quantproject-developers

[Quantproject-developers] QuantProject/b3_Data Data.prjx,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13545/b3_Data

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

Index: Data.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data.prjx,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** Data.prjx	24 Jun 2005 22:54:50 -0000	1.7
--- Data.prjx	3 Aug 2005 18:59:57 -0000	1.8
***************
*** 38,41 ****
--- 38,42 ----
      <File name=".\DataProviders\Caching\CachePage.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\DataProviders\Caching\MissingQuoteException.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\Selectors\SelectorByGroup.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13545/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 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Scripts.prjx	27 Jul 2005 22:37:14 -0000	1.8
--- Scripts.prjx	3 Aug 2005 18:59:58 -0000	1.9
***************
*** 47,50 ****
--- 47,51 ----
      <File name=".\TickerSelectionTesting\EndOfDayTimerHandlerCTCWeekly.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\TickerSelectionTesting\RunEfficientCTCWeeklyPortfolio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\GenomeManipulator.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManipulator.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13377/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManipulator.cs 
Log Message:
MixGenesWithoutDuplicates has been definitively fixed (I hope ...).
Now, a complete crossover (with an alternate fixed pattern) takes place when all parents' genes are different.
A partial crossover (or no crossover at all, if parents are equal) takes place if some genes are duplicated.

Index: GenomeManipulator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManipulator.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManipulator.cs	31 Jul 2005 19:53:44 -0000	1.1
--- GenomeManipulator.cs	3 Aug 2005 18:59:19 -0000	1.2
***************
*** 53,58 ****
        childs[0] = parent1.Clone();
        childs[1] = parent2.Clone();
!       //the two childs now points to their parents
        maskForChilds = new int[childs.Length, genomeSize];
      }
  
--- 53,64 ----
        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++)
+       {
+       	maskForChilds[0,i]=1;
+       	maskForChilds[1,i]=2;
+       }
      }
  
***************
*** 146,181 ****
      }
      
!     private static bool setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
  		                                                           
      {
-       bool returnValue = false;
        int[] genePlacesOfParent1NotPresentInParent2 = 
          genePositionsOfParent1NotPresentInParent2(parent1, parent2);
        int[] genePlacesOfParent2NotPresentInParent1 = 
          genePositionsOfParent1NotPresentInParent2(parent2, parent1);
!       for(int i = 0; i<genePlacesOfParent1NotPresentInParent2.Length; i++)
        {
!         for(int genePos = 0 ; genePos < GenomeManipulator.genomeSize ; genePos++)
!         {
!           if(genePos == genePlacesOfParent1NotPresentInParent2[i])
!           {  
!             maskForChilds[0, genePos] = 1;
!             returnValue = true;
!           }
!           else
!             maskForChilds[0, genePos] = 2;
!             
!           if(genePos == genePlacesOfParent2NotPresentInParent1[i])
!           {
!             maskForChilds[1, genePos] = 2;
!             returnValue = true;
!           }
!           else
!             maskForChilds[1, genePos] = 1;
          }
        }
-       return returnValue;
      }
! 		private static void setChildsUsingMaskForChilds(Genome parent1,
  		                                                Genome parent2)
  		{
--- 152,182 ----
      }
      
!     private static void setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
  		                                                           
      {
        int[] genePlacesOfParent1NotPresentInParent2 = 
          genePositionsOfParent1NotPresentInParent2(parent1, parent2);
        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)
!         	{
!         		maskForChilds[0, i] = 2;//the change between genes
!         		maskForChilds[1, i] = 1;//creates a child different from parents
!         	}
!         	else if(genePlacesOfParent1NotPresentInParent2[i]!= - 1) //see 1st if
!         	{
!         		maskForChilds[0, i] = 1;
!         		maskForChilds[1, i] = 2;
!         	}
          }
        }
      }
! 		
!     private static void setChildsUsingMaskForChilds(Genome parent1,
  		                                                Genome parent2)
  		{
***************
*** 238,243 ****
  				throw new Exception("Genomes must have the same size!");	
        
!       if(setMaskForChildsForMixingWithoutDuplicates(parent1, parent2))
!      	  setChildsUsingMaskForChilds(parent1, parent2);
        //throwExcIfAChildHasDuplicateGenes(); //just for debugging purposes
        return childs;
--- 239,244 ----
  				throw new Exception("Genomes must have the same size!");	
        
!       setMaskForChildsForMixingWithoutDuplicates(parent1, parent2);
!       setChildsUsingMaskForChilds(parent1, parent2);
        //throwExcIfAChildHasDuplicateGenes(); //just for debugging purposes
        return childs;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,1.12,1.13 RunTestOptimizedCTCPortfolio.cs,1.5,1.6 RunTestOptimizedCTOPortfolio.cs,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12281/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientPortfolio.cs RunTestOptimizedCTCPortfolio.cs 
	RunTestOptimizedCTOPortfolio.cs 
Log Message:
Restored previous code: OptimizationOutput has been deleted from Account. SaveGenomes MenuItem has been deleted from Report. RunEfficientPortfolio now archives Genomes as previously. 


Index: RunTestOptimizedCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTOPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** RunTestOptimizedCTOPortfolio.cs	1 Aug 2005 22:31:48 -0000	1.7
--- RunTestOptimizedCTOPortfolio.cs	3 Aug 2005 18:55:11 -0000	1.8
***************
*** 110,116 ****
        {
          this.endOfDayTimer.Stop();
-         this.account.OptimizationOutput = (object) new OptimizationOutput(this.startDateTime.DateTime,
-                                           this.endDateTime.DateTime,
-                                           this.endOfDayTimerHandler.BestGenomes); 
        }
  
--- 110,113 ----

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** RunEfficientPortfolio.cs	1 Aug 2005 22:31:48 -0000	1.12
--- RunEfficientPortfolio.cs	3 Aug 2005 18:55:11 -0000	1.13
***************
*** 244,254 ****
        //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       this.account.OptimizationOutput = (object) new OptimizationOutput(this.startDateTime.DateTime,
!                                                     this.endDateTime.DateTime,
!                                                     this.endOfDayTimerHandler.BestGenomes);
!       ObjectArchiver.Archive((OptimizationOutput)this.account.OptimizationOutput,
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");
-       //this.account.BestGenomes = this.endOfDayTimerHandler.BestGenomes;
        this.endOfDayTimer.Stop();
         
--- 244,252 ----
        //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!         ObjectArchiver.Archive(new OptimizationOutput(this.startDateTime.DateTime,
!                                                       this.endDateTime.DateTime,
!                                               this.endOfDayTimerHandler.BestGenomes),
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");
        this.endOfDayTimer.Stop();
         

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunTestOptimizedCTCPortfolio.cs	1 Aug 2005 22:31:48 -0000	1.5
--- RunTestOptimizedCTCPortfolio.cs	3 Aug 2005 18:55:11 -0000	1.6
***************
*** 119,125 ****
        {
          this.endOfDayTimer.Stop();
-         this.account.OptimizationOutput = (object) new OptimizationOutput(this.startDateTime.DateTime,
-                                                       this.endDateTime.DateTime,
-                                                       this.endOfDayTimerHandler.BestGenomes); 
        }
  
--- 119,122 ----

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.19,1.20

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12281/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
Restored previous code: OptimizationOutput has been deleted from Account. SaveGenomes MenuItem has been deleted from Report. RunEfficientPortfolio now archives Genomes as previously. 


Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** Account.cs	31 Jul 2005 20:10:28 -0000	1.19
--- Account.cs	3 Aug 2005 18:55:10 -0000	1.20
***************
*** 60,64 ****
  		private ArrayList activeOrders;
  		private AccountReport accountReport;
-     private object optimizationOutput = null;
  
      
--- 60,63 ----
***************
*** 94,107 ****
  			set { accountStrategy = value; }
  		}
!     /// <summary>
!     /// the object contain a representation of the 
!     /// optimization working of the script
!     /// </summary>
!     public object OptimizationOutput
!     {
!       get { return this.optimizationOutput; }
!       set { this.optimizationOutput = value; }
!     }
! 		
      public TransactionHistory Transactions = new TransactionHistory();
  
--- 93,97 ----
  			set { accountStrategy = value; }
  		}
!     
      public TransactionHistory Transactions = new TransactionHistory();
  

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12281/b5_Presentation/Reporting/WindowsForm

Modified Files:
	Report.cs 
Log Message:
Restored previous code: OptimizationOutput has been deleted from Account. SaveGenomes MenuItem has been deleted from Report. RunEfficientPortfolio now archives Genomes as previously. 


Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** Report.cs	1 Aug 2005 22:27:31 -0000	1.15
--- Report.cs	3 Aug 2005 18:55:10 -0000	1.16
***************
*** 47,51 ****
  		private System.Windows.Forms.MenuItem saveReport;
      private System.Windows.Forms.MenuItem saveTransactions;
-     private System.Windows.Forms.MenuItem saveGenomes;
      private SaveFileDialog saveFileDialog;
  
--- 47,50 ----
***************
*** 92,98 ****
        this.saveTransactions.Text = "Save Transactions";
  			
-       this.saveGenomes = new MenuItem();
-       this.saveGenomes.Text = "Save Genomes";
- 
  			this.file = new MenuItem();
  			this.file.Text = "File";
--- 91,94 ----
***************
*** 103,113 ****
  			                             {this.saveAccount,
  			                             	this.saveReport,
!                                     this.saveTransactions,
!                                     this.saveGenomes});
  			this.Menu = this.mainMenu;
  			this.saveAccount.Click += new System.EventHandler(this.saveAccount_Click);
  			this.saveReport.Click += new System.EventHandler(this.saveReport_Click);
  			this.saveTransactions.Click += new System.EventHandler(this.saveTransactions_Click);
- 		  this.saveGenomes.Click += new System.EventHandler(this.saveGenomes_Click);
  		}
  		
--- 99,107 ----
  			                             {this.saveAccount,
  			                             	this.saveReport,
!                                     this.saveTransactions});
  			this.Menu = this.mainMenu;
  			this.saveAccount.Click += new System.EventHandler(this.saveAccount_Click);
  			this.saveReport.Click += new System.EventHandler(this.saveReport_Click);
  			this.saveTransactions.Click += new System.EventHandler(this.saveTransactions_Click);
  		}
  		
***************
*** 177,181 ****
      }
  		
!     #region save account or report or transactions or genomes
      
      private void saveAccount_Click(object sender, System.EventArgs e)
--- 171,175 ----
      }
  		
!     #region save account or report or transactions
      
      private void saveAccount_Click(object sender, System.EventArgs e)
***************
*** 195,203 ****
      }
      
-     private void saveGenomes_Click(object sender, System.EventArgs e)
-     {
-       this.saveObject((MenuItem)sender);
-     }
-     
      private void saveObject_setSaveFileDialog(MenuItem sender)
      {
--- 189,192 ----
***************
*** 225,235 ****
          this.saveFileDialog.DefaultExt = "qPt";
        }
!       else if(sender.Text.EndsWith("Genomes"))
!         //else the text property of the menu item sender contains at the end
!         // the word "Genomes"; so it will be saved an OptimizationOutput
!         //containing a GenomeRepresentation
!       { 
!         this.saveFileDialog.DefaultExt = "bgn";
!       }
        this.saveFileDialog.AddExtension = true;
        this.saveFileDialog.CreatePrompt = true;
--- 214,218 ----
          this.saveFileDialog.DefaultExt = "qPt";
        }
!       
        this.saveFileDialog.AddExtension = true;
        this.saveFileDialog.CreatePrompt = true;
***************
*** 259,265 ****
          QuantProject.ADT.FileManaging.ObjectArchiver.Archive(this.account.Transactions,
            this.saveFileDialog.FileName);
-       else if(((SaveFileDialog)sender).Title.EndsWith("Genomes"))
-         QuantProject.ADT.FileManaging.ObjectArchiver.Archive(this.account.OptimizationOutput,
-                                                              this.saveFileDialog.FileName);
      }
  
--- 242,245 ----

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombinationTest.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-serv14944/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	LinearCombinationTest.cs 
Log Message:
- Added radio buttons to switch between daily and weekly strategy
- Bug fixed: HistoricalAdjustedQuoteProvider is used for weekly strategies, now

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearCombinationTest.cs	23 Jul 2005 17:57:01 -0000	1.1
--- LinearCombinationTest.cs	2 Aug 2005 23:12:59 -0000	1.2
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 43,107 ****
  		private DateTime lastDate;
  		private string[] signedTickers;
  
! 		private HistoricalRawQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			string[] signedTickers )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
  			this.signedTickers = signedTickers;
! 		}
! 		private long marketOpenEventHandler_addOrder_getQuantity(
! 			string ticker )
! 		{
! 			double accountValue = this.account.GetMarketValue();
! 			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
! 			double maxPositionValueForThisTicker =
! 				accountValue/this.signedTickers.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()
! 		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketOpenEventHandler_addOrder( signedTicker );
! 		}
! 		private 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 );
- 		}
- 		private void fiveMinutesBeforeMarketCloseEventHandler( Object sender ,
- 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
- 		{
- 			fiveMinutesBeforeMarketCloseEventHandler_closePositions();
- 		}
  		private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 44,63 ----
  		private DateTime lastDate;
  		private string[] signedTickers;
+ 		private bool openToCloseDaily;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
+ 		private IEndOfDayStrategy endOfDayStrategy;
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			string[] signedTickers , bool openToCloseDaily )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
  			this.signedTickers = signedTickers;
! 			this.openToCloseDaily = openToCloseDaily;
  		}
  
  		private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 112,115 ****
--- 68,87 ----
  		}
  
+ 		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 OpenToCloseDailyStrategy(
+ 					this.account , this.signedTickers );
+ 			else
+ 				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
+ 					this.account , this.signedTickers );
+ 		}
  		public void Run()
  		{
***************
*** 118,123 ****
  				new EndOfDayDateTime( this.firstDate ,
  				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
! 			this.historicalQuoteProvider =
! 				new HistoricalRawQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
--- 90,94 ----
  				new EndOfDayDateTime( this.firstDate ,
  				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
! 			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
***************
*** 125,136 ****
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
  				this.historicalQuoteProvider ) );
  //			OneRank oneRank = new OneRank( account ,
  //				this.endDateTime );
  			this.historicalEndOfDayTimer.MarketOpen +=
  				new MarketOpenEventHandler(
! 				this.marketOpenEventHandler );
  			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
  				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.fiveMinutesBeforeMarketCloseEventHandler );
  			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
  				new OneHourAfterMarketCloseEventHandler(
--- 96,108 ----
  				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(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14601/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs 
Log Message:
Added radio buttons to switch between daily and weekly strategy

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** TestDisplayer.cs	29 Jul 2005 13:32:34 -0000	1.3
--- TestDisplayer.cs	2 Aug 2005 23:10:35 -0000	1.4
***************
*** 46,49 ****
--- 46,51 ----
  		private ArrayList bestGenomes;
  		private System.Windows.Forms.Label label1;
+ 		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
+ 		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
  		private GenomeRepresentation lastSelectedGenomeRepresentation;
  
