quantproject-developers

Re: [Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.

[marco\.milletti\@l <mar...@li...>]

>>+       ConstantsProvider.SeedForRandomGenerator++;

> Aaaarrrggghh=
h!!! Cambiare il valore di una costante... non >era una di 
> quelle cos=
e che, agli esami, facesse prendere un bel voto :-)

Be', ti =E8 piaciu=
to lo scherzetto? :-)

Meno male che non ho mai fatto esami d'informati=
ca ...
Cmq, dopo 15 mesi di EI (Esercito Italiano - PA per antonomasia) =
e quasi 9 anni (diconsi "nove", puttana la miseria), pensavo di molto ma =
molto peggio ...

>Lo so che probabilmente non ci sono effetti collater=
ali, ma >se non ti 
> complica troppo la vita usare una variabile d'appo=
ggio, >quando hai tempo 
> vedi se si puo' lasciare la costante... costa=
nte ;-)

Certo, lo faccio immediatamente. Al prossimo commit sistemo.=0D
=

Piccola osservazione: io ho cannato (osservo che pestare un bel merdone=
 dovrebbe portare fortuna ...), ma =E8 sbagliato anche che una "costante"=
 venga rappresentata da una "variabile" ...


> Scherzi a parte, nei v=
ecchi linguaggi, il senso delle costanti era solo 
> che quello dare un =
un nome mnemonico ad un valore che non cambiava mai e 
> di avere un uni=
co punto del codice in cui andare a cambiare il valore. Le 
> costanti e=
rano addirittura preprocessate rispetto alla compilazione, 
> cioe', al =
compilatore veniva passato il testo con i valori gia' 
> sositutiti, qui=
ndi uno statement tipo
>
> costantName++
>
> al compilatore sarebbe, =
ad esempio, arrivato cosi'
>
> 13++
>
>
>>         this.orders.Clear=
();
>>         //this.oneHourAfterMarketCloseEventHandler_updatePrices()=
;
>>         if(this.numDaysElapsedSinceLastOptimization =3D=3D
>>!    =
      this.numDaysBetweenEachOptimization - 1)
>>         {
>> this.set=
Tickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, 
>> false);=0D
=
>>
>>Index: EndOfDayTimerHandler.cs
>>=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D
>>RCS file: 
>>/cvsroot/quantproject/QuantProject/b7=
_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
>>retrieving r=
evision 1.15
>>retrieving revision 1.16
>>diff -C2 -d -r1.15 -r1.16
>>=
*** EndOfDayTimerHandler.cs     1 Aug 2005 22:31:48 -0000       1.15
>>-=
-- EndOfDayTimerHandler.cs     28 Aug 2005 10:05:03 -0000      1.16
>>**=
*************
>>*** 212,216 ****
>>         this.bestGenomes.Add(new Ge=
nomeRepresentation(genome,
>> 
>> firstOptimizationDate,
>>! secondOpt=
imizationDate));
>>       }
>>
>>--- 212,217 ----
>>         this.bes=
tGenomes.Add(new GenomeRepresentation(genome,
>> 
>> firstOptimizationD=
ate,
>>! 
>>secondOptimizationDate,
>>!                               =
                      genome.Generation));
>>       }
>>
>>
>>Index: =
EndOfDayTimerHandlerCTC.cs
>>=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D
>>RCS file: 
>>/cvsroot/quantproject/QuantProject/b7_Scripts/Tic=
kerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
>>retrieving revision 1=
.12
>>retrieving revision 1.13
>>diff -C2 -d -r1.12 -r1.13
>>*** EndOf=
DayTimerHandlerCTC.cs  1 Aug 2005 22:31:48 -0000       1.12
>>--- EndOfD=
ayTimerHandlerCTC.cs  28 Aug 2005 10:05:03 -0000      1.13
>>***********=
****
>>*** 193,197 ****
>>         Object sender , EndOfDayTimingEventA=
rgs endOfDayTimingEventArgs )
>>       {
>>!
>>         if(this.accoun=
t.Portfolio.Count =3D=3D 0 )
>>         {
>>--- 193,197 ----
>>       =
  Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
>>  =
     {
>>!       ConstantsProvider.SeedForRandomGenerator++;
>>        =
 if(this.account.Portfolio.Count =3D=3D 0 )
>>         {
>>
>>
>>
>>=
-------------------------------------------------------
>>SF.Net email i=
s Sponsored by the Better Software Conference & EXPO
>>September 19-22, =
2005 * San Francisco, CA * Development Lifecycle 
>>Practices
>>Agile &=
 Plan-Driven Development * Managing Projects & Teams * Testing & QA
>>Se=
curity * Process Improvement & Measurement * http://www.sqe.com/bsce5sf=0D
=
>>_______________________________________________
>>Quantproject-develop=
ers mailing list
>>Qua...@li...
>>http=
s://lists.sourceforge.net/lists/listinfo/quantproject-developers
>
>=0D
=
>
> -------------------------------------------------------
> SF.Net em=
ail is Sponsored by the Better Software Conference & EXPO
> September 19=
-22, 2005 * San Francisco, CA * Development Lifecycle 
> Practices
> Ag=
ile & Plan-Driven Development * Managing Projects & Teams * Testing & QA=0D
=
> Security * Process Improvement & Measurement * http://www.sqe.com/bsce5=
sf
> _______________________________________________
> Quantproject-dev=
elopers mailing list
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http://www.libero.it=0A=0A

[Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.15,1.16 EndOfDayTimerHandlerCTC.cs,1.12,1.13 EndOfDayTimerHandlerCTO.cs,1.16,1.17

[Glauco S. <gl...@my...>]

At 10:05 AM 8/28/2005 +0000, you wrote:

>+       ConstantsProvider.SeedForRandomGenerator++;

Aaaarrrggghhh!!! Cambiare il valore di una costante... non era una di 
quelle cose che, agli esami, facesse prendere un bel voto :-)

Lo so che probabilmente non ci sono effetti collaterali, ma se non ti 
complica troppo la vita usare una variabile d'appoggio, quando hai tempo 
vedi se si puo' lasciare la costante... costante ;-)

Scherzi a parte, nei vecchi linguaggi, il senso delle costanti era solo che 
quello dare un un nome mnemonico ad un valore che non cambiava mai e di 
avere un unico punto del codice in cui andare a cambiare il valore. Le 
costanti erano addirittura preprocessate rispetto alla compilazione, cioe', 
al compilatore veniva passato il testo con i valori gia' sositutiti, quindi 
uno statement tipo

costantName++

al compilatore sarebbe, ad esempio, arrivato cosi'

13++


>         this.orders.Clear();
>         //this.oneHourAfterMarketCloseEventHandler_updatePrices();
>         if(this.numDaysElapsedSinceLastOptimization ==
>!          this.numDaysBetweenEachOptimization - 1)
>         {
> 
>this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
>
>Index: EndOfDayTimerHandler.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
>retrieving revision 1.15
>retrieving revision 1.16
>diff -C2 -d -r1.15 -r1.16
>*** EndOfDayTimerHandler.cs     1 Aug 2005 22:31:48 -0000       1.15
>--- EndOfDayTimerHandler.cs     28 Aug 2005 10:05:03 -0000      1.16
>***************
>*** 212,216 ****
>         this.bestGenomes.Add(new GenomeRepresentation(genome,
>                                                       firstOptimizationDate,
>! 
>secondOptimizationDate));
>       }
>
>--- 212,217 ----
>         this.bestGenomes.Add(new GenomeRepresentation(genome,
>                                                       firstOptimizationDate,
>!                                                     secondOptimizationDate,
>!                                                     genome.Generation));
>       }
>
>
>Index: EndOfDayTimerHandlerCTC.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
>retrieving revision 1.12
>retrieving revision 1.13
>diff -C2 -d -r1.12 -r1.13
>*** EndOfDayTimerHandlerCTC.cs  1 Aug 2005 22:31:48 -0000       1.12
>--- EndOfDayTimerHandlerCTC.cs  28 Aug 2005 10:05:03 -0000      1.13
>***************
>*** 193,197 ****
>         Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
>       {
>!
>         if(this.account.Portfolio.Count == 0 )
>         {
>--- 193,197 ----
>         Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
>       {
>!       ConstantsProvider.SeedForRandomGenerator++;
>         if(this.account.Portfolio.Count == 0 )
>         {
>
>
>
>-------------------------------------------------------
>SF.Net email is Sponsored by the Better Software Conference & EXPO
>September 19-22, 2005 * San Francisco, CA * Development Lifecycle Practices
>Agile & Plan-Driven Development * Managing Projects & Teams * Testing & QA
>Security * Process Improvement & Measurement * http://www.sqe.com/bsce5sf
>_______________________________________________
>Quantproject-developers mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantproject-developers

[Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfo lio RunTestingOptimizationOpenToClose.cs,1.1,1.2

[Glauco S. <gl...@my...>]

At 10:02 AM 8/28/2005 +0000, you wrote:

>Log Message:
>RunTestingOptimizationOpenToClose now saves a log file to disk at the end 
>of the test.

