[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientOTCCTOPortfolio.cs, 1.4, 1.5 GenomeManagerForEfficientPortfolio.cs, 1.27, 1.28

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16135/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientOTCCTOPortfolio.cs 
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Minor changes

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** GenomeManagerForEfficientPortfolio.cs	3 Jan 2007 23:20:14 -0000	1.27
--- GenomeManagerForEfficientPortfolio.cs	29 Aug 2007 09:56:00 -0000	1.28
***************
*** 24,27 ****
--- 24,28 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Optimizing.Genetic;
***************
*** 29,33 ****
--- 30,36 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.Strategies;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
+ using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
***************
*** 60,71 ****
      protected GeneticOptimizer currentGeneticOptimizer;
      
-     static public string GetCleanTickerCode(string tickerCodeForLongOrShortTrade)
-     {
-     	if(tickerCodeForLongOrShortTrade.StartsWith("-"))
-     		return tickerCodeForLongOrShortTrade.Substring(1,tickerCodeForLongOrShortTrade.Length -1);
-     	else
-     		return tickerCodeForLongOrShortTrade;
-     }
-     
      //IGenomeManager implementation for properties 
      public virtual int GenomeSize
--- 63,66 ----
***************
*** 154,158 ****
            this.maxValueForGenes = - 1;
            break;
!         case QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.PortfolioType.ShortAndLong :        
          //Both Long and Short orders are admitted
            this.minValueForGenes = - this.originalNumOfTickers;
--- 149,153 ----
            this.maxValueForGenes = - 1;
            break;
!         default :        
          //Both Long and Short orders are admitted
            this.minValueForGenes = - this.originalNumOfTickers;
***************
*** 234,238 ****
  	      this.variance = portfolioVariance;
        	this.rateOfReturn = averagePortfolioRateOfReturn;
!       	returnValue = this.getFitnessValue_calculate();
        }
        
--- 229,246 ----
  	      this.variance = portfolioVariance;
        	this.rateOfReturn = averagePortfolioRateOfReturn;
!       	SignedTickers signedTickers = 
!       		new SignedTickers( ((GenomeMeaning)genome.Meaning).Tickers );
!       	WeightedPositions weightedPositions =
!       		new WeightedPositions( ((GenomeMeaning)genome.Meaning).TickersPortfolioWeights,
!       		                      signedTickers );
!       	if( this.portfolioType == PortfolioType.OnlyMixed &&
! 					  ( weightedPositions.NumberOfLongPositions == 0 ||
!       	      weightedPositions.NumberOfShortPositions == 0  )  )
! 				// if both long and short positions have to be taken and
! 				// there aren't both long and short positions in portfolio
! 							returnValue = -1.0;
! 				else//short and long, only long or only short portfolio OR
! 					  //Only Mixed portfolio with both long and short position
! 							returnValue = this.getFitnessValue_calculate();
        }
        
***************
*** 280,290 ****
        // in this implementation new gene values must be different from
        // the others already stored in the given genome
-       // the generation of new genes doesn't depend on gene's position
-       // within the genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
                                                                genome.GetMaxValueForGenes(genePosition) + 1);
!       while(GenomeManipulator.IsTickerContainedInGenome(returnValue,
!                                                         genome) )
!       //the portfolio can't have a long position and a short one for the same ticker
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
--- 288,295 ----
        // in this implementation new gene values must be different from
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
                                                                genome.GetMaxValueForGenes(genePosition) + 1);
!       while( GenomeManipulator.IsTickerContainedInGenome(returnValue,genome) )
!       //the portfolio can't have a long position and a short one for the same ticker 
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
***************
*** 303,317 ****
                                                                    genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
         
!       while(GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
!                                                         genome)  )
!         //the efficient portfolio, in this implementation, 
!         // can't have a long position and a short position
!         // for the same ticker
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
                                                                  genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
        }
!       GenomeManagement.MutateOneGene(genome,
!                                      genePositionToBeMutated, newValueForGene);
      }
      
--- 308,318 ----
                                                                    genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
         
! 			while( GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome) )
! 			//the portfolio can't have a long position and a short one for the same ticker
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
                                                                  genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
        }
!       GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
      }
      

Index: GenomeManagerForEfficientOTCCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientOTCCTOPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerForEfficientOTCCTOPortfolio.cs	9 Apr 2007 18:02:18 -0000	1.4
--- GenomeManagerForEfficientOTCCTOPortfolio.cs	29 Aug 2007 09:56:00 -0000	1.5
***************
*** 38,42 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
      
--- 38,42 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForWeightedEfficientPortfolio
    {