***************
*** 100,103 ****
--- 102,107 ----
  			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
  			this.label1 = new System.Windows.Forms.Label();
+ 			this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
+ 			this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
  			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
  			this.SuspendLayout();
***************
*** 108,114 ****
  			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
  			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(0, 117);
  			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(496, 224);
  			this.dgBestGenomes.TabIndex = 0;
  			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
--- 112,118 ----
  			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
  			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(0, 125);
  			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(520, 248);
  			this.dgBestGenomes.TabIndex = 0;
  			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
***************
*** 136,144 ****
  				"to preserve date displacements and backtest.";
  			// 
  			// TestDisplayer
  			// 
  			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(496, 341);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
  																																	this.label1,
  																																	this.dtpLastDate,
--- 140,168 ----
  				"to preserve date displacements and backtest.";
  			// 
+ 			// radioButtonOpenToCloseDaily
+ 			// 
+ 			this.radioButtonOpenToCloseDaily.Checked = true;
+ 			this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
+ 			this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
+ 			this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
+ 			this.radioButtonOpenToCloseDaily.TabIndex = 4;
+ 			this.radioButtonOpenToCloseDaily.TabStop = true;
+ 			this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
+ 			// 
+ 			// radioButtonOpenToCloseWeekly
+ 			// 
+ 			this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(224, 96);
+ 			this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
+ 			this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
+ 			this.radioButtonOpenToCloseWeekly.TabIndex = 5;
+ 			this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
+ 			// 
  			// TestDisplayer
  			// 
  			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(520, 373);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
+ 																																	this.radioButtonOpenToCloseWeekly,
+ 																																	this.radioButtonOpenToCloseDaily,
  																																	this.label1,
  																																	this.dtpLastDate,
***************
*** 199,203 ****
  			LinearCombinationTest linearCombinationTest =
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
! 				this.dtpLastDate.Value , signedTickers );
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentation = genomeRepresentation;
--- 223,228 ----
  			LinearCombinationTest linearCombinationTest =
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
! 				this.dtpLastDate.Value , signedTickers ,
! 				this.radioButtonOpenToCloseDaily.Checked );
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentation = genomeRepresentation;

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14144/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	OpenToCloseDailyStrategy.cs 
Log Message:
Open to close daily strategy

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

OpenToCloseDailyStrategy.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.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Open to close daily strategy
	/// </summary>
	[Serializable]
	public class OpenToCloseDailyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;

		public OpenToCloseDailyStrategy( Account account ,
			string[] signedTickers)
		{
			this.account = account;
			this.signedTickers = signedTickers;
		}
		private long marketOpenEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.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()
		{
			foreach ( string signedTicker in this.signedTickers )
				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)
		{
		}
		public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14045/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	OpenToCloseWeeklyStrategy.cs 
Log Message:
Open to close weekly strategy

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

OpenToCloseWeeklyStrategy.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.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Open to close weekly strategy
	/// </summary>
	[Serializable]
	public class OpenToCloseWeeklyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;

		public OpenToCloseWeeklyStrategy( Account account ,
			string[] signedTickers)
		{
			this.account = account;
			this.signedTickers = signedTickers;
		}
		private long marketOpenEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.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()
		{
			foreach ( string signedTicker in this.signedTickers )
				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 );
			if ( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
				DayOfWeek.Monday )
				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)
		{
			if ( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
				DayOfWeek.Friday )
				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
		}

		public void MarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
		public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.34,1.35

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13796/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
- WalkForwardTesting\LinearCombination\OpenToCloseDailyStrategy.cs has been added
- WalkForwardTesting\LinearCombination\OpenToCloseWeeklyStrategy.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.34
retrieving revision 1.35
diff -C2 -d -r1.34 -r1.35
*** b7_Scripts.csproj	31 Jul 2005 19:53:44 -0000	1.34
--- b7_Scripts.csproj	2 Aug 2005 23:06:22 -0000	1.35
***************
*** 284,287 ****
--- 284,297 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\LinearCombination\OpenToCloseDailyStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\OpenToCloseWeeklyStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\OptimizationOutput.cs"
                      SubType = "Code"
***************
*** 299,302 ****
--- 309,317 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\LinearCombination\TestDisplayer.resx"
+                     DependentUpon = "TestDisplayer.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\VisualObjectArchiver.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies IEndOfDayStrategy.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13519/b4_Business/a2_Strategies

Added Files:
	IEndOfDayStrategy.cs 
Log Message:
Interface to be implemented by end of day strategies

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

EndOfDayStrategy.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 QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Interface to be implemented by end of day strategies
	/// </summary>
	public interface IEndOfDayStrategy
	{
		void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs );
		void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs );
		void MarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs );
		void OneHourAfterMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs );
	}
}

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.25,1.26

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13403/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
a2_Strategies\IEndOfDayStrategy.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.25
retrieving revision 1.26
diff -C2 -d -r1.25 -r1.26
*** b4_Business.csproj	19 Jun 2005 15:29:10 -0000	1.25
--- b4_Business.csproj	2 Aug 2005 23:04:03 -0000	1.26
***************
*** 538,541 ****
--- 538,546 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\IEndOfDayStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\Signal.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b91_QuantProject app.config,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16912/b91_QuantProject

Modified Files:
	app.config 
Log Message:
Now also genomes are saved at the end of the script, in a directory specified in the app.config file. Minor bugs have been fixed, in addition.

Index: app.config
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/app.config,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** app.config	24 Jun 2005 22:54:51 -0000	1.3
--- app.config	1 Aug 2005 22:31:48 -0000	1.4
***************
*** 10,13 ****
--- 10,14 ----
  		<add key="ReportsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedReports\\" />
  		<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>
  

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.14,1.15 EndOfDayTimerHandlerCTC.cs,1.11,1.12 EndOfDayTimerHandlerCTO.cs,1.15,1.16 RunEfficientPortfolio.cs,1.11,1.12 RunTestOptimizedCTCPortfolio.cs,1.4,1.5 RunTestOptimizedCTOPortfolio.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16912/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTO.cs RunEfficientPortfolio.cs 
	RunTestOptimizedCTCPortfolio.cs 
	RunTestOptimizedCTOPortfolio.cs 
Log Message:
Now also genomes are saved at the end of the script, in a directory specified in the app.config file. Minor bugs have been fixed, in addition.

Index: RunTestOptimizedCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTOPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** RunTestOptimizedCTOPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.6
--- RunTestOptimizedCTOPortfolio.cs	1 Aug 2005 22:31:48 -0000	1.7
***************
*** 41,44 ****
--- 41,45 ----
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
+ using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  
  
***************
*** 109,112 ****
--- 110,116 ----
        {
          this.endOfDayTimer.Stop();
+         this.account.OptimizationOutput = (object) new OptimizationOutput(this.startDateTime.DateTime,
+                                           this.endDateTime.DateTime,
+                                           this.endOfDayTimerHandler.BestGenomes); 
        }
  

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** EndOfDayTimerHandler.cs	27 Jul 2005 22:30:55 -0000	1.14
--- EndOfDayTimerHandler.cs	1 Aug 2005 22:31:48 -0000	1.15
***************
*** 32,35 ****
--- 32,36 ----
  using QuantProject.Data.Selectors;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
***************
*** 66,70 ****
      
      protected PortfolioType portfolioType;
! 
      protected GenomeCounter genomeCounter;
      public GenomeCounter GenomeCounter
--- 67,71 ----
      
      protected PortfolioType portfolioType;
!     
      protected GenomeCounter genomeCounter;
      public GenomeCounter GenomeCounter
***************
*** 87,90 ****
--- 88,100 ----
      }
  		
+     /// <summary>
+     /// bestGenomes[ i ] contains an array list with the best genomes
+     /// for generation i
+     /// </summary>
+     protected ArrayList bestGenomes;
+     public ArrayList BestGenomes
+     {
+       get { return this.bestGenomes; }
+     }
      public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, Account account,
***************
*** 107,110 ****
--- 117,121 ----
        this.targetReturn = targetReturn;
        this.portfolioType = portfolioType;
+       
      }
  		
