[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WeightedPositions.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22704/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WeightedPositions.cs 
Log Message:
- fixed bug in the GetBalancedWeights public method
- SignedTickers and SignedTicker classes are now used, instead of plain text strings

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WeightedPositions.cs	1 Aug 2007 23:12:46 -0000	1.6
--- WeightedPositions.cs	7 Aug 2007 16:51:44 -0000	1.7
***************
*** 307,321 ****
  		}
  		private static float getTickerReturnsStandardDeviations( int tickerIndex ,
! 			string[] signedTickers , ReturnsManager returnsManager )
  		{
! 			string ticker = SignedTicker.GetTicker( signedTickers[ tickerIndex ] );
  			return returnsManager.GetReturnsStandardDeviation( ticker );
  		}
  		private static float[] getTickersReturnsStandardDeviations(
! 			string[] signedTickers , ReturnsManager returnsManager )
  		{
  			float[] tickersReturnsStandardDeviations =
! 				new float[ signedTickers.Length ];
! 			for ( int i = 0 ; i < signedTickers.Length ; i++ )
  				tickersReturnsStandardDeviations[ i ] =
  					getTickerReturnsStandardDeviations( i ,
--- 307,321 ----
  		}
  		private static float getTickerReturnsStandardDeviations( int tickerIndex ,
! 			SignedTickers signedTickers , ReturnsManager returnsManager )
  		{
! 			string ticker = signedTickers[ tickerIndex ].Ticker;
  			return returnsManager.GetReturnsStandardDeviation( ticker );
  		}
  		private static float[] getTickersReturnsStandardDeviations(
! 			SignedTickers signedTickers , ReturnsManager returnsManager )
  		{
  			float[] tickersReturnsStandardDeviations =
! 				new float[ signedTickers.Count ];
! 			for ( int i = 0 ; i < signedTickers.Count ; i++ )
  				tickersReturnsStandardDeviations[ i ] =
  					getTickerReturnsStandardDeviations( i ,
***************
*** 347,359 ****
  				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 , ReturnsManager returnManager )
  		{
  			float[] standardDeviations =
--- 347,352 ----
  				standardDeviations , maxStandardDeviation );
  		}
! 		private static double[] getUnsignedNormalizedBalancedWeights(
! 			SignedTickers signedTickers , ReturnsManager returnManager )
  		{
  			float[] standardDeviations =
***************
*** 366,369 ****
--- 359,402 ----
  			return normalizedBalancedWeights;
  		}
+ 		private static double[] getSignedNormalizedBalancedWeights(
+ 			double[] multipliers ,
+ 			double[] unsignedNormalizedBalancedWeights )
+ 		{
+ 			double[] signedNormalizedBalancedWeights =
+ 				new double[ unsignedNormalizedBalancedWeights.Length ];
+ 			for( int i = 0 ; i < unsignedNormalizedBalancedWeights.Length ; i++ )
+ 				signedNormalizedBalancedWeights[ i ] =
+ 					multipliers[ i ] * unsignedNormalizedBalancedWeights[ i ];
+ 			return signedNormalizedBalancedWeights;
+ 		}
+ 		private static double[] getSignedNormalizedBalancedWeights(
+ 			SignedTickers signedTickers ,
+ 			double[] unsignedNormalizedBalancedWeights )
+ 		{
+ 			double[] multipliers =
+ 				signedTickers.Multipliers;
+ 			double[] signedNormalizedBalancedWeights =
+ 				getSignedNormalizedBalancedWeights( multipliers ,
+ 				unsignedNormalizedBalancedWeights );
+ 			return signedNormalizedBalancedWeights;
+ 		}
+ 		/// <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(
+ 			SignedTickers signedTickers , ReturnsManager returnManager )
+ 		{
+ 			double[] unsignedNormalizedBalancedWeights =
+ 				getUnsignedNormalizedBalancedWeights(
+ 				signedTickers , returnManager );
+ 			double[] balancedWeights =
+ 				getSignedNormalizedBalancedWeights(
+ 				signedTickers , unsignedNormalizedBalancedWeights );
+ 			return balancedWeights;
+ 		}
  		#endregion //GetBalancedWeights
  		#region GetReturn