[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseCorrelationToBenchmark.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4685/b3_Data/Selectors

Modified Files:
	SelectorByCloseToCloseCorrelationToBenchmark.cs 
Log Message:
The selector has been simplified, and some bugs have been fixed.

Index: SelectorByCloseToCloseCorrelationToBenchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseCorrelationToBenchmark.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SelectorByCloseToCloseCorrelationToBenchmark.cs	20 Dec 2005 19:29:57 -0000	1.2
--- SelectorByCloseToCloseCorrelationToBenchmark.cs	2 Jul 2006 19:31:18 -0000	1.3
***************
*** 22,30 ****
  
  using System;
- using System.Collections;
  using System.Data;
- using System.Windows.Forms;
  using QuantProject.DataAccess.Tables;
! using QuantProject.Data.DataTables;
  
  namespace QuantProject.Data.Selectors
--- 22,28 ----
  
  using System;
  using System.Data;
  using QuantProject.DataAccess.Tables;
! using QuantProject.ADT.Statistics;
  
  namespace QuantProject.Data.Selectors
***************
*** 41,49 ****
    {
      private string benchmark;
!     private int numDaysBetweenEachClose;
      /// <summary>
      /// Creates a new instance of the selector
      /// </summary>
!     /// <param name="setOfTickersToBeSelected">The data table containing in the first column the tickers that have to be ordered</param>
      /// <param name="benchmark">Benchmark code</param>
      /// <param name="orderInASCmode">Ordering mode</param>
--- 39,49 ----
    {
      private string benchmark;
!     private bool addBenchmarkToTheGivenSetOfTickers;
      /// <summary>
      /// Creates a new instance of the selector
      /// </summary>
!     /// <param name="setOfTickersToBeSelected">The data table containing
!     /// in the first column the tickers that have to be ordered by pearson correlation
!     /// coefficient to a given benchmark</param>
      /// <param name="benchmark">Benchmark code</param>
      /// <param name="orderInASCmode">Ordering mode</param>
***************
*** 51,73 ****
      /// <param name="lastQuoteDate">The last date for the interval</param>
      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
-     /// <param name="numDaysBetweenEachClose">Number of days between closes to be studied. NOTE that
-     /// close values are grouped in pairs and the first close value in each group is 
-     /// not the last close in the previous group. There is, in other words, a discontinuity
-     /// between each group, with length equal to the group's length </param>
      public SelectorByCloseToCloseCorrelationToBenchmark(DataTable setOfTickersToBeSelected,
!                                string benchmark,
!                                bool orderInASCmode,
!                                DateTime firstQuoteDate,
!                                DateTime lastQuoteDate,
!                                long maxNumOfReturnedTickers,
!                                int numDaysBetweenEachClose):
!                                     base(setOfTickersToBeSelected, 
!                                          orderInASCmode,
!                                          firstQuoteDate,
!                                          lastQuoteDate,
!                                          maxNumOfReturnedTickers)
      {
        this.benchmark = benchmark;
!       this.numDaysBetweenEachClose = numDaysBetweenEachClose;
      }
       
--- 51,69 ----
      /// <param name="lastQuoteDate">The last date for the interval</param>
      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
      public SelectorByCloseToCloseCorrelationToBenchmark(DataTable setOfTickersToBeSelected,
!                                                         string benchmark,
!                                                         bool orderInASCmode,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         long maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers):
!                                                         base(setOfTickersToBeSelected, 
!                                                             orderInASCmode,
!                                                             firstQuoteDate,
!                                                             lastQuoteDate,
!                                                             maxNumOfReturnedTickers)
      {
        this.benchmark = benchmark;
!       this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
      }
       
