[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositio

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31039/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
GetFitnessValue returns a float now (it returned a double in the previous version)

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	24 Jun 2007 21:34:55 -0000	1.2
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	13 Jul 2007 10:16:59 -0000	1.3
***************
*** 25,31 ****
--- 25,33 ----
  using System.Data;

+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.ADT.Statistics;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Strategies.EquityEvaluation;

***************
*** 45,57 ****
  		private int numberOfDrivingPositions;
  		private string[] portfolioSignedTickers;
  //		private int numberOfEligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForPortfolioWeightedPositions;
! 		private DateTime firstOptimizationDateForDrivingPositions;
! 		private DateTime lastOptimizationDate;

  		private double minimumPositionWeight;

! 		protected WFLagCandidates wFLagCandidates;

  		private IEquityEvaluator equityEvaluator;
--- 47,66 ----
  		private int numberOfDrivingPositions;
  		private string[] portfolioSignedTickers;
+ 		private History timeLineForOptimization; // this time line goes from
+ 		// the first optimization date for driving positions to the
+ 		// last optimization date; this optimization is meant to be
+ 		// launched one hour after the last market close
+ 
+ //		private DateTime firstOptimizationDateForDrivingPositions;
+ //		private DateTime lastOptimizationDate;
  //		private int numberOfEligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForPortfolioWeightedPositions;
! //		private DateTime firstOptimizationDateForDrivingPositions;
! //		private DateTime lastOptimizationDate;

  		private double minimumPositionWeight;

! //		protected WFLagCandidates wFLagCandidates;

  		private IEquityEvaluator equityEvaluator;
***************
*** 59,62 ****
--- 68,72 ----
  		private WFLagMeaningForUndecodableGenomes wFLagMeaningForUndecodableGenomes;
  		private string[] tickersForPortfolioPositions;
+ 		private CloseToCloseReturnsManager closeToCloseReturnsManager;

***************
*** 89,94 ****
  			DataTable eligibleTickersForDrivingWeightedPositions ,
  			string[] portfolioSignedTickers ,
! 			DateTime firstOptimizationDateForDrivingPositions ,
! 			DateTime lastOptimizationDate ,
  			IEquityEvaluator equityEvaluator ,
  			int seedForRandomGenerator )
--- 99,103 ----
  			DataTable eligibleTickersForDrivingWeightedPositions ,
  			string[] portfolioSignedTickers ,
! 			History timeLineForOptimization ,
  			IEquityEvaluator equityEvaluator ,
  			int seedForRandomGenerator )
***************
*** 103,109 ****
  //				eligibleTickersForPortfolioWeightedPositions;
  			this.portfolioSignedTickers = portfolioSignedTickers;
! 			this.firstOptimizationDateForDrivingPositions =
! 					firstOptimizationDateForDrivingPositions;
! 			this.lastOptimizationDate = lastOptimizationDate;

  			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
--- 112,116 ----
  //				eligibleTickersForPortfolioWeightedPositions;
  			this.portfolioSignedTickers = portfolioSignedTickers;
! 			this.timeLineForOptimization = timeLineForOptimization;

  			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
***************
*** 118,124 ****
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );

! 			this.wFLagCandidates = new WFLagCandidates(
! 				this.eligibleTickersForDrivingWeightedPositions ,
! 				this.firstOptimizationDateForDrivingPositions , this.lastOptimizationDate );

  			this.wFLagMeaningForUndecodableGenomes =
--- 125,133 ----
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );

! //			this.wFLagCandidates = new WFLagCandidates(
! //				this.eligibleTickersForDrivingWeightedPositions ,
! //				this.firstOptimizationDateForDrivingPositions , this.lastOptimizationDate );
! 			this.closeToCloseReturnsManager =
! 				new CloseToCloseReturnsManager( this.timeLineForOptimization );

  			this.wFLagMeaningForUndecodableGenomes =
***************
*** 158,194 ****
  		}

! 		private double[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
! //			ArrayList enumeratedweightedPositions =
! //				this.getEnumeratedWeightedPositions( weightedPositions );
! 			int numberOfWeightedPositions = weightedPositions.Count;
! 			string[] tickers = this.getTickers( weightedPositions );
! 			float[] multipliers = this.getMultipliers( weightedPositions );
! 			// arrays of close to close returns, one for each signed ticker
! 			float[][] tickersReturns =
! 				this.wFLagCandidates.GetTickersReturns( tickers );
! 			double[] linearCombinationReturns =
! 				new double[ tickersReturns[ 0 ].Length ];
! 			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
! 				// computes linearCombinationReturns[ i ]
! 			{
! 				linearCombinationReturns[ i ] = 0;
! 				for ( int j=0 ; j < weightedPositions.Count ; j++ )
! 				{
! 					double weightedPositionReturn =
! 						tickersReturns[ j ][ i ] * multipliers[ j ];
! 					linearCombinationReturns[ i ] += weightedPositionReturn;
! 				}
! 			}
! 			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 )
--- 167,183 ----
  		}

! 		private float[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
! 			return weightedPositions.GetReturns(
! 				this.closeToCloseReturnsManager );
  		}
! 		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 )
***************
*** 207,211 ****

  		}
! 		private double getFitnessValue( double[] strategyReturns )
  		{
  //			double fitnessValue =
--- 196,200 ----

  		}
! 		private float getFitnessValue( float[] strategyReturns )
  		{
  //			double fitnessValue =
***************
*** 215,219 ****
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			double fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
--- 204,208 ----
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			float fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
***************
*** 227,243 ****
  		}

! 		public double GetFitnessValue(
  			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;
  		}
--- 216,232 ----
  		}

! 		public float GetFitnessValue(
  			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 fitnessValue;
  		}
***************
*** 496,501 ****
  			Genome genome )
  		{
- 			double[] weightsForDrivingPositions =	this.getWeightsForDrivingPositions( genome );
  			string[] tickersForDrivingPositions =	this.getTickersForDrivingPositions( genome );
  			return decodeWeightedPositions(
  				weightsForDrivingPositions ,
--- 485,490 ----
  			Genome genome )
  		{
  			string[] tickersForDrivingPositions =	this.getTickersForDrivingPositions( genome );
+ 			double[] weightsForDrivingPositions =	this.getWeightsForDrivingPositions( genome );
  			return decodeWeightedPositions(
  				weightsForDrivingPositions ,
***************
*** 506,511 ****
  		{
  			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
! 				this.firstOptimizationDateForDrivingPositions.AddDays( 1 ) ,
! 				this.lastOptimizationDate );
  		}
  		private WeightedPositions decodePortfolioWeightedPositions(
--- 495,499 ----
  		{
  			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
! 				this.closeToCloseReturnsManager );
  		}
  		private WeightedPositions decodePortfolioWeightedPositions(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositio

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.2, 1.3