[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3094/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
Bug fixed: now driving positions are actually balanced for equal volatility

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	7 Aug 2007 16:55:22 -0000	1.4
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	27 Aug 2007 22:24:21 -0000	1.5
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.ADT.Statistics;
+ using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.ReturnsManagement;
***************
*** 60,64 ****
  //		private DateTime lastOptimizationDate;
  
! 		private double minimumPositionWeight;
  
  //		protected WFLagCandidates wFLagCandidates;
--- 61,65 ----
  //		private DateTime lastOptimizationDate;
  
! //		private double minimumPositionWeight;
  
  //		protected WFLagCandidates wFLagCandidates;
***************
*** 114,118 ****
  			this.timeLineForOptimization = timeLineForOptimization;
  
! 			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
  			
  			this.equityEvaluator = equityEvaluator;
--- 115,119 ----
  			this.timeLineForOptimization = timeLineForOptimization;
  
! //			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
  			
  			this.equityEvaluator = equityEvaluator;
***************
*** 289,296 ****
  			{
  				int genePosition = firstGenePosition + i;
! 				genes[ i ] =	this.getTickerIndex( genome , genePosition );
  			}
  			return genes;
  		}
  		private int[] getTickerRelatedGeneValuesForDrivingPositions(
  			Genome genome )
--- 290,298 ----
  			{
  				int genePosition = firstGenePosition + i;
! 				genes[ i ] =	genome.Genes()[ genePosition ];
  			}
  			return genes;
  		}
+ 		#region getSignedTickersForDrivingPositions
  		private int[] getTickerRelatedGeneValuesForDrivingPositions(
  			Genome genome )
***************
*** 298,308 ****
  			return this.getGenes( genome , 0 , this.numberOfDrivingPositions );
  		}
! //		private int[] getTickerRelatedGeneValuesForPortfolioPositions(
! //			Genome genome )
! //		{
! //			return this.getGenes( genome , this.numberOfDrivingPositions ,
! //				this.numberOfPortfolioPositions );
! //		}
! 		private void decodeTicker_checkParameters( int geneValue , DataTable eligibleTickers )
  		{
  			if ( geneValue >= eligibleTickers.Rows.Count )
--- 300,305 ----
  			return this.getGenes( genome , 0 , this.numberOfDrivingPositions );
  		}
! 		private void decodeSignedTicker_checkParameters(
! 			int geneValue , DataTable eligibleTickers )
  		{
  			if ( geneValue >= eligibleTickers.Rows.Count )
***************
*** 311,344 ****
  				throw new Exception( "geneValue is too (negative) large for eligibleTickers  !!" );
  		}
! 		private string decodeTicker( int geneValue , DataTable eligibleTickers )
  		{
  			string ticker;
! 			decodeTicker_checkParameters( geneValue , eligibleTickers );
  			if ( geneValue >= 0 )
  				// long ticker
  				ticker = ( string )eligibleTickers.Rows[ geneValue ][ 0 ];
  			else
  				// short ticker
  				ticker = ( string )eligibleTickers.Rows[ -(geneValue+1) ][ 0 ];
! 			return ticker;
  		}
! 		private string[] decodeTickers( int[] tickerRelatedGeneValues ,
  			DataTable eligibleTickers )
  		{
! 			string[] tickers = new string[ tickerRelatedGeneValues.Length ];
  			for( int i = 0 ; i < tickerRelatedGeneValues.Length ; i++ )
  			{
! 				int currentGeneValue = tickerRelatedGeneValues[ i ];
! 				tickers[ i ] = decodeTicker( currentGeneValue , eligibleTickers );
! 				
! 				tickers[ i ] =
! 					( string )eligibleTickers.Rows[ currentGeneValue ][ 0 ];
  			}
! 			return tickers;
  		}
! 		private string[] getTickersForDrivingPositions( Genome genome )
  		{
