[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WeightedPositions.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-serv4107/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WeightedPositions.cs 
Log Message:
The GetNormalizedWeights public method has been added: given a generic set of virtual weights, it returns proportionate weights whose absolute values sum up to 1


Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositions.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WeightedPositions.cs	8 Sep 2006 15:32:27 -0000	1.2
--- WeightedPositions.cs	8 Oct 2006 16:13:54 -0000	1.3
***************
*** 275,279 ****
  				tickers );
  		}
! 
  	}
  }
--- 275,315 ----
  				tickers );
  		}
! 		#region GetNormalizedWeights
! 		private static double getAbsoluteWeightSum( double[] nonNormalizedWeights )
! 		{
! 			double absoluteWeightSum = 0;
! 			foreach ( double nonNormalizedWeight in nonNormalizedWeights )
! 				absoluteWeightSum += Math.Abs( nonNormalizedWeight );
! 			return absoluteWeightSum;
! 		}
! 		private static double getNormalizingFactor( double[] nonNormalizedWeights )
! 		{
! 			double absoluteWeightSum =
! 				getAbsoluteWeightSum( nonNormalizedWeights );
! 			double normalizingFactor = 1 / absoluteWeightSum;
! 			return normalizingFactor;
! 		}
! 		private static double[] getNormalizedWeights( double[] nonNormalizedWeights ,
! 			double normalizingFactor )
! 		{
! 			double[] normalizedWeights = new double[ nonNormalizedWeights.Length ];
! 			for ( int i = 0 ; i < nonNormalizedWeights.Length ; i ++ )
! 				normalizedWeights[ i ] = nonNormalizedWeights[ i ] * normalizingFactor;
! 			return normalizedWeights;
! 		}
! 		/// <summary>
! 		/// Returns weights whose absolute values sum up to 1
! 		/// </summary>
! 		/// <param name="nonNormalizedWeights"></param>
! 		/// <returns></returns>
! 		/// 
! 		public static double[] GetNormalizedWeights( double[] nonNormalizedWeights )
! 		{
! 			double normalizingFactor =
! 				getNormalizingFactor( nonNormalizedWeights );
! 			return
! 				getNormalizedWeights( nonNormalizedWeights , normalizingFactor );
! 		}
! 		#endregion
  	}
  }