[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, 1.2, 1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5450/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
The following additional information are available now (as public properties, displayed into the debug DataGrid):
- InSampleExpectancyScore (self explaining)
- MaxPreSampleDays (the max number of days for which the genome can be tested pre sample)
- PreSampleMaxSharpeRatio (the sharpe ratio for the MaxPreSampleDays pre sample)
- PreSample30SharpeRatio (the sharpe ratio for 150 days pre sample)
- PreSample150SharpeRatio (the sharpe ratio for 150 days pre sample)
- PostSample30SharpeRatio (the sharpe ratio for 30 days post sample)
- PostSample150SharpeRatio (the sharpe ratio for 150 post sample)

Furthermore, some methods have been added:
- the new static method
GetDrivingAndPortfolioTickers( WFLagChosenPositions wFLagChosenPositions )
- the new method GetChosenPositions

Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagChosenPositionsDebugInfo.cs	29 Jun 2006 17:46:49 -0000	1.2
--- WFLagChosenPositionsDebugInfo.cs	22 Jul 2006 20:45:14 -0000	1.3
***************
*** 22,25 ****
--- 22,28 ----
  
  using System;
+ using System.Collections;
+ 
+ using QuantProject.Business.Strategies;
  
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger
***************
*** 30,38 ****
--- 33,47 ----
  	public class WFLagChosenPositionsDebugInfo
  	{
+ 		private double dummyValue;
+ 		private int maxPreSampleDays;
  		private WFLagChosenPositions wFLagChosenPositions;
  		private WFLagLog wFLagLog;
  		private double inSampleSharpeRatio;
  		private double preSampleSharpeRatio30;
+ 		private double preSampleSharpeRatio150;
+ 		private double preSampleMaxSharpeRatio;
  		private double postSampleSharpeRatio30;
+ 		private double postSampleSharpeRatio150;
+ 		private double inSampleExpectancyScore;
  