  			int[] geneValues = this.getTickerRelatedGeneValuesForDrivingPositions( genome );
! 			return this.decodeTickers( geneValues , this.eligibleTickersForDrivingWeightedPositions );
  		}
  		#region getTickersForPortfolioPositions
--- 308,359 ----
  				throw new Exception( "geneValue is too (negative) large for eligibleTickers  !!" );
  		}
! 		private SignedTicker decodeSignedTicker(	int geneValue ,
! 			DataTable eligibleTickers )
  		{
+ 			SignedTicker signedTicker;
  			string ticker;
! 			decodeSignedTicker_checkParameters( geneValue , eligibleTickers );
  			if ( geneValue >= 0 )
+ 			{
  				// long ticker
  				ticker = ( string )eligibleTickers.Rows[ geneValue ][ 0 ];
+ 				signedTicker = new SignedTicker( ticker , PositionType.Long );
+ 			}
  			else
+ 			{
  				// short ticker
  				ticker = ( string )eligibleTickers.Rows[ -(geneValue+1) ][ 0 ];
! 				signedTicker = new SignedTicker( ticker , PositionType.Short );
! 			}
! 			return signedTicker;
  		}
! 		private SignedTicker decodeSignedTickers( int i ,
! 			int[] tickerRelatedGeneValues ,	DataTable eligibleTickers )
! 		{
! 			int currentGeneValue = tickerRelatedGeneValues[ i ];
! 			return this.decodeSignedTicker( currentGeneValue , eligibleTickers );
! 		}
! 		private SignedTickers decodeSignedTickers( int[] tickerRelatedGeneValues ,
  			DataTable eligibleTickers )
  		{
! 			SignedTickers signedTickers =	new SignedTickers();
  			for( int i = 0 ; i < tickerRelatedGeneValues.Length ; i++ )
  			{
! 				SignedTicker signedTicker = this.decodeSignedTickers(
! 					i , tickerRelatedGeneValues , eligibleTickers );
! 				signedTickers.Add( signedTicker );
  			}
! 			return signedTickers;
  		}
! 		private SignedTickers getSignedTickersForDrivingPositions( Genome genome )
  		{
  			int[] geneValues = this.getTickerRelatedGeneValuesForDrivingPositions( genome );
! 			return this.decodeSignedTickers( geneValues ,
! 				this.eligibleTickersForDrivingWeightedPositions );
! 		}
! 		#endregion getSignedTickersForDrivingPositions
! 		private string[] getTickersForDrivingPositions( Genome genome )
! 		{
! 			return this.getSignedTickersForDrivingPositions( genome ).Tickers;
  		}
  		#region getTickersForPortfolioPositions
***************
*** 378,411 ****
  //			return weightRelatedGeneValuesForDrivingPositions;
  //		}
! 		private int getTickerIndex( Genome genome , int genePosition )
! 		{
! 			int tickerIndex = genome.GetGeneValue( genePosition );
! 			if ( tickerIndex < 0 )
! 				// the position is short
! 				tickerIndex += -this.GetMinValueForGenes( genePosition );
! 			return tickerIndex;
! 		}
! 		private double getWeight( Genome genome , int genePosition )
! 		{
! 			double weight = 1;
! 			if ( genome.GetGeneValue( genePosition ) < 0 )
! 				// the position is short
! 				weight = -1;
! 			return weight;
! 		}
! 		private double[] getWeights( Genome genome , int firstGenePosition , int numberOfGenes )
! 		{
! 			double[] weights = new double[ numberOfGenes ];
! 			for ( int i = 0 ; i < numberOfGenes ; i++ )
! 			{
! 				int genePosition = firstGenePosition + i;
! 				weights[ i ] = this.getWeight( genome , genePosition );
! 			}
! 			return weights;
! 		}
! 		private double[] getWeightsForDrivingPositions( Genome genome )
! 		{
! 			return this.getWeights( genome , 0 , this.numberOfDrivingPositions );
! 		}
  //		private double[] getWeightsForPortfolioPositions( Genome genome )
  //		{
--- 393,426 ----
  //			return weightRelatedGeneValuesForDrivingPositions;
  //		}
! //		private int getTickerIndex( Genome genome , int genePosition )
! //		{
! //			int tickerIndex = genome.GetGeneValue( genePosition );
! //			if ( tickerIndex < 0 )
! //				// the position is short
