[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WeightedPositions.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27069/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WeightedPositions.cs 
Log Message:
The public static method GetBalancedWeights has been added: it returns weights balanced with respect to the close to close volatility, in the given period (the most volatile ticker is given the lighter weight)

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WeightedPositions.cs	8 Oct 2006 16:13:54 -0000	1.3
--- WeightedPositions.cs	24 Jun 2007 21:31:05 -0000	1.4
***************
*** 24,31 ****
--- 24,33 ----
  using System.Collections;
  
+ using QuantProject.ADT.Statistics;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataTables;
  
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
***************
*** 312,315 ****
--- 314,389 ----
  		}
  		#endregion
+ 		#region GetBalancedWeights
+ 		private static float[][] getTickerCloseToCloseReturnsForSignedTickers(
+ 			string[] signedTickers , DateTime firstDate , DateTime lastDate )
+ 		{
+ 			float[][] tickerReturns = new float[ signedTickers.Length ][];
+ 			for ( int i = 0 ;	i < signedTickers.Length ; i++ )
+ 			{
+ 				string ticker = SignedTicker.GetTicker( signedTickers[ i ] );
+ 				tickerReturns[ i ] = Quotes.GetArrayOfCloseToCloseRatios(
+ 					ticker , ref firstDate , lastDate , 1 );
+ 			}
+ 			return tickerReturns;
+ 		}
+ 		private static double getStandardDeviation( float[] returnsForTicker )
+ 		{
+ 			return BasicFunctions.GetStdDev( returnsForTicker );
+ 		}
+ 		private static double[] getStandardDeviations( float[][] returnsForTickers )
+ 		{
+ 			double[] standardDeviations = new double[ returnsForTickers.Length ];
+ 			for ( int i = 0 ;	i < standardDeviations.Length ; i++ )
+ 				standardDeviations[ i ] = getStandardDeviation( returnsForTickers[ i ] );
+ 			return standardDeviations;
+ 		}
+ 		private static double[] getStandardDeviations( string[] signedTickers ,
+ 			DateTime firstDate , DateTime lastDate )
+ 		{
+ 			float[][] returnsForTickers = getTickerCloseToCloseReturnsForSignedTickers(
+ 				signedTickers ,	firstDate , lastDate );
+ 			return getStandardDeviations( returnsForTickers );
+ 		}
+ 		private static double getNonNormalizedWeightsButBalancedForVolatility(
+ 			double[] standardDeviations , double maxStandardDeviation , int i )
+ 		{
+ 			return maxStandardDeviation / standardDeviations[ i ];
+ 		}
+ 		private static double[] getNonNormalizedWeightsButBalancedForVolatility(
+ 			double[] standardDeviations , double maxStandardDeviation )
+ 		{
+ 			double[] nonNormalizedWeightsButBalancedForVolatility =
+ 				new double[ standardDeviations.Length ];
+ 			for ( int i = 0 ; i < standardDeviations.Length ; i++ )
+ 				nonNormalizedWeightsButBalancedForVolatility[ i ] =
+ 					getNonNormalizedWeightsButBalancedForVolatility(
+ 					standardDeviations , maxStandardDeviation , i );
+ 			return nonNormalizedWeightsButBalancedForVolatility;
+ 		}
+ 		private static double[] getNonNormalizedWeightsButBalancedForVolatility(
+ 			double[] standardDeviations )
+ 		{
+ 			double maxStandardDeviation = BasicFunctions.GetMax( standardDeviations );
+ 			return getNonNormalizedWeightsButBalancedForVolatility(
+ 				standardDeviations , maxStandardDeviation );
+ 		}
+ 		/// <summary>
+ 		/// Returns weights balanced with respect to the close to close volatility,
+ 		/// in the given period
+ 		/// (the most volatile ticker is given the lighter weight)
+ 		/// </summary>
+ 		/// <param name="signedTickers"></param>
+ 		/// <returns></returns>
+ 		public static double[] GetBalancedWeights(
+ 			string[] signedTickers , DateTime firstDate , DateTime lastDate )
+ 		{
+ 			double[] standardDeviations = getStandardDeviations( signedTickers , firstDate , lastDate );
+ 			double[] nonNormalizedButBalancedWeights =
+ 				getNonNormalizedWeightsButBalancedForVolatility( standardDeviations );
+ 			double[] normalizedBalancedWeights =
+ 				GetNormalizedWeights( nonNormalizedButBalancedWeights );
+ 			return normalizedBalancedWeights;
+ 		}
+ 		#endregion //GetBalancedWeights
  	}
  }