quantproject-developers

[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25089/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
Added statistic methods for getting Percentile, Median and DecileAverage (even though these methods are not used by the project, at the moment).

Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** BasicFunctions.cs	22 Aug 2004 16:52:40 -0000	1.4
--- BasicFunctions.cs	21 Aug 2005 10:09:23 -0000	1.5
***************
*** 22,25 ****
--- 22,26 ----
  
  using System;
+ using QuantProject.ADT.Statistics;
  
  namespace QuantProject.ADT.Statistics
***************
*** 30,34 ****
  	public class BasicFunctions
  	{
!     static public  double Sum( double[] data ) 
      {
        double sum = 0;
--- 31,44 ----
  	public class BasicFunctions
  	{
!    	private static double[] orderedData;
!     
!     static private void setOrderedData(double[] data)
!     {
!   	 	orderedData = new double[data.Length];
!       data.CopyTo(orderedData,0);
!       Array.Sort(orderedData);
!     }
! 		
! 		static public  double Sum( double[] data )
      {
        double sum = 0;
***************
*** 185,190 ****
          throw new Exception("The two variables haven't the same length!");
      }
  	}	
  }		
  
! 		
\ No newline at end of file
--- 195,276 ----
          throw new Exception("The two variables haven't the same length!");
      }
+ 		
+ 		/// <summary>
+     /// Returns the t-th percentile for a given set of data
+     /// </summary>
+     /// <param name="data">Data for which t-th percentile is to be computed </param>
+     /// <param name="percentileNumber">A number between 0 and 100, corresponding
+     ///  to the requested t-th percentile	</param>
+     static public double Percentile(double[] data,
+                                     int percentileNumber)
+     {
+     	if(percentileNumber<0 || percentileNumber >100)
+     		throw new Exception("percentileNumber has to be a number between 0 and 100!");
+     	setOrderedData(data);
+     	int n = orderedData.Length;
+     	double np = ((double)n+1) * (double)percentileNumber/100.0;
+       if(np<=1.0)
+         return orderedData[0];
+       if(np>=n)
+         return orderedData[n-1];
+       
+       int integerPart_np = (int)Math.Floor(np);
+       double fractionalPart_np = np - integerPart_np;
+       //if np is not a whole number, it has to be returned a
+       // number between two data points
+       // In this implementation the method used to return such number
+       // is based on a simple interpolation 
+       return (orderedData[integerPart_np-1] +
+               fractionalPart_np* (orderedData[integerPart_np] - orderedData[integerPart_np-1]));
+      
+     }
+ 	    
+     /// <summary>
+     /// Returns the median for a given set of  data
+     /// (Median is the value, belonging or not to the given set of data, such that
+     /// number of data points below that value is equal to the number of data points
+     /// above that value)
+     /// </summary>
+     /// <param name="data">Data for which median is to be computed</param>
+     static public double Median(double[] data)
+     {
+     	return Percentile(data, 50);
+     }
+     
+     /// <summary>
+     /// Returns the average value for the given decile of
+     /// a given set of data
+     /// </summary>
+     /// <param name="data">The set of data</param>
+     /// <param name="decileNumber">The decile for which the average has to be computed</param>
+     static public double GetDecileAverage(double[] data,
+                                          	int decileNumber)
+     {
+     	if(decileNumber<1 || decileNumber >9)
+     		throw new Exception("decileNumber has to be a number between 1 and 9!");
+     	
+     	double firstCorrespondingPercentile =
+     		Percentile(data, decileNumber * 10 - 10);
+     	double secondCorrespondingPercentile = 
+     		Percentile(data, decileNumber * 10);
+     	double totalBetweenPercentiles = 0.0;
+     	int numberOfDataPointsBetweenPercentiles = 0;
+     	for(int i = 0; i<orderedData.Length; i++)
+     	{
+     		if(orderedData[i]>= firstCorrespondingPercentile &&
+     		   orderedData[i]< secondCorrespondingPercentile)
+     		{
+     			numberOfDataPointsBetweenPercentiles++;
+     			totalBetweenPercentiles += orderedData[i];
+     		}
+     		
+     	}
+     	
+     	return totalBetweenPercentiles/numberOfDataPointsBetweenPercentiles;
+     }
+     
+     
  	}	
  }		
  
! 		

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs,1.10,1.11

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24776/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Changed default values for the geneticOptimizer (default values can always be changed as they are public properties)

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** GeneticOptimizer.cs	3 Aug 2005 23:08:33 -0000	1.10
--- GeneticOptimizer.cs	21 Aug 2005 10:07:36 -0000	1.11
***************
*** 211,216 ****
      private void commonInitialization()
      {
!       this.mutationRate = 0.10;
!    		this.crossoverRate = 0.85;
      	this.elitismRate = 0.0;
      	this.minConvergenceRate = 0.80;
--- 211,216 ----
      private void commonInitialization()
      {
!       this.mutationRate = 0.20;
!    		this.crossoverRate = 0.99;
      	this.elitismRate = 0.0;
      	this.minConvergenceRate = 0.80;

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29643/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Added Files:
	RunTestingOptimizationOpenToClose.cs 
Log Message:
Added objects for testing optimization technique.

