[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagSharpeRatioComputer.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8376/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagSharpeRatioComputer.cs 
Log Message:
The GetSharpeRatio method now takes a WFLagWeightedPositions as an argument, it took a WFLagChosenPositions in the previous revision

Index: WFLagSharpeRatioComputer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagSharpeRatioComputer.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagSharpeRatioComputer.cs	30 Jul 2006 13:37:05 -0000	1.3
--- WFLagSharpeRatioComputer.cs	28 Oct 2007 22:19:18 -0000	1.4
***************
*** 96,105 ****
  		}
  		private static SortedList getCommonMarketDays(
! 			WFLagChosenPositions wFLagChosenPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			string[] tickers =
  				WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers(
! 				wFLagChosenPositions );
  			SortedList commonMarketDays =
  				QuantProject.Data.DataTables.Quotes.GetCommonMarketDays(
--- 96,105 ----
  		}
  		private static SortedList getCommonMarketDays(
! 			WFLagWeightedPositions wFLagWeightedPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			string[] tickers =
  				WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers(
! 				wFLagWeightedPositions );
  			SortedList commonMarketDays =
  				QuantProject.Data.DataTables.Quotes.GetCommonMarketDays(
***************
*** 108,121 ****
  		}
  		private static double[] getStrategyReturns(
! 			WFLagChosenPositions wFLagChosenPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			SortedList commonMarketDays =
! 				getCommonMarketDays( wFLagChosenPositions , firstDate , lastDate );
  			double[] drivingPositionsReturns =
! 				wFLagChosenPositions.DrivingWeightedPositions.GetCloseToClosePortfolioReturns(
  				commonMarketDays );
  			double[] portfolioPositionsReturns =
! 				wFLagChosenPositions.PortfolioWeightedPositions.GetCloseToClosePortfolioReturns(
  				commonMarketDays );
  			double[] strategyReturns = getStrategyReturns(
--- 108,121 ----
  		}
  		private static double[] getStrategyReturns(
! 			WFLagWeightedPositions wFLagWeightedPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			SortedList commonMarketDays =
! 				getCommonMarketDays( wFLagWeightedPositions , firstDate , lastDate );
  			double[] drivingPositionsReturns =
! 				wFLagWeightedPositions.DrivingWeightedPositions.GetCloseToClosePortfolioReturns(
  				commonMarketDays );
  			double[] portfolioPositionsReturns =
! 				wFLagWeightedPositions.PortfolioWeightedPositions.GetCloseToClosePortfolioReturns(
  				commonMarketDays );
  			double[] strategyReturns = getStrategyReturns(
***************
*** 126,130 ****
  
  		public static double GetSharpeRatio(
! 			WFLagChosenPositions wFLagChosenPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
--- 126,130 ----
  
  		public static double GetSharpeRatio(
! 			WFLagWeightedPositions wFLagWeightedPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
***************
*** 133,137 ****
  			{
  				double[] strategyReturns = getStrategyReturns(
! 					wFLagChosenPositions , firstDate , lastDate );
  				sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns );
  			}
--- 133,137 ----
  			{
  				double[] strategyReturns = getStrategyReturns(
! 					wFLagWeightedPositions , firstDate , lastDate );
  				sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns );
  			}
***************
*** 144,148 ****
  		}
  		public static double GetExpectancyScore(
! 			WFLagChosenPositions wFLagChosenPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
--- 144,148 ----
  		}
  		public static double GetExpectancyScore(
! 			WFLagWeightedPositions wFLagWeightedPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
***************
*** 151,155 ****
  			{
  				double[] strategyReturns = getStrategyReturns(
! 					wFLagChosenPositions , firstDate , lastDate );
  				expectancyScore =
  					AdvancedFunctions.GetExpectancyScore( strategyReturns );
--- 151,155 ----
  			{
  				double[] strategyReturns = getStrategyReturns(
! 					wFLagWeightedPositions , firstDate , lastDate );
  				expectancyScore =
  					AdvancedFunctions.GetExpectancyScore( strategyReturns );