Sono curioso di vedere quali informazioni salva. C'e' un metodo che scrive 
il log? Che parola chiave devo cercare per trovarlo?

>Index: RunTestingOptimizationOpenToClose.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
>retrieving revision 1.1
>retrieving revision 1.2
>diff -C2 -d -r1.1 -r1.2
>*** RunTestingOptimizationOpenToClose.cs        20 Aug 2005 16:08:48 
>-0000      1.1
>--- RunTestingOptimizationOpenToClose.cs        28 Aug 2005 10:02:52 
>-0000      1.2
>***************
>*** 23,26 ****
>--- 23,27 ----
>   using System;
>   using System.Data;
>+ using System.IO;
>
>   using QuantProject.ADT;
>***************
>*** 46,49 ****
>--- 47,51 ----
>       private int numDaysForLiquidity;
>       private int populationSizeForGeneticOptimizer;
>+     private int generationNumberForGeneticOptimizer;
>         private string benchmark;
>         private DateTime marketDate;
>***************
>*** 52,64 ****
>         private int numDaysAfterLastOptimizationDay;
>         private int numberOfSubsets;
>
>       public RunTestingOptimizationOpenToClose(string tickerGroupID, int 
> numberOfEligibleTickers,
>!                                       int numberOfTickersToBeChosen, int 
>numDaysForLiquidity,
>!                                       int 
>populationSizeForGeneticOptimizer, string benchmark,
>                                         DateTime marketDate, double 
> targetReturn,
>!                                       PortfolioType portfolioType, int 
>numDaysAfterLastOptimizationDay)
>       {
>!               this.fitnessesInSample = new 
>double[populationSizeForGeneticOptimizer];
>!               this.fitnessesOutOfSample = new 
>double[populationSizeForGeneticOptimizer];
>                 this.tickerGroupID = tickerGroupID;
>                 this.numberOfEligibleTickers = numberOfEligibleTickers;
>--- 54,72 ----
>         private int numDaysAfterLastOptimizationDay;
>         private int numberOfSubsets;
>+       private Genome[] genomesToTestOutOfSample;
>+       private int numberOfGenomesToTest;
>
>       public RunTestingOptimizationOpenToClose(string tickerGroupID, int 
> numberOfEligibleTickers,
>!                                       int numberOfTickersToBeChosen, int 
>numDaysForLiquidity,
>!                                       int 
>generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer,
>!                                       string benchmark,
>                                         DateTime marketDate, double 
> targetReturn,
>!                                       PortfolioType portfolioType, int 
>numDaysAfterLastOptimizationDay,
>!                                       int numberOfSubsets, int 
>numberOfGenomesToTest)
>       {
>!               this.numberOfGenomesToTest = numberOfGenomesToTest;
>!               this.genomesToTestOutOfSample = new 
>Genome[numberOfGenomesToTest];
>!               this.fitnessesInSample = new double[numberOfGenomesToTest];
>!               this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
>                 this.tickerGroupID = tickerGroupID;
>                 this.numberOfEligibleTickers = numberOfEligibleTickers;
>***************
>*** 66,69 ****
>--- 74,78 ----
>                 this.numDaysForLiquidity = numDaysForLiquidity;
>                 this.populationSizeForGeneticOptimizer = 
> populationSizeForGeneticOptimizer;
>+               this.generationNumberForGeneticOptimizer = 
>generationNumberForGeneticOptimizer;
>                 this.benchmark = benchmark;
>                 this.marketDate = marketDate;
>***************
>*** 71,76 ****
>                 this.portfolioType = portfolioType;
>                 this.numDaysAfterLastOptimizationDay = 
> numDaysAfterLastOptimizationDay;
>!               this.numberOfSubsets = 5;
>!     }
>
>         private DataTable getSetOfTickersToBeOptimized(DateTime date)
>--- 80,86 ----
>                 this.portfolioType = portfolioType;
>                 this.numDaysAfterLastOptimizationDay = 
> numDaysAfterLastOptimizationDay;
>!               this.numberOfSubsets = numberOfSubsets;
>!
>!       }
>
>         private DataTable getSetOfTickersToBeOptimized(DateTime date)
>***************
>*** 138,150 ****
>       }
>
>!       private void setFitnesses_setFitnessesActually(GeneticOptimizer GO)
>
>       {
>
>!               for(int i = 0; i<GO.CurrentGeneration.Count; i++)
>                 {
>! 
>this.fitnessesInSample[i]=((Genome)GO.CurrentGeneration[i]).Fitness;
>                         this.fitnessesOutOfSample[i]=
>! 
>this.setFitnesses_setFitnessesActually_getFitnessOutOfSample((Genome)GO.CurrentGeneration[i]);
>                 }
>
>--- 148,171 ----
>       }
>
>!       private void 
>setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(GeneticOptimizer 
>GO)
>
>       {
>+               Random random = new Random(10);
>+               for(int i = 0; i<this.numberOfGenomesToTest; i++)
>+               {
>+                       this.genomesToTestOutOfSample[i]=
>+ 
>(Genome)GO.CurrentGeneration[random.Next(this.populationSizeForGeneticOptimizer)];
>+               }
>+               Array.Sort(this.genomesToTestOutOfSample);
>+     }
>+       private void setFitnesses_setFitnessesActually(GeneticOptimizer GO)
>
>!     {
>! 
>this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(GO);
>!               for(int i = 0; i<this.numberOfGenomesToTest; i++)
>                 {
>! 
>this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
>                         this.fitnessesOutOfSample[i]=
>! 
>this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
>                 }
>
>***************
>*** 167,171 ****
>         GeneticOptimizer GO = new 
> GeneticOptimizer(genManEfficientCTOPortfolio,
> 
>this.populationSizeForGeneticOptimizer,
>!                                                   0,
> 
>ConstantsProvider.SeedForRandomGenerator);
>
>--- 188,192 ----
>         GeneticOptimizer GO = new 
> GeneticOptimizer(genManEfficientCTOPortfolio,
> 
>this.populationSizeForGeneticOptimizer,
>! 
>this.generationNumberForGeneticOptimizer,
> 
>ConstantsProvider.SeedForRandomGenerator);
>
>***************
>*** 181,184 ****
>--- 202,210 ----
>                 new OptimizationTechniqueEvaluator(this.fitnessesInSample,
> 
>this.fitnessesOutOfSample);
>+       this.run_writeToLogFile(evaluator);
>+     }
>+
>+     private void run_writeToLogFile(OptimizationTechniqueEvaluator 
>evaluator)
>+     {
>         double[] averagesInSample =
>                 evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
>***************
>*** 186,190 ****
> 
>evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
>         double r = evaluator.GetCorrelationBetweenFitnesses();
>!     }
>         }
>   }
>--- 212,245 ----
> 
>evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
>         double r = evaluator.GetCorrelationBetweenFitnesses();
>!       GenomeCounter genomeCounter = new 
>GenomeCounter(this.genomesToTestOutOfSample);
>!       int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
>!       string pathFile = 
>System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
>!                     "\\OpenToCloseOptimizationEvaluation.txt";
>!         StreamWriter w = File.AppendText(pathFile);
>!         w.WriteLine 
>("\n----------------------------------------------\r\n");
>!         w.Write("\r\nNew Test for Evaluation of Open To Close 
>Optimization {0}\r", DateTime.Now.Date.ToLongDateString());
>!         w.WriteLine ("\n----------------------------------------------");
>!         w.Write("\r\nFitnesses compared: {0}\r", 
>this.fitnessesInSample.Length.ToString());
>!         w.Write("\r\nDifferent evaluated genomes: {0}\r", 
>differentEvaluatedGenomes.ToString());
>!       w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
>!                 this.numberOfSubsets);
>!       //
>!       for(int i = 0; i<averagesInSample.Length; i++)
>!               w.WriteLine("\n{0}-->{1}", i.ToString(), 
>averagesInSample[i].ToString());
>!
>!       w.WriteLine ("\n\n----------------------------------------------");
>!       w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of 
>Sample:\r",
>!                 this.numberOfSubsets);
>!       //
>!       for(int i = 0; i<averagesOutOfSample.Length; i++)
>!               w.WriteLine("\n{0}-->{1}", i.ToString(), 
>averagesOutOfSample[i].ToString());
>!       w.WriteLine ("\n\n----------------------------------------------");
>!       //
>!       w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", 
>r.ToString());
>!       w.WriteLine ("\n-----------------End of Test------------------\r\n");
>!       // Update the underlying file.
>!       w.Flush();
>!       w.Close();
>!     }
>         }
>   }
>
>
>
>-------------------------------------------------------
>SF.Net email is Sponsored by the Better Software Conference & EXPO
>September 19-22, 2005 * San Francisco, CA * Development Lifecycle Practices
>Agile & Plan-Driven Development * Managing Projects & Teams * Testing & QA
>Security * Process Improvement & Measurement * http://www.sqe.com/bsce5sf
>_______________________________________________
>Quantproject-developers mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantproject-developers

[Quantproject-developers] QuantProject/b91_QuantProject app.config,1.4,1.5

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17524/b91_QuantProject

Modified Files:
	app.config 
Log Message:
Added new item to app.config file.

