[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend GenomeManagerECT.cs, 1.1, 1.2 EndOfDayTimerHandlerECT.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14576/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	GenomeManagerECT.cs EndOfDayTimerHandlerECT.cs 
Log Message:
Updated ExtremeCounterTrend strategy (minor changes)

Index: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerECT.cs	14 May 2006 15:33:37 -0000	1.1
--- EndOfDayTimerHandlerECT.cs	2 Jul 2006 19:55:58 -0000	1.2
***************
*** 182,194 ****
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!         currentDate);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
!         new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
          this.numberOfEligibleTickers, this.benchmark);
!       
!       return quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
      }
      
--- 182,231 ----
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
        
!       SelectorByAverageRawOpenPrice byPrice = 
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
!       	                                  currentDate.AddDays(-30),
!       	                                  tickersFromGroup.Rows.Count,
!       	                                  30,500, 0.0001,100);
!       	                                  
!       
!       SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
          this.numberOfEligibleTickers, this.benchmark);
!      
!       return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
!     	//OLD for etf
!     	//      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();
      }
      

Index: GenomeManagerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/GenomeManagerECT.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerECT.cs	14 May 2006 15:33:37 -0000	1.1
--- GenomeManagerECT.cs	2 Jul 2006 19:55:58 -0000	1.2
***************
*** 38,42 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerECT : GenomeManagerForEfficientPortfolio
    {
      private int numDaysForReturnCalculation;
--- 38,42 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerECT : GenomeManagerForWeightedEfficientPortfolio
    {
      private int numDaysForReturnCalculation;
***************
*** 76,92 ****
      }
  
!     public override object Decode(Genome genome)
!     {
!     	
!     	string[] arrayOfTickers = new string[genome.Genes().Length];
!       int indexOfTicker;
!       for(int index = 0; index < genome.Genes().Length; index++)
!       {
!         indexOfTicker = (int)genome.Genes().GetValue(index);
!         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
!       }
!       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
!       return meaning;
!     }
    
  
--- 76,95 ----
      }
  
! //delete remarks if this object inherits from
! //simple genomeManagerForEfficientPortfolio (no coefficients)
! 
! //    public override object Decode(Genome genome)
! //    {
! //    	
! //    	string[] arrayOfTickers = new string[genome.Genes().Length];
! //      int indexOfTicker;
! //      for(int index = 0; index < genome.Genes().Length; index++)
! //      {
! //        indexOfTicker = (int)genome.Genes().GetValue(index);
! //        arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
! //      }
! //      GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
! //      return meaning;
! //    }
    
  
***************
*** 98,103 ****
        
        double[] equityLine = this.getFitnessValue_getEquityLineRates();
!       double sharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
!                               BasicFunctions.StdDev(equityLine);
  //      double[] equityLineSecondHalf = new double[equityLine.Length/2];
  //      for(int i = 0; i<equityLine.Length/2; i++)
--- 101,109 ----
        
        double[] equityLine = this.getFitnessValue_getEquityLineRates();
! //      double sharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
! //                              BasicFunctions.StdDev(equityLine);
! //      double modifiedSharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
! //                                      Math.Pow(BasicFunctions.StdDev(equityLine),0.9);
! 
  //      double[] equityLineSecondHalf = new double[equityLine.Length/2];
  //      for(int i = 0; i<equityLine.Length/2; i++)
***************
*** 105,109 ****
  //      double sharpeRatioSecondHalf = BasicFunctions.SimpleAverage(equityLineSecondHalf)/
  //                              Math.Pow(BasicFunctions.StdDev(equityLineSecondHalf),1.2);
!       return sharpeRatioAll;//*sharpeRatioSecondHalf; 
      }
      
--- 111,118 ----
  //      double sharpeRatioSecondHalf = BasicFunctions.SimpleAverage(equityLineSecondHalf)/
  //                              Math.Pow(BasicFunctions.StdDev(equityLineSecondHalf),1.2);
! //      return sharpeRatioAll;//*sharpeRatioSecondHalf; 
! //      return modifiedSharpeRatioAll;
!       return AdvancedFunctions.GetExpectancyScore(equityLine);
! 
      }