[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights WFLagGeneticWithEqualWeights.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29631/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights

Modified Files:
	WFLagGeneticWithEqualWeights.cs 
Log Message:
Several double data have been replaced by float data

Index: WFLagGeneticWithEqualWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights/WFLagGeneticWithEqualWeights.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagGeneticWithEqualWeights.cs	24 Jun 2007 21:11:46 -0000	1.1
--- WFLagGeneticWithEqualWeights.cs	13 Jul 2007 10:14:44 -0000	1.2
***************
*** 155,159 ****
  		}
  
! 		private double[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
--- 155,159 ----
  		}
  
! 		private float[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
***************
*** 166,171 ****
  			float[][] tickersReturns =
  				this.wFLagCandidates.GetTickersReturns( tickers );
! 			double[] linearCombinationReturns =
! 				new double[ tickersReturns[ 0 ].Length ];
  			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
  				// computes linearCombinationReturns[ i ]
--- 166,171 ----
  			float[][] tickersReturns =
  				this.wFLagCandidates.GetTickersReturns( tickers );
! 			float[] linearCombinationReturns =
! 				new float[ tickersReturns[ 0 ].Length ];
  			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
  				// computes linearCombinationReturns[ i ]
***************
*** 174,178 ****
  				for ( int j=0 ; j < weightedPositions.Count ; j++ )
  				{
! 					double weightedPositionReturn =
  						tickersReturns[ j ][ i ] * multipliers[ j ];
  					linearCombinationReturns[ i ] += weightedPositionReturn;
--- 174,178 ----
  				for ( int j=0 ; j < weightedPositions.Count ; j++ )
  				{
! 					float weightedPositionReturn =
  						tickersReturns[ j ][ i ] * multipliers[ j ];
  					linearCombinationReturns[ i ] += weightedPositionReturn;
***************
*** 181,191 ****
  			return linearCombinationReturns;
  		}
! 		private double[] getFitnessValue_getStrategyReturn(
! 			double[] drivingPositionsReturns , double[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			double[] strategyReturns = new double[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
--- 181,191 ----
  			return linearCombinationReturns;
  		}
! 		private float[] getFitnessValue_getStrategyReturn(
! 			float[] drivingPositionsReturns , float[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			float[] strategyReturns = new float[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
***************
*** 204,222 ****
  
  		}
! 		private double getFitnessValue( double[] strategyReturns )
  		{
! //			double fitnessValue =
  //				AdvancedFunctions.GetSharpeRatio(
  //				strategyReturns );
! //			double fitnessValue =
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			double fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
  
! 			//			double fitnessValue =
  			//				this.getFitnessValue_withGoodFinal( strategyReturns );
! 			//			double fitnessValue =
  			//				BasicFunctions.GetSimpleAverage( strategyReturns ) /
  			//				( Math.Pow( BasicFunctions.GetStdDev( strategyReturns ) , 1.3 ) );
--- 204,222 ----
  
  		}
! 		private float getFitnessValue( float[] strategyReturns )
  		{
! //			float fitnessValue =
  //				AdvancedFunctions.GetSharpeRatio(
  //				strategyReturns );
! //			float fitnessValue =
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			float fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
  
! 			//			float fitnessValue =
  			//				this.getFitnessValue_withGoodFinal( strategyReturns );
! 			//			float fitnessValue =
  			//				BasicFunctions.GetSimpleAverage( strategyReturns ) /
  			//				( Math.Pow( BasicFunctions.GetStdDev( strategyReturns ) , 1.3 ) );
***************
*** 227,241 ****
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			double[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			double[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			double[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
! 			double fitnessValue = this.getFitnessValue( strategyReturns );
! 			return fitnessValue;
  		}
  		public double GetFitnessValue( Genome genome )
--- 227,241 ----
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			float[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			float[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			float[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
! 			float fitnessValue = this.getFitnessValue( strategyReturns );
! 			return (double)fitnessValue;
  		}
  		public double GetFitnessValue( Genome genome )
***************
*** 251,255 ****
  				// genome contains a duplicate gene either for
  				// driving positions or for portfolio positions
! 				//fitnessValue = double.MinValue;
  				fitnessValue = -0.2;
  			else
--- 251,255 ----
  				// genome contains a duplicate gene either for
  				// driving positions or for portfolio positions
! 				//fitnessValue = float.MinValue;
  				fitnessValue = -0.2;
  			else
***************
*** 381,387 ****
  			return tickerIndex;
  		}
! 		private double getWeight( Genome genome , int genePosition )
  		{
! 			double weight = 1;
  			if ( genome.GetGeneValue( genePosition ) < 0 )
  				// the position is short
--- 381,387 ----
  			return tickerIndex;
  		}
! 		private float getWeight( Genome genome , int genePosition )
  		{
! 			float weight = 1;
  			if ( genome.GetGeneValue( genePosition ) < 0 )
  				// the position is short