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

RunTestingOptimizationOpenToClose.cs
Copyright (C) 2003 
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;
using System.Data;

using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.EvaluatingOptimizationTechnique.EfficientPortfolio
{
	/// <summary>
	/// For the evaluation of the optimization technique used by the script
	/// for the efficient open to close portfolio
	/// </summary>
  [Serializable]
  public class RunTestingOptimizationOpenToClose
  {
  	private double[] fitnessesInSample;
  	private double[] fitnessesOutOfSample;
  	private string tickerGroupID;
    private int numberOfEligibleTickers;
    private int numberOfTickersToBeChosen;
    private int numDaysForLiquidity;
    private int populationSizeForGeneticOptimizer;
  	private string benchmark;
  	private DateTime marketDate;
  	private double targetReturn;
  	private PortfolioType portfolioType;
  	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;
  		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
  		this.numDaysForLiquidity = numDaysForLiquidity;
  		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  		this.benchmark = benchmark;
  		this.marketDate = marketDate;
  		this.targetReturn = targetReturn;
  		this.portfolioType = portfolioType;
  		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
  		this.numberOfSubsets = 5;
    }
    
  	private DataTable getSetOfTickersToBeOptimized(DateTime date)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */
     	
     	SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
                                      date.AddDays(-this.numDaysForLiquidity), date,
                                      this.numberOfEligibleTickers);
      /*SelectorByOpenToCloseVolatility lessVolatile = 
      	new SelectorByOpenToCloseVolatility(mostLiquid.GetTableOfSelectedTickers(),
      	                                    true, currentDate.AddDays(-5),
      	                                    currentDate,
      	                                    this.numberOfEligibleTickers/2);*/
      DataTable eligibleTickers;
      eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( eligibleTickers,
                                   false, date.AddDays(-this.numDaysForLiquidity),
                                    date, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
      //	                                 false, currentDate.AddDays(-2),
      //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
      //return winners.GetTableOfSelectedTickers();
      //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
      //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      //                                                this.benchmark, true,
      //                                                currentDate.AddDays(-this.numDaysForLiquidity),
      //                                                currentDate, this.numberOfEligibleTickers/2);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.GetTableOfSelectedTickers();
    }
  	
  	private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
  		
    {
 			double returnValue = 0;
 			foreach(string tickerCode in (string[])genome.Meaning)
 			{
 				double coefficient = 1.0;
 				string ticker = tickerCode;
 				if(ticker.StartsWith("-"))
 				{
 					ticker = ticker.Substring(1,ticker.Length -1);
 					coefficient = -1.0;
 				}
 				DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
 				Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
 				                                 dateOutOfSample);
 				returnValue += 
 					(tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
 					 tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
	 			
 			}
 			return returnValue/genome.Size;
      
    }
  	
  	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]);
  		}
      
    }
  	
  	private void setFitnesses()
  		
    {
      
      DataTable setOfTickersToBeOptimized = 
      	this.getSetOfTickersToBeOptimized(this.marketDate);
       IGenomeManager genManEfficientCTOPortfolio = 
        new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
      	                                          this.marketDate.AddDays(-this.numDaysForLiquidity),
      	                                          this.marketDate,
      	                                          this.numberOfTickersToBeChosen,
      	                                          this.targetReturn,
      	                                         	this.portfolioType);
      
      GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                  this.populationSizeForGeneticOptimizer,
                                                  0,
                                                 ConstantsProvider.SeedForRandomGenerator);
          
      GO.Run(false);
      this.setFitnesses_setFitnessesActually(GO);
      
    }
  	
    public void Run()
    {
    	this.setFitnesses();
    	OptimizationTechniqueEvaluator evaluator = 
    		new OptimizationTechniqueEvaluator(this.fitnessesInSample,
    		                                   this.fitnessesOutOfSample);
    	double[] averagesInSample = 
    		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
    	double[] averagesOutOfSample = 
    		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
    	double r = evaluator.GetCorrelationBetweenFitnesses();
    }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.36,1.37

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29643/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added objects for testing optimization technique.

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.36
retrieving revision 1.37
diff -C2 -d -r1.36 -r1.37
*** b7_Scripts.csproj	10 Aug 2005 16:44:50 -0000	1.36
--- b7_Scripts.csproj	20 Aug 2005 16:08:47 -0000	1.37
***************
*** 122,125 ****
--- 122,135 ----
                      BuildAction = "Compile"
                  />
+                 <File
+                     RelPath = "EvaluatingOptimizationTechnique\OptimizationTechniqueEvaluator.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "EvaluatingOptimizationTechnique\EfficientPortfolio\RunTestingOptimizationOpenToClose.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
                  <Folder RelPath = "MultiTesting\MultiTestOneRank\" />
                  <File
***************
*** 309,317 ****
                  />
                  <File
-                     RelPath = "WalkForwardTesting\LinearCombination\TestDisplayer.resx"
-                     DependentUpon = "TestDisplayer.cs"
-                     BuildAction = "EmbeddedResource"
-                 />
-                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\VisualObjectArchiver.cs"
                      SubType = "Code"
--- 319,322 ----

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique OptimizationTechniqueEvaluator.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29643/b7_Scripts/EvaluatingOptimizationTechnique

Added Files:
	OptimizationTechniqueEvaluator.cs 
Log Message:
Added objects for testing optimization technique.

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

OptimizationTechniqueEvaluator.cs
Copyright (C) 2003 
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;
using System.Collections;
using QuantProject.ADT;
using QuantProject.ADT.Statistics;

namespace QuantProject.Scripts.EvaluatingOptimizationTechnique
{
	/// <summary>
	/// Class for evaluating a given optimization technique
	/// </summary>
	[Serializable]
  public class OptimizationTechniqueEvaluator 
	{
  	double[] fitnessesInSample;
  	double[] fitnessesOutOfSample;
    
  	/// <summary>
		/// Creates a new instance of OptimizationTechniqueEvaluator 
		/// </summary> 
		/// <param name="fitnessesInSample">The array has to contain the fitnesses in sample (the values computed by the optimizer). Fitnesses in sample have to be ordered!</param>
    /// <param name="fitnessesOutOfSample">The array has to contain the fitnesses out of sample
    /// 	 (the values evaluated by the trading simpulation). Fitnesses out of sample have to
    /// 	 corresponde one by one to fitnesses in sample</param>
  	public OptimizationTechniqueEvaluator(double[] fitnessesInSample,
  	                                      double[] fitnessesOutOfSample)
    {
  		this.optimizationTechniqueEvaluator_checkParameters(fitnessesInSample,
    	                                                    fitnessesOutOfSample);
  		this.fitnessesInSample = fitnessesInSample;
	  	this.fitnessesOutOfSample = fitnessesOutOfSample;
		}
    
    private void optimizationTechniqueEvaluator_checkParameters(double[] fitnessesInSample,
  	                                      											double[] fitnessesOutOfSample)
    {
	  	if(fitnessesInSample.Length != fitnessesOutOfSample.Length)
  			throw new Exception("fitnessesInSample and fitnessesOutOfSample " +
  			                    "can't have a different size!");
   	}   
    
