[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6744/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
A ReturnsManager is now used instead of a CloseToCloseReturnsManager. Furthermore, a ReturnIntervals object (named returnIntervalsForOptimization) is now used instead of a history object (that was named timeLineForOptimization)

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	27 Aug 2007 22:24:21 -0000	1.5
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	16 Sep 2007 22:17:18 -0000	1.6
***************
*** 28,34 ****
--- 28,36 ----
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.ADT.Statistics;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Business.Strategies.EquityEvaluation;
  
***************
*** 48,53 ****
  		private int numberOfDrivingPositions;
  		private SignedTickers 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
--- 50,55 ----
  		private int numberOfDrivingPositions;
  		private SignedTickers portfolioSignedTickers;
! 		private ReturnIntervals returnIntervalsForOptimization; // 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
***************
*** 69,73 ****
  		private WFLagMeaningForUndecodableGenomes wFLagMeaningForUndecodableGenomes;
  		private string[] tickersForPortfolioPositions;
! 		private CloseToCloseReturnsManager closeToCloseReturnsManager;
  
  
--- 71,75 ----
  		private WFLagMeaningForUndecodableGenomes wFLagMeaningForUndecodableGenomes;
  		private string[] tickersForPortfolioPositions;
! 		private ReturnsManager closeToCloseReturnsManager;
  
  
***************
*** 100,104 ****
  			DataTable eligibleTickersForDrivingWeightedPositions ,
  			SignedTickers portfolioSignedTickers ,
! 			History timeLineForOptimization ,
  			IEquityEvaluator equityEvaluator ,
  			int seedForRandomGenerator )
--- 102,106 ----
  			DataTable eligibleTickersForDrivingWeightedPositions ,
  			SignedTickers portfolioSignedTickers ,
! 			ReturnIntervals returnIntervalsForOptimization ,
  			IEquityEvaluator equityEvaluator ,
  			int seedForRandomGenerator )
***************
*** 113,117 ****
  //				eligibleTickersForPortfolioWeightedPositions;
  			this.portfolioSignedTickers = portfolioSignedTickers;
! 			this.timeLineForOptimization = timeLineForOptimization;
  
  //			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
--- 115,119 ----
  //				eligibleTickersForPortfolioWeightedPositions;
  			this.portfolioSignedTickers = portfolioSignedTickers;
! 			this.returnIntervalsForOptimization = returnIntervalsForOptimization;
  
  //			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
***************
*** 125,134 ****
  //				11 );
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! 
! //			this.wFLagCandidates = new WFLagCandidates(
! //				this.eligibleTickersForDrivingWeightedPositions ,
! //				this.firstOptimizationDateForDrivingPositions , this.lastOptimizationDate );
  			this.closeToCloseReturnsManager =
! 				new CloseToCloseReturnsManager( this.timeLineForOptimization );
  
  			this.wFLagMeaningForUndecodableGenomes =
--- 127,135 ----
  //				11 );
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! 			IHistoricalQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
  			this.closeToCloseReturnsManager =
! 				new ReturnsManager( this.returnIntervalsForOptimization ,
! 				historicalQuoteProvider );
  
  			this.wFLagMeaningForUndecodableGenomes =