[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16:/tmp/cvs-serv9486/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs 
Log Message:
Minor changes

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerBiasedPVO.cs	27 Feb 2007 22:52:41 -0000	1.1
--- EndOfDayTimerHandlerBiasedPVO.cs	9 Apr 2007 18:14:09 -0000	1.2
***************
*** 56,62 ****
      protected Hashtable genomesCollector;
      protected bool takeProfitConditionReached;
      
-     new protected string[,] chosenTickers;
-     new protected double[,] chosenTickersPortfolioWeights;
      new protected double[] currentOversoldThreshold;
      new protected double[] currentOverboughtThreshold;
--- 56,62 ----
      protected Hashtable genomesCollector;
      protected bool takeProfitConditionReached;
+     protected string[,] bestGenomesChosenTickers;
+     protected double[,] bestGenomesChosenTickersPortfolioWeights;
      
      new protected double[] currentOversoldThreshold;
      new protected double[] currentOverboughtThreshold;
***************
*** 101,106 ****
        this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
        this.minimumAcceptableGain = minimumAcceptableGain;
!       this.chosenTickers = new string[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.chosenTickersPortfolioWeights = new double[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
        this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
        this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
--- 101,106 ----
        this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
        this.minimumAcceptableGain = minimumAcceptableGain;
!       this.bestGenomesChosenTickers = new string[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.bestGenomesChosenTickersPortfolioWeights = new double[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
        this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
        this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
***************
*** 127,132 ****
          for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
          {
!           tickers[i] = this.chosenTickers[indexForChosenTickers,i];
!           tickerWeights[i] = this.chosenTickersPortfolioWeights[indexForChosenTickers,i];
          }
          returnValue =
--- 127,132 ----
          for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
          {
!           tickers[i] = this.bestGenomesChosenTickers[indexForChosenTickers,i];
!           tickerWeights[i] = this.bestGenomesChosenTickersPortfolioWeights[indexForChosenTickers,i];
          }
          returnValue =
***************
*** 190,196 ****
            this.takeProfitConditionReached ||
            this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
-           //reversal conditions have not been reached but 
            //stop loss or take profit conditions yes
!           //or after the close it is necessary to run
            //another optimization
        {
--- 190,195 ----
            this.takeProfitConditionReached ||
            this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
            //stop loss or take profit conditions yes
!           //or after the next close it is necessary to run
            //another optimization
        {
***************
*** 251,261 ****
      	{
          string[] tickers = new string[this.numberOfTickersToBeChosen];
          for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
!           tickers[i] = this.chosenTickers[this.currentGenomeIndex,i];
!         if(this.currentTickersGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
            SignedTicker.ChangeSignOfEachTicker(tickers);
!           base.openPositions(tickers);
            this.portfolioHasBeenOverbought = true;
            this.portfolioHasBeenOversold = false;
--- 250,264 ----
      	{
          string[] tickers = new string[this.numberOfTickersToBeChosen];
+         double[] tickersWeights = new double[this.numberOfTickersToBeChosen];
          for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
!         {
!           tickers[i] = this.bestGenomesChosenTickers[this.currentGenomeIndex,i];
!           tickersWeights[i] = this.bestGenomesChosenTickersPortfolioWeights[this.currentGenomeIndex,i];
!         }
!           if(this.currentTickersGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
            SignedTicker.ChangeSignOfEachTicker(tickers);
!           base.openPositions(tickers, tickersWeights);
            this.portfolioHasBeenOverbought = true;
            this.portfolioHasBeenOversold = false;
***************
*** 263,267 ****
          else if (this.currentTickersGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex])
      		{
!           base.openPositions(tickers);
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
--- 266,270 ----
          else if (this.currentTickersGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex])
      		{
!           base.openPositions(tickers, tickersWeights);
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
***************
*** 303,307 ****
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.chosenTickers[0,0] != null )
  			//portfolio is empty and optimization has been already launched    		
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
--- 306,310 ----
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.bestGenomesChosenTickers[0,0] != null )
  			//portfolio is empty and optimization has been already launched    		
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
***************
*** 324,337 ****
        {
        	currentGenome = (Genome)GO.CurrentGeneration[GO.PopulationSize - 1 - counter];
!       	if(counter == 0 || 
!       	   !this.genomesCollector.ContainsKey(currentGenome.Fitness) )
!       	//it is the first genome to be added or no genome with the current
        	// fitness has been added to the hashtable yet
        	{
        		for(int i = 0; i<this.numberOfTickersToBeChosen; i++)
        		{
!       			this.chosenTickers[addedGenomes,i] = 
        				((GenomeMeaningPVO)currentGenome.Meaning).Tickers[i];
!       			this.chosenTickersPortfolioWeights[addedGenomes,i] =
        				((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights[i];
        		}
--- 327,342 ----
        {
        	currentGenome = (Genome)GO.CurrentGeneration[GO.PopulationSize - 1 - counter];
!       	if(   counter == 0 || 
!       	      !this.genomesCollector.ContainsKey(
!               ( (GenomeMeaning)currentGenome.Meaning ).HashCodeForTickerComposition   )   )
! //								currentGenome.Fitness)   )
! 				//it is the first genome to be added or no genome with the current
        	// fitness has been added to the hashtable yet
        	{
        		for(int i = 0; i<this.numberOfTickersToBeChosen; i++)
        		{
!       			this.bestGenomesChosenTickers[addedGenomes,i] = 
        				((GenomeMeaningPVO)currentGenome.Meaning).Tickers[i];
!       			this.bestGenomesChosenTickersPortfolioWeights[addedGenomes,i] =
        				((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights[i];
        		}
***************
*** 341,346 ****
        				((GenomeMeaningPVO)currentGenome.Meaning).OverboughtThreshold;
        		
!       		this.genomesCollector.Add(currentGenome.Fitness, null);
!       		
        		this.addPVOGenomeToBestGenomes(currentGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, eligibleTickersForGO,
--- 346,352 ----
        				((GenomeMeaningPVO)currentGenome.Meaning).OverboughtThreshold;
        		
!       		this.genomesCollector.Add(
!       		 ( (GenomeMeaning)currentGenome.Meaning ).HashCodeForTickerComposition, null);
! //						currentGenome.Fitness,null);
        		this.addPVOGenomeToBestGenomes(currentGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, eligibleTickersForGO,
***************
*** 358,362 ****
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
        this.iGenomeManager =
!           new GenomeManagerPVO(setOfTickersToBeOptimized,
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
--- 364,368 ----
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
        this.iGenomeManager =
!           new GenomeManagerWeightedBalancedPVO(setOfTickersToBeOptimized,
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
***************
*** 376,380 ****
        if(setGenomeCounter)
          this.genomeCounter = new GenomeCounter(GO);
!       GO.MutationRate = 0.4;
        GO.Run(false);
         
--- 382,388 ----
        if(setGenomeCounter)
          this.genomeCounter = new GenomeCounter(GO);
!       
!       GO.MutationRate = 0.1;
!       GO.CrossoverRate = 0.85;
        GO.Run(false);