[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagGenomeMan
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[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagGenomeManager.cs, 1.3, 1.4
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From: Glauco S. <gla...@us...> - 2006-08-21 19:55:24
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30800/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagGenomeManager.cs Log Message: - an int seedForRandomGenerator parameter has been added to the constructor - now the fitness value for the invalid genomes is set to -0.2, it was set to double.MinValue before, but it gave problems with the roulette selection algorithm Index: WFLagGenomeManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomeManager.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WFLagGenomeManager.cs 8 Aug 2006 09:37:57 -0000 1.3 --- WFLagGenomeManager.cs 21 Aug 2006 19:55:17 -0000 1.4 *************** *** 3,7 **** WFLagGenomeManager.cs ! Copyright (C) 2003 Glauco Siliprandi --- 3,7 ---- WFLagGenomeManager.cs ! Copyright (C) 2003 Glauco Siliprandi *************** *** 27,32 **** using QuantProject.ADT.Optimizing.Genetic; using QuantProject.ADT.Statistics; ! using QuantProject.Data.DataTables; ! using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag --- 27,31 ---- using QuantProject.ADT.Optimizing.Genetic; using QuantProject.ADT.Statistics; ! using QuantProject.Business.Strategies; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag *************** *** 35,59 **** /// This class implements IGenomeManager, in order to find the /// best driving position group and the best ! /// portfolio position group with respect to the lag strategy /// </summary> public class WFLagGenomeManager : IGenomeManager { - private DataTable eligibleTickers; - private DateTime firstQuoteDate; - private DateTime lastQuoteDate; private int numberOfDrivingPositions; private int numberOfTickersInPortfolio; ! private int numberOfEligibleTickers; private WFLagCandidates wFLagCandidates; public int GenomeSize { get { ! return this.numberOfDrivingPositions + this.numberOfTickersInPortfolio; } } // public GeneticOptimizer CurrentGeneticOptimizer // { --- 34,71 ---- /// This class implements IGenomeManager, in order to find the /// best driving position group and the best ! /// portfolio position group with respect to the lag strategy. ! /// Weights are NOT used /// </summary> public class WFLagGenomeManager : IGenomeManager { private int numberOfDrivingPositions; private int numberOfTickersInPortfolio; + private int numberOfEligibleTickersForDrivingWeightedPositions; + private DataTable eligibleTickersForDrivingWeightedPositions; + private DataTable eligibleTickersForPortfolioWeightedPositions; + private DateTime firstOptimizationDate; + private DateTime lastOptimizationDate; ! private double minimumPositionWeight; private WFLagCandidates wFLagCandidates; + public int GenomeSize { get { ! return ( this.numberOfDrivingPositions + this.numberOfTickersInPortfolio ); } } + + // public int MinValueForGenes + // { + // get { return -this.numberOfEligibleTickersForDrivingWeightedPositions; } + // } + // public int MaxValueForGenes + // { + // get { return this.numberOfEligibleTickersForDrivingWeightedPositions - 1; } + // } // public GeneticOptimizer CurrentGeneticOptimizer // { *************** *** 62,146 **** // } public WFLagGenomeManager( ! DataTable eligibleTickers , ! DateTime firstQuoteDate , ! DateTime lastQuoteDate , int numberOfDrivingPositions , ! int numberOfTickersInPortfolio ) { - this.eligibleTickers = eligibleTickers; - this.firstQuoteDate = firstQuoteDate; - this.lastQuoteDate = lastQuoteDate; this.numberOfDrivingPositions = numberOfDrivingPositions; this.numberOfTickersInPortfolio = numberOfTickersInPortfolio; ! this.numberOfEligibleTickers = eligibleTickers.Rows.Count; ! GenomeManagement.SetRandomGenerator( ! QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator + ! firstQuoteDate.Date.DayOfYear ); ! this.wFLagCandidates = new WFLagCandidates( this.eligibleTickers , ! this.firstQuoteDate , this.lastQuoteDate ); } - public int GetMinValueForGenes( int genePosition ) { ! return -this.numberOfEligibleTickers; } public int GetMaxValueForGenes( int genePosition ) { ! return this.numberOfEligibleTickers - 1; ! } ! ! public static string GetTicker( string signedTicker ) ! { ! string returnValue; ! if ( signedTicker.IndexOf( "-" ) == 0 ) ! returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 ); ! else ! returnValue = signedTicker; ! return returnValue; } #region GetFitnessValue ! #region getFitnessValue_getLinearCombinationReturns ! private ArrayList getEnumeratedSignedTickers( ! ICollection signedTickers ) ! { ! ArrayList enumeratedSignedTickers = new ArrayList(); ! foreach ( string signedTicker in signedTickers ) ! enumeratedSignedTickers.Add( signedTicker ); ! return enumeratedSignedTickers; ! } ! private ArrayList getTickers( ICollection signedTickers ) { ! ArrayList tickers = new ArrayList(); ! foreach ( string signedTicker in signedTickers ) ! tickers.Add( WFLagGenomeManager.GetTicker( signedTicker ) ); return tickers; } ! private float[] getMultipliers( ArrayList signedTickers ) { ! float[] multipliers = new float[ signedTickers.Count ]; ! int i = 0; ! foreach ( string signedTicker in signedTickers ) { ! float multiplier = 1F; ! if ( signedTicker.IndexOf( "-" ) == 0 ) ! multiplier = -1F; ! multipliers[ i ] = multiplier; ! i++; } return multipliers; } private double[] getFitnessValue_getLinearCombinationReturns( ! ICollection signedTickers ) { ! ArrayList enumeratedSignedTicker = ! this.getEnumeratedSignedTickers( signedTickers ); ! int numberOfSignedTickers = enumeratedSignedTicker.Count; ! ArrayList tickers = this.getTickers( enumeratedSignedTicker ); ! float[] multipliers = this.getMultipliers( enumeratedSignedTicker ); // arrays of close to close returns, one for each signed ticker float[][] tickersReturns = --- 74,167 ---- // } + /// <summary> + /// This class implements IGenomeManager, in order to find the + /// best driving position group and the best + /// portfolio position group with respect to the lag strategy. + /// Weighted positions are used for both the driving positions + /// and the portfolio positions + /// </summary> + /// <param name="eligibleTickersForDrivingWeightedPositions">weighted positions + /// for driving positions will be chosen among these tickers</param> + /// <param name="eligibleTickersForPortfolioWeightedPositions">weighted positions + /// for portfolio positions will be chosen among these tickers</param> + /// <param name="firstOptimizationDate"></param> + /// <param name="lastQuoteDate"></param> + /// <param name="numberOfDrivingPositions"></param> + /// <param name="numberOfTickersInPortfolio"></param> public WFLagGenomeManager( ! DataTable eligibleTickersForDrivingWeightedPositions , ! DataTable eligibleTickersForPortfolioWeightedPositions , ! DateTime firstOptimizationDate , ! DateTime lastOptimizationDate , int numberOfDrivingPositions , ! int numberOfTickersInPortfolio , ! int seedForRandomGenerator ) ! { this.numberOfDrivingPositions = numberOfDrivingPositions; this.numberOfTickersInPortfolio = numberOfTickersInPortfolio; + this.numberOfEligibleTickersForDrivingWeightedPositions = + eligibleTickersForDrivingWeightedPositions.Rows.Count; + this.eligibleTickersForDrivingWeightedPositions = + eligibleTickersForDrivingWeightedPositions; + this.eligibleTickersForPortfolioWeightedPositions = + eligibleTickersForPortfolioWeightedPositions; + this.firstOptimizationDate = firstOptimizationDate; + this.lastOptimizationDate = lastOptimizationDate; ! this.minimumPositionWeight = 0.2; // TO DO this value should become a constructor parameter ! // GenomeManagement.SetRandomGenerator( ! // QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator ! // + this.firstOptimizationDate.DayOfYear ); ! // GenomeManagement.SetRandomGenerator( ! // 