***************
*** 192,195 ****
--- 203,217 ----
      }
      
+     protected void addGenomeToBestGenomes(Genome genome,
+                                                   DateTime firstOptimizationDate,
+                                                   DateTime secondOptimizationDate)
+     {
+       if(this.bestGenomes == null)
+         this.bestGenomes = new ArrayList();
+       
+       this.bestGenomes.Add(new GenomeRepresentation(genome,
+                                                     firstOptimizationDate,
+                                                     secondOptimizationDate));
+     }
      
      public virtual void MarketOpenEventHandler(

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** RunEfficientPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.11
--- RunEfficientPortfolio.cs	1 Aug 2005 22:31:48 -0000	1.12
***************
*** 43,46 ****
--- 43,47 ----
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
+ using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  
  
***************
*** 225,228 ****
--- 226,231 ----
        string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
+       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
+                                         "\\" + this.ScriptName + "\\";
        //default report with numIntervalDays = 1
        AccountReport accountReport = this.account.CreateReport(fileName,1,
***************
*** 234,242 ****
                               dirNameWhereToSaveReports + 
                               fileName + ".qPr");
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
        ObjectArchiver.Archive(this.account.Transactions,
                               dirNameWhereToSaveTransactions +
                               fileName + ".qPt");
!       
        this.endOfDayTimer.Stop();
         
--- 237,254 ----
                               dirNameWhereToSaveReports + 
                               fileName + ".qPr");
+       //
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
        ObjectArchiver.Archive(this.account.Transactions,
                               dirNameWhereToSaveTransactions +
                               fileName + ".qPt");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       this.account.OptimizationOutput = (object) new OptimizationOutput(this.startDateTime.DateTime,
!                                                     this.endDateTime.DateTime,
!                                                     this.endOfDayTimerHandler.BestGenomes);
!       ObjectArchiver.Archive((OptimizationOutput)this.account.OptimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       //this.account.BestGenomes = this.endOfDayTimerHandler.BestGenomes;
        this.endOfDayTimer.Stop();
         

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** EndOfDayTimerHandlerCTC.cs	27 Jul 2005 22:30:55 -0000	1.11
--- EndOfDayTimerHandlerCTC.cs	1 Aug 2005 22:31:48 -0000	1.12
***************
*** 176,179 ****
--- 176,181 ----
          
          GO.Run(false);
+         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForLiquidity),
+                                     currentDate);
          this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** EndOfDayTimerHandlerCTO.cs	27 Jul 2005 22:30:55 -0000	1.15
--- EndOfDayTimerHandlerCTO.cs	1 Aug 2005 22:31:48 -0000	1.16
***************
*** 159,163 ****
          
          GO.Run(false);
!         
          this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }
--- 159,164 ----
          
          GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate);
          this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunTestOptimizedCTCPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.4
--- RunTestOptimizedCTCPortfolio.cs	1 Aug 2005 22:31:48 -0000	1.5
***************
*** 40,43 ****
--- 40,44 ----
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.ADT.FileManaging;
+ using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  
  
***************
*** 118,121 ****
--- 119,125 ----
        {
          this.endOfDayTimer.Stop();
+         this.account.OptimizationOutput = (object) new OptimizationOutput(this.startDateTime.DateTime,
+                                                       this.endDateTime.DateTime,
+                                                       this.endOfDayTimerHandler.BestGenomes); 
        }
  

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16034/b5_Presentation/Reporting/WindowsForm

Modified Files:
	Report.cs 
Log Message:
Added new menu item for saving genomes

Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** Report.cs	10 Jun 2005 18:45:44 -0000	1.14
--- Report.cs	1 Aug 2005 22:27:31 -0000	1.15
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Timing;
  
+ 
  namespace QuantProject.Presentation.Reporting.WindowsForm
  {
***************
*** 46,49 ****
--- 47,51 ----
  		private System.Windows.Forms.MenuItem saveReport;
      private System.Windows.Forms.MenuItem saveTransactions;
+     private System.Windows.Forms.MenuItem saveGenomes;
      private SaveFileDialog saveFileDialog;
  
***************
*** 90,93 ****
--- 92,98 ----
        this.saveTransactions.Text = "Save Transactions";
  			
+       this.saveGenomes = new MenuItem();
+       this.saveGenomes.Text = "Save Genomes";
+ 
  			this.file = new MenuItem();
  			this.file.Text = "File";
***************
*** 97,105 ****
  			this.file.MenuItems.AddRange(new MenuItem[] 
  			                             {this.saveAccount,
! 			                             	this.saveReport, this.saveTransactions});
  			this.Menu = this.mainMenu;
  			this.saveAccount.Click += new System.EventHandler(this.saveAccount_Click);
  			this.saveReport.Click += new System.EventHandler(this.saveReport_Click);
! 			this.saveTransactions.Click += new System.EventHandler(this.saveTransactions_Click);		
  		}
  		
--- 102,113 ----
  			this.file.MenuItems.AddRange(new MenuItem[] 
  			                             {this.saveAccount,
! 			                             	this.saveReport,
!                                     this.saveTransactions,
!                                     this.saveGenomes});
  			this.Menu = this.mainMenu;
  			this.saveAccount.Click += new System.EventHandler(this.saveAccount_Click);
  			this.saveReport.Click += new System.EventHandler(this.saveReport_Click);
! 			this.saveTransactions.Click += new System.EventHandler(this.saveTransactions_Click);
! 		  this.saveGenomes.Click += new System.EventHandler(this.saveGenomes_Click);
  		}
  		
***************
*** 169,173 ****
      }
  		
!     #region save account or report or transactions
      
      private void saveAccount_Click(object sender, System.EventArgs e)
--- 177,181 ----
      }
  		
!     #region save account or report or transactions or genomes
      
      private void saveAccount_Click(object sender, System.EventArgs e)
***************
*** 187,190 ****
--- 195,203 ----
      }
      
+     private void saveGenomes_Click(object sender, System.EventArgs e)
+     {
+       this.saveObject((MenuItem)sender);
+     }
+     
      private void saveObject_setSaveFileDialog(MenuItem sender)
      {
***************
*** 212,216 ****
          this.saveFileDialog.DefaultExt = "qPt";
        }
!       
        this.saveFileDialog.AddExtension = true;
        this.saveFileDialog.CreatePrompt = true;
--- 225,235 ----
          this.saveFileDialog.DefaultExt = "qPt";
        }
!       else if(sender.Text.EndsWith("Genomes"))
!         //else the text property of the menu item sender contains at the end
!         // the word "Genomes"; so it will be saved an OptimizationOutput
!         //containing a GenomeRepresentation
!       { 
!         this.saveFileDialog.DefaultExt = "bgn";
!       }
        this.saveFileDialog.AddExtension = true;
        this.saveFileDialog.CreatePrompt = true;
***************
*** 240,243 ****
--- 259,265 ----
          QuantProject.ADT.FileManaging.ObjectArchiver.Archive(this.account.Transactions,
            this.saveFileDialog.FileName);
+       else if(((SaveFileDialog)sender).Title.EndsWith("Genomes"))
+         QuantProject.ADT.FileManaging.ObjectArchiver.Archive(this.account.OptimizationOutput,
+                                                              this.saveFileDialog.FileName);
      }
  

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic Genome.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15811/b1_ADT/Optimizing/Genetic

Modified Files:
	Genome.cs 
Log Message:
Modified HasSomeDuplicateGenes method. 