! //				tickerIndex += -this.GetMinValueForGenes( genePosition );
! //			return tickerIndex;
! //		}
! //		private double getWeight( Genome genome , int genePosition )
! //		{
! //			double weight = 1;
! //			if ( genome.GetGeneValue( genePosition ) < 0 )
! //				// the position is short
! //				weight = -1;
! //			return weight;
! //		}
! //		private double[] getWeights( Genome genome , int firstGenePosition , int numberOfGenes )
! //		{
! //			double[] weights = new double[ numberOfGenes ];
! //			for ( int i = 0 ; i < numberOfGenes ; i++ )
! //			{
! //				int genePosition = firstGenePosition + i;
! //				weights[ i ] = this.getWeight( genome , genePosition );
! //			}
! //			return weights;
! //		}
! //		private double[] getWeightsForDrivingPositions( Genome genome )
! //		{
! //			return this.getWeights( genome , 0 , this.numberOfDrivingPositions );
! //		}
  //		private double[] getWeightsForPortfolioPositions( Genome genome )
  //		{
***************
*** 414,480 ****
  //		}
  		#region decodeWeightedPositions
! 		#region getNormalizedWeightValues
! 		private double getAdditionalWeight( int weightRelatedGeneValue )
! 		{
! 			double midrangeValue = (
! 				this.GetMinValueForGenes( 0 ) + this.GetMaxValueForGenes( 0 ) ) / 2;
! 			double singleWeightFreeRange = 1 - this.minimumPositionWeight;
! 			double scaleRange = Convert.ToDouble(
! 				this.GetMinValueForGenes( 0 ) - this.GetMaxValueForGenes( 0 ) );
! 			double nonScaledAdditionalWeight = Convert.ToDouble( weightRelatedGeneValue ) -
! 				midrangeValue;
! 			double scaledAdditionalWeight =
! 				nonScaledAdditionalWeight * singleWeightFreeRange / scaleRange;
! 			return scaledAdditionalWeight;
! 		}
! 		private double getNonNormalizedWeightValue( int weightRelatedGeneValue )
! 		{
! 			double additionalWeight = this.getAdditionalWeight( weightRelatedGeneValue );
! 			double nonNormalizedWeightValue = 0;
! 			if ( additionalWeight >= 0 )
! 				// the gene value represents a long position
! 				nonNormalizedWeightValue = this.minimumPositionWeight + additionalWeight;
! 			else
! 				// additionalWeight < 0 , i.e. the gene value represents a short position
! 				nonNormalizedWeightValue = -this.minimumPositionWeight + additionalWeight;
! 			return nonNormalizedWeightValue;
! 		}
! 		private double[] getNonNormalizedWeightValues( int[] weightRelatedGeneValues )
! 		{
! 			double[] nonNormalizedWeightValues = new double[ weightRelatedGeneValues.Length ];
! 			for ( int i = 0 ; i < weightRelatedGeneValues.Length ; i++ )
! 				nonNormalizedWeightValues[ i ] =
! 					this.getNonNormalizedWeightValue( weightRelatedGeneValues[ i ] );
! 			return nonNormalizedWeightValues;
! 		}
! 		private double getNormalizingFactor( double[] nonNormalizedWeightValues )
! 		{
! 			// the absolute value for each nonNormalizedWeightValue is between
! 			// this.minimumPositionWeight and 1
! 			double totalForNonNormalizedWeightValues = BasicFunctions.SumOfAbs( nonNormalizedWeightValues );
! 			double normalizingFactor = 1 / totalForNonNormalizedWeightValues;
! 			return normalizingFactor;
! 		}
! 		private double[] getNormalizedWeightValues( double[] nonNormalizedWeightValues ,
! 			double normalizingFactor )
! 		{
! 			return BasicFunctions.MultiplyBy( nonNormalizedWeightValues , normalizingFactor );
! 		}
! 		private double[] getNormalizedWeights( double[] nonNormalizedWeights )
! 		{
! 			double normalizingFactor = this.getNormalizingFactor( nonNormalizedWeights );
! 			return getNormalizedWeightValues( nonNormalizedWeights , normalizingFactor );
! 		}
! //		private double[] getNormalizedWeightValues( int[] weightRelatedGeneValues )
  //		{
! //			double[] nonNormalizedWeightValues =