    /// <summary>
    /// Returns the average values for the given sub-sets of
    /// fitnesses in sample. Fitnesses in sample are ordered!
    /// </summary>
    /// <param name="numberOfSubsets">Number of sub-sets fitnessesInSample are divided into</param>
	  public double[] GetAveragesOfSubsetsInSample(int numberOfSubsets)
    {
	  	return this.getSubsetAverage(this.fitnessesInSample, numberOfSubsets);
   	}
    
	  /// <summary>
    /// Returns the average values for the given sub-sets of
    /// fitnesses out of sample
    /// </summary>
    /// <param name="numberOfSubsets">Number of sub-sets fitnessesOutOfSample are divided into</param>
	  public double[] GetAveragesOfSubsetsOutOfSample(int numberOfSubsets)
    {
	  	return this.getSubsetAverage(this.fitnessesOutOfSample, numberOfSubsets);
		}
		
	  private void getSubsetAverage_checkParameters(int numberOfSubsets)
    {
	  	if(numberOfSubsets > this.fitnessesInSample.Length)
	  	//fitnessesInSample have the same length as fitnessesOutOfSample
    		throw new Exception("numberOfSubsets can't be greater than the number of data points!");
   	}   
	  
	  /// <summary>
    /// Returns the average values for the given sub-set of
    /// a given set of data
    /// </summary>
    /// <param name="data">The set of data points(inSample or OutOfSample)</param>
    /// <param name="numberOfSubsets">Number of sub-sets the
    /// 															given set of data is divided into</param>
    private double[] getSubsetAverage(double[] data,
                                   		int numberOfSubsets)
    {
    	this.getSubsetAverage_checkParameters(numberOfSubsets);
    	int numberOfDataPointsInEachSubset = 
    		(int)Math.Floor(Convert.ToDouble(data.Length)/Convert.ToDouble(numberOfSubsets));
    	double[] returnValue = new double[numberOfSubsets];
    	
    	for(int i = 0; i<numberOfSubsets; i++)
    	{
    		for(int j = i * numberOfDataPointsInEachSubset;
    		    j<(i+1)* numberOfDataPointsInEachSubset;
    		    j++)
	    	{
    			returnValue[i]+= data[j]/numberOfDataPointsInEachSubset;
	    	}
    	}
    	
    	return returnValue;
    }
    
    /// <summary>
    /// Returns the Pearson correlation coefficient between fitnesses in sample
    /// and fitnesses out of sample
    /// </summary>
    public double GetCorrelationBetweenFitnesses()
    {
	  	return BasicFunctions.PearsonCorrelationCoefficient(this.fitnessesInSample,
    	                                                    this.fitnessesOutOfSample);
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29146/EfficientPortfolio

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29112/EvaluatingOptimizationTechnique

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest WalkForwardOpenToCloseDailyStrategy.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv608

Added Files:
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
Open to close daily strategy, for walk forward testing

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

WalkForwardOpenToCloseDailyStrategy.cs
Copyright (C) 2003 
Glauco Siliprandi

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;
using System.Collections;
using System.Data;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;
using QuantProject.Data.Selectors;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Open to close daily strategy, for walk forward testing
	/// </summary>
	[Serializable]
	public class WalkForwardOpenToCloseDailyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string tickerGroupID;
		private int numDaysForInSampleOptimization;
		private int numberOfEligibleTickers;
		private int numberOfTickersToBeChosen;
		private string benchmark;
		private double targetReturn;
		private PortfolioType portfolioType;
		private int populationSizeForGeneticOptimizer;
		private int generationNumberForGeneticOptimizer;

		private string[] signedTickersFromLastOptimization;
		private GeneticOptimizer geneticOptimizer;

		public WalkForwardOpenToCloseDailyStrategy( Account account ,
			string tickerGroupID , int numDaysForInSampleOptimization ,
			int numberOfEligibleTickers ,
			int numberOfTickersToBeChosen , string benchmark ,
			double targetReturn , PortfolioType portfolioType ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer )
		{
			this.account = account;
			this.tickerGroupID = tickerGroupID;
			this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			this.benchmark = benchmark;
			this.targetReturn = targetReturn;
			this.portfolioType = portfolioType;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
		}
		private long marketOpenEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickersFromLastOptimization.Length;
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketOpenEventHandler_addOrder( string signedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
			string ticker = GenomeRepresentation.GetTicker( signedTicker );
			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketOpenEventHandler_addOrders()
		{
			if ( this.signedTickersFromLastOptimization != null )
				foreach ( string signedTicker in this.signedTickersFromLastOptimization )
					marketOpenEventHandler_addOrder( signedTicker );
		}
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( ( this.account.CashAmount == 0 ) &&
				( this.account.Transactions.Count == 0 ) )
				// cash has not been added yet
				this.account.AddCash( 30000 );
			marketOpenEventHandler_addOrders();
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
		{
			ArrayList tickers = new ArrayList();
			foreach ( Position position in this.account.Portfolio.Positions )
				tickers.Add( position.Instrument.Key );
			foreach ( string ticker in tickers )
				this.account.ClosePosition( ticker );
		}
		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
			this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
		}

		public void MarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
		protected DataTable getSetOfTickersToBeOptimized(
			DateTime optimizationFirstDate , DateTime optimizationLastDate )
		{
			SelectorByLiquidity mostLiquid = new SelectorByLiquidity(
				this.tickerGroupID , false ,
				optimizationFirstDate , optimizationLastDate ,
				this.numberOfEligibleTickers );
      
