[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunSimpleLag.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26026/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	RunSimpleLag.cs 
Log Message:
Code has been added to test some optimal driving positions subsets

Index: RunSimpleLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunSimpleLag.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimpleLag.cs	4 Nov 2007 18:51:09 -0000	1.1
--- RunSimpleLag.cs	8 Nov 2007 17:48:36 -0000	1.2
***************
*** 76,83 ****
  
  			// bad driving positions, despite having two optimal tickers
! 			double[] drivingWeights = { -0.272826060576681 , 0.304736475342285 , -0.0953627582891244 , 0.32707470579191 };
! 			string[] drivingTickers = { "^DJT" , "^OEX" , "BDH" , "EWJ" };
  //			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string
  
  
  			double[] portfolioWeights = { 0.442536856335084 , -0.557463143664916 };
--- 76,100 ----
  
  			// bad driving positions, despite having two optimal tickers
! //			double[] drivingWeights = { -0.272826060576681 , 0.304736475342285 , -0.0953627582891244 , 0.32707470579191 };
! //			string[] drivingTickers = { "^DJT" , "^OEX" , "BDH" , "EWJ" };
  //			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string
  
+ 			// two optimal driving positions
+ 			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 };
+ 			string[] drivingTickers = { "^OEX" , "BDH" };
+ 
+ 			// three optimal driving positions
+ //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 };
+ //			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" };
+ 
+ 			// two optimal driving with similar weights
+ //			double[] drivingWeights = { 0.304736475342285 , -0.0953627582891244 };
+ //			string[] drivingTickers = { "^OEX" , "BDH" };
+ 			
+ 			// single optimal driving
+ //			double[] drivingWeights = { 1 };
+ //			string[] drivingTickers = { "IIH" };
+ 			
+ 
  
  			double[] portfolioWeights = { 0.442536856335084 , -0.557463143664916 };