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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4733/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagGenomeManagerWithWeights.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: WFLagGenomeManagerWithWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomeManagerWithWeights.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagGenomeManagerWithWeights.cs	8 Aug 2006 09:37:57 -0000	1.2
--- WFLagGenomeManagerWithWeights.cs	21 Aug 2006 21:17:32 -0000	1.3
***************
*** 1,2 ****
--- 1,24 ----
+ /*
+ QuantProject - Quantitative Finance Library
+ 
+ WFLagGenomeManagerWithWeights.cs
+ Copyright (C) 2003
+ Glauco Siliprandi
+ 
+ This program is free software; you can redistribute it and/or
+ modify it under the terms of the GNU General Public License
+ as published by the Free Software Foundation; either version 2
+ of the License, or (at your option) any later version.
+ 
+ This program is distributed in the hope that it will be useful,
+ but WITHOUT ANY WARRANTY; without even the implied warranty of
+ MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+ GNU General Public License for more details.
+ 
+ You should have received a copy of the GNU General Public License
+ along with this program; if not, write to the Free Software
+ Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
+ */
+ 
  using System;
  using System.Collections;
***************
*** 31,36 ****
  
  
- 		private GeneticOptimizer currentGeneticOptimizer;
- 
  		public int GenomeSize
  		{
--- 53,56 ----
***************
*** 76,80 ****
  			DateTime lastOptimizationDate ,
  			int numberOfDrivingPositions ,
! 			int numberOfTickersInPortfolio )
  
  		{
--- 96,101 ----
  			DateTime lastOptimizationDate ,
  			int numberOfDrivingPositions ,
! 			int numberOfTickersInPortfolio ,
! 			int seedForRandomGenerator )
  
  		{
***************
*** 92,98 ****
  			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
  
! 			GenomeManagement.SetRandomGenerator(
! 				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator
! 				+ this.firstOptimizationDate.DayOfYear );
  
  			this.wFLagCandidates = new WFLagCandidates(
--- 113,122 ----
  			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(
***************
*** 186,195 ****
  		private double getFitnessValue( double[] strategyReturns )
  		{
! //			double fitnessValue =
! //				AdvancedFunctions.GetSharpeRatio(
! //				strategyReturns );
! 						double fitnessValue =
! 							AdvancedFunctions.GetExpectancyScore(
! 							strategyReturns );
  			//			double fitnessValue =
  			//				this.getFitnessValue_withGoodFinal( strategyReturns );
--- 210,219 ----
  		private double getFitnessValue( double[] strategyReturns )
  		{
! 			double fitnessValue =
! 				AdvancedFunctions.GetSharpeRatio(
! 				strategyReturns );
! //						double fitnessValue =
! //							AdvancedFunctions.GetExpectancyScore(
! //							strategyReturns );
  			//			double fitnessValue =
  			//				this.getFitnessValue_withGoodFinal( strategyReturns );
***************
*** 227,231 ****
  				// genome contains a duplicate gene either for
  				// driving positions or for portfolio positions
! 				fitnessValue = double.MinValue;
  			else
  				// all driving positions genes are distinct and
--- 251,256 ----
  				// 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