Index: app.config
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/app.config,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** app.config	1 Aug 2005 22:31:48 -0000	1.4
--- app.config	28 Aug 2005 10:08:07 -0000	1.5
***************
*** 1,3 ****
! <?xml version="1.0" encoding="utf-8" ?> 
  
  <configuration>
--- 1,3 ----
! <?xml version="1.0" encoding="utf-8" ?> 
  
  <configuration>
***************
*** 11,15 ****
  		<add key="TransactionsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedTransactions\\" />
  		<add key="GenomesArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedGenomes\\" />
  	</appSettings>
  
! </configuration>
\ No newline at end of file
--- 11,16 ----
  		<add key="TransactionsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedTransactions\\" />
  		<add key="GenomesArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedGenomes\\" />
+ 		<add key="GenericArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\GenericArchive\\" />
  	</appSettings>
  
! </configuration>

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.11,1.12

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17338/b7_Scripts

Modified Files:
	Scripts.prjx 
Log Message:
Updated #develop projects files.

Index: Scripts.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts.prjx,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** Scripts.prjx	21 Aug 2005 10:11:11 -0000	1.11
--- Scripts.prjx	28 Aug 2005 10:06:27 -0000	1.12
***************
*** 50,53 ****
--- 50,55 ----
      <File name=".\WalkForwardTesting\LinearCombination\OpenToCloseWeeklyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\LinearCombination\OpenToCloseDailyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\WalkForwardTest\RunWalkForwardLinearCombination.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\WalkForwardTest\WalkForwardOpenToCloseDailyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\EvaluatingOptimizationTechnique" subtype="Directory" buildaction="Compile" dependson="" data="" />
      <File name=".\EvaluatingOptimizationTechnique\EfficientPortfolio" subtype="Directory" buildaction="Compile" dependson="" data="" />

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.15,1.16 EndOfDayTimerHandlerCTC.cs,1.12,1.13 EndOfDayTimerHandlerCTO.cs,1.16,1.17

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17128/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTO.cs 
Log Message:
Fixed bug in script for the efficient open to close portfolio.
Seed for random generation is now changed at each new optimization.

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** EndOfDayTimerHandlerCTO.cs	1 Aug 2005 22:31:48 -0000	1.16
--- EndOfDayTimerHandlerCTO.cs	28 Aug 2005 10:05:03 -0000	1.17
***************
*** 184,191 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	this.orders.Clear();
      	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
        if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization)
      	{
      		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
--- 184,192 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
+     	ConstantsProvider.SeedForRandomGenerator++;
      	this.orders.Clear();
      	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
        if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization - 1)
      	{
      		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** EndOfDayTimerHandler.cs	1 Aug 2005 22:31:48 -0000	1.15
--- EndOfDayTimerHandler.cs	28 Aug 2005 10:05:03 -0000	1.16
***************
*** 212,216 ****
        this.bestGenomes.Add(new GenomeRepresentation(genome,
                                                      firstOptimizationDate,
!                                                     secondOptimizationDate));
      }
      
--- 212,217 ----
        this.bestGenomes.Add(new GenomeRepresentation(genome,
                                                      firstOptimizationDate,
!                                                     secondOptimizationDate,
!                                                     genome.Generation));
      }
      

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** EndOfDayTimerHandlerCTC.cs	1 Aug 2005 22:31:48 -0000	1.12
--- EndOfDayTimerHandlerCTC.cs	28 Aug 2005 10:05:03 -0000	1.13
***************
*** 193,197 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!      
        if(this.account.Portfolio.Count == 0 )
        {
--- 193,197 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       ConstantsProvider.SeedForRandomGenerator++;
        if(this.account.Portfolio.Count == 0 )
        {

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.1,1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16908/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
Log Message:
RunTestingOptimizationOpenToClose now saves a log file to disk at the end of the test.

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestingOptimizationOpenToClose.cs	20 Aug 2005 16:08:48 -0000	1.1
--- RunTestingOptimizationOpenToClose.cs	28 Aug 2005 10:02:52 -0000	1.2
***************
*** 23,26 ****
--- 23,27 ----
  using System;
  using System.Data;
+ using System.IO;
  
  using QuantProject.ADT;
***************
*** 46,49 ****
--- 47,51 ----
      private int numDaysForLiquidity;
      private int populationSizeForGeneticOptimizer;
+     private int generationNumberForGeneticOptimizer;
    	private string benchmark;
    	private DateTime marketDate;
***************
*** 52,64 ****
    	private int numDaysAfterLastOptimizationDay;
    	private int numberOfSubsets;
    	
      public RunTestingOptimizationOpenToClose(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForLiquidity, 
!       				int populationSizeForGeneticOptimizer, string benchmark,
        				DateTime marketDate, double targetReturn,
!       				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay)
      {
!   		this.fitnessesInSample = new double[populationSizeForGeneticOptimizer];
!   		this.fitnessesOutOfSample = new double[populationSizeForGeneticOptimizer];
    		this.tickerGroupID = tickerGroupID;
    		this.numberOfEligibleTickers = numberOfEligibleTickers;
--- 54,72 ----
    	private int numDaysAfterLastOptimizationDay;
    	private int numberOfSubsets;
+   	private Genome[] genomesToTestOutOfSample;
+   	private int numberOfGenomesToTest;
    	
      public RunTestingOptimizationOpenToClose(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForLiquidity,
!       				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
!       				string benchmark,
        				DateTime marketDate, double targetReturn,
!       				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
!       				int numberOfSubsets, int numberOfGenomesToTest)
      {
!   		this.numberOfGenomesToTest = numberOfGenomesToTest;
!   		this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
!   		this.fitnessesInSample = new double[numberOfGenomesToTest];
!   		this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
    		this.tickerGroupID = tickerGroupID;
    		this.numberOfEligibleTickers = numberOfEligibleTickers;
***************
*** 66,69 ****
--- 74,78 ----
    		this.numDaysForLiquidity = numDaysForLiquidity;
    		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
+   		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
    		this.benchmark = benchmark;
    		this.marketDate = marketDate;
***************
*** 71,76 ****
    		this.portfolioType = portfolioType;
    		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
!   		this.numberOfSubsets = 5;
!     }
      
    	private DataTable getSetOfTickersToBeOptimized(DateTime date)
--- 80,86 ----
    		this.portfolioType = portfolioType;
    		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
!   		this.numberOfSubsets = numberOfSubsets;
!   		
!   	}
      
    	private DataTable getSetOfTickersToBeOptimized(DateTime date)
***************
*** 138,150 ****
      }
    	
!   	private void setFitnesses_setFitnessesActually(GeneticOptimizer GO)
    		
      {
    		
!   		for(int i = 0; i<GO.CurrentGeneration.Count; i++)
    		{
!   			this.fitnessesInSample[i]=((Genome)GO.CurrentGeneration[i]).Fitness;
    			this.fitnessesOutOfSample[i]= 
!   				this.setFitnesses_setFitnessesActually_getFitnessOutOfSample((Genome)GO.CurrentGeneration[i]);
    		}
        
--- 148,171 ----
      }
    	
!   	private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(GeneticOptimizer GO)
    		
      {
+   		Random random = new Random(10);
+   		for(int i = 0; i<this.numberOfGenomesToTest; i++)
+   		{
+   			this.genomesToTestOutOfSample[i]=
+   				(Genome)GO.CurrentGeneration[random.Next(this.populationSizeForGeneticOptimizer)];
+   		}
+   		Array.Sort(this.genomesToTestOutOfSample);
+     }
+   	private void setFitnesses_setFitnessesActually(GeneticOptimizer GO)
    		
!     {
!   		this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(GO);
!   		for(int i = 0; i<this.numberOfGenomesToTest; i++)
    		{
!   			this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
    			this.fitnessesOutOfSample[i]= 
!   				this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
    		}
        
