[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagChosenTickers.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6397/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagChosenTickers.cs 
Log Message:
Added a private method to allow the SetTickers method to use a brute force optimizer

Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WFLagChosenTickers.cs	8 Aug 2006 09:43:40 -0000	1.4
--- WFLagChosenTickers.cs	21 Aug 2006 21:21:37 -0000	1.5
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.ADT;
  using QuantProject.ADT.Collections;
+ using QuantProject.ADT.Optimizing.BruteForce;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Business.Strategies;
***************
*** 42,52 ****
  		public event NewProgressEventHandler NewProgress;
  
! 		private WFLagEligibleTickers eligibleTickers;
! 		private int numberOfDrivingPositions;
! 		private int numberOfPositionsToBeChosen;
! 		private int inSampleDays;
! 		private IEndOfDayTimer endOfDayTimer;
! 		private int generationNumberForGeneticOptimizer;
! 		private int populationSizeForGeneticOptimizer;
  
  		private WeightedPositions drivingWeightedPositions;
--- 43,53 ----
  		public event NewProgressEventHandler NewProgress;
  
! 		protected WFLagEligibleTickers eligibleTickers;
! 		protected int numberOfDrivingPositions;
! 		protected int numberOfPositionsToBeChosen;
! 		protected int inSampleDays;
! 		protected IEndOfDayTimer endOfDayTimer;
! 		protected int generationNumberForGeneticOptimizer;
! 		protected int populationSizeForGeneticOptimizer;
  
  		private WeightedPositions drivingWeightedPositions;
***************
*** 125,129 ****
  		}
  
! 		#region SetSignedTickers
  //		private void setSignedTickers_clearPositions()
  //		{
--- 126,130 ----
  		}
  
! 		#region SetWeightedPositions
  //		private void setSignedTickers_clearPositions()
  //		{
***************
*** 131,134 ****
--- 132,136 ----
  //			this.portfolioPositions.Clear();
  //		}
+ 		#region setWeightedPositions_usingTheGeneticOptimizer
  		private void newGenerationEventHandler(
  			object sender , NewGenerationEventArgs e )
***************
*** 137,140 ****
--- 139,150 ----
  				new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
  		}
+ 		private void setWeightedPositions(
+ 			WFLagWeightedPositions wFLagWeightedPositions )
+ 		{
+ 			this.drivingWeightedPositions =
+ 				wFLagWeightedPositions.DrivingWeightedPositions;
+ 			this.portfolioWeightedPositions =
+ 				wFLagWeightedPositions.PortfolioWeightedPositions;
+ 		}
  		private void setSignedTickers_setTickersFromGenome(
  			IGenomeManager genomeManager ,
***************
*** 143,155 ****
  			WFLagWeightedPositions wFLagWeightedPositions =
  				( WFLagWeightedPositions )genomeManager.Decode( genome );
! 			this.drivingWeightedPositions =
! 				wFLagWeightedPositions.DrivingWeightedPositions;
! 			this.portfolioWeightedPositions =
! 				wFLagWeightedPositions.PortfolioWeightedPositions;
  		}
! 		public void SetWeightedPositions( WFLagEligibleTickers eligibleTickers )
  		{
- //			this.setSignedTickers_clearPositions();
- 
  			this.firstOptimizationDate =
  				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
--- 153,165 ----
  			WFLagWeightedPositions wFLagWeightedPositions =
  				( WFLagWeightedPositions )genomeManager.Decode( genome );
! 			this.setWeightedPositions( wFLagWeightedPositions );
! //			this.drivingWeightedPositions =
! //				wFLagWeightedPositions.DrivingWeightedPositions;
! //			this.portfolioWeightedPositions =
! //				wFLagWeightedPositions.PortfolioWeightedPositions;
  		}
! 		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
! 			WFLagEligibleTickers eligibleTickers )
  		{
  			this.firstOptimizationDate =
  				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
***************
*** 158,163 ****
  				this.endOfDayTimer.GetCurrentTime().DateTime;
  
