quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.33,1.34

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

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

Modified Files:
	b7_Scripts.csproj 
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: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.33
retrieving revision 1.34
diff -C2 -d -r1.33 -r1.34
*** b7_Scripts.csproj	27 Jul 2005 22:23:14 -0000	1.33
--- b7_Scripts.csproj	31 Jul 2005 19:53:44 -0000	1.34
***************
*** 219,222 ****
--- 219,227 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\GenomeManipulator.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\PortfolioType.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination MainForm.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-serv29727/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	MainForm.cs 
Log Message:
- the new GenomeRepresentation structure is handled

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** MainForm.cs	25 Jul 2005 22:52:02 -0000	1.3
--- MainForm.cs	29 Jul 2005 13:39:35 -0000	1.4
***************
*** 155,161 ****
  		protected DataTable getSetOfTickersToBeOptimized_quickly()
  		{
! 			DataTable returnValue =
! 				new QuantProject.Data.DataTables.Tickers_tickerGroups( "test" );
! 			returnValue.Columns[ 0 ].ColumnName = "tiTicker";
  			return returnValue;
  		}
--- 155,161 ----
  		protected DataTable getSetOfTickersToBeOptimized_quickly()
  		{
! 			SelectorByGroup selectorByGroup =
! 				new SelectorByGroup( "20020106" );
! 			DataTable returnValue = selectorByGroup.GetTableOfSelectedTickers();
  			return returnValue;
  		}
***************
*** 192,196 ****
  				// this is the first generation created and this.bestGenomes is still empty
  				this.bestGenomes.Add( new GenomeRepresentation(
! 					(Genome)generation[ generation.Count - 1 ]  ) );
  			for ( int i=0 ; i < generation.Count ; i++ )
  				if ( ((Genome)generation[ i ]).Fitness >
--- 192,199 ----
  				// this is the first generation created and this.bestGenomes is still empty
  				this.bestGenomes.Add( new GenomeRepresentation(
! 					(Genome)generation[ generation.Count - 1 ] ,
! 					this.firstDate ,
! 					this.lastDate ,
! 					newGenerationEventArgs.GenerationCounter ) );
  			for ( int i=0 ; i < generation.Count ; i++ )
  				if ( ((Genome)generation[ i ]).Fitness >
***************
*** 199,203 ****
  					// generation[ i ] is a genome better than the best already stored
  					this.bestGenomes.Add( new GenomeRepresentation(
! 						(Genome)generation[ i ]  ) );
  		}
  		private void writeOptimizedGenomesToDisk()
--- 202,209 ----
  					// generation[ i ] is a genome better than the best already stored
  					this.bestGenomes.Add( new GenomeRepresentation(
! 						(Genome)generation[ i ] ,
! 						this.firstDate ,
! 						this.lastDate ,
! 						newGenerationEventArgs.GenerationCounter ) );
  		}
  		private void writeOptimizedGenomesToDisk()
***************
*** 218,225 ****
  		{
  			this.bestGenomes = new ArrayList();
- 			//			DataTable setOfTickersToBeOptimized =
- 			//				this.getSetOfTickersToBeOptimized_quickly();
  			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized();
  //			DataTable setOfTickersToBeOptimized =
  //				this.getSetOfTickersToBeOptimized();
--- 224,229 ----
  		{
  			this.bestGenomes = new ArrayList();
  			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized_quickly();
  //			DataTable setOfTickersToBeOptimized =
  //				this.getSetOfTickersToBeOptimized();

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination GenomeRepresentation.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-serv29183/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	GenomeRepresentation.cs 
Log Message:
- the private member genome has been removed: much simpler
serialization now
- the public member FirstOptimizationDate has been added
- the public member LastOptimizationDate has been added

