[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientCTOPortfolio.cs, 1.18, 1.19 EndOfDayTimerHandlerOTCCTO.cs, 1.3, 1.4 EndOfDayTimerHandlerOTC.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15028/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientCTOPortfolio.cs 
	EndOfDayTimerHandlerOTCCTO.cs EndOfDayTimerHandlerOTC.cs 
Log Message:
Updated strategies based on OTC and CTO behaviours. Minor changes.

Index: EndOfDayTimerHandlerOTCCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCCTO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerOTCCTO.cs	7 Jan 2006 10:35:39 -0000	1.3
--- EndOfDayTimerHandlerOTCCTO.cs	2 Jul 2006 19:57:34 -0000	1.4
***************
*** 125,152 ****
       	
       	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
!       	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!       	                                              this.benchmark,true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    					currentDate,
!       	                                    					this.numberOfEligibleTickers);
        
-       this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
-       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
-         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
-                                    false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
-                                     currentDate, this.numberOfEligibleTickers, this.benchmark);
-       //SelectorByWinningOpenToClose winners =
-       //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
-       //	                                 false, currentDate.AddDays(-2),
-       //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
-       //return winners.GetTableOfSelectedTickers();
-       //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
-       //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
-       //                                                this.benchmark, true,
-       //                                                currentDate.AddDays(-this.numDaysForLiquidity),
-       //                                                currentDate, this.numberOfEligibleTickers/2);
-       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
-       //return lessCorrelated.GetTableOfSelectedTickers();
      }
      
--- 125,141 ----
       	
       	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid =
!         new SelectorByLiquidity(tickersFromGroup,
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
!      
!       return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
        
      }
      
***************
*** 161,166 ****
        
        {
!         IGenomeManager genManEfficientOTCPortfolio = 
!           new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
          	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
          	                                          currentDate,
--- 150,155 ----
        
        {
!         IGenomeManager genManEfficientOTCCTOPortfolio = 
!           new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
          	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
          	                                          currentDate,
***************
*** 169,173 ****
          	                                         	this.portfolioType);
          
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer,
                                                      this.generationNumberForGeneticOptimizer,
--- 158,162 ----
          	                                         	this.portfolioType);
          
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCCTOPortfolio,
                                                      this.populationSizeForGeneticOptimizer,
                                                      this.generationNumberForGeneticOptimizer,
***************
*** 180,183 ****
--- 169,173 ----
                                      currentDate);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
+         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerOTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerOTC.cs	14 May 2006 18:39:14 -0000	1.2
--- EndOfDayTimerHandlerOTC.cs	2 Jul 2006 19:57:34 -0000	1.3
***************
*** 142,213 ****
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!      		SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
!       	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!       	                                              this.benchmark,true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    					currentDate,
!       	                                    					this.numberOfEligibleTickers);
!       
!       this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
!                                    false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, this.numberOfEligibleTickers, this.benchmark);
!       //SelectorByWinningOpenToClose winners =
!       //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
!       //	                                 false, currentDate.AddDays(-2),
!       //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
!       //return winners.GetTableOfSelectedTickers();
!       //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
!       //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       //                                                this.benchmark, true,
!       //                                                currentDate.AddDays(-this.numDaysForLiquidity),
!       //                                                currentDate, this.numberOfEligibleTickers/2);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!     	
!     	
!     	/*
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       
!       SelectorByLiquidity mostLiquidFromTemporized =
!         new SelectorByLiquidity(temporizedGroup.GetTableOfSelectedTickers(),
!                                 false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                 currentDate, this.numberOfEligibleTickers);
!       
!       SelectorByAverageRawOpenPrice selectorByOpenPriceFromMostLiquid =
!       	      new SelectorByAverageRawOpenPrice(mostLiquidFromTemporized.GetTableOfSelectedTickers(), false,
!                                 currentDate.AddDays(-10), currentDate,
!                                 this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
!                                 this.maxPriceForMinimumCommission, 0, 10);
!       
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromSelectedByPrice = 
!       	new SelectorByOpenCloseCorrelationToBenchmark(selectorByOpenPriceFromMostLiquid.GetTableOfSelectedTickers(),
!       	                                              this.benchmark,true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    					currentDate,
!       	                                    					this.numberOfEligibleTickers/2);
        
!       this.eligibleTickers = lessCorrelatedFromSelectedByPrice.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
!                                    false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, this.numberOfEligibleTickers/2, this.benchmark);
!                   
!       //SelectorByWinningOpenToClose winners =
!       //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
!       //	                                 false, currentDate.AddDays(-2),
!       //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
!       //return winners.GetTableOfSelectedTickers();
!       //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
!       //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       //                                                this.benchmark, true,
!       //                                                currentDate.AddDays(-this.numDaysForLiquidity),
!       //                                                currentDate, this.numberOfEligibleTickers/2);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!       //return mostLiquidFromQuotedAtEachMarketDay.GetTableOfSelectedTickers();
!       //return lessCorrelated.GetTableOfSelectedTickers();
!       //return selectorByOpenPriceFromMostLiquid.GetTableOfSelectedTickers();
!       */
      }
      
--- 142,159 ----
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid =
!         new SelectorByLiquidity(tickersFromGroup,
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
!      
!       return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
! 
      }
      
***************
*** 229,233 ****
  //        	                                          this.targetReturn,
  //        	                                         	this.portfolioType);
!           new GenomeManagerForEfficientOTCTypes (setOfTickersToBeOptimized,
                                                      currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                                      currentDate,
--- 175,179 ----
  //        	                                          this.targetReturn,
  //        	                                         	this.portfolioType);
!           new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
                                                      currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                                      currentDate,

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** GenomeManagerForEfficientCTOPortfolio.cs	14 May 2006 18:36:37 -0000	1.18
--- GenomeManagerForEfficientCTOPortfolio.cs	2 Jul 2006 19:57:34 -0000	1.19
***************
*** 106,112 ****
          this.variance = portfolioVariance;
          this.rateOfReturn = averagePortfolioRateOfReturn;
!         //returnValue = this.getFitnessValue_calculate();
!         returnValue = this.getFitnessValue_calculate() -
!                       this.genManOTC.GetFitnessValue(genome);
          
        }
--- 106,112 ----
          this.variance = portfolioVariance;
          this.rateOfReturn = averagePortfolioRateOfReturn;
!         returnValue = this.getFitnessValue_calculate();
! //        returnValue = this.getFitnessValue_calculate() -
! //                      this.genManOTC.GetFitnessValue(genome);
          
        }