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Genome.cs	13 Jul 2005 16:37:04 -0000	1.5
--- Genome.cs	1 Aug 2005 22:26:32 -0000	1.6
***************
*** 169,173 ****
  	  /// values in genes
  	  /// </summary>
!     public bool HasSomeDuplicateGenes(int constToDiscoverDuplicateGenes)
      {
        bool returnValue = false;
--- 169,173 ----
  	  /// values in genes
  	  /// </summary>
!     public bool HasSomeDuplicateGenes()
      {
        bool returnValue = false;
***************
*** 176,183 ****
          for(int j = i + 1; j < this.size ; j++)
          {
!           if(this.genes[i] == this.genes[j] ||
!         	 this.genes[i] + constToDiscoverDuplicateGenes == this.genes[j] ||
!         	 this.genes[i] == this.genes[j] + constToDiscoverDuplicateGenes)
!             
          		returnValue = true;
          }
--- 176,180 ----
          for(int j = i + 1; j < this.size ; j++)
          {
!           if(this.genes[i] == this.genes[j])            
          		returnValue = true;
          }
***************
*** 185,188 ****
--- 182,186 ----
        return returnValue;
      }
+     
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19178/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
Modified HasSomeDuplicateGenes method. 

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** Account.cs	19 Jun 2005 15:00:09 -0000	1.18
--- Account.cs	31 Jul 2005 20:10:28 -0000	1.19
***************
*** 60,64 ****
--- 60,66 ----
  		private ArrayList activeOrders;
  		private AccountReport accountReport;
+     private object optimizationOutput = null;
  
+     
  		public Portfolio Portfolio = new Portfolio();
  		//public AccountReport accountReport;
***************
*** 92,97 ****
  			set { accountStrategy = value; }
  		}
! 
! 		public TransactionHistory Transactions = new TransactionHistory();
  
  		public Account( string accountName ) : base ( accountName )
--- 94,108 ----
  			set { accountStrategy = value; }
  		}
!     /// <summary>
!     /// the object contain a representation of the 
!     /// optimization working of the script
!     /// </summary>
!     public object OptimizationOutput
!     {
!       get { return this.optimizationOutput; }
!       set { this.optimizationOutput = value; }
!     }
! 		
!     public TransactionHistory Transactions = new TransactionHistory();
  
  		public Account( string accountName ) : base ( accountName )

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeCounter.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18625/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeCounter.cs 
Log Message:
Changed name to the private method added to the NewGeneration event

Index: GenomeCounter.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeCounter.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeCounter.cs	27 Jul 2005 22:35:37 -0000	1.1
--- GenomeCounter.cs	31 Jul 2005 20:07:28 -0000	1.2
***************
*** 57,64 ****
      	this.fitnessCollector = new Hashtable();
      	this.geneticOptimizer.NewGeneration += 
!     		new NewGenerationEventHandler(this.newGenerationEventHandler);
      }
  		
!     private void newGenerationEventHandler(Object sender,
                            NewGenerationEventArgs newGenerationEventArgs)
      {
--- 57,64 ----
      	this.fitnessCollector = new Hashtable();
      	this.geneticOptimizer.NewGeneration += 
!     		new NewGenerationEventHandler(this.addNewGenome);
      }
  		
!     private void addNewGenome(Object sender,
                            NewGenerationEventArgs newGenerationEventArgs)
      {

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataProvider.cs,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17976/b3_Data/DataProviders

Modified Files:
	HistoricalDataProvider.cs 
Log Message:
Fixed bug

Index: HistoricalDataProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/HistoricalDataProvider.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** HistoricalDataProvider.cs	26 May 2005 23:42:25 -0000	1.8
--- HistoricalDataProvider.cs	31 Jul 2005 20:04:09 -0000	1.9
***************
*** 214,218 ****
  //		}
  //
! 		private static double getQuote( string instrumentKey , DateTime dateTime , QuoteField quoteField )
  		{
  			double returnValue;
--- 214,218 ----
  //		}
  //
! 		/*private static double getQuote( string instrumentKey , DateTime dateTime , QuoteField quoteField )
  		{
  			double returnValue;
***************
*** 228,232 ****
  				).IndexOfKeyOrPrevious( dateTime ) ) );
  			return returnValue;
! 		}
  		/// <summary>
  		/// Returns the adjusted market value for the given ticker, at the given ExtendedDateTime
--- 228,232 ----
  				).IndexOfKeyOrPrevious( dateTime ) ) );
  			return returnValue;
! 		}*/
  		/// <summary>
  		/// Returns the adjusted market value for the given ticker, at the given ExtendedDateTime
***************
*** 263,271 ****
  			double returnValue;
  			if ( extendedDateTime.BarComponent == BarComponent.Close )
! 				returnValue = getQuote( instrumentKey ,
  					extendedDateTime.DateTime , QuoteField.Close );
  			else
  				// extendedDateTime.BarComponent is equal to BarComponent.Open
! 				returnValue = getQuote( instrumentKey ,
  					extendedDateTime.DateTime , QuoteField.Open );
  			return returnValue;
--- 263,271 ----
  			double returnValue;
  			if ( extendedDateTime.BarComponent == BarComponent.Close )
! 				returnValue = privateCache.GetQuote( instrumentKey ,
  					extendedDateTime.DateTime , QuoteField.Close );
  			else
  				// extendedDateTime.BarComponent is equal to BarComponent.Open
! 				returnValue = privateCache.GetQuote( instrumentKey ,
  					extendedDateTime.DateTime , QuoteField.Open );
  			return returnValue;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.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-serv17771/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Fixed bugs in GenomeManagerForEfficientPortfolio;
- added new property CurrentGeneticOptimizer to the IGenomeManager interface;
- added new public method CalculateRandomFitness() for a new computation of fitness (now the code this new computation of fitness has been remarked: if you want more details, please write to me)

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** GenomeManagerForEfficientPortfolio.cs	27 Jul 2005 22:30:55 -0000	1.14
--- GenomeManagerForEfficientPortfolio.cs	31 Jul 2005 20:03:31 -0000	1.15
***************
*** 48,52 ****
      protected CandidateProperties[] setOfCandidates;
      protected int originalNumOfTickers;
-     protected int constToDiscoverDuplicateGenes;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
--- 48,51 ----
***************
*** 58,61 ****
--- 57,61 ----
      protected double[] portfolioRatesOfReturn;
      protected int numberOfExaminedReturns;
+     protected GeneticOptimizer currentGeneticOptimizer;
      
      static public string GetCleanTickerCode(string tickerCodeForLongOrShortTrade)
***************
*** 100,103 ****
--- 100,109 ----
      }
      
+     public GeneticOptimizer CurrentGeneticOptimizer
+     {
+       get{return this.currentGeneticOptimizer;}
+       set{this.currentGeneticOptimizer = value;}
+     }
+     
      //setOfInitialTickers has to contain the
      //ticker's symbol in the first column !
***************
*** 113,117 ****
   			this.setOfTickers = setOfInitialTickers;
        this.originalNumOfTickers = setOfInitialTickers.Rows.Count;
-       this.constToDiscoverDuplicateGenes = this.originalNumOfTickers + 1;
        this.firstQuoteDate = firstQuoteDate;
        this.lastQuoteDate = lastQuoteDate;
--- 119,122 ----
***************
*** 130,134 ****
        if(this.portfolioType == PortfolioType.ShortAndLong)
          this.minValueForGenes = - this.originalNumOfTickers;
!       //if gene g is negative, it refers to the ticker Abs(g+1) to be shorted
      }
      
--- 135,139 ----
        if(this.portfolioType == PortfolioType.ShortAndLong)
          this.minValueForGenes = - this.originalNumOfTickers;
!       //if gene g is negative, it refers to the ticker |g|-1 to be shorted
      }
      
***************
*** 168,172 ****
          //returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
          returnValue = normal.GetProbability(-this.targetPerformance);
! 
        return returnValue;
        
--- 173,188 ----
          //returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
          returnValue = normal.GetProbability(-this.targetPerformance);
!       /*the following code has to be tested
!       if(this.currentGeneticOptimizer.AverageRandomFitness != 0.0 &&
!          this.currentGeneticOptimizer.StandardDeviationOfRandomFitness != 0.0)
!       //the two properties remain equal to 0.0 for the GeneticOptimizer
!       //instance created in the Run method: the two properties are updated
!       //effectively only for the GO instance calling the Run method
!         returnValue = (returnValue - this.CurrentGeneticOptimizer.AverageRandomFitness)/
!                       this.CurrentGeneticOptimizer.StandardDeviationOfRandomFitness;
!       if(returnValue < 0.0)
!         returnValue = 0.0;
!       //fitness should be now pure positive number
!       */
        return returnValue;
        