11 ); ! GenomeManagement.SetRandomGenerator( seedForRandomGenerator ); ! this.wFLagCandidates = new WFLagCandidates( ! this.eligibleTickersForDrivingWeightedPositions , ! this.firstOptimizationDate , this.lastOptimizationDate ); } public int GetMinValueForGenes( int genePosition ) { ! int minValueForGene = ! -this.numberOfEligibleTickersForDrivingWeightedPositions; ! return minValueForGene; } public int GetMaxValueForGenes( int genePosition ) { ! return this.numberOfEligibleTickersForDrivingWeightedPositions - 1; } #region GetFitnessValue ! private string[] getTickers( WeightedPositions weightedPositions ) { ! string[] tickers = new string[ weightedPositions.Count ]; ! for ( int i = 0 ; i < weightedPositions.Count ; i++ ) ! { ! WeightedPosition weightedPosition = weightedPositions.GetWeightedPosition( i ); ! tickers[ i ] = weightedPosition.Ticker; ! } return tickers; } ! private float[] getMultipliers( WeightedPositions weightedPositions ) { ! float[] multipliers = new float[ weightedPositions.Count ]; ! for ( int i = 0 ; i < weightedPositions.Count ; i++ ) { ! WeightedPosition weightedPosition = weightedPositions.GetWeightedPosition( i ); ! multipliers[ i ] = Convert.ToSingle( weightedPosition.Weight ); } return multipliers; } + private double[] getFitnessValue_getLinearCombinationReturns( ! WeightedPositions weightedPositions ) { ! // ArrayList enumeratedweightedPositions = ! // this.getEnumeratedWeightedPositions( weightedPositions ); ! int numberOfWeightedPositions = weightedPositions.Count; ! string[] tickers = this.getTickers( weightedPositions ); ! float[] multipliers = this.getMultipliers( weightedPositions ); // arrays of close to close returns, one for each signed ticker float[][] tickersReturns = *************** *** 152,168 **** { linearCombinationReturns[ i ] = 0; ! for ( int j=0 ; j < numberOfSignedTickers ; j++ ) { ! double signedTickerReturn = tickersReturns[ j ][ i ] * multipliers[ j ]; ! // the investment is assumed to be equally divided for each ! // signed ticker ! linearCombinationReturns[ i ] += signedTickerReturn / ! numberOfSignedTickers; } } return linearCombinationReturns; } - #endregion private double[] getFitnessValue_getStrategyReturn( double[] drivingPositionsReturns , double[] portfolioPositionsReturns ) --- 173,185 ---- { linearCombinationReturns[ i ] = 0; ! for ( int j=0 ; j < weightedPositions.Count ; j++ ) { ! double weightedPositionReturn = tickersReturns[ j ][ i ] * multipliers[ j ]; ! linearCombinationReturns[ i ] += weightedPositionReturn; } } return linearCombinationReturns; } private double[] getFitnessValue_getStrategyReturn( double[] drivingPositionsReturns , double[] portfolioPositionsReturns ) *************** *** 188,225 **** } - private double[] getFinalReturns( double[] strategyReturns , - int finalLength ) - { - double[] finalReturns = new double[ finalLength ]; - for ( int i = strategyReturns.Length - finalLength ; - i < strategyReturns.Length ; i++ ) - finalReturns[ i - ( strategyReturns.Length - finalLength ) ] = - strategyReturns[ i ]; - return finalReturns; - } - private double getFitnessValue_sharpeRatio( - double[] returns ) - { - double fitnessValue = - AdvancedFunctions.GetSharpeRatio( - returns ); - return fitnessValue; - } - private double getFitnessValue_withGoodFinal( - double[] strategyReturns ) - { - double[] secondHalfStrategyReturns = - this.getFinalReturns( strategyReturns , - strategyReturns.Length/2 ); - double[] fourthQuorterStrategyReturns = - this.getFinalReturns( strategyReturns , - strategyReturns.Length/4 ); - double fitnessValue = - this.getFitnessValue_sharpeRatio( strategyReturns ) * - this.getFitnessValue_sharpeRatio( secondHalfStrategyReturns ) * - this.getFitnessValue_sharpeRatio( fourthQuorterStrategyReturns ); - return fitnessValue; - } - private double getFitnessValue( double[] strategyReturns ) { --- 205,208 ---- *************** *** 227,235 **** AdvancedFunctions.GetSharpeRatio( strategyReturns ); ! // double fitnessValue = ! // AdvancedFunctions.GetExpectancyScore( ! // strategyReturns ); // double fitnessValue = ! // this.getFitnessValue_withGoodFinal( strategyReturns ); // double fitnessValue = // BasicFunctions.GetSimpleAverage( strategyReturns ) / --- 210,218 ---- AdvancedFunctions.GetSharpeRatio( strategyReturns ); ! // double fitnessValue = ! // AdvancedFunctions.GetExpectancyScore( ! // strategyReturns ); // double fitnessValue = ! // this.getFitnessValue_withGoodFinal( strategyReturns ); // double fitnessValue = // BasicFunctions.GetSimpleAverage( strategyReturns ) / *************** *** 237,248 **** return fitnessValue; } ! private double getFitnessValue( WFLagSignedTickers wFLagSignedTickers ) { double[] drivingPositionsReturns = this.getFitnessValue_getLinearCombinationReturns( ! wFLagSignedTickers.DrivingPositions.Keys ); double[] portfolioPositionsReturns = this.getFitnessValue_getLinearCombinationReturns( ! wFLagSignedTickers.PortfolioPositions.Keys ); double[] strategyReturns = this.getFitnessValue_getStrategyReturn( --- 220,233 ---- return fitnessValue; } ! ! public double GetFitnessValue( ! WFLagWeightedPositions wFLagWeightedPositions ) { double[] drivingPositionsReturns = this.getFitnessValue_getLinearCombinationReturns( ! wFLagWeightedPositions.DrivingWeightedPositions ); double[] portfolioPositionsReturns = this.getFitnessValue_getLinearCombinationReturns( ! wFLagWeightedPositions.PortfolioWeightedPositions ); double[] strategyReturns = this.getFitnessValue_getStrategyReturn( *************** *** 253,259 **** public double GetFitnessValue( Genome genome ) { ! WFLagSignedTickers wFLagSignedTickers = ! ( WFLagSignedTickers )this.Decode( genome ); ! return this.getFitnessValue( wFLagSignedTickers ); } #endregion --- 238,259 ---- public double GetFitnessValue( Genome genome ) { ! double fitnessValue; ! WFLagWeightedPositions wFLagWeightedPositions = ! ( WFLagWeightedPositions )this.Decode( genome ); ! int genomeLength = genome.Genes().Length; ! int decodedWeightedPositions = ! wFLagWeightedPositions.DrivingWeightedPositions.Count + ! wFLagWeightedPositions.PortfolioWeightedPositions.Count; ! if ( decodedWeightedPositions < genomeLength ) ! // genome contains a duplicate gene either for ! // driving positions or for portfolio positions ! //fitnessValue = double.MinValue; ! fitnessValue = -0.2; ! else ! // all driving positions genes are distinct and ! // all portfolio positions genes are distinct ! fitnessValue = ! this.GetFitnessValue( wFLagWeightedPositions ); ! return fitnessValue; } #endregion *************** *** 261,368 **** { return ! GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2); } public void Mutate( Genome genome , double mutationRate ) { ! // in this implementation only one gene is mutated ! // the new value has to be different from all the other genes of the genome int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next( genome.Size ); ! int newValueForGene = GenomeManagement.RandomGenerator.Next( ! genome.GetMinValueForGenes( genePositionToBeMutated ) , ! genome.GetMaxValueForGenes( genePositionToBeMutated ) + 1 ); ! while( GenomeManipulator.IsTickerContainedInGenome( ! newValueForGene , genome ) ) ! // the portfolio, in this implementation, ! // can't have a long position and a short position ! // for the same ticker ! { ! newValueForGene = GenomeManagement.RandomGenerator.Next( ! genome.GetMinValueForGenes( genePositionToBeMutated ) , ! genome.GetMaxValueForGenes( genePositionToBeMutated ) + 1 ); ! } GenomeManagement.MutateOneGene( genome , mutationRate , genePositionToBeMutated , newValueForGene ); } #region Decode ! private string decode_getSignedTicker( int geneValue ) { ! string initialCharForTickerCode = ""; ! int position = geneValue; ! if( geneValue < 0 ) ! { ! position = Math.Abs( geneValue ) - 1; ! initialCharForTickerCode = "-"; ! } ! return initialCharForTickerCode + ! ( string )this.eligibleTickers.Rows[ position ][ 0 ]; } ! private void decode_addDrivingPosition( ! Genome