[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs, 1.25, 1.26

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13946/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Fixed important bug in a sub method called by getRatesOfReturn (for the portfolio represented by the genome):
the bug was caused by considering  0 a short ticker, while the decode method considered 0, properly, a long ticker.

This fix should improve, theoretically, all scripts using IGenomeManager deriving from GenomeManagerForEfficientPortfolio. like the OpenToClose script.




Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.25
retrieving revision 1.26
diff -C2 -d -r1.25 -r1.26
*** GenomeManagerForEfficientPortfolio.cs	17 Sep 2006 21:41:37 -0000	1.25
--- GenomeManagerForEfficientPortfolio.cs	22 Oct 2006 18:30:18 -0000	1.26
***************
*** 152,156 ****
            this.minValueForGenes = - this.originalNumOfTickers;
            //if gene g is negative, it refers to the ticker |g|-1 to be shorted
!           this.maxValueForGenes = 0;
            break;
          case QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.PortfolioType.ShortAndLong :        
--- 152,156 ----
            this.minValueForGenes = - this.originalNumOfTickers;
            //if gene g is negative, it refers to the ticker |g|-1 to be shorted
!           this.maxValueForGenes = - 1;
            break;
          case QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.PortfolioType.ShortAndLong :        
***************
*** 321,326 ****
      {
        string initialCharForTickerCode = "";
!       int position = geneValue;
!       if(geneValue<0)
        {
          position = Math.Abs(geneValue) - 1;
--- 321,326 ----
      {
        string initialCharForTickerCode = "";
!       int position = geneValue;//for geneValue >= 0 the coded ticker is for long
!       if(geneValue < 0)
        {
          position = Math.Abs(geneValue) - 1;
***************
*** 434,439 ****
      {
        int position = geneValueForTickerIdx;
!       if(geneValueForTickerIdx<0)
!         position = Math.Abs(geneValueForTickerIdx + 1);
        return position;
      }
--- 434,439 ----
      {
        int position = geneValueForTickerIdx;
!       if(geneValueForTickerIdx < 0)
!         position = Math.Abs(geneValueForTickerIdx) - 1;
        return position;
      }
***************
*** 444,448 ****
      {
        bool longReturns = false;
!       if(genes[tickerPositionInGenes] > 0)
          //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
          longReturns = true;
--- 444,448 ----
      {
        bool longReturns = false;
!       if(genes[tickerPositionInGenes] >= 0)
          //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
          longReturns = true;