***************
*** 205,210 ****
      {
        return
!       	GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2,
!       	                                           this.constToDiscoverDuplicateGenes);
      }
      
--- 221,225 ----
      {
        return
!       	GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
      }
      
***************
*** 216,221 ****
                                                                genome.MaxValueForGenes + 1);
        while(genome.HasGene(returnValue) ||
!             genome.HasGene(returnValue + this.constToDiscoverDuplicateGenes) ||
!             genome.HasGene(returnValue - this.constToDiscoverDuplicateGenes) )
        //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) ||
!             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
        {
***************
*** 232,240 ****
        // the new value has to be different from all the other genes of the genome
        int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!         genome.MaxValueForGenes +1);
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
        while(genome.HasGene(newValueForGene) || 
!             genome.HasGene(newValueForGene + this.constToDiscoverDuplicateGenes) ||
!             genome.HasGene(newValueForGene - this.constToDiscoverDuplicateGenes) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position
--- 247,255 ----
        // the new value has to be different from all the other genes of the genome
        int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!                                                                   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
***************
*** 256,260 ****
        if(geneValue<0)
        {
!         position = Math.Abs(geneValue + 1);
          initialCharForTickerCode = "-";
        }  
--- 271,275 ----
        if(geneValue<0)
        {
!         position = Math.Abs(geneValue) - 1;
          initialCharForTickerCode = "-";
        }  

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs,1.8,1.9 GenomeManagerTest.cs,1.3,1.4 IGenomeManager.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17771/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs GenomeManagerTest.cs IGenomeManager.cs 
Log Message:
Fixed bugs in GenomeManagerForEfficientPortfolio;
- added new property CurrentGeneticOptimizer to the IGenomeManager interface;
- added new public method CalculateRandomFitness() for a new computation of fitness (now the code this new computation of fitness has been remarked: if you want more details, please write to me)

Index: GenomeManagerTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagerTest.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerTest.cs	13 Jul 2005 16:37:04 -0000	1.3
--- GenomeManagerTest.cs	31 Jul 2005 20:03:31 -0000	1.4
***************
*** 37,40 ****
--- 37,41 ----
      private int minValueForGenes;
      private int maxValueForGenes;
+     private GeneticOptimizer currentGeneticOptimizer;
       
      public int GenomeSize
***************
*** 53,56 ****
--- 54,62 ----
      }
      
+     public GeneticOptimizer CurrentGeneticOptimizer
+     {
+       get{return this.currentGeneticOptimizer;}
+       set{this.currentGeneticOptimizer = value;}
+     }
      public GenomeManagerTest(int genomeSize, int minValueForGenes,
                               int maxValueForGenes)

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** GeneticOptimizer.cs	27 Jul 2005 22:34:24 -0000	1.8
--- GeneticOptimizer.cs	31 Jul 2005 20:03:31 -0000	1.9
***************
*** 65,68 ****
--- 65,71 ----
  	
      private int generationCounter;
+     private double averageRandomFitness;
+     private double standardDeviationOfRandomFitness;
+     
      #endregion
      
***************
*** 131,134 ****
--- 134,154 ----
        get{return this.currentGeneration;}
      }
+     
+     /// <summary>
+     /// Average fitness of a group of genomes (this.numberOfGenomesForAverageRandomFitness)
+     /// chosen at random
+     /// </summary>
+     public double AverageRandomFitness
+     {
+       get{return this.averageRandomFitness;}
+     }
+     /// <summary>
+     /// Standard deviation of fitness of a group of genomes (this.numberOfGenomesForAverageRandomFitness)
+     /// chosen at random
+     /// </summary>
+     public double StandardDeviationOfRandomFitness
+     {
+       get{return this.standardDeviationOfRandomFitness;}
+     }
      #endregion
  
***************
*** 207,212 ****
--- 227,265 ----
                                           	eliteNumber);
        this.generationCounter = 1;
+       this.genomeManager.CurrentGeneticOptimizer = this;
+     }
+     
+     /// <summary>
+     /// It updates AverageRandomFitness and StandardDeviationOfRandomFitness
+     /// properties with the average and std dev fitness
+     /// of a given group of genomes chosen at random
+     /// </summary>
+     public void CalculateRandomFitness()
+     {
+       this.createFirstGeneration(false);
+       this.averageRandomFitness = this.totalFitness/this.currentGeneration.Count;
+       this.standardDeviationOfRandomFitness = this.calculateRandomFitness_getStdDevOfRandomFitness();
+     }
+     /// <summary>
+     /// It updates StandardDeviationOfRandomFitness property with the std dev of
+     /// fitness of a given group of genomes chosen at random
+     /// </summary>
+     private double calculateRandomFitness_getStdDevOfRandomFitness()
+     {
+       double[] fitnesses = new double[this.currentGeneration.Count];
+       for(int i = 0; i<this.currentGeneration.Count; i++)
+         fitnesses[i] = ((Genome)this.currentGeneration[i]).Fitness;
+       return QuantProject.ADT.Statistics.BasicFunctions.StdDev(fitnesses);
      }
      
+     private void run_calculateRandomFitness()
+     {
+       GeneticOptimizer GOForAverageRandomFitness = 
+         new GeneticOptimizer(this.genomeManager, ConstantsProvider.NumGenomesForRandomFitnessComputation,
+                              0,ConstantsProvider.SeedForRandomGenerator);
+       GOForAverageRandomFitness.CalculateRandomFitness(); 
+       this.averageRandomFitness = GOForAverageRandomFitness.AverageRandomFitness;
+       this.standardDeviationOfRandomFitness = GOForAverageRandomFitness.StandardDeviationOfRandomFitness;
+     }
      /// <summary>
      /// Method to start the GeneticOptmizer
***************
*** 214,217 ****
--- 267,271 ----
      public void Run(bool showOutputToConsole)
      {
+       //this.run_calculateRandomFitness(); to be tested yet
        this.createFirstGeneration(showOutputToConsole);
        if(this.keepOnRunningUntilConvergenceIsReached)

Index: IGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/IGenomeManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IGenomeManager.cs	1 Dec 2004 22:36:11 -0000	1.1
--- IGenomeManager.cs	31 Jul 2005 20:03:31 -0000	1.2
***************
*** 43,46 ****
--- 43,47 ----
      int MinValueForGenes{get;}
      int MaxValueForGenes{get;}
+     GeneticOptimizer CurrentGeneticOptimizer{get;set;}
      
      int GetNewGeneValue(Genome genome); // Used in generation of genes

[Quantproject-developers] QuantProject/b1_ADT ConstantsProvider.cs,1.12,1.13

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17771/b1_ADT

Modified Files:
	ConstantsProvider.cs 
Log Message:
Fixed bugs in GenomeManagerForEfficientPortfolio;
- added new property CurrentGeneticOptimizer to the IGenomeManager interface;
- added new public method CalculateRandomFitness() for a new computation of fitness (now the code this new computation of fitness has been remarked: if you want more details, please write to me)

Index: ConstantsProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ConstantsProvider.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** ConstantsProvider.cs	27 Jul 2005 22:32:05 -0000	1.12
--- ConstantsProvider.cs	31 Jul 2005 20:03:31 -0000	1.13
***************
*** 34,37 ****
--- 34,42 ----
  		public static int SeedForRandomGenerator = 333; // for GeneticOptimizer and
  																										// GenomeManagement
+     public static int NumGenomesForRandomFitnessComputation = 100;
+     // for GeneticOptimizer (used by CalculateRandomFitness() in order
+     //to update averageRandomFitness and standardDeviationOfRandomFitness properties
+                                                         
+     
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManipulator.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15756/b7_Scripts/TickerSelectionTesting