***************
*** 167,171 ****
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                    this.populationSizeForGeneticOptimizer,
!                                                   0,
                                                   ConstantsProvider.SeedForRandomGenerator);
            
--- 188,192 ----
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                    this.populationSizeForGeneticOptimizer,
!                                                   this.generationNumberForGeneticOptimizer,
                                                   ConstantsProvider.SeedForRandomGenerator);
            
***************
*** 181,184 ****
--- 202,210 ----
      		new OptimizationTechniqueEvaluator(this.fitnessesInSample,
      		                                   this.fitnessesOutOfSample);
+     	this.run_writeToLogFile(evaluator);
+     }
+     
+     private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
+     {
      	double[] averagesInSample = 
      		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
***************
*** 186,190 ****
      		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
      	double r = evaluator.GetCorrelationBetweenFitnesses();
!     }
  	}
  }
--- 212,245 ----
      		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
      	double r = evaluator.GetCorrelationBetweenFitnesses();
!     	GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
!     	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
!      	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OpenToCloseOptimizationEvaluation.txt";
!   	  StreamWriter w = File.AppendText(pathFile);
!   	  w.WriteLine ("\n----------------------------------------------\r\n");
!   	  w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.Date.ToLongDateString());
!   	  w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared: {0}\r", this.fitnessesInSample.Length.ToString());
!   	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesInSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
!       
!       w.WriteLine ("\n\n----------------------------------------------");
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesOutOfSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());	
!       w.WriteLine ("\n\n----------------------------------------------");
!       //
!       w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
!       w.WriteLine ("\n-----------------End of Test------------------\r\n");
!       // Update the underlying file.
!       w.Flush();
!       w.Close();
!     }	
  	}
  }

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic Genome.cs,1.7,1.8

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16126/b1_ADT/Optimizing/Genetic

Modified Files:
	Genome.cs 
Log Message:
Added new property "Generation" to Genome object

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** Genome.cs	3 Aug 2005 23:05:23 -0000	1.7
--- Genome.cs	28 Aug 2005 09:59:36 -0000	1.8
***************
*** 87,90 ****
--- 87,100 ----
      }
  		
+     /// <summary>
+     /// Returns the generation at which 
+     /// the current genome has been generated
+     /// by the Genetic Optimizer
+     /// </summary>
+     public int Generation
+     {
+       get{return this.genomeManager.CurrentGeneticOptimizer.GenerationCounter;}
+     }
+     
      //implementation of IComparable interface
      public int CompareTo(object obj) {

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeCounter.cs,1.2,1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15921/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeCounter.cs 
Log Message:
Added new constructor to GenomeCounter.

Index: GenomeCounter.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeCounter.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeCounter.cs	31 Jul 2005 20:07:28 -0000	1.2
--- GenomeCounter.cs	28 Aug 2005 09:58:27 -0000	1.3
***************
*** 60,63 ****
--- 60,76 ----
      }
  		
+     public GenomeCounter(Genome[] genomesToBeCounted)
+ 		{
+     	this.geneticOptimizer = null;
+     	this.fitnessCollector = new Hashtable();
+     	foreach(Genome genome in genomesToBeCounted)
+     	{
+     		if(!this.fitnessCollector.ContainsKey(genome.Fitness))
+     		//the hashtable fitnessCollector doesn't contain the
+     		//current genome's fitness, yet
+     			this.fitnessCollector.Add(genome.Fitness, null);
+     	}
+     }
+     
      private void addNewGenome(Object sender,
                            NewGenerationEventArgs newGenerationEventArgs)

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,1.14,1.15

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15683/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientPortfolio.cs 
Log Message:
Updated code for saving OptimizationOutput to disk.

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** RunEfficientPortfolio.cs	22 Aug 2005 22:17:43 -0000	1.14
--- RunEfficientPortfolio.cs	28 Aug 2005 09:57:02 -0000	1.15
***************
*** 244,248 ****
        //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!         ObjectArchiver.Archive(new OptimizationOutput(),
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");
--- 244,251 ----
        //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");

[Quantproject-developers] QuantDownloader/Downloader/TickerSelectors TickerGroupsViewer.cs,1.8,1.9

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3981/Downloader/TickerSelectors

Modified Files:
	TickerGroupsViewer.cs 
Log Message:
Modified database's structure. New fields added to tickers_tickerGroups table.


Index: TickerGroupsViewer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors/TickerGroupsViewer.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** TickerGroupsViewer.cs	10 Jun 2005 18:35:30 -0000	1.8
--- TickerGroupsViewer.cs	27 Aug 2005 19:21:35 -0000	1.9
***************
*** 32,35 ****
--- 32,36 ----
  using QuantProject.Data.DataTables;
  using QuantProject.Data.Selectors;
+ using QuantProject.ADT;
  
  namespace QuantProject.Applications.Downloader.TickerSelectors
***************
*** 539,543 ****
  					this.oleDbConnection.Open();
  				this.oleDbDataAdapter.SelectCommand.CommandText = 
! 					"SELECT ttTiId, tiCompanyName, ttTgId FROM tickers INNER JOIN " +
  					"tickers_tickerGroups ON tickers.tiTicker = tickers_tickerGroups.ttTiId WHERE ttTgId ='" +
  					(string)selectedNode.Tag + "'";
--- 540,544 ----
  					this.oleDbConnection.Open();
  				this.oleDbDataAdapter.SelectCommand.CommandText = 
! 					"SELECT DISTINCT ttTiId, tiCompanyName, ttTgId FROM tickers INNER JOIN " +
  					"tickers_tickerGroups ON tickers.tiTicker = tickers_tickerGroups.ttTiId WHERE ttTgId ='" +
  					(string)selectedNode.Tag + "'";
***************
*** 760,786 ****
  		}
  
! 		private bool isRowInsertedInDataBase(DataRow row)
  		{
! 			try
! 			{
! 				this.oleDbDataAdapter.InsertCommand = 
! 				new OleDbCommand("INSERT INTO tickers_tickerGroups(ttTiId, ttTgId) " +
! 					"VALUES('" + (string)row[0] + "','" +
! 					(string)this.treeViewGroups.SelectedNode.Tag  + "')", this.oleDbConnection);
! 				if(this.oleDbDataAdapter.InsertCommand.ExecuteNonQuery()>0)
! 				{
! 					return true;
! 				}
! 				else 
! 				{
! 					return false;
! 				}	
! 			}	
! 			catch(Exception ex)
! 			{
! 				string neverUsed = ex.ToString();
! 				return false;
! 			}
! 			
  		}
  		
--- 761,770 ----
  		}
  
! 		private void insertRow(DataRow row)
  		{
!         QuantProject.DataAccess.Tables.Tickers_tickerGroups.Add((string)row[0],
!                                                               (string)this.treeViewGroups.SelectedNode.Tag,
!                                                               EventType.Entry,
!                                                               ConstantsProvider.DefaultDateForTickersAddedToGroups);
  		}
  		
***************
*** 831,846 ****
            if(this.oleDbConnection.State != ConnectionState.Open)
              this.oleDbConnection.Open();
-           int numRowsInserted = 0;
            foreach (DataRow row in tickers.Rows)
!           {
!               if(this.isRowInsertedInDataBase(row))
!                 numRowsInserted ++;
!           }
!           if(numRowsInserted != tickers.Rows.Count)
!               MessageBox.Show("Some selected tickers have not been added",
!                       "Warning after paste operation", MessageBoxButtons.OK,
!                       MessageBoxIcon.Exclamation); 
            this.updateListView(this.treeViewGroups.SelectedNode);
-   		
          }	
          catch(Exception ex)
--- 815,821 ----
            if(this.oleDbConnection.State != ConnectionState.Open)
              this.oleDbConnection.Open();
            foreach (DataRow row in tickers.Rows)
!             this.insertRow(row);
            this.updateListView(this.treeViewGroups.SelectedNode);
          }	
          catch(Exception ex)

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByGroup.cs,1.1,1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3761/b3_Data/Selectors

Modified Files:
	SelectorByGroup.cs 
Log Message:
Modified database's structure. New fields added to tickers_tickerGroups table.

GetTableOfSelectedTickers in SelectorByGroup now selects tickers belonging to the specified group at a given date, when SelectorByGroup has been instantiated with a particular date.