genome , int geneIndex , WFLagSignedTickers wFLagSignedTickers ) { ! int indexOfTicker = (int)genome.Genes().GetValue( geneIndex ); ! string signedTicker = this.decode_getSignedTicker( indexOfTicker ); ! wFLagSignedTickers.DrivingPositions.Add( signedTicker , null ); } ! private void decode_addPortfolioPosition( ! Genome genome , int geneIndex , WFLagSignedTickers wFLagSignedTickers ) { ! int indexOfTicker = (int)genome.Genes().GetValue( geneIndex ); ! string signedTicker = this.decode_getSignedTicker( indexOfTicker ); ! wFLagSignedTickers.PortfolioPositions.Add( signedTicker , null ); } ! private string decode_getSignedTickerForGeneValue( int geneValue ) { ! string initialCharForTickerCode = ""; ! int position = geneValue; ! if( geneValue < 0 ) { ! position = Math.Abs( geneValue ) - 1; ! initialCharForTickerCode = "-"; } ! return initialCharForTickerCode + ! ( string )this.eligibleTickers.Rows[ position ][ 0 ]; } ! public virtual object Decode(Genome genome) { ! WFLagSignedTickers wFLagSignedTickers = new WFLagSignedTickers(); ! for ( int geneIndex = 0 ; geneIndex < this.numberOfDrivingPositions ; ! geneIndex ++ ) ! this.decode_addDrivingPosition( genome , geneIndex , wFLagSignedTickers ); ! for ( int geneIndex = this.numberOfDrivingPositions ; ! geneIndex < this.numberOfDrivingPositions + this.numberOfTickersInPortfolio ; ! geneIndex ++ ) ! this.decode_addPortfolioPosition( genome , geneIndex , wFLagSignedTickers ); ! 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_getSignedTickerForGeneValue(indexOfTicker); } ! return wFLagSignedTickers; } #endregion ! public int GetNewGeneValue( Genome genome , int i ) { ! // in this implementation new gene values must be different from ! // the others already stored in the given genome ! int returnValue = ! GenomeManagement.RandomGenerator.Next( ! genome.GetMinValueForGenes( i ) , ! genome.GetMaxValueForGenes( i ) + 1); ! while( GenomeManipulator.IsTickerContainedInGenome(returnValue, ! genome) ) ! // the portfolio can't have a long position and a ! // short one for the same ticker { ! returnValue = GenomeManagement.RandomGenerator.Next( ! genome.GetMinValueForGenes( i ) , ! genome.GetMaxValueForGenes( i ) + 1 ); } ! return returnValue; } } } --- 261,510 ---- { return ! GenomeManagement.AlternateFixedCrossover(parent1, parent2); } public void Mutate( Genome genome , double mutationRate ) { ! // int newValueForGene = GenomeManagement.RandomGenerator.Next( ! // genome.MinValueForGenes , ! // genome.MaxValueForGenes + 1 ); int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next( genome.Size ); ! int newValueForGene = ! this.GetNewGeneValue( genome , genePositionToBeMutated ); GenomeManagement.MutateOneGene( genome , mutationRate , genePositionToBeMutated , newValueForGene ); } #region Decode ! private int getWeight( Genome genome , int genePosition ) { ! int geneValue = 1; ! if ( genome.GetGeneValue( genePosition ) < 0 ) ! // the position is short ! geneValue = -1; ! return geneValue; } ! private int[] getWeightRelatedGeneValuesForDrivingPositions( ! Genome genome ) { ! int[] weightRelatedGeneValuesForDrivingPositions = ! new int[ this.numberOfDrivingPositions ]; ! for ( int genePosition = 0 ; ! genePosition < this.numberOfDrivingPositions ; genePosition++ ) ! weightRelatedGeneValuesForDrivingPositions[ genePosition ] = ! this.getWeight( genome , genePosition ); ! return weightRelatedGeneValuesForDrivingPositions; } ! private int getTickerIndex( Genome genome , int genePosition ) { ! int tickerIndex = genome.GetGeneValue( genePosition ); ! if ( tickerIndex < 0 ) ! // the position is short ! tickerIndex += -this.GetMinValueForGenes( genePosition ); ! return tickerIndex; } ! private int[] getTickerRelatedGeneValuesForDrivingPositions( ! Genome genome ) { ! int[] tickerRelatedGeneValuesForDrivingPositions = ! new int[ this.numberOfDrivingPositions ]; ! for ( int genePosition = 0 ; ! genePosition < this.numberOfDrivingPositions ; genePosition++ ) ! tickerRelatedGeneValuesForDrivingPositions[ genePosition ] = ! this.getTickerIndex( genome , genePosition ); ! return tickerRelatedGeneValuesForDrivingPositions; ! } ! private int[] getWeightRelatedGeneValuesForPortfolioPositions( ! Genome genome ) ! { ! int[] weightRelatedGeneValuesForPortfolioPositions = ! new int[ this.numberOfTickersInPortfolio ]; ! int firstPositionForPortfolioRelatedGenomes = ! this.numberOfDrivingPositions; ! for ( int i = 0 ; i < this.numberOfTickersInPortfolio ; i++ ) { ! int genePosition = ! firstPositionForPortfolioRelatedGenomes + i; ! weightRelatedGeneValuesForPortfolioPositions[ i ] = ! this.getWeight( genome , genePosition ); } ! return weightRelatedGeneValuesForPortfolioPositions; } ! private int[] getTickerRelatedGeneValuesForPortfolioPositions( ! Genome genome ) { ! int[] tickerRelatedGeneValuesForPortfolioPositions = ! new int[ this.numberOfTickersInPortfolio ]; ! int firstPositionForPortfolioRelatedGenomes = ! this.numberOfDrivingPositions; ! for ( int i = 0 ; i < this.numberOfTickersInPortfolio ; i++ ) { ! int genePosition = ! firstPositionForPortfolioRelatedGenomes + i; ! tickerRelatedGeneValuesForPortfolioPositions[ i ] = ! this.getTickerIndex( genome , genePosition ); } ! return tickerRelatedGeneValuesForPortfolioPositions; ! } ! #region decodeWeightedPositions ! #region getNormalizedWeightValues ! private double getAdditionalWeight( int weightRelatedGeneValue ) ! { ! double midrangeValue = ( ! this.GetMinValueForGenes( 0 ) + this.GetMaxValueForGenes( 0 ) ) / 2; ! double singleWeightFreeRange = 1 - this.minimumPositionWeight; ! double scaleRange = Convert.ToDouble( ! this.GetMinValueForGenes( 0 ) - this.GetMaxValueForGenes( 0 ) ); ! double nonScaledAdditionalWeight = Convert.ToDouble( weightRelatedGeneValue ) - ! midrangeValue; ! double scaledAdditionalWeight = ! nonScaledAdditionalWeight * singleWeightFreeRange / scaleRange; ! return scaledAdditionalWeight; ! } ! private double getNonNormalizedWeightValue( int weightRelatedGeneValue ) ! { ! double additionalWeight = this.getAdditionalWeight( weightRelatedGeneValue ); ! double nonNormalizedWeightValue = 0; ! if ( additionalWeight >= 0 ) ! // the gene value represents a long position ! nonNormalizedWeightValue = this.minimumPositionWeight + additionalWeight; ! else ! // additionalWeight < 0 , i.e. the gene value represents a short position ! nonNormalizedWeightValue = -this.minimumPositionWeight + additionalWeight; ! return nonNormalizedWeightValue; ! } ! private double[] getNonNormalizedWeightValues( int[] weightRelatedGeneValues ) ! { ! double[] nonNormalizedWeightValues = new double[ weightRelatedGeneValues.Length ]; ! for ( int i = 0 ; i < weightRelatedGeneValues.Length ; i++ ) ! nonNormalizedWeightValues[ i ] = ! this.getNonNormalizedWeightValue( weightRelatedGeneValues[ i ] ); ! return nonNormalizedWeightValues; ! } ! private double getNormalizingFactor( double[] nonNormalizedWeightValues ) ! { ! // the absolute value for each nonNormalizedWeightValue is between ! // this.minimumPositionWeight and 1 ! double totalForNonNormalizedWeightValues = BasicFunctions.SumOfAbs( nonNormalizedWeightValues ); ! double normalizingFactor = 1 / totalForNonNormalizedWeightValues; ! return normalizingFactor; ! } ! private double[] getNormalizedWeightValues( double[] nonNormalizedWeightValues , ! double normalizingFactor ) ! { ! return BasicFunctions.MultiplyBy( nonNormalizedWeightValues , normalizingFactor ); ! } ! private double[] getNormalizedWeightValues( double[] nonNormalizedWeightValues ) ! { ! double normalizingFactor = this.getNormalizingFactor( nonNormalizedWeightValues ); ! return getNormalizedWeightValues( nonNormalizedWeightValues , normalizingFactor ); ! } ! private double[] getNormalizedWeightValues( int[] weightRelatedGeneValues ) ! { ! double[] nonNormalizedWeightValues = ! this.getNonNormalizedWeightValues( weightRelatedGeneValues ); ! return this.getNormalizedWeightValues( nonNormalizedWeightValues ); } #endregion ! private string[] decodeTickers( int[] tickerRelatedGeneValues , ! DataTable eligibleTickers ) { ! string[] tickers = new string[ tickerRelatedGeneValues.Length ]; ! for( int i = 0 ; i < tickerRelatedGeneValues.Length ; i++ ) { ! int currentGeneValue = tickerRelatedGeneValues[ i ]; ! tickers[ i ] = ! ( string )eligibleTickers.Rows[ currentGeneValue ][ 0 ]; } ! return tickers; ! } ! private WeightedPositions decodeWeightedPositions( int[] weightRelatedGeneValues , ! int[] tickerRelatedGeneValues , DataTable eligibleTickers ) ! { ! double[] normalizedWeightValues = this.getNormalizedWeightValues( weightRelatedGeneValues ); ! string[] tickers = this.decodeTickers( tickerRelatedGeneValues , eligibleTickers ); ! WeightedPositions weightedPositions = new WeightedPositions( ! normalizedWeightValues , tickers ); ! return weightedPositions; ! } ! #endregion ! private WeightedPositions decodeDrivingWeightedPositions( ! Genome genome ) ! { ! int[] weightRelatedGeneValuesForDrivingPositions = ! this.getWeightRelatedGeneValuesForDrivingPositions( genome ); ! int[] tickerRelatedGeneValuesForDrivingPositions = ! this.getTickerRelatedGeneValuesForDrivingPositions( genome ); ! return decodeWeightedPositions( ! weightRelatedGeneValuesForDrivingPositions , ! tickerRelatedGeneValuesForDrivingPositions , ! this.eligibleTickersForDrivingWeightedPositions ); ! // ! // double weight = this.decodeDrivingWeight( genome , geneIndex ); ! // string ticker = this.decodeDrivingTicker( genome , geneIndex ); ! // WeightedPosition weightedPosition = new WeightedPosition( ! // weight , ticker ); ! // wFLagWeightedPositions.DrivingWeightedPositions.AddWeightedPosition( ! // weightedPosition ); } + private WeightedPositions decodePortfolioWeightedPositions( + Genome genome ) + { + int[] weightRelatedGeneValuesForPortfolioPositions = + this.getWeightRelatedGeneValuesForPortfolioPositions( genome ); + int[] tickerRelatedGeneValuesForPortfolioPositions = + this.getTickerRelatedGeneValuesForPortfolioPositions( genome ); + return decodeWeightedPositions( + weightRelatedGeneValuesForPortfolioPositions , + tickerRelatedGeneValuesForPortfolioPositions , + this.eligibleTickersForPortfolioWeightedPositions ); + // + // double weight = this.decodeDrivingWeight( genome , geneIndex ); + // string ticker = this.decodeDrivingTicker( genome , geneIndex ); + // WeightedPosition weightedPosition = new WeightedPosition( + // weight , ticker ); + // wFLagWeightedPositions.DrivingWeightedPositions.AddWeightedPosition( + // weightedPosition ); + } + public virtual object Decode(Genome genome) + { + WeightedPositions drivingWeightedPositions = + this.decodeDrivingWeightedPositions( genome ); + WeightedPositions portfolioWeightedPositions = + this.decodePortfolioWeightedPositions( genome ); + WFLagWeightedPositions wFLagWeightedPositions = + new WFLagWeightedPositions( + drivingWeightedPositions , portfolioWeightedPositions ); + // int[] drivingGeneValues = this.getDrivingGeneValues( genome ); + // for ( int geneIndex = 0 ; geneIndex < this.numberOfDrivingPositions * 2 ; + // geneIndex += 2 ) + // this.decode_addDrivingPosition( genome , geneIndex , wFLagWeightedPositions ); + // for ( int geneIndex = this.numberOfDrivingPositions * 2 ; + // geneIndex < + // ( this.numberOfDrivingPositions + this.numberOfTickersInPortfolio ) * 2 ; + // geneIndex += 2 ) + // this.decode_addPortfolioPosition( genome , geneIndex , wFLagSignedTickers ); + // 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_getSignedTickerForGeneValue(indexOfTicker); + // } + return wFLagWeightedPositions; + } + #endregion + #region GetNewGeneValue + public int GetNewGeneValue( Genome genome , int genePosition ) + { + int minGeneValue = this.GetMinValueForGenes( genePosition ); + int maxGeneValue = this.GetMaxValueForGenes( genePosition ); + int returnValue = + GenomeManagement.RandomGenerator.Next( + minGeneValue , maxGeneValue + 1); + return returnValue; + } + #endregion } } |