			DataTable eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
				false , optimizationFirstDate ,
				optimizationLastDate ,
				this.numberOfEligibleTickers, this.benchmark);
			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
		}
		private void newGenerationEventHandler( object sender ,
			NewGenerationEventArgs newGenerationEventArgs )
		{
			Console.WriteLine(
				newGenerationEventArgs.GenerationCounter.ToString() + " / " +
				newGenerationEventArgs.GenerationNumber.ToString() +
				" - " + DateTime.Now.ToString() );
		}
		private void oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
			DateTime currentDate )
		{
//			this.bestGenomes = new ArrayList();
			//			DataTable setOfTickersToBeOptimized =
			//				this.getSetOfTickersToBeOptimized_quickly();
			DateTime optimizationFirstDate =
				currentDate.AddDays( -this.numDaysForInSampleOptimization + 1 );
			DateTime optimizationLastDate =	currentDate;
			DataTable setOfTickersToBeOptimized =
				this.getSetOfTickersToBeOptimized( optimizationFirstDate ,
				optimizationLastDate );
			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
				new GenomeManagerForEfficientCTOPortfolio(
				setOfTickersToBeOptimized ,
				currentDate.AddDays( this.numDaysForInSampleOptimization - 1 ) ,
				currentDate ,
				this.numberOfTickersToBeChosen ,
				this.targetReturn ,
				this.portfolioType );
        
			this.geneticOptimizer = new GeneticOptimizer(genManEfficientCTOPortfolio,
				this.populationSizeForGeneticOptimizer,
				this.generationNumberForGeneticOptimizer);
			this.geneticOptimizer.NewGeneration += new NewGenerationEventHandler(
				this.newGenerationEventHandler );

			//			Thread thread = new Thread(new ThreadStart(this.createOptimizedGenomes_go));
			//			thread.IsBackground = true;
			//			thread.Start();

			this.geneticOptimizer.Run(false);

			this.signedTickersFromLastOptimization =
				(string[])this.geneticOptimizer.BestGenome.Meaning;
       
		}
		public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
			if ( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
				DayOfWeek.Friday )
				// current day is Friday
			{
				Console.WriteLine(
					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.ToString() +
					" - " + DateTime.Now.ToString() );
				oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
			}
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest RunWalkForwardLinearCombination.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv304

Added Files:
	RunWalkForwardLinearCombination.cs 
Log Message:
Walk Forward test for the linear combination strategy

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

RunWalkForwardLinearCombination.cs
Copyright (C) 2003 
Glauco Siliprandi

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;
using System.Collections;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;


namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Walk Forward test for the linear combination strategy
	/// </summary>
	public class RunWalkForwardLinearCombination
	{
		private string tickerGroupID;
		private int numDaysForInSampleOptimization;
		private int numberOfEligibleTickers;
		private int numberOfTickersToBeChosen;
		private int numDaysForLiquidity;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDate;
		private DateTime lastDate;
		private double targetReturn;
		private PortfolioType portfolioType;

		private bool openToCloseDaily;

		private IHistoricalQuoteProvider historicalQuoteProvider;
		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
		private Account account;
		private IEndOfDayStrategy endOfDayStrategy;

		public RunWalkForwardLinearCombination(string tickerGroupID,
			int numDaysForInSampleOptimization ,
			int numberOfEligibleTickers, 
			int numberOfTickersToBeChosen, int numDaysForLiquidity, 
			int generationNumberForGeneticOptimizer,
			int populationSizeForGeneticOptimizer, string benchmark,
			DateTime firstDate, DateTime lastDate, double targetReturn,
			PortfolioType portfolioType ,
			bool openToCloseDaily )
		{
			this.tickerGroupID = tickerGroupID;
			this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			this.numDaysForLiquidity = numDaysForLiquidity;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer =
				populationSizeForGeneticOptimizer;
			this.benchmark = benchmark;
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.targetReturn = targetReturn;
			this.portfolioType = portfolioType;
			this.openToCloseDaily = openToCloseDaily;
		}

		private void oneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >=
				this.lastDate )
				this.account.EndOfDayTimer.Stop();
		}

		private void run_setHistoricalQuoteProvider()
		{
			if ( this.openToCloseDaily )
				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
			else
				this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
		}
		private void run_setStrategy()
		{
			if ( this.openToCloseDaily )
				this.endOfDayStrategy =
					new WalkForwardOpenToCloseDailyStrategy(
					this.account , this.tickerGroupID ,
					this.numDaysForInSampleOptimization ,
					this.numberOfEligibleTickers ,
					this.numberOfTickersToBeChosen ,
					this.benchmark , this.targetReturn , this.portfolioType ,
					this.populationSizeForGeneticOptimizer ,
					this.generationNumberForGeneticOptimizer );
//			else
//				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
//					this.account , this.signedTickers );
		}
		public void Run()
		{
			this.historicalEndOfDayTimer =
				new IndexBasedEndOfDayTimer(
				new EndOfDayDateTime( this.firstDate ,
				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
			run_setHistoricalQuoteProvider();
			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) );
			run_setStrategy();
//			OneRank oneRank = new OneRank( account ,
//				this.endDateTime );
			this.historicalEndOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler(
				this.endOfDayStrategy.MarketOpenEventHandler );
			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.oneHourAfterMarketCloseEventHandler );
			this.account.EndOfDayTimer.Start();

			Report report = new Report( this.account , this.historicalQuoteProvider );
			report.Create( "Linear Combination" , 1 ,
				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
				"^SPX" );
			//			ObjectArchiver.Archive( report.AccountReport ,
			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
			report.Show();
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv32476/WalkForwardTest

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28434/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs 
Log Message:
The genomeRepresentation is passed as a parameter, now

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** TestDisplayer.cs	2 Aug 2005 23:10:35 -0000	1.4
--- TestDisplayer.cs	10 Aug 2005 16:53:45 -0000	1.5
***************
*** 223,227 ****
  			LinearCombinationTest linearCombinationTest =
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
! 				this.dtpLastDate.Value , signedTickers ,
  				this.radioButtonOpenToCloseDaily.Checked );
  			linearCombinationTest.Run();
--- 223,227 ----
  			LinearCombinationTest linearCombinationTest =
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
! 				this.dtpLastDate.Value , genomeRepresentation ,
  				this.radioButtonOpenToCloseDaily.Checked );
  			linearCombinationTest.Run();

