[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, 1.1, 1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18104/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
- a WFLagLog parameter has been added to the WFLagChosenPositionsDebugInfo constructor
- the InSampleDays property has been added
- the InSampleSharpeRatio property has been added
- the PreSampleSharpeRatio30 property has been added
- the PostSampleSharpeRatio30 property has been added
- the InSampleDays property has been added
- the InSampleDays property has been added
- the InSampleDays property has been added

Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagChosenPositionsDebugInfo.cs	24 Jun 2006 14:49:54 -0000	1.1
--- WFLagChosenPositionsDebugInfo.cs	29 Jun 2006 17:46:49 -0000	1.2
***************
*** 31,34 ****
--- 31,38 ----
  	{
  		private WFLagChosenPositions wFLagChosenPositions;
+ 		private WFLagLog wFLagLog;
+ 		private double inSampleSharpeRatio;
+ 		private double preSampleSharpeRatio30;
+ 		private double postSampleSharpeRatio30;
  
  		public string DrivingPositions
***************
*** 44,48 ****
  			get { return this.wFLagChosenPositions.LastOptimizationDate; }
  		}
! 		public WFLagChosenPositionsDebugInfo( WFLagChosenPositions wFLagChosenPositions )
  		{
  			//
--- 48,70 ----
  			get { return this.wFLagChosenPositions.LastOptimizationDate; }
  		}
! 		public int InSampleDays
! 		{
! 			get { return this.wFLagLog.InSampleDays; }
! 		}
! 		public double InSampleSharpeRatio
! 		{
! 			get { return this.inSampleSharpeRatio; }
! 		}
! 		public double PreSampleSharpeRatio30
! 		{
! 			get { return this.preSampleSharpeRatio30; }
! 		}
! 		public double PostSampleSharpeRatio30
! 		{
! 			get { return this.postSampleSharpeRatio30; }
! 		}
! 		public WFLagChosenPositionsDebugInfo(
! 			WFLagChosenPositions wFLagChosenPositions ,
! 			WFLagLog wFLagLog )
  		{
  			//
***************
*** 50,53 ****
--- 72,110 ----
  			//
  			this.wFLagChosenPositions = wFLagChosenPositions;
+ 			this.wFLagLog = wFLagLog;
+ 			this.inSampleSharpeRatio = this.getInSampleSharpeRatio();
+ 			this.preSampleSharpeRatio30 = this.getPreSampleSharpeRatio( 30 );
+ 			this.postSampleSharpeRatio30 = this.getPostSampleSharpeRatio( 30 );
+ 		}
+ 		private DateTime getInSampleFirstDate()
+ 		{
+ 			DateTime inSampleFirstDate = this.LastOptimization.AddDays(
+ 				-( this.wFLagLog.InSampleDays - 1 ) );
+ 			return inSampleFirstDate;
+ 		}
+ 		private double getInSampleSharpeRatio()
+ 		{
+ 			DateTime firstDateTime = this.getInSampleFirstDate();
+ 			return WFLagSharpeRatioComputer.GetSharpeRatio(
+ 				this.wFLagChosenPositions , firstDateTime ,
+ 				this.LastOptimization );
+ 		}
+ 		private double getPreSampleSharpeRatio( int days )
+ 		{
+ 			DateTime lastDateTime = this.getInSampleFirstDate();
+ 			DateTime firstDateTime = lastDateTime.AddDays( -days - 1 );  // I subtract one more day, so I have days daily returns
+ 			return WFLagSharpeRatioComputer.GetSharpeRatio(
+ 				this.wFLagChosenPositions , firstDateTime ,
+ 				lastDateTime );
+ 		}
+ 		private double getPostSampleSharpeRatio( int days )
+ 		{
+ 			DateTime firstDateTime =
+ 				this.LastOptimization;	// add one day if you want to exclude the first day after the optimization;
+ 			// consider that the real out of sample jumps out that day
+ 			DateTime lastDateTime = firstDateTime.AddDays( days + 1 );  // I add one day, so I have days daily returns
+ 			return WFLagSharpeRatioComputer.GetSharpeRatio(
+ 				this.wFLagChosenPositions , firstDateTime ,
+ 				lastDateTime );
  		}
  	}