[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagChosenTic
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[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagChosenTickers.cs, 1.9, 1.10
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From: Glauco S. <gla...@us...> - 2007-10-07 13:24:41
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10707/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagChosenTickers.cs Log Message: Minor change: useless code has been commented out Index: WFLagChosenTickers.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** WFLagChosenTickers.cs 3 Nov 2006 16:39:48 -0000 1.9 --- WFLagChosenTickers.cs 7 Oct 2007 13:24:37 -0000 1.10 *************** *** 204,253 **** } #endregion ! #region setWeightedPositions_usingTheBruteForceOptimizer ! private void newBruteForceOptimizerProgressEventHandler( ! object sender , NewProgressEventArgs e ) ! { ! this.NewProgress( sender , e ); ! } ! public virtual void setWeightedPositions_usingTheBruteForceOptimizer( ! WFLagEligibleTickers eligibleTickers ) ! { ! this.firstOptimizationDate = ! this.endOfDayTimer.GetCurrentTime().DateTime.AddDays( ! -( this.inSampleDays - 1 ) ); ! this.lastOptimizationDate = ! this.endOfDayTimer.GetCurrentTime().DateTime; ! ! WFLagBruteForceOptimizableParametersManager ! wFLagBruteForceOptimizableItemManager= ! new WFLagBruteForceOptimizableParametersManager( ! eligibleTickers.EligibleTickers , ! eligibleTickers.EligibleTickers , ! this.firstOptimizationDate , ! this.lastOptimizationDate , ! this.numberOfDrivingPositions , ! this.numberOfPositionsToBeChosen , ! this.equityEvaluator ); ! ! BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( ! wFLagBruteForceOptimizableItemManager ); ! ! bruteForceOptimizer.NewProgress += ! new NewProgressEventHandler( ! this.newBruteForceOptimizerProgressEventHandler ); ! ! bruteForceOptimizer.Run(); ! ! BruteForceOptimizableParameters bestParameters = ! bruteForceOptimizer.BestParameters; ! ! WFLagWeightedPositions wFLagWeightedPositions = ! ( WFLagWeightedPositions )wFLagBruteForceOptimizableItemManager.Decode( ! bestParameters ); ! ! this.setWeightedPositions( wFLagWeightedPositions ); ! } ! #endregion ! #region setWeightedPositions_withFixedPortfolio // private void newBruteForceOptimizerProgressEventHandler( // object sender , NewProgressEventArgs e ) --- 204,208 ---- } #endregion ! // #region setWeightedPositions_usingTheBruteForceOptimizer // private void newBruteForceOptimizerProgressEventHandler( // object sender , NewProgressEventArgs e ) *************** *** 255,279 **** // this.NewProgress( sender , e ); // } ! public virtual void setWeightedPositions_withFixedPortfolio( ! WFLagEligibleTickers eligibleTickers , ! string longPortfolioTicker , string shortPortfolioTicker ) ! { ! this.firstOptimizationDate = ! this.endOfDayTimer.GetCurrentTime().DateTime.AddDays( ! -( this.inSampleDays - 1 ) ); ! this.lastOptimizationDate = ! this.endOfDayTimer.GetCurrentTime().DateTime; ! ! // WFLagFixedPortfolioBruteForceOptimizableParametersManager ! // wFLagFixedPortfolioBruteForceOptimizableParametersManager= ! // new WFLagFixedPortfolioBruteForceOptimizableParametersManager( // eligibleTickers.EligibleTickers , - // longPortfolioTicker , - // shortPortfolioTicker , // this.firstOptimizationDate , // this.lastOptimizationDate , ! // this.numberOfDrivingPositions ); // ! // WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility // wFLagFixedPortfolioBruteForceOptimizableParametersManager= // new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility( --- 210,288 ---- // this.NewProgress( sender , e ); // } ! // public virtual void setWeightedPositions_usingTheBruteForceOptimizer( ! // WFLagEligibleTickers eligibleTickers ) ! // { ! // this.firstOptimizationDate = ! // this.endOfDayTimer.GetCurrentTime().DateTime.AddDays( ! // -( this.inSampleDays - 1 ) ); ! // this.lastOptimizationDate = ! // this.endOfDayTimer.GetCurrentTime().DateTime; ! // ! // WFLagBruteForceOptimizableParametersManager ! // wFLagBruteForceOptimizableItemManager= ! // new WFLagBruteForceOptimizableParametersManager( ! // eligibleTickers.EligibleTickers , // eligibleTickers.EligibleTickers , // this.firstOptimizationDate , // this.lastOptimizationDate , ! // this.numberOfDrivingPositions , ! // this.numberOfPositionsToBeChosen , ! // this.equityEvaluator ); // ! // BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( ! // wFLagBruteForceOptimizableItemManager ); ! // ! // bruteForceOptimizer.NewProgress += ! // new NewProgressEventHandler( ! // this.newBruteForceOptimizerProgressEventHandler ); ! // ! // bruteForceOptimizer.Run(); ! // ! // BruteForceOptimizableParameters bestParameters = ! // bruteForceOptimizer.BestParameters; ! // ! // WFLagWeightedPositions wFLagWeightedPositions = ! // ( WFLagWeightedPositions )wFLagBruteForceOptimizableItemManager.Decode( ! // bestParameters ); ! // ! // this.setWeightedPositions( wFLagWeightedPositions ); ! // } ! // #endregion ! // #region setWeightedPositions_withFixedPortfolio ! //// private void newBruteForceOptimizerProgressEventHandler( ! //// object sender , NewProgressEventArgs e ) ! //// { ! //// this.NewProgress( sender , e ); ! //// } ! // public virtual void setWeightedPositions_withFixedPortfolio( ! // WFLagEligibleTickers eligibleTickers , ! // string longPortfolioTicker , string shortPortfolioTicker ) ! // { ! // this.firstOptimizationDate = ! // this.endOfDayTimer.GetCurrentTime().DateTime.AddDays( ! // -( this.inSampleDays - 1 ) ); ! // this.lastOptimizationDate = ! // this.endOfDayTimer.GetCurrentTime().DateTime; ! // ! //// WFLagFixedPortfolioBruteForceOptimizableParametersManager ! //// wFLagFixedPortfolioBruteForceOptimizableParametersManager= ! //// new WFLagFixedPortfolioBruteForceOptimizableParametersManager( ! //// eligibleTickers.EligibleTickers , ! //// longPortfolioTicker , ! //// shortPortfolioTicker , ! //// this.firstOptimizationDate , ! //// this.lastOptimizationDate , ! //// this.numberOfDrivingPositions ); ! //// ! //// WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility ! //// wFLagFixedPortfolioBruteForceOptimizableParametersManager= ! //// new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility( ! //// eligibleTickers.EligibleTickers , ! //// longPortfolioTicker , ! //// shortPortfolioTicker , ! //// this.firstOptimizationDate , ! //// this.lastOptimizationDate , ! //// this.numberOfDrivingPositions ); ! // WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility // wFLagFixedPortfolioBruteForceOptimizableParametersManager= // new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility( *************** *** 283,332 **** // this.firstOptimizationDate , // this.lastOptimizationDate , ! // this.numberOfDrivingPositions ); ! WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility ! wFLagFixedPortfolioBruteForceOptimizableParametersManager= ! new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility( ! eligibleTickers.EligibleTickers , ! longPortfolioTicker , ! shortPortfolioTicker , ! this.firstOptimizationDate , ! this.lastOptimizationDate , ! this.numberOfDrivingPositions , ! this.equityEvaluator ); ! ! BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( ! wFLagFixedPortfolioBruteForceOptimizableParametersManager ); ! ! bruteForceOptimizer.NewProgress += ! new NewProgressEventHandler( ! this.newBruteForceOptimizerProgressEventHandler ); ! ! bruteForceOptimizer.Run( 100000 , ! wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations ); ! ! BruteForceOptimizableParameters bestParameters = ! bruteForceOptimizer.BestParameters; ! ! WFLagWeightedPositions wFLagWeightedPositions = ! ( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode( ! bestParameters ); ! ! this.setWeightedPositions( wFLagWeightedPositions ); ! } ! #endregion ! public virtual void SetWeightedPositions( ! WFLagEligibleTickers eligibleTickers ) ! { ! // this.setWeightedPositions_usingTheGeneticOptimizer( ! // eligibleTickers ); ! // this.setWeightedPositions_usingTheBruteForceOptimizer( ! // eligibleTickers ); ! this.setWeightedPositions_withFixedPortfolio( ! eligibleTickers , "SPY" , "IWM" ); ! // this.setWeightedPositions_withFixedPortfolio( ! // eligibleTickers , "XLF" , "SMH" ); // this.setWeightedPositions_withFixedPortfolio( ! // eligibleTickers , "QQQQ" , "SPY" ); ! } #endregion } --- 292,332 ---- // this.firstOptimizationDate , // this.lastOptimizationDate , ! // this.numberOfDrivingPositions , ! // this.equityEvaluator ); ! // ! // BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( ! // wFLagFixedPortfolioBruteForceOptimizableParametersManager ); ! // ! // bruteForceOptimizer.NewProgress += ! // new NewProgressEventHandler( ! // this.newBruteForceOptimizerProgressEventHandler ); ! // ! // bruteForceOptimizer.Run( 100000 , ! // wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations ); ! // ! // BruteForceOptimizableParameters bestParameters = ! // bruteForceOptimizer.BestParameters; ! // ! // WFLagWeightedPositions wFLagWeightedPositions = ! // ( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode( ! // bestParameters ); ! // ! // this.setWeightedPositions( wFLagWeightedPositions ); ! // } ! // #endregion ! // public virtual void SetWeightedPositions( ! // WFLagEligibleTickers eligibleTickers ) ! // { ! //// this.setWeightedPositions_usingTheGeneticOptimizer( ! //// eligibleTickers ); ! //// this.setWeightedPositions_usingTheBruteForceOptimizer( ! //// eligibleTickers ); // this.setWeightedPositions_withFixedPortfolio( ! // eligibleTickers , "SPY" , "IWM" ); ! //// this.setWeightedPositions_withFixedPortfolio( ! //// eligibleTickers , "XLF" , "SMH" ); ! //// this.setWeightedPositions_withFixedPortfolio( ! //// eligibleTickers , "QQQQ" , "SPY" ); ! // } #endregion } |
