[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower GenomeManagerITF.cs, 1.1, 1.2 EndOfDayTimerHandlerITF.cs, 1.2, 1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3064/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower

Modified Files:
	GenomeManagerITF.cs EndOfDayTimerHandlerITF.cs 
Log Message:
Minor changes:
-formatting changes;
-changes in parameters.

Index: GenomeManagerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/GenomeManagerITF.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerITF.cs	3 Aug 2006 21:14:13 -0000	1.1
--- GenomeManagerITF.cs	17 Sep 2006 21:48:39 -0000	1.2
***************
*** 90,116 ****
      private double[] getFitnessValue_getEquityLineRates()
      {
!     	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!       double gainForTheLastHalfPeriod = 0.0;
        for(int i = this.numDaysForReturnCalculation - 1;
!           i<this.PortfolioRatesOfReturn.Length - this.numDaysForReturnCalculation;
!           i += this.numDaysForReturnCalculation)
        {
!         gainForTheLastHalfPeriod = 0.0;
          for(int j=this.numDaysForReturnCalculation - 1;
!             j > -1; j--)
          {
!           gainForTheLastHalfPeriod = 
!             (1.0+gainForTheLastHalfPeriod) * this.PortfolioRatesOfReturn[i-j];
          }
!       
          for(int t=1;t<this.numDaysForReturnCalculation + 1;t++)
          {  
!           if(gainForTheLastHalfPeriod<0.0)
!             // if gain of first half period is negative 
!              returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!             //return of the next half period is still negative
!           else// if gain of first half period is positive
!              returnValue[i+t] = this.PortfolioRatesOfReturn[i+t]; 
!           //return of the next half period is still positive
          }  
             
--- 90,119 ----
      private double[] getFitnessValue_getEquityLineRates()
      {
!       double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!       double K;//initial capital invested at the beginning of the period
        for(int i = this.numDaysForReturnCalculation - 1;
!         i<this.PortfolioRatesOfReturn.Length - this.numDaysForReturnCalculation;
!         i += this.numDaysForReturnCalculation)
        {
!         K = 1.0;
          for(int j=this.numDaysForReturnCalculation - 1;
!           j > -1; j--)
          {
!           K = K + K * this.PortfolioRatesOfReturn[i-j];
          }
!        
          for(int t=1;t<this.numDaysForReturnCalculation + 1;t++)
          {  
!           if(K < 1.0 && this.PortfolioType == PortfolioType.ShortAndLong)
!             // if gain of first half period is negative and
!             //positions can be reversed
!             returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0)
!             //if gain of first half period is positive
!             returnValue[i+t] = this.PortfolioRatesOfReturn[i+t];
!           else if(K < 1.0 && this.PortfolioType != PortfolioType.ShortAndLong)
!             //if gain of first half period is negative and
!             //original positions can't be reversed
!             returnValue[i+t] = 0.0;//out of the market
          }  
             

Index: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerITF.cs	7 Aug 2006 21:09:15 -0000	1.2
--- EndOfDayTimerHandlerITF.cs	17 Sep 2006 21:48:39 -0000	1.3
***************
*** 132,136 ****
      	{
      		if(lastHalfPeriodGain > 0.0)
!     			base.openPositions();
      		else//the last HalfPeriodGain has been negative
      		{
--- 132,136 ----
      	{
      		if(lastHalfPeriodGain > 0.0)
!     			base.openPositions(this.chosenTickers);
      		else//the last HalfPeriodGain has been negative
      		{
***************
*** 138,142 ****
      			//short the portfolio
      			try{
!             base.openPositions();
            }
      			catch(Exception ex)
--- 138,142 ----
      			//short the portfolio
      			try{
!             base.openPositions(this.chosenTickers);
            }
      			catch(Exception ex)