[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagMain.cs,
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From: Glauco S. <gla...@us...> - 2007-10-07 13:32:06
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26444/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagMain.cs Log Message: A few new script invokers have been added Index: WFLagMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagMain.cs,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** WFLagMain.cs 14 Aug 2007 14:52:49 -0000 1.12 --- WFLagMain.cs 7 Oct 2007 13:32:01 -0000 1.13 *************** *** 30,33 **** --- 30,34 ---- using QuantProject.Presentation; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers; + using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers.Decoding; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger; *************** *** 139,165 **** // QQQQ vs SPY IWFLagWeightedPositionsChooser wFLagWeightedPositionsChooser = ! new WFLagBruteForceFixedPortfolioWeightedPositionsChooser( ! 4 , new string[]{ "IWM" , "-SPY" } , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() ); ! wFLagWeightedPositionsChooser = new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() , 10000 , 30 ); wFLagWeightedPositionsChooser = ! new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( ! 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , ! 10000 , 30 ); ! wFLagWeightedPositionsChooser = ! new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( ! 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.ExpectancyScore() , ! 10000 , 30 ); new RunWalkForwardLag( "DrvPstns" , 200 , wFLagWeightedPositionsChooser , 7 , ! new DateTime( 2001 , 1 , 1 ) , ! new DateTime( 2001 , 1 , 19 ) , ! 0.5 ).Run(); // new RunWalkForwardLag( "DrvPstns" , 500 , --- 140,170 ---- // QQQQ vs SPY IWFLagWeightedPositionsChooser wFLagWeightedPositionsChooser = ! // new WFLagBruteForceFixedPortfolioWeightedPositionsChooser( ! // 4 , new string[]{ "IWM" , "-SPY" } , 100 , "EWQ" , ! // new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() ); ! // wFLagWeightedPositionsChooser = new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() , 10000 , 30 ); + // wFLagWeightedPositionsChooser = + // new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( + // 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , + // new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , + // 10000 , 30 ); wFLagWeightedPositionsChooser = ! new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving( ! 3 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ); ! // new RunWalkForwardLag( "DrvPstns" , 200 , ! // wFLagWeightedPositionsChooser , 7 , ! // new DateTime( 2001 , 1 , 1 ) , ! // new DateTime( 2001 , 1 , 8 ) , ! // 0.5 ).Run(); new RunWalkForwardLag( "DrvPstns" , 200 , wFLagWeightedPositionsChooser , 7 , ! new DateTime( 2001 , 1 , 4 ) , ! new DateTime( 2001 , 1 , 9 ) , ! 0.2 ).Run(); // new RunWalkForwardLag( "DrvPstns" , 500 , |