[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagChosenTickers.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8597/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagChosenTickers.cs 
Log Message:
The private method setWeightedPositions_withFixedPortfolio
 has been added, to set positions with fixed portfolio.

Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WFLagChosenTickers.cs	21 Aug 2006 21:21:37 -0000	1.5
--- WFLagChosenTickers.cs	8 Sep 2006 15:30:17 -0000	1.6
***************
*** 181,185 ****
  				0.85 ,
  				0.02 ,
! 				0.1 ,
  				this.populationSizeForGeneticOptimizer ,
  				this.generationNumberForGeneticOptimizer ,
--- 181,185 ----
  				0.85 ,
  				0.02 ,
! 				0.001 ,
  				this.populationSizeForGeneticOptimizer ,
  				this.generationNumberForGeneticOptimizer ,
***************
*** 243,246 ****
--- 243,292 ----
  		}
  		#endregion
+ 		#region setWeightedPositions_withFixedPortfolio
+ //		private void newBruteForceOptimizerProgressEventHandler(
+ //			object sender , NewProgressEventArgs e )
+ //		{
+ //			this.NewProgress( sender , e );
+ //		}
+ 		public virtual void setWeightedPositions_withFixedPortfolio(
+ 			WFLagEligibleTickers eligibleTickers ,
+ 			string longPortfolioTicker , string shortPortfolioTicker )
+ 		{
+ 			this.firstOptimizationDate =
+ 				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
+ 				-( this.inSampleDays - 1 ) );
+ 			this.lastOptimizationDate =
+ 				this.endOfDayTimer.GetCurrentTime().DateTime;
+ 
+ 			WFLagFixedPortfolioBruteForceOptimizableParametersManager
+ 				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
+ 				new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
+ 				eligibleTickers.EligibleTickers ,
+ 				longPortfolioTicker ,
+ 				shortPortfolioTicker ,
+ 				this.firstOptimizationDate ,
+ 				this.lastOptimizationDate ,
+ 				this.numberOfDrivingPositions );
+ 
+ 			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
+ 				wFLagFixedPortfolioBruteForceOptimizableParametersManager );
+ 
+ 			bruteForceOptimizer.NewProgress +=
+ 				new NewProgressEventHandler(
+ 				this.newBruteForceOptimizerProgressEventHandler );
+ 
+ 			bruteForceOptimizer.Run( 100000 ,
+ 				wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations );
+ 
+ 			BruteForceOptimizableParameters bestParameters =
+ 				bruteForceOptimizer.BestParameters;
+ 
+ 			WFLagWeightedPositions wFLagWeightedPositions =
+ 				( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode(
+ 				bestParameters );
+ 
+ 			this.setWeightedPositions( wFLagWeightedPositions );
+ 		}
+ 		#endregion
  		public virtual void SetWeightedPositions(
  			WFLagEligibleTickers eligibleTickers )
***************
*** 248,253 ****
  //			this.setWeightedPositions_usingTheGeneticOptimizer(
  //				eligibleTickers );
! 			this.setWeightedPositions_usingTheBruteForceOptimizer(
! 				eligibleTickers );
  		}
  		#endregion
--- 294,301 ----
  //			this.setWeightedPositions_usingTheGeneticOptimizer(
  //				eligibleTickers );
! //			this.setWeightedPositions_usingTheBruteForceOptimizer(
! //				eligibleTickers );
! 			this.setWeightedPositions_withFixedPortfolio(
! 				eligibleTickers , "SPY" , "IWM" );
  		}
  		#endregion