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombinationTest.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27983/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	LinearCombinationTest.cs 
Log Message:
- added an informative title (to be compacted, yet)
- the genomeRepresentation is passed as a parameter, now

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** LinearCombinationTest.cs	2 Aug 2005 23:12:59 -0000	1.2
--- LinearCombinationTest.cs	10 Aug 2005 16:51:31 -0000	1.3
***************
*** 43,47 ****
  		private DateTime firstDate;
  		private DateTime lastDate;
! 		private string[] signedTickers;
  		private bool openToCloseDaily;
  
--- 43,47 ----
  		private DateTime firstDate;
  		private DateTime lastDate;
! 		private GenomeRepresentation genomeRepresentation;
  		private bool openToCloseDaily;
  
***************
*** 52,60 ****
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			string[] signedTickers , bool openToCloseDaily )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
! 			this.signedTickers = signedTickers;
  			this.openToCloseDaily = openToCloseDaily;
  		}
--- 52,60 ----
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation genomeRepresentation , bool openToCloseDaily )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
! 			this.genomeRepresentation = genomeRepresentation;
  			this.openToCloseDaily = openToCloseDaily;
  		}
***************
*** 77,86 ****
  		private void run_setStrategy()
  		{
  			if ( this.openToCloseDaily )
  				this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					this.account , this.signedTickers );
  			else
  				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
! 					this.account , this.signedTickers );
  		}
  		public void Run()
--- 77,107 ----
  		private void run_setStrategy()
  		{
+ 			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
+ 				this.genomeRepresentation.SignedTickers );
  			if ( this.openToCloseDaily )
  				this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					this.account , signedTickers );
  			else
  				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
! 					this.account , signedTickers );
! 		}
! 		private string getDateString( DateTime dateTime )
! 		{
! 			string returnValue = dateTime.ToString( "yy-MM-dd" );
! 			return returnValue;
! 		}
! 		private string run_getReportTitle()
! 		{
! 			string returnValue = "Fitness:" +
! 				this.genomeRepresentation.Fitness.ToString() +
! 				" | Tickers:" +
! 				this.genomeRepresentation.SignedTickers  + " - " +
! 				"from " + this.getDateString( this.firstDate ) +
! 				" to " + this.getDateString( this.lastDate ) +
! 				" opt. in sample from " + this.getDateString(
! 				this.genomeRepresentation.FirstOptimizationDate ) +
! 				" to " + this.getDateString(
! 				this.genomeRepresentation.LastOptimizationDate );
! 			return returnValue;
  		}
  		public void Run()
***************
*** 97,102 ****
  				this.historicalQuoteProvider ) );
  			run_setStrategy();
! //			OneRank oneRank = new OneRank( account ,
! //				this.endDateTime );
  			this.historicalEndOfDayTimer.MarketOpen +=
  				new MarketOpenEventHandler(
--- 118,123 ----
  				this.historicalQuoteProvider ) );
  			run_setStrategy();
! 			//			OneRank oneRank = new OneRank( account ,
! 			//				this.endDateTime );
  			this.historicalEndOfDayTimer.MarketOpen +=
  				new MarketOpenEventHandler(
***************
*** 116,119 ****
--- 137,141 ----
  			//			ObjectArchiver.Archive( report.AccountReport ,
  			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
+ 			report.Text = this.run_getReportTitle();
  			report.Show();
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination MainForm.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27494/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	MainForm.cs 
Log Message:
TestDisplayer is not modal anymore.

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** MainForm.cs	29 Jul 2005 13:39:35 -0000	1.4
--- MainForm.cs	10 Aug 2005 16:49:20 -0000	1.5
***************
*** 224,231 ****
  		{
  			this.bestGenomes = new ArrayList();
- 			DataTable setOfTickersToBeOptimized =
- 				this.getSetOfTickersToBeOptimized_quickly();
  //			DataTable setOfTickersToBeOptimized =
! //				this.getSetOfTickersToBeOptimized();
  			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
  				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
--- 224,231 ----
  		{
  			this.bestGenomes = new ArrayList();
  //			DataTable setOfTickersToBeOptimized =
! //				this.getSetOfTickersToBeOptimized_quickly();
! 			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized();
  			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
  				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
***************
*** 276,280 ****
  			TestDisplayer testDisplayer = new TestDisplayer(
  				this.firstDate , this.lastDate , this.bestGenomes );
! 			testDisplayer.ShowDialog();
  		}
  		private void testOptimizedGenomes()
--- 276,281 ----
  			TestDisplayer testDisplayer = new TestDisplayer(
  				this.firstDate , this.lastDate , this.bestGenomes );
! 			this.bestGenomes = null;
! 			testDisplayer.Show();
  		}
  		private void testOptimizedGenomes()

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.17,1.18

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27234/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Now, an exception is thrown if setOfInitialTickers is empty.

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** GenomeManagerForEfficientPortfolio.cs	8 Aug 2005 19:15:40 -0000	1.17
--- GenomeManagerForEfficientPortfolio.cs	10 Aug 2005 16:47:59 -0000	1.18
***************
*** 118,121 ****
--- 118,123 ----
      {
   			this.setOfTickers = setOfInitialTickers;
+ 			if ( setOfInitialTickers.Rows.Count == 0 )
+ 				throw new Exception( "setOfInitialTickers cannot be empty!" );
        this.originalNumOfTickers = setOfInitialTickers.Rows.Count;
        this.firstQuoteDate = firstQuoteDate;

[Quantproject-developers] QuantProject/b2_DataAccess DataBaseLocator.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26935/b2_DataAccess

Modified Files:
	DataBaseLocator.cs 
Log Message:
We are a bit lazy... but finally, the bug has been fixed :-)
Now the database location is not asked if it is not needed !!!

