[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToCloseFitnessCombined.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6845/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToCloseFitnessCombined.cs 
Log Message:
Updated files for testing optimization on OTC and ExtremeCounterTrend strategies.


Index: RunTestingOptimizationOpenToCloseFitnessCombined.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToCloseFitnessCombined.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestingOptimizationOpenToCloseFitnessCombined.cs	14 May 2006 18:06:39 -0000	1.1
--- RunTestingOptimizationOpenToCloseFitnessCombined.cs	2 Jul 2006 19:36:12 -0000	1.2
***************
*** 84,124 ****
     	}
      
!   	private DataTable getSetOfTickersToBeOptimized(DateTime date)
      {
!       /*
!       SelectorByAverageRawOpenPrice selectorByOpenPrice = 
!                   new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
!                           currentDate.AddDays(-this.numDaysForOptimization), currentDate,
!                           this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
!                           this.maxPriceForMinimumCommission, 0, 2);
!       DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
!       */
!      	
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!       	                                                    date);
!       
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
!         new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!                                           this.benchmark,true,
!                                           date.AddDays(-this.numDaysForOptimization ),
!                                           date,
!                                          this.numberOfEligibleTickers);
        
!       DataTable eligibleTickers;
!       eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
!       //eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( eligibleTickers,
!                                    false, date.AddDays(-this.numDaysForOptimization),
!                                     date, this.numberOfEligibleTickers, this.benchmark);
!       //SelectorByWinningOpenToClose winners =
!       	//new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       	  //                               false, date.AddDays(-1),
!       	    //                             date.AddDays(-1), this.numberOfEligibleTickers/2,
!               //                            true);      	                                 
!       //return winners.GetTableOfSelectedTickers();
       
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!       //return lessCorrelated.GetTableOfSelectedTickers();
      }
    	
--- 84,102 ----
     	}
      
!   	private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid =
!         new SelectorByLiquidity(tickersFromGroup,
!         false,currentDate.AddDays(-this.numDaysForOptimization), currentDate,
!         this.numberOfEligibleTickers);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimization), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
       
!       return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
    	
***************
*** 276,281 ****
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTCTypes = 
!         new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
        	                                          this.marketDate,
--- 254,259 ----
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTC_CTO = 
!         new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
        	                                          this.marketDate,
***************
*** 284,288 ****
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTCTypes);
        
      }
--- 262,266 ----
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTC_CTO);
        
      }