Index: SelectorByGroup.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByGroup.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SelectorByGroup.cs	29 Jul 2005 13:27:40 -0000	1.1
--- SelectorByGroup.cs	27 Aug 2005 19:20:26 -0000	1.2
***************
*** 31,48 ****
  {
  	/// <summary>
! 	/// Class for selection on tickers by groupId
  	/// </summary>
  	public class SelectorByGroup : ITickerSelector 
  	{
      private string groupID;
! 
  		public SelectorByGroup( string groupID )
  		{
  			this.groupID = groupID;
! 		}
  
  		public DataTable GetTableOfSelectedTickers()
  		{
! 			return QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers( this.groupID );        
  		}
  		public void SelectAllTickers()
--- 31,71 ----
  {
  	/// <summary>
! 	/// Class for selection on tickers by groupId only or groupId and date
  	/// </summary>
  	public class SelectorByGroup : ITickerSelector 
  	{
      private string groupID;
!     private DateTime date = new DateTime(1900,1,1);
!     
!     /// <summary>
!     /// Creates an new instance of SelectorByGroup, in order
!     /// to get tickers contained in the given group
!     /// </summary>
!     /// <param name="groupID">Group's code for which tickers are to be selected</param>
  		public SelectorByGroup( string groupID )
  		{
  			this.groupID = groupID;
!    	}
!     
!     /// <summary>
!     /// Creates an new instance of SelectorByGroup, in order
!     /// to get tickers contained in the given group
!     /// </summary>
!     /// <param name="groupID">Group's code for which tickers are to be selected</param>
!     /// <param name="date">The date at which tickers to be selected belong effectively
!     ///                           to the given group</param>
!     public SelectorByGroup( string groupID, DateTime date )
!     {
!       this.groupID = groupID;
!       this.date = date;
!     }
  
  		public DataTable GetTableOfSelectedTickers()
  		{
! 			if(this.date.CompareTo(new DateTime(1900,1,1)) == 0)
!       //date has not be set by the user because it is still equal to default value
!         return QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers( this.groupID );
!       else
!         return QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers( this.groupID, this.date );
  		}
  		public void SelectAllTickers()

[Quantproject-developers] QuantProject/b2_DataAccess/Tables EventType.cs,NONE,1.1 Tickers_tickerGroups.cs,1.5,1.6

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3761/b2_DataAccess/Tables

Modified Files:
	Tickers_tickerGroups.cs 
Added Files:
	EventType.cs 
Log Message:
Modified database's structure. New fields added to tickers_tickerGroups table.

GetTableOfSelectedTickers in SelectorByGroup now selects tickers belonging to the specified group at a given date, when SelectorByGroup has been instantiated with a particular date.


--- NEW FILE: EventType.cs ---
/*
QuantProject - Quantitative Finance Library

EventType.cs
Copyright (C) 2004 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

namespace QuantProject.DataAccess.Tables
{
  /// <summary>
  /// Enum used by tickers_tickerGroups object for ttEventType values 
  /// </summary>
  public enum EventType
  {
    Entry,
    Exit
  }
}

Index: Tickers_tickerGroups.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Tickers_tickerGroups.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Tickers_tickerGroups.cs	5 Sep 2004 13:49:31 -0000	1.5
--- Tickers_tickerGroups.cs	27 Aug 2005 19:20:26 -0000	1.6
***************
*** 40,43 ****
--- 40,45 ----
      public static string GroupID = "ttTgId";
      public static string Ticker = "ttTiId";
+     public static string EventTypeFieldName = "ttEventType";
+     public static string EventDate = "ttEventDate";
  
      public Tickers_tickerGroups()
***************
*** 80,83 ****
--- 82,110 ----
        }
      }
+     
+     private static string insert_getEventTypeCode(EventType eventType)
+     {
+       string returnValue = "I";//default value for Exit eventType
+       switch (eventType)
+       {
+         case EventType.Exit:
+           returnValue = "O";
+           break;
+       }
+       return returnValue;
+       
+     }
+     
+     /// <summary>
+     /// Adds a new row into tickers_tickerGroups 
+     /// </summary>
+     public static void Add( string ticker, string groupId, EventType eventType,
+                                 DateTime eventDate)
+     {
+       string eventTypeCode = insert_getEventTypeCode(eventType);
+       SqlExecutor.ExecuteNonQuery("INSERT INTO tickers_tickerGroups(ttTiId, ttTgId, ttEventType, ttEventDate) " +
+         "VALUES('" + ticker + "','" + groupId + "','" + eventTypeCode +
+         "'," + SQLBuilder.GetDateConstant(eventDate)+ ")");
+     }
  
      /// <summary>
***************
*** 104,111 ****
      {
        /// TO DO use a join in order to return a table with tiTicker and company name  
!       return SqlExecutor.GetDataTable("SELECT " + Tickers_tickerGroups.Ticker + " FROM tickers_tickerGroups " +
            "WHERE " + Tickers_tickerGroups.GroupID + "='" +
            groupID + "'");
      }
      /*
      /// <summary>
--- 131,185 ----
      {
        /// TO DO use a join in order to return a table with tiTicker and company name  
!       return SqlExecutor.GetDataTable("SELECT DISTINCT " + Tickers_tickerGroups.Ticker + " FROM tickers_tickerGroups " +
            "WHERE " + Tickers_tickerGroups.GroupID + "='" +
            groupID + "'");
      }
+     
+     private static void getTickers_createView(string viewName,
+                                               string sqlStatement)
+     {
+       try
+       {	
+       	string sqlForViewCreation = "CREATE VIEW " + viewName + " AS " + sqlStatement;
+       	SqlExecutor.ExecuteNonQuery(sqlForViewCreation);
+       }
+       catch(Exception ex)
+       {
+       	ex = ex;
+       }
+     }
+     
+     /// <summary>
+     /// It returns a table containing tickers effectively contained
+     /// in the given group at the given Date
+     /// </summary>
+     public static DataTable GetTickers( string groupID, DateTime date)
+     {
+       
+       string sqlLastEntries = "SELECT tickers_tickerGroups.ttTgId AS GroupIDEntries, " +
+                               "tickers_tickerGroups.ttTiId AS TickerIDEntries, Max(tickers_tickerGroups.ttEventDate) " +
+                                "AS MaxEntryDate FROM tickers_tickerGroups WHERE " +
+                               "tickers_tickerGroups.ttEventType='I' " +
+                               "GROUP BY tickers_tickerGroups.ttTgId, tickers_tickerGroups.ttTiId";
+       getTickers_createView("Entries", sqlLastEntries);
+       
+       string sqlLastExits = "SELECT tickers_tickerGroups.ttTgId AS GroupIDExits, " +
+                             "tickers_tickerGroups.ttTiId AS TickerIDExits, Max(tickers_tickerGroups.ttEventDate) " +
+                             "AS MaxExitDate FROM tickers_tickerGroups WHERE " +
+                             "tickers_tickerGroups.ttEventType='O' " +
+                             "GROUP BY tickers_tickerGroups.ttTgId, tickers_tickerGroups.ttTiId";
+       
+       getTickers_createView("Exits", sqlLastExits);
+       
+       string sqlTickersAtTheGivenDate = "SELECT GroupIDEntries, " +
+       									"TickerIDEntries FROM Entries LEFT JOIN Exits " + 
+       									"ON (Entries.GroupIDEntries = Exits.GroupIDExits) AND " +
+       									"(Entries.TickerIDEntries = Exits.TickerIDExits) WHERE " +
+       									"GroupIDEntries ='" + groupID + "' AND " +
+       									"MaxEntryDate<=" + SQLBuilder.GetDateConstant(date) + " AND " +
+       									"(MaxExitDate Is Null OR MaxEntryDate>Exits.MaxExitDate)";
+      
+       return SqlExecutor.GetDataTable(sqlTickersAtTheGivenDate);
+     }
      /*
      /// <summary>

[Quantproject-developers] QuantProject/b1_ADT ConstantsProvider.cs,1.13,1.14

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3761/b1_ADT

Modified Files:
	ConstantsProvider.cs 
Log Message:
Modified database's structure. New fields added to tickers_tickerGroups table.

GetTableOfSelectedTickers in SelectorByGroup now selects tickers belonging to the specified group at a given date, when SelectorByGroup has been instantiated with a particular date.


Index: ConstantsProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ConstantsProvider.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** ConstantsProvider.cs	31 Jul 2005 20:03:31 -0000	1.13
--- ConstantsProvider.cs	27 Aug 2005 19:20:26 -0000	1.14
***************
*** 37,40 ****
--- 37,42 ----
      // for GeneticOptimizer (used by CalculateRandomFitness() in order
      //to update averageRandomFitness and standardDeviationOfRandomFitness properties
+     public static DateTime DefaultDateForTickersAddedToGroups = new DateTime(1980,1,1);
+     //conventional date for new tickers added to groups 
                                                          
      

[Quantproject-developers] QuantProject/b2_DataAccess DataBaseVersionManager.cs,1.14,1.15 b2_DataAccess.csproj,1.15,1.16

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3761/b2_DataAccess

Modified Files:
	DataBaseVersionManager.cs b2_DataAccess.csproj 
Log Message:
Modified database's structure. New fields added to tickers_tickerGroups table.