***************
*** 76,80 ****
       /// </summary>
       /// <param name="groupID">The group ID containing the tickers that have to be ordered</param>
!      /// <param name="benchmark">Benchmark code</param>
       /// <param name="orderInASCmode">Ordering mode</param>
       /// <param name="firstQuoteDate">The first date for the interval</param>
--- 72,76 ----
       /// </summary>
       /// <param name="groupID">The group ID containing the tickers that have to be ordered</param>
!      /// <param name="benchmark">Benchmark</param>
       /// <param name="orderInASCmode">Ordering mode</param>
       /// <param name="firstQuoteDate">The first date for the interval</param>
***************
*** 86,103 ****
       /// between each group, with length equal to the group's length </param>
       public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
!                                 string benchmark,
!                                 bool orderInASCmode,
!                                 DateTime firstQuoteDate,
!                                 DateTime lastQuoteDate,
!                                 long maxNumOfReturnedTickers,
!                                	int numDaysBetweenEachClose):
!                                   base(groupID, 
!                                       orderInASCmode,
!                                       firstQuoteDate,
!                                       lastQuoteDate,
!                                       maxNumOfReturnedTickers)
       {
          this.benchmark = benchmark;
!         this.numDaysBetweenEachClose = numDaysBetweenEachClose;
       }
  
--- 82,99 ----
       /// between each group, with length equal to the group's length </param>
       public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
!                                                         string benchmark,
!                                                         bool orderInASCmode,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         long maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers):
!                                                         base(groupID, 
!                                                             orderInASCmode,
!                                                             firstQuoteDate,
!                                                             lastQuoteDate,
!                                                             maxNumOfReturnedTickers)
       {
          this.benchmark = benchmark;
!         this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
       }
  
***************
*** 106,124 ****
      {
        if(this.setOfTickersToBeSelected == null)
!         return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
                                      this.groupID,this.benchmark,
                                      this.firstQuoteDate, this.lastQuoteDate,
!                                     this.maxNumOfReturnedTickers, this.numDaysBetweenEachClose);        
  
        else
!         return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
            this.setOfTickersToBeSelected,this.benchmark,
            this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers, this.numDaysBetweenEachClose);      
      }
      public void SelectAllTickers()
      {
        ;
!     }	
  	}
  }
--- 102,174 ----
      {
        if(this.setOfTickersToBeSelected == null)
!         return this.getTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
                                      this.groupID,this.benchmark,
                                      this.firstQuoteDate, this.lastQuoteDate,
!                                     this.maxNumOfReturnedTickers);        
  
        else
!         return this.getTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
            this.setOfTickersToBeSelected,this.benchmark,
            this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers);      
      }
      public void SelectAllTickers()
      {
        ;
!     }
!     
!     private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
!                                                 DataTable setOfTickers, string benchmark,
!                                                 DateTime firstQuoteDate,
!                                                 DateTime lastQuoteDate,
!                                                 long maxNumOfReturnedTickers)
!     {
!       if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
!         setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
!       float[] benchmarkQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes(benchmark, firstQuoteDate, lastQuoteDate);
!       foreach(DataRow row in setOfTickers.Rows)
!       {
!         float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], 
!                                 firstQuoteDate, lastQuoteDate);
!         if(tickerQuotes.Length == benchmarkQuotes.Length)
!         {
!           if((string)row[0] == benchmark)
!             row["CloseToCloseCorrelationToBenchmark"] = 1;
!           else
!             row["CloseToCloseCorrelationToBenchmark"] =
!               BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
!         }
!           
!       }
!       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
!                                                               "CloseToCloseCorrelationToBenchmark>=0.0 OR " +
!                                                               "CloseToCloseCorrelationToBenchmark<0.0",
!                                                               "CloseToCloseCorrelationToBenchmark",
!                                                               orderByASC);
!       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
!       if(this.addBenchmarkToTheGivenSetOfTickers)
!       {
!         DataRow newRow = tableToReturn.NewRow();
!         newRow[0] = benchmark;
!         tableToReturn.Rows.Add(newRow);
!       }
!       return tableToReturn;
!     }
!     
!     private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
! 																					      string groupID, string benchmark,
! 																					      DateTime firstQuoteDate,
! 																					      DateTime lastQuoteDate,
! 																					      long maxNumOfReturnedTickers)
!     {
!       DataTable tickersOfGroup = Tickers_tickerGroups.GetTickers(groupID);
!       return this.getTickersByCloseToCloseCorrelationToBenchmark(orderByASC,
! 																					      tickersOfGroup, benchmark,
! 																					      firstQuoteDate,
! 																					      lastQuoteDate,
! 																					      maxNumOfReturnedTickers);
!     }
!     
! 	
  	}
  }