! 			WFLagGenomeManagerWithWeights genomeManager = 
! 				new WFLagGenomeManagerWithWeights(
  				eligibleTickers.EligibleTickers ,
  				eligibleTickers.EligibleTickers ,
--- 168,173 ----
  				this.endOfDayTimer.GetCurrentTime().DateTime;
  
! 			WFLagGenomeManager genomeManager = 
! 				new WFLagGenomeManager(
  				eligibleTickers.EligibleTickers ,
  				eligibleTickers.EligibleTickers ,
***************
*** 165,174 ****
  				this.lastOptimizationDate ,
  				this.numberOfDrivingPositions ,
! 				this.numberOfPositionsToBeChosen );
  
  			GeneticOptimizer geneticOptimizer = new GeneticOptimizer(
! 				genomeManager ,
  				this.populationSizeForGeneticOptimizer ,
  				this.generationNumberForGeneticOptimizer ,
  				ConstantsProvider.SeedForRandomGenerator );
  
--- 175,188 ----
  				this.lastOptimizationDate ,
  				this.numberOfDrivingPositions ,
! 				this.numberOfPositionsToBeChosen ,
! 				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
  
  			GeneticOptimizer geneticOptimizer = new GeneticOptimizer(
! 				0.85 ,
! 				0.02 ,
! 				0.1 ,
  				this.populationSizeForGeneticOptimizer ,
  				this.generationNumberForGeneticOptimizer ,
+ 				genomeManager ,
  				ConstantsProvider.SeedForRandomGenerator );
  
***************
*** 185,188 ****
--- 199,255 ----
  		}
  		#endregion
+ 		#region setWeightedPositions_usingTheBruteForceOptimizer
+ 		private void newBruteForceOptimizerProgressEventHandler(
+ 			object sender , NewProgressEventArgs e )
+ 		{
+ 			this.NewProgress( sender , e );
+ 		}
+ 		public virtual void setWeightedPositions_usingTheBruteForceOptimizer(
+ 			WFLagEligibleTickers eligibleTickers )
+ 		{
+ 			this.firstOptimizationDate =
+ 				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
+ 				-( this.inSampleDays - 1 ) );
+ 			this.lastOptimizationDate =
+ 				this.endOfDayTimer.GetCurrentTime().DateTime;
+ 
+ 			WFLagBruteForceOptimizableParametersManager
+ 				wFLagBruteForceOptimizableItemManager= 
+ 				new WFLagBruteForceOptimizableParametersManager(
+ 				eligibleTickers.EligibleTickers ,
+ 				eligibleTickers.EligibleTickers ,
+ 				this.firstOptimizationDate ,
+ 				this.lastOptimizationDate ,
+ 				this.numberOfDrivingPositions ,
+ 				this.numberOfPositionsToBeChosen );
+ 
+ 			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
+ 				wFLagBruteForceOptimizableItemManager );
+ 
+ 			bruteForceOptimizer.NewProgress +=
+ 				new NewProgressEventHandler(
+ 				this.newBruteForceOptimizerProgressEventHandler );
+ 
+ 			bruteForceOptimizer.Run();
+ 
+ 			BruteForceOptimizableParameters bestParameters =
+ 				bruteForceOptimizer.BestParameters;
+ 
+ 			WFLagWeightedPositions wFLagWeightedPositions =
+ 				( WFLagWeightedPositions )wFLagBruteForceOptimizableItemManager.Decode(
+ 				bestParameters );
+ 
+ 			this.setWeightedPositions( wFLagWeightedPositions );
+ 		}
+ 		#endregion
+ 		public virtual void SetWeightedPositions(
+ 			WFLagEligibleTickers eligibleTickers )
+ 		{
+ //			this.setWeightedPositions_usingTheGeneticOptimizer(
+ //				eligibleTickers );
+ 			this.setWeightedPositions_usingTheBruteForceOptimizer(
+ 				eligibleTickers );
+ 		}
+ 		#endregion
  	}
  }