[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis
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[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis RunTestingOptimizationExtremeCounterTrend.cs, 1.1, 1.2
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From: Marco M. <mi...@us...> - 2006-07-02 19:36:16
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6845/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis Modified Files: RunTestingOptimizationExtremeCounterTrend.cs Log Message: Updated files for testing optimization on OTC and ExtremeCounterTrend strategies. Index: RunTestingOptimizationExtremeCounterTrend.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis/RunTestingOptimizationExtremeCounterTrend.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunTestingOptimizationExtremeCounterTrend.cs 14 May 2006 18:07:46 -0000 1.1 --- RunTestingOptimizationExtremeCounterTrend.cs 2 Jul 2006 19:36:12 -0000 1.2 *************** *** 30,33 **** --- 30,34 ---- using QuantProject.Data.DataTables; using QuantProject.ADT.Statistics; + using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios; using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.ExtremeCounterTrend; *************** *** 46,55 **** private int numberOfEligibleTickers; private int numberOfTickersToBeChosen; ! private int numDaysForOptimization; private int populationSizeForGeneticOptimizer; private int generationNumberForGeneticOptimizer; private string benchmark; private DateTime marketDate; ! private double targetReturn; private PortfolioType portfolioType; private int numDaysAfterLastOptimizationDay; --- 47,56 ---- private int numberOfEligibleTickers; private int numberOfTickersToBeChosen; ! private int numDaysForOptimizationPeriod; private int populationSizeForGeneticOptimizer; private int generationNumberForGeneticOptimizer; private string benchmark; private DateTime marketDate; ! private int numDaysForReturnCalculation; private PortfolioType portfolioType; private int numDaysAfterLastOptimizationDay; *************** *** 59,66 **** public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers, ! int numberOfTickersToBeChosen, int numDaysForOptimization, int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, string benchmark, ! DateTime marketDate, double targetReturn, PortfolioType portfolioType, int numDaysAfterLastOptimizationDay, int numberOfSubsets, int numberOfGenomesToTest) --- 60,67 ---- public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers, ! int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, string benchmark, ! DateTime marketDate, int numDaysForReturnCalculation, PortfolioType portfolioType, int numDaysAfterLastOptimizationDay, int numberOfSubsets, int numberOfGenomesToTest) *************** *** 73,82 **** this.numberOfEligibleTickers = numberOfEligibleTickers; this.numberOfTickersToBeChosen = numberOfTickersToBeChosen; ! this.numDaysForOptimization = numDaysForOptimization; this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer; this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer; this.benchmark = benchmark; this.marketDate = marketDate; ! this.targetReturn = targetReturn; this.portfolioType = portfolioType; this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay; --- 74,83 ---- this.numberOfEligibleTickers = numberOfEligibleTickers; this.numberOfTickersToBeChosen = numberOfTickersToBeChosen; ! this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod; this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer; this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer; this.benchmark = benchmark; this.marketDate = marketDate; ! this.numDaysForReturnCalculation = numDaysForReturnCalculation; this.portfolioType = portfolioType; this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay; *************** *** 84,101 **** } ! private DataTable getSetOfTickersToBeOptimized(DateTime date) { SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, ! date); ! SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(), ! false, date.AddDays(-this.numDaysForOptimization), date, ! this.numberOfEligibleTickers, this.benchmark); ! ! return quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers(); } private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome) --- 85,137 ---- } ! private DataTable getSetOfTickersToBeOptimized(DateTime currentDate) { SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, ! currentDate); ! SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromTemporized = new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(), ! false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate, ! 