! //				this.getNonNormalizedWeightValues( weightRelatedGeneValues );
! //			return this.getNormalizedWeightValues( nonNormalizedWeightValues );
  //		}
! 		#endregion
  		private WeightedPositions decodeWeightedPositions( double[] weights ,
  			string[] tickers , DataTable eligibleTickers )
  		{
! 			double[] normalizedWeights = this.getNormalizedWeights( weights );
  			WeightedPositions weightedPositions =	new WeightedPositions(
  				normalizedWeights , tickers );
--- 429,496 ----
  //		}
  		#region decodeWeightedPositions
! //		#region getNormalizedWeightValues
! //		private double getAdditionalWeight( int weightRelatedGeneValue )
  //		{
! //			double midrangeValue = (
! //				this.GetMinValueForGenes( 0 ) + this.GetMaxValueForGenes( 0 ) ) / 2;
! //			double singleWeightFreeRange = 1 - this.minimumPositionWeight;
! //			double scaleRange = Convert.ToDouble(
! //				this.GetMinValueForGenes( 0 ) - this.GetMaxValueForGenes( 0 ) );
! //			double nonScaledAdditionalWeight = Convert.ToDouble( weightRelatedGeneValue ) -
! //				midrangeValue;
! //			double scaledAdditionalWeight =
! //				nonScaledAdditionalWeight * singleWeightFreeRange / scaleRange;
! //			return scaledAdditionalWeight;
  //		}
! //		private double getNonNormalizedWeightValue( int weightRelatedGeneValue )
! //		{
! //			double additionalWeight = this.getAdditionalWeight( weightRelatedGeneValue );
! //			double nonNormalizedWeightValue = 0;
! //			if ( additionalWeight >= 0 )
! //				// the gene value represents a long position
! //				nonNormalizedWeightValue = this.minimumPositionWeight + additionalWeight;
! //			else
! //				// additionalWeight < 0 , i.e. the gene value represents a short position
! //				nonNormalizedWeightValue = -this.minimumPositionWeight + additionalWeight;
! //			return nonNormalizedWeightValue;
! //		}
! //		private double[] getNonNormalizedWeightValues( int[] weightRelatedGeneValues )
! //		{
! //			double[] nonNormalizedWeightValues = new double[ weightRelatedGeneValues.Length ];
! //			for ( int i = 0 ; i < weightRelatedGeneValues.Length ; i++ )
! //				nonNormalizedWeightValues[ i ] =
! //					this.getNonNormalizedWeightValue( weightRelatedGeneValues[ i ] );
! //			return nonNormalizedWeightValues;
! //		}
! //		private double getNormalizingFactor( double[] nonNormalizedWeightValues )
! //		{
! //			// the absolute value for each nonNormalizedWeightValue is between
! //			// this.minimumPositionWeight and 1
! //			double totalForNonNormalizedWeightValues = BasicFunctions.SumOfAbs( nonNormalizedWeightValues );
! //			double normalizingFactor = 1 / totalForNonNormalizedWeightValues;
! //			return normalizingFactor;
! //		}
! //		private double[] getNormalizedWeightValues( double[] nonNormalizedWeightValues ,
! //			double normalizingFactor )
! //		{
! //			return BasicFunctions.MultiplyBy( nonNormalizedWeightValues , normalizingFactor );
! //		}
! //		private double[] getNormalizedWeights( double[] nonNormalizedWeights )
! //		{
! //			double normalizingFactor = this.getNormalizingFactor( nonNormalizedWeights );
! //			return getNormalizedWeightValues( nonNormalizedWeights , normalizingFactor );
! //		}
! ////		private double[] getNormalizedWeightValues( int[] weightRelatedGeneValues )
! ////		{
! ////			double[] nonNormalizedWeightValues =
! ////				this.getNonNormalizedWeightValues( weightRelatedGeneValues );
! ////			return this.getNormalizedWeightValues( nonNormalizedWeightValues );
! ////		}
! //		#endregion
  		private WeightedPositions decodeWeightedPositions( double[] weights ,
  			string[] tickers , DataTable eligibleTickers )
  		{
! 			double[] normalizedWeights =
! 				WeightedPositions.GetNormalizedWeights( weights );