GetTableOfSelectedTickers in SelectorByGroup now selects tickers belonging to the specified group at a given date, when SelectorByGroup has been instantiated with a particular date.


Index: b2_DataAccess.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/b2_DataAccess.csproj,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** b2_DataAccess.csproj	20 Jan 2005 19:12:28 -0000	1.15
--- b2_DataAccess.csproj	27 Aug 2005 19:20:26 -0000	1.16
***************
*** 138,141 ****
--- 138,146 ----
                  />
                  <File
+                     RelPath = "Tables\EventType.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Tables\FaultyTickers.cs"
                      SubType = "Code"

Index: DataBaseVersionManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataBaseVersionManager.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** DataBaseVersionManager.cs	1 Dec 2004 22:47:00 -0000	1.14
--- DataBaseVersionManager.cs	27 Aug 2005 19:20:26 -0000	1.15
***************
*** 26,29 ****
--- 26,30 ----
  using System.Data;
  using System.Collections;
+ using QuantProject.ADT;
  
  
***************
*** 66,73 ****
  		this.updatingMethods.Add(new updatingMethodHandler(this.createTables));
  		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddPrimaryKeys));
! 		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddForeignKeys));
! 		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddIndexes));
  		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddColumns));
  		this.updatingMethods.Add(new updatingMethodHandler(this.dropTables));
  		
      }
--- 67,76 ----
  		this.updatingMethods.Add(new updatingMethodHandler(this.createTables));
  		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddPrimaryKeys));
! 		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesRemovePrimaryKeys));
!     this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddForeignKeys));
!     this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddIndexes));
  		this.updatingMethods.Add(new updatingMethodHandler(this.alterTablesAddColumns));
  		this.updatingMethods.Add(new updatingMethodHandler(this.dropTables));
+ 		this.updatingMethods.Add(new updatingMethodHandler(this.updateTables));
  		
      }
***************
*** 160,166 ****
  			this.executeCommand("ALTER TABLE tickerGroups ADD CONSTRAINT PKtgId PRIMARY KEY (tgId)");
  			this.executeCommand("ALTER TABLE validatedTickers ADD CONSTRAINT myKey PRIMARY KEY ( vtTicker )");
! 			this.executeCommand("ALTER TABLE tickers_tickerGroups " + 
! 								"ADD CONSTRAINT PKttTgId_ttTiId PRIMARY KEY ( ttTgId, ttTiId)");
  	}
  	private void alterTablesAddForeignKeys()
  	{
--- 163,174 ----
  			this.executeCommand("ALTER TABLE tickerGroups ADD CONSTRAINT PKtgId PRIMARY KEY (tgId)");
  			this.executeCommand("ALTER TABLE validatedTickers ADD CONSTRAINT myKey PRIMARY KEY ( vtTicker )");
! 			//this.executeCommand("ALTER TABLE tickers_tickerGroups " + 
! 			//					"ADD CONSTRAINT PKttTgId_ttTiId PRIMARY KEY ( ttTgId, ttTiId)");
  	}
+ 
+   private void alterTablesRemovePrimaryKeys()
+   {
+     this.executeCommand("DROP INDEX PKttTgId_ttTiId ON tickers_tickerGroups");
+   }
  	private void alterTablesAddForeignKeys()
  	{
***************
*** 177,184 ****
--- 185,201 ----
      this.executeCommand("ALTER TABLE validatedTickers " +
        "ADD COLUMN vtEditDate DATETIME");
+     this.executeCommand("ALTER TABLE tickers_tickerGroups " + 
+       "ADD COLUMN ttEventType TEXT(1) NOT NULL");
+     this.executeCommand("ALTER TABLE tickers_tickerGroups " +
+       "ADD COLUMN ttEventDate DATETIME NOT NULL");
  	}
  	private void alterTablesAddIndexes()
  	{
  		//add code here for adding indexes to existing tables;
+     this.executeCommand("CREATE INDEX " + 
+                         "PK_ttTgId_ttTiId_ttEventDate_ttEventDate " +
+                         "ON tickers_tickerGroups " + 
+                         "(ttTgId, ttTiId, ttEventType, ttEventDate) "+
+                        	"WITH PRIMARY");
  	}
  
***************
*** 187,190 ****
--- 204,220 ----
  		this.executeCommand("DROP TABLE version");
  		this.executeCommand("DROP TABLE visuallyValidatedTickers");
+ 	}
+ 	
+ 	//inserts new rows or updates 
+ 	//existing rows in tables after structure's modifications
+ 	private void updateTables()
+ 	{
+ 		this.executeCommand("UPDATE tickers_tickerGroups " +
+ 		                    "SET tickers_tickerGroups.ttEventType ='I', " +
+ 		                    "tickers_tickerGroups.ttEventDate =" + 
+                         SQLBuilder.GetDateConstant(ConstantsProvider.DefaultDateForTickersAddedToGroups) + " " +
+ 		                    "WHERE tickers_tickerGroups.ttEventType Is Null " +
+ 		                    "AND tickers_tickerGroups.ttEventDate Is Null");
+ 		
  	}	
  	private void executeCommand(string commandToBeExecuted)

Re: [Quantproject-developers] Re:[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.

[marco\.milletti\@l <mar...@li...>]

> At 10:20 AM 8/23/2005 +0200, you wrote:
> > > 
> > this.checkDateForR=
eport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
> > > !     =
    ObjectArchiver.Archive(new 
> > OptimizationOutput(this.startDateTim=
e.DateTime,
> > > 
> > ! 
> > this.endDateTime.DateTime,
> > > 
> > =
! 
> > this.endOfDayTimerHandler.BestGenomes),
> > >                   =
              dirNameWhereToSaveBestGenomes +
> > >                     =
            fileName + ".bgn");
> > > --- 244,248 ----
> > >         //=

> > > 
> > this.checkDateForReport_createDirIfNotPresent(dirNameWhereT=
oSaveBestGenomes);
> > > !         ObjectArchiver.Archive(new Optimizati=
onOutput(),
> > >                                 dirNameWhereToSaveBest=
Genomes +
> > >                                 fileName + ".bgn");
> >=

> >Forse mi =E8 sfuggito qualcosa: ma adesso i bestGenomes che io salvo=
 
> >nell'handler che fine fanno?
> 
> Cacchio... scusa, credo di aver=
 dimenticato un passaggio. Come vedi ho 
> tolto i firstDateDate e lastD=
ateTime che, a livello di OptimizationOutput 
> non hanno piu' senso.=0D
=
> Adesso funziona cosi': l'OptimizationOutput deve essere creato all'iniz=
io, 
> poi ogni volta si aggiunge un GenomeRepresentation all'Optimizati=
onOutput; 
> alla fine si salva.
> Non avevo capito che RunEfficientPor=
tfolio salvasse sempre i genoma. Puoi 
> fare le modifiche del caso?
=0D
=
OK, ci penso io.=0A=0A=0A=0A_____________________________________________=
_______________=0A6X velocizzare la tua navigazione a 56k? 6X Web Acceler=
ator di Libero!=0AScaricalo su INTERNET GRATIS 6X http://www.libero.it=0A=

Re: [Quantproject-developers] Re:[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,1.13,1.14

[Glauco S. <gl...@my...>]

At 10:20 AM 8/23/2005 +0200, you wrote:
> >=20
>=
 this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes=
);
> > !         ObjectArchiver.Archive(new=20
> OptimizationOutput(this.startDateTime.DateTime,
> >=20
> !=20
> this.endDateTime.DateTime,
> >=20
> !=20
> this.endOfDayTimerHandler.BestGenomes),
> >                                 dirNameWhereToSaveBestGenomes +
> >                                 fileName + ".bgn");
> > --- 244,248 ----
> >         //
> >=20
>=
 this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes=
);
> > !         ObjectArchiver.Archive(new OptimizationOutput(),
> >                                 dirNameWhereToSaveBestGenomes +
> >                                 fileName + ".bgn");
>
>Forse mi =E8 sfuggito qualcosa: ma adesso i bestGenomes che io salvo=20
>nell'handler che fine fanno?

Cacchio... scusa, credo di aver dimenticato un passaggio. Come vedi ho=20
tolto i firstDateDate e lastDateTime che, a livello di OptimizationOutput=20
non hanno piu' senso.
Adesso funziona cosi': l'OptimizationOutput deve essere creato all'inizio,=
=20
poi ogni volta si aggiunge un GenomeRepresentation all'OptimizationOutput;=
=20
alla fine si salva.
Non avevo capito che RunEfficientPortfolio salvasse sempre i genoma. Puoi=20
fare le modifiche del caso?