Index: DataBaseLocator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataBaseLocator.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** DataBaseLocator.cs	24 Jun 2005 22:35:56 -0000	1.3
--- DataBaseLocator.cs	10 Aug 2005 16:46:59 -0000	1.4
***************
*** 45,49 ****
  				this.dataBaseType = fileExtension;
  				//it looks for the file in the application directory
! 				if (!File.Exists("DataBase.xml"))
  					createXmlFile();
  						
--- 45,53 ----
  				this.dataBaseType = fileExtension;
  				//it looks for the file in the application directory
! //				if (!File.Exists("DataBase.xml"))
! 				string xmlPath = Application.ExecutablePath.Substring(0,
! 					Application.ExecutablePath.LastIndexOf('\\') )
! 					+ @"\DataBase.xml";
! 				if (!File.Exists( xmlPath ))
  					createXmlFile();
  						

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.35,1.36

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26470/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
- WalkForwardTesting\LinearCombination\WalkForwardTest\RunWalkForwardLinearCombination.cs has been added
- WalkForwardTesting\LinearCombination\WalkForwardTest\WalkForwardOpenToCloseDailyStrategy.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.35
retrieving revision 1.36
diff -C2 -d -r1.35 -r1.36
*** b7_Scripts.csproj	2 Aug 2005 23:06:22 -0000	1.35
--- b7_Scripts.csproj	10 Aug 2005 16:44:50 -0000	1.36
***************
*** 319,322 ****
--- 319,332 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\LinearCombination\WalkForwardTest\RunWalkForwardLinearCombination.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\WalkForwardTest\WalkForwardOpenToCloseDailyStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business Business.prjx,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20612/b4_Business

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

Index: Business.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business.prjx,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** Business.prjx	24 Jun 2005 22:54:50 -0000	1.4
--- Business.prjx	8 Aug 2005 19:16:17 -0000	1.5
***************
*** 91,94 ****
--- 91,95 ----
      <File name=".\a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\IntegerSummaryRow.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\PercentageSummaryRow.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\a2_Strategies\IEndOfDayStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20612/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 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Scripts.prjx	3 Aug 2005 18:59:58 -0000	1.9
--- Scripts.prjx	8 Aug 2005 19:16:17 -0000	1.10
***************
*** 48,51 ****
--- 48,53 ----
      <File name=".\TickerSelectionTesting\RunEfficientCTCWeeklyPortfolio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\TickerSelectionTesting\GenomeManipulator.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\OpenToCloseWeeklyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\OpenToCloseDailyStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.16,1.17 GenomeManipulator.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20455/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs GenomeManipulator.cs 
Log Message:
GetNewGeneValue and Mutate have been modified.
Added new method to GenomeManipulator.

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** GenomeManagerForEfficientPortfolio.cs	7 Aug 2005 22:37:28 -0000	1.16
--- GenomeManagerForEfficientPortfolio.cs	8 Aug 2005 19:15:40 -0000	1.17
***************
*** 230,236 ****
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
!       while(genome.HasGene(returnValue) ||
!             ( returnValue<0 && genome.HasGene(Math.Abs(returnValue) - 1 ) )||
!             (returnValue>0 && genome.HasGene(- Math.Abs(returnValue) - 1)) )
        //the portfolio can't have a long position and a short one for the same ticker
        {
--- 230,235 ----
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
!       while(GenomeManipulator.IsTickerContainedInGenome(returnValue,
!                                                         genome) )
        //the portfolio can't have a long position and a short one for the same ticker
        {
***************
*** 249,255 ****
                                                                    genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
!       while(genome.HasGene(returnValue) ||
!             ( returnValue<0 && genome.HasGene(Math.Abs(returnValue) - 1 ) )||
!             (returnValue>0 && genome.HasGene(- Math.Abs(returnValue) - 1)) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position
--- 248,253 ----
                                                                    genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
!       while(GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
!                                                         genome)  )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position

Index: GenomeManipulator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManipulator.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManipulator.cs	7 Aug 2005 08:20:53 -0000	1.4
--- GenomeManipulator.cs	8 Aug 2005 19:15:41 -0000	1.5
***************
*** 217,220 ****
--- 217,239 ----
        return childs;
      }
+ 		
+     /// <summary>
+ 		/// Returns true if a given gene, when decoded by the
+ 		/// GenomeManagerForEfficientPortfolio, refers to a
+ 		/// ticker already contained in a given genome 
+ 		/// </summary> 
+ 		/// <param name="geneCorrespondingToATicker">Gene, corresponding to a certain ticker, that has to be checked</param>
+     /// <param name="genome">Genome containing or not the ticker geneCorrespondingToATicker refers to</param>
+     public static bool IsTickerContainedInGenome(int geneCorrespondingToATicker,
+                                                  Genome genome)
+     {
+       return(
+     		genome.HasGene(geneCorrespondingToATicker) ||
+         	(geneCorrespondingToATicker<0 && 
+           	genome.HasGene(Math.Abs(geneCorrespondingToATicker)-1)) ||
+         	(geneCorrespondingToATicker>0 && genome.HasGene(- Math.Abs(geneCorrespondingToATicker)- 1))
+       );
+       
+     }
  
  	}

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv5555/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Fixed bugs in GetNewGeneValue and Mutate methods

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** GenomeManagerForEfficientPortfolio.cs	31 Jul 2005 20:03:31 -0000	1.15
--- GenomeManagerForEfficientPortfolio.cs	7 Aug 2005 22:37:28 -0000	1.16
***************
*** 231,236 ****
                                                                genome.MaxValueForGenes + 1);
        while(genome.HasGene(returnValue) ||
!             genome.HasGene(Math.Abs(returnValue) - 1 ) ||
!             genome.HasGene(- Math.Abs(returnValue) - 1) )
        //the portfolio can't have a long position and a short one for the same ticker
        {
--- 231,236 ----
                                                                genome.MaxValueForGenes + 1);
        while(genome.HasGene(returnValue) ||
!             ( returnValue<0 && genome.HasGene(Math.Abs(returnValue) - 1 ) )||
!             (returnValue>0 && genome.HasGene(- Math.Abs(returnValue) - 1)) )
        //the portfolio can't have a long position and a short one for the same ticker
        {
***************
*** 249,255 ****
                                                                    genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
!       while(genome.HasGene(newValueForGene) || 
!             genome.HasGene(Math.Abs(newValueForGene) - 1 ) ||
!             genome.HasGene(- Math.Abs(newValueForGene) - 1) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position
--- 249,255 ----
                                                                    genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
!       while(genome.HasGene(returnValue) ||
!             ( returnValue<0 && genome.HasGene(Math.Abs(returnValue) - 1 ) )||
!             (returnValue>0 && genome.HasGene(- Math.Abs(returnValue) - 1)) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeManagement.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18128/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeManagement.cs 
Log Message:
Code has been simplified and a bug has been fixed in setMaskForChildsForMixingWithoutDuplicates (method used by MixGenesWithoutDuplicates)

