[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForWeightedEfficientPortfolio.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19211/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForWeightedEfficientPortfolio.cs 
Log Message:
getTickerWeight method has been simplified and a bug has been fixed

Index: GenomeManagerForWeightedEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForWeightedEfficientPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerForWeightedEfficientPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.2
--- GenomeManagerForWeightedEfficientPortfolio.cs	2 Jun 2006 18:58:09 -0000	1.3
***************
*** 62,77 ****
      protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
      {
!       double totalReturnedByWeights = 
!         (1.0-ConstantsProvider.MinimumPortfolioWeightForTicker*genes.Length/2)/ConstantsProvider.MinimumPortfolioWeightForTicker;
!       int totalOfAbsoluteValuesForWeightsInGenes = 0;
        for(int j = 0; j<genes.Length; j++)
        {
          if(j%2==0)
            //ticker weight is contained in genes at even position
!           totalOfAbsoluteValuesForWeightsInGenes += (int)Math.Abs(genes[j]);
        }
!       double min = ConstantsProvider.MinimumPortfolioWeightForTicker;
! 
!       return min*(1.0 + totalReturnedByWeights * Math.Abs(genes[tickerPositionInGenes-1])/totalOfAbsoluteValuesForWeightsInGenes);
      }
   
--- 62,76 ----
      protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
      {
!       double minimumWeight = ConstantsProvider.MinimumPortfolioWeightForTicker;
!       double totalOfValuesForWeightsInGenes = 0.0;
        for(int j = 0; j<genes.Length; j++)
        {
          if(j%2==0)
            //ticker weight is contained in genes at even position
!           totalOfValuesForWeightsInGenes += Math.Abs(genes[j]) + 1.0;
!         //0 has to be avoided !
        }
!       double freeWeight = (Math.Abs(genes[tickerPositionInGenes-1]) + 1.0)/totalOfValuesForWeightsInGenes;
!       return minimumWeight + freeWeight * (1.0 - minimumWeight * genes.Length / 2);
      }