[Quantproject-developers] Re:[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,1.13,1.14

[marco\.milletti\@l <mar...@li...>]

>         this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSav=
eBestGenomes);
> !         ObjectArchiver.Archive(new OptimizationOutput=
(this.startDateTime.DateTime,
> !                                       =
                this.endDateTime.DateTime,
> !                          =
                     this.endOfDayTimerHandler.BestGenomes),
>          =
                       dirNameWhereToSaveBestGenomes + 
>               =
                  fileName + ".bgn");
> --- 244,248 ----
>         //=0D
=
>         this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSav=
eBestGenomes);
> !         ObjectArchiver.Archive(new OptimizationOutput=
(),
>                                 dirNameWhereToSaveBestGenomes + =0D
=
>                                 fileName + ".bgn");

Forse mi =E8 sfu=
ggito qualcosa: ma adesso i bestGenomes che io salvo nell'handler che fin=
e fanno?
=0A=0A=0A=0A___________________________________________________=
_________=0ALibero Flat, sempre a 4 Mega a 19,95 euro al mese! =0AAbbonat=
i subito su http://www.libero.it=0A=0A

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest WalkForwardOpenToCloseDailyStrategy.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11871/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
The public property OptimizationOutput has been added. It will contain the best genomes, one for each optimization process

Index: WalkForwardOpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/WalkForwardOpenToCloseDailyStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WalkForwardOpenToCloseDailyStrategy.cs	11 Aug 2005 23:02:03 -0000	1.1
--- WalkForwardOpenToCloseDailyStrategy.cs	22 Aug 2005 22:27:07 -0000	1.2
***************
*** 56,59 ****
--- 56,67 ----
  		private GeneticOptimizer geneticOptimizer;
  
+ 		private OptimizationOutput optimizationOutput;
+ 
+ 		/// best genomes, one for each optimization process
+ 		public OptimizationOutput OptimizationOutput
+ 		{
+ 			get { return this.optimizationOutput; }
+ 		}
+ 
  		public WalkForwardOpenToCloseDailyStrategy( Account account ,
  			string tickerGroupID , int numDaysForInSampleOptimization ,
***************
*** 153,156 ****
--- 161,175 ----
  				" - " + DateTime.Now.ToString() );
  		}
+ 		private void addGenomeToBestGenomes( Genome genome,
+ 			DateTime firstOptimizationDate ,
+ 			DateTime lastOptimizationDate )
+ 		{
+ 			if( this.optimizationOutput == null)
+ 				this.optimizationOutput = new OptimizationOutput();
+       
+ 			this.optimizationOutput.Add( new GenomeRepresentation( genome ,
+ 				firstOptimizationDate ,
+ 				lastOptimizationDate ) );
+ 		}
  		private void oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
  			DateTime currentDate )
***************
*** 165,172 ****
  				this.getSetOfTickersToBeOptimized( optimizationFirstDate ,
  				optimizationLastDate );
  			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
  				new GenomeManagerForEfficientCTOPortfolio(
  				setOfTickersToBeOptimized ,
! 				currentDate.AddDays( this.numDaysForInSampleOptimization - 1 ) ,
  				currentDate ,
  				this.numberOfTickersToBeChosen ,
--- 184,193 ----
  				this.getSetOfTickersToBeOptimized( optimizationFirstDate ,
  				optimizationLastDate );
+ 			Console.WriteLine( "Number of tickers to be optimized: " +
+ 				setOfTickersToBeOptimized.Rows.Count.ToString() );
  			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
  				new GenomeManagerForEfficientCTOPortfolio(
  				setOfTickersToBeOptimized ,
! 				currentDate.AddDays( -this.numDaysForInSampleOptimization + 1 ) ,
  				currentDate ,
  				this.numberOfTickersToBeChosen ,
***************
*** 188,192 ****
  			this.signedTickersFromLastOptimization =
  				(string[])this.geneticOptimizer.BestGenome.Meaning;
!        
  		}
  		public void OneHourAfterMarketCloseEventHandler( Object sender ,
--- 209,214 ----
  			this.signedTickersFromLastOptimization =
  				(string[])this.geneticOptimizer.BestGenome.Meaning;
! 			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
! 				optimizationFirstDate , optimizationLastDate );
  		}
  		public void OneHourAfterMarketCloseEventHandler( Object sender ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination MainForm.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11670/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	MainForm.cs 
Log Message:
optimizationOutput is used in place of bestGenomes

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** MainForm.cs	10 Aug 2005 16:49:20 -0000	1.5
--- MainForm.cs	22 Aug 2005 22:25:31 -0000	1.6
***************
*** 49,57 ****
  		private GeneticOptimizer GO;
  
! 		/// <summary>
! 		/// bestGenomes[ i ] contains an array list with the best genomes
! 		/// for generation i
! 		/// </summary>
! 		private ArrayList bestGenomes;
  
  		private System.Windows.Forms.MainMenu mainMenu1;
--- 49,53 ----
  		private GeneticOptimizer GO;
  
! 		private OptimizationOutput optimizationOutput;
  
  		private System.Windows.Forms.MainMenu mainMenu1;
***************
*** 189,195 ****
  			newGenerationEventHandler_updateProgressBar( newGenerationEventArgs );
  			ArrayList generation = newGenerationEventArgs.Generation;
! 			if ( this.bestGenomes.Count == 0 )
  				// this is the first generation created and this.bestGenomes is still empty
! 				this.bestGenomes.Add( new GenomeRepresentation(
  					(Genome)generation[ generation.Count - 1 ] ,
  					this.firstDate ,
--- 185,191 ----
  			newGenerationEventHandler_updateProgressBar( newGenerationEventArgs );
  			ArrayList generation = newGenerationEventArgs.Generation;
! 			if ( this.optimizationOutput.Count == 0 )
  				// this is the first generation created and this.bestGenomes is still empty
! 				this.optimizationOutput.Add( new GenomeRepresentation(
  					(Genome)generation[ generation.Count - 1 ] ,
  					this.firstDate ,
***************
*** 198,205 ****
  			for ( int i=0 ; i < generation.Count ; i++ )
  				if ( ((Genome)generation[ i ]).Fitness >
! 					((GenomeRepresentation)this.bestGenomes[
! 					this.bestGenomes.Count - 1 ]).Fitness )
  					// generation[ i ] is a genome better than the best already stored
! 					this.bestGenomes.Add( new GenomeRepresentation(
  						(Genome)generation[ i ] ,
  						this.firstDate ,
--- 194,201 ----
  			for ( int i=0 ; i < generation.Count ; i++ )
  				if ( ((Genome)generation[ i ]).Fitness >
! 					((GenomeRepresentation)this.optimizationOutput[
! 					this.optimizationOutput.Count - 1 ]).Fitness )
  					// generation[ i ] is a genome better than the best already stored
! 					this.optimizationOutput.Add( new GenomeRepresentation(
  						(Genome)generation[ i ] ,
  						this.firstDate ,
***************
*** 212,217 ****
  				new VisualObjectArchiver();
  			OptimizationOutput optimizationOutput =
! 				new OptimizationOutput( this.firstDate , this.lastDate ,
! 				this.bestGenomes );
  			visualObjectArchiver.Save( optimizationOutput , "bgn" ,
  				"Save best genomes" );
--- 208,212 ----
  				new VisualObjectArchiver();
  			OptimizationOutput optimizationOutput =
! 				new OptimizationOutput();
  			visualObjectArchiver.Save( optimizationOutput , "bgn" ,
  				"Save best genomes" );
***************
*** 223,227 ****
  		private void createOptimizedGenomes()
  		{
! 			this.bestGenomes = new ArrayList();
  //			DataTable setOfTickersToBeOptimized =
  //				this.getSetOfTickersToBeOptimized_quickly();
--- 218,222 ----
  		private void createOptimizedGenomes()
  		{
! 			this.optimizationOutput = new OptimizationOutput();
  //			DataTable setOfTickersToBeOptimized =
  //				this.getSetOfTickersToBeOptimized_quickly();
***************
*** 260,273 ****
  		private void loadBestGenomesFromDisk()
  		{
! 			if ( this.bestGenomes == null )
  			{
  				VisualObjectArchiver visualObjectArchiver =
  					new VisualObjectArchiver();
! 				OptimizationOutput optimizationOutput =
            (OptimizationOutput)visualObjectArchiver.Load(
  					"Load best genomes" , "bgn" , "Load Genomes");
! 				this.firstDate = optimizationOutput.FirstDate;
! 				this.lastDate = optimizationOutput.LastDate;
! 				this.bestGenomes = optimizationOutput.BestGenomes;
  			}
  		}
--- 255,271 ----
  		private void loadBestGenomesFromDisk()
  		{
! 			if ( this.optimizationOutput == null )
  			{
  				VisualObjectArchiver visualObjectArchiver =
  					new VisualObjectArchiver();
! 				this.optimizationOutput =
            (OptimizationOutput)visualObjectArchiver.Load(
  					"Load best genomes" , "bgn" , "Load Genomes");
! 				if ( this.optimizationOutput.Count == 0 )
! 					throw new Exception( "The loaded optimization output contains no element!" );
! 				this.firstDate = ((GenomeRepresentation)(
! 					this.optimizationOutput[ 0 ])).FirstOptimizationDate;
! 				this.lastDate = ((GenomeRepresentation)(
! 					this.optimizationOutput[ 0 ])).LastOptimizationDate;
  			}
  		}
***************
*** 275,280 ****
  		{
  			TestDisplayer testDisplayer = new TestDisplayer(
! 				this.firstDate , this.lastDate , this.bestGenomes );
! 			this.bestGenomes = null;
  			testDisplayer.Show();
  		}
--- 273,278 ----
  		{
  			TestDisplayer testDisplayer = new TestDisplayer(
! 				this.firstDate , this.lastDate , this.optimizationOutput );
! 			this.optimizationOutput = null;
  			testDisplayer.Show();
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination VisualObjectArchiver.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11532/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	VisualObjectArchiver.cs 
Log Message:
A default file suffix is supported now