Index: GenomeManagement.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagement.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** GenomeManagement.cs	31 Jul 2005 19:53:44 -0000	1.6
--- GenomeManagement.cs	7 Aug 2005 08:20:53 -0000	1.7
***************
*** 56,68 ****
      }
  
-     private static void assignFitnessAndMeaningToChilds()
-     {
-       foreach(Genome child in childs)
-       {
-         child.AssignMeaning();
-         child.CalculateFitness();
-       }
-     }
-     
      private static void setChildsUsingMaskForChilds(Genome parent1,
        Genome parent2)
--- 56,59 ----
***************
*** 114,118 ****
  				}
  			}
- 			GenomeManagement.assignFitnessAndMeaningToChilds();
        return GenomeManagement.childs;
  		}
--- 105,108 ----

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManipulator.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18128/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManipulator.cs 
Log Message:
Code has been simplified and a bug has been fixed in setMaskForChildsForMixingWithoutDuplicates (method used by MixGenesWithoutDuplicates)

Index: GenomeManipulator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManipulator.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManipulator.cs	3 Aug 2005 23:12:25 -0000	1.3
--- GenomeManipulator.cs	7 Aug 2005 08:20:53 -0000	1.4
***************
*** 86,90 ****
        return returnValue;
      }
!     
      private static void setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
  		                                                           
--- 86,90 ----
        return returnValue;
      }
!     /*old
      private static void setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
  		                                                           
***************
*** 119,123 ****
        }
      }
! 		
      private static void setChildsUsingMaskForChilds(Genome parent1,
  		                                                Genome parent2)
--- 119,154 ----
        }
      }
! 		*/
!     private static void setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
! 		                                                           
!     {
!       int[] genePlacesOfParent1NotPresentInParent2 = 
!         genePositionsOfParent1NotPresentInParent2(parent1, parent2);
!       int[] genePlacesOfParent2NotPresentInParent1 = 
!         genePositionsOfParent1NotPresentInParent2(parent2, parent1);
!       bool justExchangedAtPreviousPosition = false;
!       for(int i = 0;i<parent1.Size;i++)
!       {
!         if(!justExchangedAtPreviousPosition)
!           //exchanges between genes of parents in childs
!           //must follow an alternate pattern, in order to
!           //avoid plain copy of parents in childs when all genes
!           //of the first parent are not in the second one (and viceversa)
!         {  
!           if(genePlacesOfParent2NotPresentInParent1[i]!= - 1)
!           {
!             maskForChilds[0, i] = 2;
!             justExchangedAtPreviousPosition = true;
!           }
!           if(genePlacesOfParent1NotPresentInParent2[i]!= - 1)
!           {
!             maskForChilds[1, i] = 1;
!             justExchangedAtPreviousPosition = true;
!           }
!         }
!         else
!           justExchangedAtPreviousPosition = false;
!       }
!     }
      private static void setChildsUsingMaskForChilds(Genome parent1,
  		                                                Genome parent2)

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManipulator.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16620/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManipulator.cs 
Log Message:
MixGenesWithoutDuplicates is now "stronger": exchange of genes occurs (if possible) in next gene position, if it hasn't in previous.

Index: GenomeManipulator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManipulator.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManipulator.cs	3 Aug 2005 18:59:19 -0000	1.2
--- GenomeManipulator.cs	3 Aug 2005 23:12:25 -0000	1.3
***************
*** 31,35 ****
  	/// <summary>
  	/// Class providing static methods for manipulating Genomes
! 	/// (used by th IGenomeManagerForEfficientPortfolio)
  	/// </summary>
  	[Serializable]
--- 31,35 ----
  	/// <summary>
  	/// Class providing static methods for manipulating Genomes
! 	/// (used by IGenomeManagerForEfficientPortfolio)
  	/// </summary>
  	[Serializable]
***************
*** 51,58 ****
      {
        genomeSize = parent1.Size;
!       childs[0] = parent1.Clone();
!       childs[1] = parent2.Clone();
!       //the two childs now points to their parents,
!       //and so do maskForChilds
        maskForChilds = new int[childs.Length, genomeSize];
        for(int i = 0; i<genomeSize; i++)
--- 51,56 ----
      {
        genomeSize = parent1.Size;
!       childs[0]=parent1.Clone();
!       childs[1]=parent2.Clone();
        maskForChilds = new int[childs.Length, genomeSize];
        for(int i = 0; i<genomeSize; i++)
***************
*** 61,131 ****
        	maskForChilds[1,i]=2;
        }
      }
  