Added Files:
	GenomeManipulator.cs 
Log Message:
Moved specific methods for the GenomeManagerForTheEfficientPortfolio from GenomeManagement to the new GenomeManipulator class, created in the namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
- modified MixGenesWithoutDuplicates, that now tries to mix all genes of the two parents in offspring (without duplication)

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

GenomeManipulator.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.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// Class providing static methods for manipulating Genomes
	/// (used by th IGenomeManagerForEfficientPortfolio)
	/// </summary>
	[Serializable]
  public sealed class GenomeManipulator 
	{
		
    public static Random RandomGenerator; 
    private static int genomeSize;
		private static Genome[] childs;
		private static int[,] maskForChilds;
    
    static GenomeManipulator()
    {
	  	RandomGenerator = new Random(ConstantsProvider.SeedForRandomGenerator);
		  childs = new Genome[2];  	
		}
    
    private static void initializeStaticMembers(Genome parent1, Genome parent2)
    {
      genomeSize = parent1.Size;
      childs[0] = parent1.Clone();
      childs[1] = parent2.Clone();
      //the two childs now points to their parents
      maskForChilds = new int[childs.Length, genomeSize];
    }

    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)
    {
      int[] returnValue = new int[parent1.Size];
      for(int i = 0; i < returnValue.Length; i++)
      {
        returnValue[i] = - 1;
        int geneValue = parent1.GetGeneValue(i);
        if(geneValue >= 0)
        {
          if(!parent2.HasGene(geneValue) &&
            !parent2.HasGene(-Math.Abs(geneValue) - 1))
            returnValue[i] = i;
        }
        else
        {
          if(!parent2.HasGene(geneValue) &&
            !parent2.HasGene(Math.Abs(geneValue) - 1))
            returnValue[i] = i;
        }
      }
      return returnValue;
    }
    
    private static bool setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
		                                                           
    {
      bool returnValue = false;
      int[] genePlacesOfParent1NotPresentInParent2 = 
        genePositionsOfParent1NotPresentInParent2(parent1, parent2);
      int[] genePlacesOfParent2NotPresentInParent1 = 
        genePositionsOfParent1NotPresentInParent2(parent2, parent1);
      for(int i = 0; i<genePlacesOfParent1NotPresentInParent2.Length; i++)
      {
        for(int genePos = 0 ; genePos < GenomeManipulator.genomeSize ; genePos++)
        {
          if(genePos == genePlacesOfParent1NotPresentInParent2[i])
          {  
            maskForChilds[0, genePos] = 1;
            returnValue = true;
          }
          else
            maskForChilds[0, genePos] = 2;
            
          if(genePos == genePlacesOfParent2NotPresentInParent1[i])
          {
            maskForChilds[1, genePos] = 2;
            returnValue = true;
          }
          else
            maskForChilds[1, genePos] = 1;
        }
      }
      return returnValue;
    }
		private static void setChildsUsingMaskForChilds(Genome parent1,
		                                                Genome parent2)
		{
      for(int childIndex = 0; childIndex < 2; childIndex++)
      {
        for(int genePos = 0 ; genePos < GenomeManipulator.genomeSize ; genePos++)
      	{
  	      if(maskForChilds[childIndex,genePos]==1)
           	childs[childIndex].SetGeneValue(parent1.GetGeneValue(genePos), genePos);
       		else//maskForChilds[childIndex,genePos]==2
           	childs[childIndex].SetGeneValue(parent2.GetGeneValue(genePos), genePos);
        }
      }
			
		}
		
    private static bool hasSomeDuplicateGenes(Genome genome)
    {
      bool returnValue = false;
      for(int i = 0; i < genome.Size ; i++)
      {
        for(int j = i + 1; j < genome.Size ; j++)
        {
          if(genome.Genes()[i] == genome.Genes()[j] ||
            ((genome.Genes()[i]<0 && genome.Genes()[j]>0) && Math.Abs(genome.Genes()[i]) - 1 == genome.Genes()[j]) ||
            ((genome.Genes()[i]>0 && genome.Genes()[j]<0) && -Math.Abs(genome.Genes()[i]) - 1 == genome.Genes()[j]))
            returnValue = true;
        }
      }
      return returnValue;
    }
    //just for debugging purposes
    private static void throwExcIfAChildHasDuplicateGenes()
		{
      foreach(Genome gen in childs)
      {
      	if(GenomeManipulator.hasSomeDuplicateGenes(gen))
      		throw new Exception("A child with duplicate genes has been generated!");
      }
			
		}
		/// <summary>
		/// This method returns an array of genomes based on 
		/// a mix of the genes of parents, such that the 2 childs,
		/// if possible, are different from parents and, at 
		/// the same time, childs' genes are not duplicated  
		/// </summary> 
		/// <param name="parent1">First genome parent from which genes are to be mixed in offspring</param>
    /// <param name="parents">Second genome parent from which genes are to be mixed in offspring</param>
    /// <param name="constToDiscoverGenesDuplicates">Gene y is a duplicate of gene x iff y = |x| - 1
    ///  or y = -|x| -1</param>
    public static Genome[] MixGenesWithoutDuplicates(Genome parent1, Genome parent2)
    {
      initializeStaticMembers(parent1, parent2);
      if(parent1.Size > (parent1.MaxValueForGenes - parent1.MinValueForGenes + 1))
			//it is impossible not to duplicate genes if size is too
			// large for the range of variation of each gene
				throw new Exception("Impossible to avoid duplicates with the given size!");
      if(parent1.Size != parent2.Size)
				throw new Exception("Genomes must have the same size!");	
      
      if(setMaskForChildsForMixingWithoutDuplicates(parent1, parent2))
     	  setChildsUsingMaskForChilds(parent1, parent2);
      //throwExcIfAChildHasDuplicateGenes(); //just for debugging purposes
      return childs;
    }

	}
}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeManagement.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15756/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeManagement.cs 
Log Message:
Moved specific methods for the GenomeManagerForTheEfficientPortfolio from GenomeManagement to the new GenomeManipulator class, created in the namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
- modified MixGenesWithoutDuplicates, that now tries to mix all genes of the two parents in offspring (without duplication)

Index: GenomeManagement.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagement.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GenomeManagement.cs	25 Jul 2005 22:30:32 -0000	1.5
--- GenomeManagement.cs	31 Jul 2005 19:53:44 -0000	1.6
***************
*** 65,68 ****
--- 65,83 ----
      }
      
+     private static void setChildsUsingMaskForChilds(Genome parent1,
+       Genome parent2)
+     {
+       for(int childIndex = 0; childIndex < 2; childIndex++)
+       {
+         for(int genePos = 0 ; genePos < GenomeManagement.genomeSize ; genePos++)
+         {
+           if(maskForChilds[childIndex,genePos]==1)
+             childs[childIndex].SetGeneValue(parent1.GetGeneValue(genePos), genePos);
+           else//maskForChilds[childIndex,genePos]==2
+             childs[childIndex].SetGeneValue(parent2.GetGeneValue(genePos), genePos);
+         }
+       }
+ 			
+     }
      /// <summary>
      /// It sets randomGenerator used by all other public methods
***************
*** 103,264 ****
  		}
  		