Index: VisualObjectArchiver.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/VisualObjectArchiver.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** VisualObjectArchiver.cs	13 Jul 2005 16:50:27 -0000	1.1
--- VisualObjectArchiver.cs	22 Aug 2005 22:24:28 -0000	1.2
***************
*** 62,66 ****
--- 62,69 ----
  			this.saveFileDialog = new SaveFileDialog();
  			this.saveFileDialog.DefaultExt = suffix;
+ 			this.saveFileDialog.Filter = suffix + " files (*."+
+ 				suffix + ")|*." + suffix;
  			this.saveFileDialog.Title = title;
+ 			this.saveFileDialog.FileName = title;
  			this.saveFileDialog.InitialDirectory = initialDirectory;
  			this.saveFileDialog.AddExtension = true;
***************
*** 85,92 ****
  				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
! 		private string getPath( string title )
  		{
  			OpenFileDialog openFileDialog = new OpenFileDialog();
  			openFileDialog.Title = title;
  			openFileDialog.Multiselect = false;
  			openFileDialog.CheckFileExists = true;
--- 88,97 ----
  				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
! 		private string getPath( string title , string suffix )
  		{
  			OpenFileDialog openFileDialog = new OpenFileDialog();
  			openFileDialog.Title = title;
+ 			openFileDialog.Filter = suffix + " files (*."+
+ 				suffix + ")|*." + suffix;
  			openFileDialog.Multiselect = false;
  			openFileDialog.CheckFileExists = true;
***************
*** 97,101 ****
  			string title , string initialDirectory )
  		{
! 			string chosenPath = this.getPath( title );
  			return ObjectArchiver.Extract( chosenPath );
  		}
--- 102,106 ----
  			string title , string initialDirectory )
  		{
! 			string chosenPath = this.getPath( title , suffix );
  			return ObjectArchiver.Extract( chosenPath );
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest RunWalkForwardLinearCombination.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11390/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	RunWalkForwardLinearCombination.cs 
Log Message:
A default title is provided to the OptimizationOuput's save form

Index: RunWalkForwardLinearCombination.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/RunWalkForwardLinearCombination.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunWalkForwardLinearCombination.cs	11 Aug 2005 23:01:27 -0000	1.1
--- RunWalkForwardLinearCombination.cs	22 Aug 2005 22:23:16 -0000	1.2
***************
*** 59,63 ****
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
! 		private IEndOfDayStrategy endOfDayStrategy;
  
  		public RunWalkForwardLinearCombination(string tickerGroupID,
--- 59,63 ----
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
! 		private WalkForwardOpenToCloseDailyStrategy endOfDayStrategy;
  
  		public RunWalkForwardLinearCombination(string tickerGroupID,
***************
*** 155,158 ****
--- 155,172 ----
  			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
  			report.Show();
+ 			string title = DateTime.Now.Year.ToString() + "_" +
+ 				DateTime.Now.Month.ToString() + "_" +
+ 				DateTime.Now.Day.ToString() + "_" +
+ 				DateTime.Now.Hour.ToString() + "_" +
+ 				DateTime.Now.Minute.ToString() + "_" +
+ 				DateTime.Now.Second.ToString() + "_" +
+ 				"numDayInSample" + this.numDaysForInSampleOptimization +
+ 				"_numEligTick" + this.numberOfEligibleTickers +
+ 				"_numDayLiq" + this.numDaysForLiquidity +
+ 				"_numTickInPortfolio" + this.numberOfTickersToBeChosen;
+ 			VisualObjectArchiver visualObjectArchiver =
+ 				new VisualObjectArchiver();
+ 			visualObjectArchiver.Save( this.endOfDayStrategy.OptimizationOutput ,
+ 				"bgn" , title );
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OptimizationOutput.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11132/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	OptimizationOutput.cs 
Log Message:
- an ArrayList is inherited now
- private members (and corresponding properties) firstDate and lastDate have been removed

Index: OptimizationOutput.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OptimizationOutput.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OptimizationOutput.cs	23 Jul 2005 17:54:32 -0000	1.1
--- OptimizationOutput.cs	22 Aug 2005 22:21:39 -0000	1.2
***************
*** 31,57 ****
  	/// </summary>
  	[Serializable]
! 	public class OptimizationOutput
  	{
! 		private DateTime firstDate;
! 		public DateTime FirstDate
! 		{
! 			get { return this.firstDate; }
! 		}
! 		private DateTime lastDate;
! 		public DateTime LastDate
! 		{
! 			get { return this.lastDate; }
! 		}
! 		private ArrayList bestGenomes;
! 		public ArrayList BestGenomes
  		{
- 			get { return this.bestGenomes; }
  		}
! 		public OptimizationOutput( DateTime firstDate ,
! 			DateTime lastDate , ArrayList bestGenomes )
  		{
! 			this.firstDate = firstDate;
! 			this.lastDate = lastDate;
! 			this.bestGenomes = bestGenomes;
  		}
  	}
--- 31,50 ----
  	/// </summary>
  	[Serializable]
! 	public class OptimizationOutput : ArrayList
  	{
! //		public ArrayList BestGenomes
! //		{
! //			get { return this.bestGenomes; }
! //		}
! 		public OptimizationOutput()
  		{
  		}
! 		/// <summary>
! 		/// Adds a genome representation
! 		/// </summary>
! 		/// <param name="genomeRepresentation"></param>
! 		public void Add( GenomeRepresentation genomeRepresentation )
  		{
! 			base.Add( genomeRepresentation );
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,1.13,1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10320/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientPortfolio.cs 
Log Message:
A better constructor for OptimizationOutput is used now

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** RunEfficientPortfolio.cs	3 Aug 2005 18:55:11 -0000	1.13
--- RunEfficientPortfolio.cs	22 Aug 2005 22:17:43 -0000	1.14
***************
*** 244,250 ****
        //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!         ObjectArchiver.Archive(new OptimizationOutput(this.startDateTime.DateTime,
!                                                       this.endDateTime.DateTime,
!                                               this.endOfDayTimerHandler.BestGenomes),
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");
--- 244,248 ----
        //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!         ObjectArchiver.Archive(new OptimizationOutput(),
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.10,1.11

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25492/b7_Scripts

Modified Files:
	Scripts.prjx 
Log Message:
Updated #develop projects files.

Index: Scripts.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts.prjx,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** Scripts.prjx	8 Aug 2005 19:16:17 -0000	1.10
--- Scripts.prjx	21 Aug 2005 10:11:11 -0000	1.11
***************
*** 50,53 ****
--- 50,57 ----
      <File name=".\WalkForwardTesting\LinearCombination\OpenToCloseWeeklyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\LinearCombination\OpenToCloseDailyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\EvaluatingOptimizationTechnique" subtype="Directory" buildaction="Compile" dependson="" data="" />
+     <File name=".\EvaluatingOptimizationTechnique\EfficientPortfolio" subtype="Directory" buildaction="Compile" dependson="" data="" />
+     <File name=".\EvaluatingOptimizationTechnique\OptimizationTechniqueEvaluator.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\EvaluatingOptimizationTechnique\EfficientPortfolio\RunTestingOptimizationOpenToClose.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>