[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCount

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

Modified Files:
	GenomeManagerECT.cs EndOfDayTimerHandlerECT.cs 
Log Message:
Minor changes:
-formatting changes;
-changes in parameters.

Index: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerECT.cs	7 Aug 2006 21:09:15 -0000	1.4
--- EndOfDayTimerHandlerECT.cs	17 Sep 2006 21:48:39 -0000	1.5
***************
*** 139,143 ****
      	{
      		if(lastHalfPeriodGain < 0.0)
!     			base.openPositions();
      		else if (lastHalfPeriodGain > 0.0 &&
                    this.portfolioType == PortfolioType.ShortAndLong)
--- 139,143 ----
      	{
      		if(lastHalfPeriodGain < 0.0)
!     			base.openPositions(this.chosenTickers);
      		else if (lastHalfPeriodGain > 0.0 &&
                    this.portfolioType == PortfolioType.ShortAndLong)
***************
*** 146,150 ****
      			//short the portfolio
      			try{
!             base.openPositions();
            }
      			catch(Exception ex)
--- 146,150 ----
      			//short the portfolio
      			try{
!             base.openPositions(this.chosenTickers);
            }
      			catch(Exception ex)
***************
*** 197,216 ****
        int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
        
! //      	SelectorByAverageRawOpenPrice byPrice =
! //      		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
! //      	                                  currentDate.AddDays(-30),
! //      	                                  numOfTickersInGroupAtCurrentDate,
! //      	                                  30,500, 0.0001,100);
   
! //      SelectorByLiquidity mostLiquidSelector =
! //      	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! //        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //        this.numberOfEligibleTickers);
        
  //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
          SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
!         new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         numOfTickersInGroupAtCurrentDate, this.benchmark);
       
  //      SelectorByCloseToCloseVolatility lessVolatile =
--- 197,216 ----
        int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
        
!       	SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
!       	                                  currentDate.AddDays(-30),
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  20,500, 0.0001,100);
   
!       SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers() ,
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
        
  //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
          SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
!         	new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
       
  //      SelectorByCloseToCloseVolatility lessVolatile =
***************
*** 268,279 ****
            this.generationNumberForGeneticOptimizer,
            this.seedForRandomGenerator);
!         GO.CrossoverRate = 0.50;
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation, this.portfolioType);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
--- 268,284 ----
            this.generationNumberForGeneticOptimizer,
            this.seedForRandomGenerator);
!         
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
! //        GO.ElitismRate = 0.00;
!         GO.MutationRate = 0.3;
!         GO.CrossoverRate = 0.9;
! //        GO.MinConvergenceRate = 0.75;
! //        GO.KeepOnRunningUntilConvergenceIsReached = true;
!         //GO.CrossoverRate = 0.5;
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation, this.portfolioType, GO.GenerationCounter);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
***************
*** 300,304 ****
        //it is the first close (OLD IMPLEMENTATION)
        {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
          //sets tickers to be chosen next Market Close event
          this.numDaysElapsedSinceLastOptimization = 0;
--- 305,309 ----
        //it is the first close (OLD IMPLEMENTATION)
        {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, true);
          //sets tickers to be chosen next Market Close event
          this.numDaysElapsedSinceLastOptimization = 0;

Index: GenomeManagerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/GenomeManagerECT.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerECT.cs	7 Aug 2006 21:03:24 -0000	1.3
--- GenomeManagerECT.cs	17 Sep 2006 21:48:39 -0000	1.4
***************
*** 68,71 ****
--- 68,73 ----
        returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,
      	                                                          Quotes.AdjustedCloseToCloseRatio);
+       
+       
        for(int i = 0; i<returnValue.Length; i++)
          returnValue[i] = returnValue[i] - 1.0f;
***************
*** 121,149 ****
      {
      	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];
!           else if(gainForTheLastHalfPeriod > 0.0 && 
!                   this.PortfolioType == PortfolioType.ShortAndLong)
              //if gain of first half period is positive and
              //original positions can be reversed
               returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(gainForTheLastHalfPeriod > 0.0 && 
!                   this.PortfolioType != PortfolioType.ShortAndLong)
              //if gain of first half period is positive and
              //original positions can't be reversed
--- 123,148 ----
      {
      	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)
              // if gain of first half period is negative 
               returnValue[i+t] = this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0 && this.PortfolioType == PortfolioType.ShortAndLong)
              //if gain of first half period is positive and
              //original positions can be reversed
               returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0 && this.PortfolioType != PortfolioType.ShortAndLong)
              //if gain of first half period is positive and
              //original positions can't be reversed

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCount

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend GenomeManagerECT.cs, 1.3, 1.4 EndOfDayTimerHandlerECT.cs, 1.4, 1.5