  		public string DrivingPositions
***************
*** 56,67 ****
  			get { return this.inSampleSharpeRatio; }
  		}
! 		public double PreSampleSharpeRatio30
  		{
  			get { return this.preSampleSharpeRatio30; }
  		}
! 		public double PostSampleSharpeRatio30
  		{
  			get { return this.postSampleSharpeRatio30; }
  		}
  		public WFLagChosenPositionsDebugInfo(
  			WFLagChosenPositions wFLagChosenPositions ,
--- 65,101 ----
  			get { return this.inSampleSharpeRatio; }
  		}
! 		public double InSampleExpectancyScore
! 		{
! 			get { return this.inSampleExpectancyScore; }
! 		}
! 		public int MaxPreSampleDays
! 		{
! 			get
! 			{
! 				if ( this.maxPreSampleDays == int.MinValue )
! 					this.setMaxPreSampleDays();
! 				return this.maxPreSampleDays;
! 			}
! 		}
! 		public double PreSample30SharpeRatio
  		{
  			get { return this.preSampleSharpeRatio30; }
  		}
! 		public double PreSampleMaxSharpeRatio
! 		{
! 			get { return this.preSampleMaxSharpeRatio; }
! 		}
! 		public double PreSample150SharpeRatio
! 		{
! 			get { return this.preSampleSharpeRatio150; }
! 		}
! 		public double PostSample30SharpeRatio
  		{
  			get { return this.postSampleSharpeRatio30; }
  		}
+ 		public double PostSample150SharpeRatio
+ 		{
+ 			get { return this.postSampleSharpeRatio150; }
+ 		}
  		public WFLagChosenPositionsDebugInfo(
  			WFLagChosenPositions wFLagChosenPositions ,
***************
*** 71,79 ****
--- 105,172 ----
  			// TODO: Add constructor logic here
  			//
+ 			this.dummyValue = -999;
+ 
  			this.wFLagChosenPositions = wFLagChosenPositions;
  			this.wFLagLog = wFLagLog;
  			this.inSampleSharpeRatio = this.getInSampleSharpeRatio();
+ 			this.inSampleExpectancyScore = this.getInSampleExpectancyScore();
+ 			this.setMaxPreSampleDays();
  			this.preSampleSharpeRatio30 = this.getPreSampleSharpeRatio( 30 );
+ 			this.preSampleSharpeRatio150 = this.getPreSampleSharpeRatio( 150 );
+ 			this.preSampleMaxSharpeRatio = this.getPreSampleSharpeRatio(
+ 				this.MaxPreSampleDays );
  			this.postSampleSharpeRatio30 = this.getPostSampleSharpeRatio( 30 );
+ 			this.postSampleSharpeRatio150 = this.getPostSampleSharpeRatio( 150 );
+ 		}
+ 		public static string[] GetDrivingAndPortfolioTickers(
+ 			WFLagChosenPositions wFLagChosenPositions )
+ 		{
+ 			int size = wFLagChosenPositions.DrivingPositions.Count +
+ 				wFLagChosenPositions.PortfolioPositions.Count;
+ 			string[] drivingAndPortfolioTickers = new string[ size ];
+ 			int i = 0;
+ 			foreach ( string signedTicker in wFLagChosenPositions.DrivingPositions.Keys )
+ 			{
+ 				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
+ 				i++;
+ 			}
+ 			foreach ( string signedTicker in wFLagChosenPositions.PortfolioPositions.Keys )
+ 			{
+ 				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
+ 				i++;
+ 			}
+ 			return drivingAndPortfolioTickers;
+ 		}
+ 		/// <summary>
+ 		/// returns the chosen positions. A method is used instead of a property, because
+ 		/// we don't want this as a column displayed in the grid
+ 		/// </summary>
+ 		public WFLagChosenPositions GetChosenPositions()
+ 		{
+ 			return this.wFLagChosenPositions;
+ 		}
+ 		private ArrayList getMinDatesForTickers()
+ 		{
+ 			string[] tickers = GetDrivingAndPortfolioTickers( this.wFLagChosenPositions );
+ 			ArrayList minDatesForTickers = new ArrayList();
+ 			foreach ( string ticker in tickers )
+ 				minDatesForTickers.Add(
+ 					QuantProject.Data.DataTables.Quotes.GetFirstQuoteDate( ticker ) );
+ 			return minDatesForTickers;
+ 		}
+ 		private DateTime getFirstCommonDateForTickers()
+ 		{
+ 			ArrayList minDatesForTickers =
+ 				this.getMinDatesForTickers();
+ 			minDatesForTickers.Sort();
+ 			return (DateTime)minDatesForTickers[ minDatesForTickers.Count - 1 ];
+ 		}
+ 		private void setMaxPreSampleDays()
+ 		{
+ 			DateTime firstCommonDateForTickers =
+ 				this.getFirstCommonDateForTickers();
+ 			TimeSpan timeSpan = this.getInSampleFirstDate() -
+ 				firstCommonDateForTickers;
+ 			this.maxPreSampleDays = timeSpan.Days - 1; // I subtract one, so I have the number of daily returns
  		}
  		private DateTime getInSampleFirstDate()
***************
*** 90,100 ****
  				this.LastOptimization );
  		}
! 		private double getPreSampleSharpeRatio( int days )
  		{
! 			DateTime lastDateTime = this.getInSampleFirstDate();
! 			DateTime firstDateTime = lastDateTime.AddDays( -days - 1 );  // I subtract one more day, so I have days daily returns
! 			return WFLagSharpeRatioComputer.GetSharpeRatio(
  				this.wFLagChosenPositions , firstDateTime ,
! 				lastDateTime );
  		}
  		private double getPostSampleSharpeRatio( int days )
--- 183,205 ----
  				this.LastOptimization );
  		}
! 		private double getInSampleExpectancyScore()
  		{
! 			DateTime firstDateTime = this.getInSampleFirstDate();
! 			return WFLagSharpeRatioComputer.GetExpectancyScore(
  				this.wFLagChosenPositions , firstDateTime ,
! 				this.LastOptimization );
! 		}
! 		private double getPreSampleSharpeRatio( int days )
! 		{
! 			double preSampleSharpeRatio = this.dummyValue;
! 			if ( this.MaxPreSampleDays >= days )
! 			{
! 				DateTime lastDateTime = this.getInSampleFirstDate();
! 				DateTime firstDateTime = lastDateTime.AddDays( -days - 1 );  // I subtract one more day, so I have days daily returns
! 				preSampleSharpeRatio = WFLagSharpeRatioComputer.GetSharpeRatio(
! 					this.wFLagChosenPositions , firstDateTime ,
! 					lastDateTime );
! 			}
! 			return preSampleSharpeRatio;
  		}
  		private double getPostSampleSharpeRatio( int days )