! 		private static void setMaskForChildsForUniformCrossover()
! 		{
! 			for(int childIndex = 0; childIndex < 2; childIndex++)
!       {
!         for(int i = 0 ; i < GenomeManagement.genomeSize ; i++)
!       	{
!   	      maskForChilds[childIndex,i] = GenomeManagement.RandomGenerator.Next(1,3);
!        	}
!       }
! 		}
! 		
! 		private static void setMaskForChildsForAlternateFixedCrossover()
! 		{
! 			for(int childIndex = 0; childIndex < 2; childIndex++)
!       {
!         for(int genePos = 0; genePos < genomeSize; genePos++)
!       	{
!   	  		if(genePos%2 == 0)
! 					//gene position is even
! 						maskForChilds[childIndex, genePos] = 1;
! 					else
! 					// gene position is odd
! 						maskForChilds[childIndex, genePos] = 2;
! 	     	}
!       }
! 		}
!     
!     private static int firstGenePositionOfParent1NotPresentInParent2(Genome parent1,
!                                                                 Genome parent2,
!                                                                int constToDiscoverGenesDuplicates)
      {
-       int returnValue = -1;
-       for(int genePos = 0 ;
-           genePos < GenomeManagement.genomeSize && returnValue == -1;
-           genePos++)
-       {
-       	int geneValue = parent1.GetGeneValue(genePos);
-       	if(!parent2.HasGene(geneValue) &&
-       	   !parent2.HasGene(geneValue + constToDiscoverGenesDuplicates) &&
-       	   !parent2.HasGene(geneValue - constToDiscoverGenesDuplicates))
-           returnValue = genePos;
-       }    
-       return returnValue;
-     }
- 			
-     private static bool setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2,
- 		                                                           int constToDiscoverGenesDuplicates)
- 		{
- 			bool returnValue = false;
-       int firstGenePosOfParent1NotPresentInParent2 = 
-         firstGenePositionOfParent1NotPresentInParent2(parent1, parent2, constToDiscoverGenesDuplicates);
-       int firstGenePosOfParent2NotPresentInParent1 = 
-         firstGenePositionOfParent1NotPresentInParent2(parent2, parent1, constToDiscoverGenesDuplicates);
-       if(firstGenePosOfParent1NotPresentInParent2 > -1 &&
-          firstGenePosOfParent2NotPresentInParent1 > -1 )
-         //there is at least a gene in parent1 not present in parent2 and viceversa
-       {
-           for(int genePos = 0 ; genePos < GenomeManagement.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 void setChildsUsingMaskForChilds(Genome parent1,
- 		                                                Genome parent2)
- 		{
        for(int childIndex = 0; childIndex < 2; childIndex++)
        {
!         for(int genePos = 0 ; genePos < GenomeManagement.genomeSize ; genePos++)
!       	{
!   	      if(maskForChilds[childIndex,genePos]==1)
!            	childs[childIndex].SetGeneValue(parent1.GetGeneValue(genePos), genePos);
!        		else//maskForChilds[childIndex,genePos]==2
!            	childs[childIndex].SetGeneValue(parent2.GetGeneValue(genePos), genePos);
          }
        }
! 			
! 		}
! 		
      /// <summary>
! 		/// This method returns an array of genomes based on 
! 		/// a random recombination of the genes of parents
! 		/// </summary> 
      public static Genome[] UniformCrossover(Genome parent1, Genome parent2)
      {
        initializeStaticMembers(parent1, parent2);
        if(parent1.Size != parent2.Size)
! 				throw new Exception("Genomes must have the same size!");	
! 			setMaskForChildsForUniformCrossover();
!      	setChildsUsingMaskForChilds(parent1, parent2);
  			    
        return childs;
      }
  
      /// <summary>
! 		/// This method returns an array of genomes based on 
! 		/// an alternate fixed recombination of the genes of parents
! 		/// </summary> 
      public static Genome[] AlternateFixedCrossover(Genome parent1, Genome parent2)
      {
        initializeStaticMembers(parent1, parent2);
        if(parent1.Size != parent2.Size)
! 				throw new Exception("Genomes must have the same size!");	
        setMaskForChildsForAlternateFixedCrossover();
!      	setChildsUsingMaskForChilds(parent1, parent2);
        
        return childs;
      }
  		
!     private static void launchExIfAChildHasDuplicateGenes(int constToDiscoverGenesDuplicates)
! 		{
!       foreach(Genome gen in childs)
!       {
!       	if(gen.HasSomeDuplicateGenes(constToDiscoverGenesDuplicates))
!       		throw new Exception("A child with duplicate genes has been generated!");
!       }
! 			
! 		}
! 		/// <summary>
! 		/// This method returns an array of genomes based on 
! 		/// a mix of the genes of parents, such that the 2 childs,
! 		/// if possible, are different from parents and, at 
! 		/// the same time, childs' genes are not duplicated  
! 		/// </summary> 
! 		/// <param name="parent1">First genome parent from which genes are to be mixed in offspring</param>
!     /// <param name="parents">Second genome parent from which genes are to be mixed in offspring</param>
!     /// <param name="constToDiscoverGenesDuplicates">Gene y is a duplicate of gene x iff y = x or y = x + constToDiscoverGenesDuplicates</param>
!     public static Genome[] MixGenesWithoutDuplicates(Genome parent1, Genome parent2,
! 		                                             int constToDiscoverGenesDuplicates)
!     {
!       initializeStaticMembers(parent1, parent2);
!       if(parent1.Size > (parent1.MaxValueForGenes - parent1.MinValueForGenes + 1))
! 			//it is impossible not to duplicate genes if size is too
! 			// large for the range of variation of each gene
! 				throw new Exception("Impossible to avoid duplicates with the given size!");
!       if(parent1.Size != parent2.Size)
! 				throw new Exception("Genomes must have the same size!");	
!       
!       if(setMaskForChildsForMixingWithoutDuplicates(parent1, parent2,
!                                                     constToDiscoverGenesDuplicates))
!      	  setChildsUsingMaskForChilds(parent1, parent2);
!       launchExIfAChildHasDuplicateGenes(constToDiscoverGenesDuplicates);
!       return childs;
!     }
! 
! 
! 		static public void MutateAllGenes(Genome genome, double mutationRate)
  		{
  			for (int pos = 0 ; pos < genome.Size; pos++)
--- 118,177 ----
  		}
  		
!     private static void setMaskForChildsForUniformCrossover()
      {
        for(int childIndex = 0; childIndex < 2; childIndex++)
        {
!         for(int i = 0 ; i < GenomeManagement.genomeSize ; i++)
!         {
!           maskForChilds[childIndex,i] = GenomeManagement.RandomGenerator.Next(1,3);
          }
        }
!     }
      /// <summary>
!     /// This method returns an array of genomes based on 
!     /// a random recombination of the genes of parents
!     /// </summary> 
      public static Genome[] UniformCrossover(Genome parent1, Genome parent2)
      {
        initializeStaticMembers(parent1, parent2);
        if(parent1.Size != parent2.Size)
!         throw new Exception("Genomes must have the same size!");	
!       setMaskForChildsForUniformCrossover();
!       setChildsUsingMaskForChilds(parent1, parent2);
  			    
        return childs;
      }
  
+     private static void setMaskForChildsForAlternateFixedCrossover()
+     {
+       for(int childIndex = 0; childIndex < 2; childIndex++)
+       {
+         for(int genePos = 0; genePos < genomeSize; genePos++)
+         {
+           if(genePos%2 == 0)
+             //gene position is even
+             maskForChilds[childIndex, genePos] = 1;
+           else
+             // gene position is odd
+             maskForChilds[childIndex, genePos] = 2;
+         }
+       }
+     }
      /// <summary>
!     /// This method returns an array of genomes based on 
!     /// an alternate fixed recombination of the genes of parents
!     /// </summary> 
      public static Genome[] AlternateFixedCrossover(Genome parent1, Genome parent2)
      {
        initializeStaticMembers(parent1, parent2);
        if(parent1.Size != parent2.Size)
!         throw new Exception("Genomes must have the same size!");	
        setMaskForChildsForAlternateFixedCrossover();
!       setChildsUsingMaskForChilds(parent1, parent2);
        
        return childs;
      }
  		
!     static public void MutateAllGenes(Genome genome, double mutationRate)
  		{
  			for (int pos = 0 ; pos < genome.Size; pos++)