.firstQuoteDate,
                                          this.lastQuoteDate,
                                          this.numDaysForReturnCalculation,
--- 151,155 ----
        try
        {
!         float[] closeToCloseRatios = Quotes.GetArrayOfCloseToCloseRatios(ticker, ref this.firstQuoteDate,
                                          this.lastQuoteDate,
                                          this.numDaysForReturnCalculation,
***************
*** 169,175 ****
  		protected override double getFitnessValue_calculate()
      {
! 			return (this.RateOfReturn/Math.Sqrt(this.Variance))*
!               -this.shiftedPortfolioRateOfReturn * 
!               -this.ShiftedPortfolioRatesOfReturn[this.ShiftedPortfolioRatesOfReturn.Length -1];
      }
  		
--- 169,182 ----
  		protected override double getFitnessValue_calculate()
      {
! //			return (this.RateOfReturn/Math.Sqrt(this.Variance))*
! //              -this.shiftedPortfolioRateOfReturn * 
! //              -this.ShiftedPortfolioRatesOfReturn[this.ShiftedPortfolioRatesOfReturn.Length -1];
! 				double sharpeRatioWaveUp = this.RateOfReturn/
! 																	 Math.Sqrt(this.Variance);
! 				double sharpeRatioWaveDown = this.shiftedPortfolioRateOfReturn/
! 																		 Math.Sqrt(BasicFunctions.Variance(this.shiftedPortfolioRatesOfReturn));
! 				
! 				return sharpeRatioWaveUp - sharpeRatioWaveDown;
! 				
      }