-     private static void assignFitnessAndMeaningToChilds()
-     {
-       foreach(Genome child in childs)
-       {
-         child.AssignMeaning();
-         child.CalculateFitness();
-       }
-     }
- 
-     /*old
-     private static int firstGenePositionOfParent1NotPresentInParent2(Genome parent1,
-                                                                     Genome parent2)
-     {
-       int returnValue = -1;
-       for(int genePos = 0 ;
-           genePos < GenomeManipulator.genomeSize && returnValue == -1;
-           genePos++)
-       {
-       	int geneValue = parent1.GetGeneValue(genePos);
-       	if(geneValue >= 0)
-         {
-           if(!parent2.HasGene(geneValue) &&
-              !parent2.HasGene(-Math.Abs(geneValue) - 1))
-                returnValue = genePos;
-         }
-         else
-         {
-           if(!parent2.HasGene(geneValue) &&
-              !parent2.HasGene(Math.Abs(geneValue) - 1))
-                returnValue = genePos;
-         }
-       }    
-       return returnValue;
-     }
-     */
- 		/* old	
-     private static bool setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
- 		                                                           
- 		{
- 			bool returnValue = false;
-       int firstGenePosOfParent1NotPresentInParent2 = 
-         firstGenePositionOfParent1NotPresentInParent2(parent1, parent2);
-       int firstGenePosOfParent2NotPresentInParent1 = 
-         firstGenePositionOfParent1NotPresentInParent2(parent2, parent1);
-       if(firstGenePosOfParent1NotPresentInParent2 > -1 &&
-          firstGenePosOfParent2NotPresentInParent1 > -1 )
-         //there is at least a gene in parent1 not present in parent2 and viceversa
-       {
-           for(int genePos = 0 ; genePos < GenomeManipulator.genomeSize ; genePos++)
-           {
-             if(genePos == firstGenePosOfParent1NotPresentInParent2)
-                 maskForChilds[0, genePos] = 1;
-             else
-                 maskForChilds[0, genePos] = 2;
-             
-             if(genePos == firstGenePosOfParent2NotPresentInParent1)
-               maskForChilds[1, genePos] = 2;
-             else
-               maskForChilds[1, genePos] = 1;
-           }
-           returnValue = true;
-       }
-       return returnValue;
- 		}
-     */
      private static int[] genePositionsOfParent1NotPresentInParent2(Genome parent1,
                                                                     Genome parent2)
--- 59,66 ----
        	maskForChilds[1,i]=2;
        }
+       //maskForChilds has been set in order to re-create
+       //a copy of parents by using setChildsUsingMaskForChilds()
      }
  
      private static int[] genePositionsOfParent1NotPresentInParent2(Genome parent1,
                                                                     Genome parent2)
***************
*** 159,166 ****
        int[] genePlacesOfParent2NotPresentInParent1 = 
          genePositionsOfParent1NotPresentInParent2(parent2, parent1);
        for(int i = 0;i<parent1.Size;i++)
        {
!         if(i%2 == 0)
!         //genes are ex-changed only at even positions
          {  
          	if(genePlacesOfParent2NotPresentInParent1[i]!= - 1)
--- 94,104 ----
        int[] genePlacesOfParent2NotPresentInParent1 = 
          genePositionsOfParent1NotPresentInParent2(parent2, parent1);
+       bool justExchangedAtPreviousPosition = false;
        for(int i = 0;i<parent1.Size;i++)
        {
!         if(!justExchangedAtPreviousPosition)
!         //exchanges between genes of parents in childs
!         //must follow an alternate pattern, in order to
!         //avoid plain copy of parents in childs
          {  
          	if(genePlacesOfParent2NotPresentInParent1[i]!= - 1)
***************
*** 168,171 ****
--- 106,110 ----
          		maskForChilds[0, i] = 2;//the change between genes
          		maskForChilds[1, i] = 1;//creates a child different from parents
+             justExchangedAtPreviousPosition = true;
          	}
          	else if(genePlacesOfParent1NotPresentInParent2[i]!= - 1) //see 1st if
***************
*** 173,178 ****
--- 112,120 ----
          		maskForChilds[0, i] = 1;
          		maskForChilds[1, i] = 2;
+             justExchangedAtPreviousPosition = true;
          	}
          }
+         else
+           justExchangedAtPreviousPosition = false;
        }
      }

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15585/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Calculation of fitness and assigning of meaning now are not called for genomes that have been cloned and not changed by mutation process.

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** GeneticOptimizer.cs	31 Jul 2005 20:03:31 -0000	1.9
--- GeneticOptimizer.cs	3 Aug 2005 23:08:33 -0000	1.10
***************
*** 481,485 ****
        foreach(Genome g in populationOfGenomes)
        {
!         if(g != null)
             this.genomeManager.Mutate(g, this.MutationRate);
        }
--- 481,485 ----
        foreach(Genome g in populationOfGenomes)
        {
!         //if(g != null)
             this.genomeManager.Mutate(g, this.MutationRate);
        }
***************
*** 491,495 ****
        foreach(Genome g in populationOfGenomes)
        {
!         if(g != null)
          {
            g.CalculateFitness();
--- 491,498 ----
        foreach(Genome g in populationOfGenomes)
        {
!         if(!g.HasBeenCloned || g.HasBeenChanged)
!         //if it has been cloned and it has not been changed,
!         //it's useless 
!         //to calculate again fitness and meaning
          {
            g.CalculateFitness();

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic Genome.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14556/b1_ADT/Optimizing/Genetic

Modified Files:
	Genome.cs 
Log Message:
Added HasBeenCloned and HasBeenChanged properties to the class.

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Genome.cs	1 Aug 2005 22:26:32 -0000	1.6
--- Genome.cs	3 Aug 2005 23:05:23 -0000	1.7
***************
*** 40,46 ****
      private double fitness;
      private object meaning;
! 
      IGenomeManager genomeManager;
  		
      public double Fitness
      {
--- 40,63 ----
      private double fitness;
      private object meaning;
!     private bool hasBeenCloned;
!     private bool hasBeenChanged;
!     
      IGenomeManager genomeManager;
  		
+     public bool HasBeenCloned
+     {
+       get{return this.hasBeenCloned;}
+       //set{this.hasBeenCloned = value;}
+     }
+     
+     /// <summary>
+     /// Returns true if a gene has been set
+     /// by calling SetGeneValue
+     /// </summary>
+     public bool HasBeenChanged
+     {
+       get{return this.hasBeenChanged;}
+     }
+     
      public double Fitness
      {
***************
*** 120,123 ****
--- 137,141 ----
        returnValue.Fitness = this.Fitness;
        returnValue.Meaning = this.Meaning;
+       returnValue.hasBeenCloned = true;
        
        return returnValue;
***************
*** 141,144 ****
--- 159,163 ----
        
        this.genes[genePosition] = geneValue;
+       this.hasBeenChanged = true;
      }