[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs, NONE, 1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29765

Added Files:
	WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
Computes the best driving positions using the genetic optimizer. Portfolio positions are fixed. Only normal weights are considered, both for driving positions and for portfolio positions

--- NEW FILE: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs ---
/*
QuantProject - Quantitative Finance Library

WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Timing;
using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers
{
	/// <summary>
	/// Computes the best driving positions using the genetic
	/// optimizer. Portfolio positions are fixed. Only normal weights are considered,
	/// both for driving positions and for portfolio positions
	/// </summary>
	public class WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio :
		IWFLagWeightedPositionsChooser
	{
		public event NewProgressEventHandler NewProgress;

		protected int numberOfDrivingPositions;
		protected int numberOfPortfolioPositions;
		protected int inSampleDays;
		protected string benchmark;
		protected IEquityEvaluator equityEvaluator;
		protected int populationSizeForGeneticOptimizer;
		protected int generationNumberForGeneticOptimizer;

		protected WFLagChosenPositions wFLagChosenPositions;

		// first in sample quote date for driving positions
		protected DateTime firstInSampleDrivingDate;
		// last in sample quote date for equity evaluation
		protected DateTime lastInSampleOptimizationDate;

		public int NumberOfDrivingPositions
		{
			get
			{
				return this.numberOfDrivingPositions;
			}
		}

		public int NumberOfPortfolioPositions
		{
			get
			{
				return this.numberOfPortfolioPositions;
			}
		}

		public int NumberDaysForInSampleOptimization
		{
			get
			{
				return this.inSampleDays;
			}
		}

		public string Benchmark
		{
			get
			{
				return this.benchmark;
			}
		}

		public WFLagChosenPositions WFLagChosenPositions
		{
			get
			{
				return this.wFLagChosenPositions;
			}
		}

		/// <summary>
		/// 
		/// </summary>
		/// <param name="numberOfDrivingPositions"></param>
		/// <param name="numberOfPortfolioPositions"></param>
		/// <param name="inSampleDays">the number of in sample
		/// data required. Since one more driving day is needed, the max number of
		/// possible trades will be numberDaysForInSampleOptimization-1</param></param>
		public WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio(
			int numberOfDrivingPositions ,
			string[] portfolioPositionTickers ,
			int inSampleDays ,
			string benchmark ,
			IEquityEvaluator equityEvaluator ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer
			)
		{
			this.numberOfDrivingPositions = numberOfDrivingPositions;
			this.numberOfPortfolioPositions = portfolioPositionTickers.Length;
			this.inSampleDays =	inSampleDays;
			this.benchmark = benchmark;
			this.equityEvaluator = equityEvaluator;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
		}
		#region setWeightedPositions_usingTheGeneticOptimizer
		private void newGenerationEventHandler(
			object sender , NewGenerationEventArgs e )
		{
			this.NewProgress( sender ,
				new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
		}
//		private void setWeightedPositions(
//			WFLagWeightedPositions wFLagWeightedPositions )
//		{
//			this.drivingWeightedPositions =
//				wFLagWeightedPositions.DrivingWeightedPositions;
//			this.portfolioWeightedPositions =
//				wFLagWeightedPositions.PortfolioWeightedPositions;
//		}
		private void setSignedTickers_setTickersFromGenome(
			IGenomeManager genomeManager ,
			Genome genome )
		{
			this.wFLagChosenPositions =
				( WFLagChosenPositions )genomeManager.Decode( genome );
//			this.setWeightedPositions( wFLagWeightedPositions );
			//			this.drivingWeightedPositions =
			//				wFLagWeightedPositions.DrivingWeightedPositions;
			//			this.portfolioWeightedPositions =
			//				wFLagWeightedPositions.PortfolioWeightedPositions;
		}
		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
			EndOfDayDateTime now )
		{
			this.firstInSampleDrivingDate =
				now.DateTime.AddDays(
				-( this.NumberDaysForInSampleOptimization - 1 ) );
			this.lastInSampleOptimizationDate =
				now.DateTime;

			WFLagGenomeManager genomeManager = 
				new WFLagGenomeManager(
				eligibleTickersForDrivingPositions.EligibleTickers ,
				eligibleTickersForDrivingPositions.EligibleTickers ,
				this.firstInSampleDrivingDate ,
				this.lastInSampleOptimizationDate ,
				this.numberOfDrivingPositions ,
				this.numberOfPortfolioPositions ,
				this.equityEvaluator ,
				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );

			GeneticOptimizer geneticOptimizer = new GeneticOptimizer(
				0.85 ,
				0.02 ,
				0.001 ,
				this.populationSizeForGeneticOptimizer ,
				this.generationNumberForGeneticOptimizer ,
				genomeManager ,
				ConstantsProvider.SeedForRandomGenerator );

			geneticOptimizer.NewGeneration +=
				new NewGenerationEventHandler( this.newGenerationEventHandler );

			geneticOptimizer.Run( false );

			this.setSignedTickers_setTickersFromGenome(
				genomeManager , geneticOptimizer.BestGenome );

//			this.generation = geneticOptimizer.BestGenome.Generation;

		}
		#endregion
		private void chosePositions_checkParameters(
			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
			EndOfDayDateTime now )
		{
			if ( now.EndOfDaySpecificTime != EndOfDaySpecificTime.OneHourAfterMarketClose )
				throw new Exception( "The 'now' parameter must be one hour after market " +
					"close. It is not." );
			if ( eligibleTickersForDrivingPositions.EligibleTickers.Rows.Count <
				this.NumberOfDrivingPositions )
				throw new Exception( "Eligilbe tickers for driving positions contains " +
					"only " + eligibleTickersForDrivingPositions.EligibleTickers.Rows.Count +
					" elements, while NumberOfDrivingPositions is " +
					this.NumberOfDrivingPositions );
		}
		/// <summary>
		/// Sets the best WFLagChosenPositions, with respecto to in sample data.
		/// </summary>
		/// <param name="eligibleTickersForDrivingPositions"></param>
		/// <param name="eligibleTickersForPortfolioPositions"></param>
		/// <param name="now">Last in sample EndOfDayDateTime. It is expected to be
		/// one hour after market close</param>
		public void ChosePositions(
			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
			EndOfDayDateTime now )
		{
			this.chosePositions_checkParameters( eligibleTickersForDrivingPositions ,
				now );
			this.setWeightedPositions_usingTheGeneticOptimizer(
				eligibleTickersForDrivingPositions ,
				now );
		}
	}
}