[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14735/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
Instead of a private WFLagChosenPositions member now three distinct private members are used:
- a WFLagWeightedPositions
- an int (generation when the positions are found)
- a lastOptimizationDate

Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagChosenPositionsDebugInfo.cs	8 Oct 2006 16:10:16 -0000	1.6
--- WFLagChosenPositionsDebugInfo.cs	28 Oct 2007 19:01:26 -0000	1.7
***************
*** 35,39 ****
  		private double dummyValue;
  		private int maxPreSampleDays;
! 		private WFLagChosenPositions wFLagChosenPositions;
  		private WFLagLog wFLagLog;
  		private double inSampleSharpeRatio;
--- 35,41 ----
  		private double dummyValue;
  		private int maxPreSampleDays;
! 		private WFLagWeightedPositions wFLagWeightedPositions;
! 		private int generation;
! 		private DateTime lastOptimizationDate;
  		private WFLagLog wFLagLog;
  		private double inSampleSharpeRatio;
***************
*** 47,59 ****
  		public string DrivingPositions
  		{
! 			get { return this.wFLagChosenPositions.DrivingWeightedPositions.ToString(); }
  		}
  		public string PortfolioPositions
  		{
! 			get { return this.wFLagChosenPositions.PortfolioWeightedPositions.ToString(); }
  		}
  		public DateTime LastOptimization
  		{
! 			get { return this.wFLagChosenPositions.LastOptimizationDate; }
  		}
  		public int InSampleDays
--- 49,67 ----
  		public string DrivingPositions
  		{
! 			get
! 			{
! 				return this.wFLagWeightedPositions.DrivingWeightedPositions.ToString();
! 			}
  		}
  		public string PortfolioPositions
  		{
! 			get
! 			{
! 				return this.wFLagWeightedPositions.PortfolioWeightedPositions.ToString();
! 			}
  		}
  		public DateTime LastOptimization
  		{
! 			get { return this.lastOptimizationDate; }
  		}
  		public int InSampleDays
***************
*** 67,71 ****
  		public int Generation
  		{
! 			get { return this.wFLagChosenPositions.Generation; }
  		}
  		public double InSampleSharpeRatio
--- 75,79 ----
  		public int Generation
  		{
! 			get { return this.generation; }
  		}
  		public double InSampleSharpeRatio
***************
*** 107,111 ****
  		}
  		public WFLagChosenPositionsDebugInfo(
! 			WFLagChosenPositions wFLagChosenPositions ,
  			WFLagLog wFLagLog )
  		{
--- 115,121 ----
  		}
  		public WFLagChosenPositionsDebugInfo(
! 			WFLagWeightedPositions wFLagWeightedPositions ,
! 			DateTime lastOptimizationDate ,
! 			int generation ,
  			WFLagLog wFLagLog )
  		{
***************
*** 115,119 ****
  			this.dummyValue = -999;
  
! 			this.wFLagChosenPositions = wFLagChosenPositions;
  			this.wFLagLog = wFLagLog;
  			this.inSampleSharpeRatio = this.getInSampleSharpeRatio();
--- 125,131 ----
  			this.dummyValue = -999;
  