  			WeightedPositions weightedPositions =	new WeightedPositions(
  				normalizedWeights , tickers );
***************
*** 482,496 ****
  		}
  		#endregion
  		private WeightedPositions decodeDrivingWeightedPositions(
  			Genome genome )
  		{
! 			string[] tickersForDrivingPositions =	this.getTickersForDrivingPositions( genome );
! 			double[] weightsForDrivingPositions =	this.getWeightsForDrivingPositions( genome );
! 			return decodeWeightedPositions(
! 				weightsForDrivingPositions ,
! 				tickersForDrivingPositions ,
! 				this.eligibleTickersForDrivingWeightedPositions );
  		}
! 		private double[] getNormalizedWeightsForPortfolioPositions()
  		{
  			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
--- 498,530 ----
  		}
  		#endregion
+ 		private double[] getNormalizedWeightsForDrivingPositions(
+ 			string[] tickersForDrivingPositions )
+ 		{
+ 			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
+ 				this.closeToCloseReturnsManager );
+ 		}
  		private WeightedPositions decodeDrivingWeightedPositions(
  			Genome genome )
  		{
! 			SignedTickers signedTickers =
! 				this.getSignedTickersForDrivingPositions( genome );
! 			double[] balancedWeightsForDrivingPositions =
! 				WeightedPositions.GetBalancedWeights( signedTickers ,
! 				this.closeToCloseReturnsManager );
! 			WeightedPositions weightedPositions = new WeightedPositions(
! 				balancedWeightsForDrivingPositions , signedTickers.Tickers );
! //			string[] tickersForDrivingPositions =
! //				this.getTickersForDrivingPositions( genome );
! //			double[] weightsForDrivingPositions =
! //				this.getWeightsForDrivingPositions( genome );
! //			double[] balancedWeightsForDrivingPositions =
! //				WeightedPositions.GetBalancedWeights( qui!!!! , weightsForDrivingPositions );
! //			return this.decodeWeightedPositions(
! //				weightsForDrivingPositions ,
! //				tickersForDrivingPositions ,
! //				this.eligibleTickersForDrivingWeightedPositions );
! 			return weightedPositions;
  		}
! 		private double[] getBalancedWeightsForPortfolioPositions()
  		{
  			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
***************
*** 502,512 ****
  			string[] tickersForPortfolioPositions =	this.getTickersForPortfolioPositions();
  			double[] portfolioPositionsWeights =
! 				this.getNormalizedWeightsForPortfolioPositions();
! 			return decodeWeightedPositions(
  				portfolioPositionsWeights ,
  				tickersForPortfolioPositions ,
  				this.eligibleTickersForPortfolioWeightedPositions );
  		}
! 		private WFLagWeightedPositions dedcodeDecodableGenome( Genome genome )
  		{
  			WeightedPositions drivingWeightedPositions =
--- 536,546 ----
  			string[] tickersForPortfolioPositions =	this.getTickersForPortfolioPositions();
  			double[] portfolioPositionsWeights =
! 				this.getBalancedWeightsForPortfolioPositions();
! 			return this.decodeWeightedPositions(
  				portfolioPositionsWeights ,
  				tickersForPortfolioPositions ,
  				this.eligibleTickersForPortfolioWeightedPositions );
  		}
! 		private WFLagWeightedPositions decodeDecodableGenome( Genome genome )
  		{
  			WeightedPositions drivingWeightedPositions =
***************
*** 532,536 ****
  			if ( this.isDecodable( genome ) )
  				// genome can be decoded to a WFLagWeightedPositions object
! 				meaning = this.dedcodeDecodableGenome( genome );
  			else
  				// genome cannot be decoded to a WFLagWeightedPositions object
--- 566,570 ----
  			if ( this.isDecodable( genome ) )
  				// genome can be decoded to a WFLagWeightedPositions object
! 				meaning = this.decodeDecodableGenome( genome );
  			else
  				// genome cannot be decoded to a WFLagWeightedPositions object