600, this.benchmark); ! // filter to be used with plain stocks ! // DataTable tickersQuotedAtEachMarketDay = quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers(); ! // SelectorByLiquidity mostLiquid = ! // new SelectorByLiquidity(tickersQuotedAtEachMarketDay, ! // false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate, ! // tickersQuotedAtEachMarketDay.Rows.Count/2); ! // ! // DataTable mostLiquidTickers = mostLiquid.GetTableOfSelectedTickers(); ! // ! // SelectorByCloseToCloseVolatility lessVolatile = ! // new SelectorByCloseToCloseVolatility(mostLiquidTickers, ! // true,currentDate.AddDays(-30), currentDate, ! // Math.Min(this.numberOfEligibleTickers, mostLiquidTickers.Rows.Count/2)); ! //// return mostLiquid.GetTableOfSelectedTickers(); ! // return lessVolatile.GetTableOfSelectedTickers(); ! // ! return quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers(); } + private double setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(Genome portfolioGenome, DateTime date) + + { + double returnValue = 0.0; + foreach(string tickerCode in ((GenomeMeaning)portfolioGenome.Meaning).Tickers) + { + double coefficient = 1.0; + string ticker = tickerCode; + if(ticker.StartsWith("-")) + { + ticker = ticker.Substring(1,ticker.Length -1); + coefficient = -1.0; + } + Quotes tickerQuotes = new Quotes(ticker, date, + date); + returnValue += (tickerQuotes.GetFirstValidCloseToCloseRatio(date) - 1.0)*coefficient; + } + return returnValue/portfolioGenome.Size; + } + private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome) *************** *** 111,151 **** coefficient = -1.0; } ! DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay); ! //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day ! //after the given market date ! ! //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample, ! // dateOutOfSample); ! //returnValue += ! // (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/ ! // tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient; ! ! //returnValue is the average return for the interval between ! //the given market date and the numDaysAfterLastOptimizationDay - th ! //day after the given market date ! //Quotes tickerQuotes = new Quotes(ticker, this.marketDate, ! // dateOutOfSample); ! //double close, open; ! //for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++) ! //{ ! //close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i)); ! //open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i)); ! //returnValue += ! //(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay; ! ! //} - //returnValue is the sharpe ratio for the interval between - //the given market date and the numDaysAfterLastOptimizationDay - th - //day after the given market date Quotes tickerQuotes = new Quotes(ticker, this.marketDate, ! dateOutOfSample); ! double close, open; ! double[] returns = new double[this.numDaysAfterLastOptimizationDay]; ! for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++) { ! close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i)); ! open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i)); ! returns[i] = (close/open - 1.0)*coefficient; } returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns); --- 147,162 ---- coefficient = -1.0; } ! DateTime endDateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay); Quotes tickerQuotes = new Quotes(ticker, this.marketDate, ! endDateOutOfSample); ! double[] returns = new double[tickerQuotes.Rows.Count]; ! for(int i = 1; i<returns.Length; i++) { ! if(this.setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose( ! genome, (DateTime)tickerQuotes.Rows[i-1]["quDate"])>0.0) ! coefficient = -1.0 * coefficient; ! returns[i] = (tickerQuotes.GetFirstValidCloseToCloseRatio( ! (DateTime)tickerQuotes.Rows[i]["quDate"] ) - 1.0)*coefficient; } returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns); *************** *** 251,263 **** DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(this.marketDate); ! IGenomeManager genManEfficientOTCTypes = ! new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized, ! this.marketDate.AddDays(-this.numDaysForOptimization), ! this.marketDate, ! this.numberOfTickersToBeChosen, ! this.targetReturn, ! this.portfolioType); ! this.setFitnesses_setFitnessesActually(genManEfficientOTCTypes); } --- 262,275 ---- DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(this.marketDate); ! ! IGenomeManager genManExtremeCounterTrend = ! new GenomeManagerECT(setOfTickersToBeOptimized, ! this.marketDate.AddDays(-this.numDaysForOptimizationPeriod), ! this.marketDate, ! this.numberOfTickersToBeChosen, ! this.numDaysForReturnCalculation, ! this.portfolioType); ! this.setFitnesses_setFitnessesActually(genManExtremeCounterTrend); } *************** *** 292,297 **** StreamWriter w = File.AppendText(pathFile); w.WriteLine ("\n----------------------------------------------\r\n"); ! w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString()); ! w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString()); w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString()); w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r", --- 304,309 ---- StreamWriter w = File.AppendText(pathFile); w.WriteLine ("\n----------------------------------------------\r\n"); ! w.Write("\r\nNew Test for Evaluation of Extreme Counter Trend Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString()); ! w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimizationPeriod.ToString()); w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString()); w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r", |