! 			this.wFLagWeightedPositions = wFLagWeightedPositions;
! 			this.generation = generation;
! 			this.lastOptimizationDate = lastOptimizationDate;
  			this.wFLagLog = wFLagLog;
  			this.inSampleSharpeRatio = this.getInSampleSharpeRatio();
***************
*** 129,140 ****
  		}
  		public static string[] GetDrivingAndPortfolioTickers(
! 			WFLagChosenPositions wFLagChosenPositions )
  		{
! 			int size = wFLagChosenPositions.DrivingWeightedPositions.Count +
! 				wFLagChosenPositions.PortfolioWeightedPositions.Count;
  			string[] drivingAndPortfolioTickers = new string[ size ];
  			int i = 0;
  			foreach ( string signedTicker in
! 				wFLagChosenPositions.DrivingWeightedPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
--- 141,152 ----
  		}
  		public static string[] GetDrivingAndPortfolioTickers(
! 			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			int size = wFLagWeightedPositions.DrivingWeightedPositions.Count +
! 				wFLagWeightedPositions.PortfolioWeightedPositions.Count;
  			string[] drivingAndPortfolioTickers = new string[ size ];
  			int i = 0;
  			foreach ( string signedTicker in
! 				wFLagWeightedPositions.DrivingWeightedPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
***************
*** 142,146 ****
  			}
  			foreach ( string signedTicker in
! 				wFLagChosenPositions.PortfolioWeightedPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
--- 154,158 ----
  			}
  			foreach ( string signedTicker in
! 				wFLagWeightedPositions.PortfolioWeightedPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
***************
*** 153,163 ****
  		/// we don't want this as a column displayed in the grid
  		/// </summary>
! 		public WFLagChosenPositions GetChosenPositions()
  		{
! 			return this.wFLagChosenPositions;
  		}
  		private ArrayList getMinDatesForTickers()
  		{
! 			string[] tickers = GetDrivingAndPortfolioTickers( this.wFLagChosenPositions );
  			ArrayList minDatesForTickers = new ArrayList();
  			foreach ( string ticker in tickers )
--- 165,175 ----
  		/// we don't want this as a column displayed in the grid
  		/// </summary>
! 		public WFLagWeightedPositions GetChosenPositions()
  		{
! 			return this.wFLagWeightedPositions;
  		}
  		private ArrayList getMinDatesForTickers()
  		{
! 			string[] tickers = GetDrivingAndPortfolioTickers( this.wFLagWeightedPositions );
  			ArrayList minDatesForTickers = new ArrayList();
  			foreach ( string ticker in tickers )
***************
*** 197,201 ****
  			DateTime firstDateTime = this.getInSampleFirstDate();
  			return WFLagSharpeRatioComputer.GetSharpeRatio(
! 				this.wFLagChosenPositions , firstDateTime ,
  				this.LastOptimization );
  		}
--- 209,213 ----
  			DateTime firstDateTime = this.getInSampleFirstDate();
  			return WFLagSharpeRatioComputer.GetSharpeRatio(
! 				this.wFLagWeightedPositions , firstDateTime ,
  				this.LastOptimization );
  		}
***************
*** 204,208 ****
  			DateTime firstDateTime = this.getInSampleFirstDate();
  			return WFLagSharpeRatioComputer.GetExpectancyScore(
! 				this.wFLagChosenPositions , firstDateTime ,
  				this.LastOptimization );
  		}
--- 216,220 ----
  			DateTime firstDateTime = this.getInSampleFirstDate();
  			return WFLagSharpeRatioComputer.GetExpectancyScore(
! 				this.wFLagWeightedPositions , firstDateTime ,
  				this.LastOptimization );
  		}
***************
*** 215,219 ****
  				DateTime firstDateTime = lastDateTime.AddDays( -days - 1 );  // I subtract one more day, so I have days daily returns
  				preSampleSharpeRatio = WFLagSharpeRatioComputer.GetSharpeRatio(
! 					this.wFLagChosenPositions , firstDateTime ,
  					lastDateTime );
  			}
--- 227,231 ----
  				DateTime firstDateTime = lastDateTime.AddDays( -days - 1 );  // I subtract one more day, so I have days daily returns
  				preSampleSharpeRatio = WFLagSharpeRatioComputer.GetSharpeRatio(
! 					this.wFLagWeightedPositions , firstDateTime ,
  					lastDateTime );
  			}
***************
*** 227,231 ****
  			DateTime lastDateTime = firstDateTime.AddDays( days + 1 );  // I add one day, so I have days daily returns
  			return WFLagSharpeRatioComputer.GetSharpeRatio(
! 				this.wFLagChosenPositions , firstDateTime ,
  				lastDateTime );
  		}
--- 239,243 ----
  			DateTime lastDateTime = firstDateTime.AddDays( days + 1 );  // I add one day, so I have days daily returns
  			return WFLagSharpeRatioComputer.GetSharpeRatio(
! 				this.wFLagWeightedPositions , firstDateTime ,
  				lastDateTime );
  		}