Index: GenomeRepresentation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/GenomeRepresentation.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeRepresentation.cs	23 Jul 2005 17:58:43 -0000	1.1
--- GenomeRepresentation.cs	29 Jul 2005 13:36:28 -0000	1.2
***************
*** 34,38 ****
  	public class GenomeRepresentation
  	{
! 		private Genome genome;
  
  		public string SignedTickers
--- 34,42 ----
  	public class GenomeRepresentation
  	{
! 		private double fitness;
! 		private string signedTickers;
! 		private int generationCounter;
! 		private DateTime firstOptimizationDate;
! 		private DateTime lastOptimizationDate;
  
  		public string SignedTickers
***************
*** 40,54 ****
  			get
  			{
! 				string signedTickers = "";
! 				foreach ( string geneValue in (string[])genome.Meaning )
! 					signedTickers += geneValue + ";";
! 				signedTickers = signedTickers.Substring( 0 ,
! 					signedTickers.Length - 1 );
! 				return signedTickers;
  			}
  		}
  		public double Fitness
  		{
! 			get { return this.genome.Fitness; }
  		}
  
--- 44,68 ----
  			get
  			{
! 				return this.signedTickers;
  			}
  		}
  		public double Fitness
  		{
! 			get { return this.fitness; }
! 		}
! 		public DateTime FirstOptimizationDate
! 		{
! 			get { return this.firstOptimizationDate; }
! 		}
! 		public DateTime LastOptimizationDate
! 		{
! 			get { return this.lastOptimizationDate; }
! 		}
! 		/// <summary>
! 		/// Number of the first generation containing the genome
! 		/// </summary>
! 		public int GenerationCounter
! 		{
! 			get { return this.generationCounter; }
  		}
  
***************
*** 76,82 ****
  			return returnValue;
  		}
! 		public GenomeRepresentation( Genome genome )
  		{
! 			this.genome = genome;
  		}
  	}
--- 90,124 ----
  			return returnValue;
  		}
! 		private string getSignedTickers( Genome genome )
  		{
! 			string signedTickers = "";
! 			foreach ( string geneValue in (string[])genome.Meaning )
! 				signedTickers += geneValue + ";";
! 			signedTickers = signedTickers.Substring( 0 ,
! 				signedTickers.Length - 1 );
! 			return signedTickers;
! 		}
! 		private void genomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 			int generationCounter )
! 		{
! 			this.fitness = genome.Fitness;
! 			this.signedTickers = this.getSignedTickers( genome );
! 			this.firstOptimizationDate = firstOptimizationDate;
! 			this.lastOptimizationDate = lastOptimizationDate;
! 			this.generationCounter = generationCounter;
! 		}
! 		public GenomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate )
! 		{
! 			this.genomeRepresentation( genome ,
! 				firstOptimizationDate , lastOptimizationDate , -1 );
! 		}
! 		public GenomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 			int generationCounter )
! 		{
! 			this.genomeRepresentation( genome , firstOptimizationDate ,
! 				lastOptimizationDate , generationCounter );
  		}
  	}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28345/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs 
Log Message:
- better exception handling
- first date and last date now are handled for each genome (and can
be different and automatically computed for each genome)
- both right click and left click is handled now:
  * left click resets the first date and last date to the in sample optimization date for the selected genome
  * right click keeps the date displacements visually chosen by the user; right click starts the backtest also

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** TestDisplayer.cs	23 Jul 2005 18:10:33 -0000	1.2
--- TestDisplayer.cs	29 Jul 2005 13:32:34 -0000	1.3
***************
*** 45,48 ****
--- 45,50 ----
  		// Glauco code
  		private ArrayList bestGenomes;
+ 		private System.Windows.Forms.Label label1;
+ 		private GenomeRepresentation lastSelectedGenomeRepresentation;
  
  		private void testdisplayer()
***************
*** 53,56 ****
--- 55,61 ----
  			ArrayList bestGenomes )
  		{
+ 			if ( bestGenomes.Count == 0 )
+ 				throw new Exception( "bestGenomes is empty! It should contain " +
+ 					"a genome, at least." );
  			//
  			// Required for Windows Form Designer support
***************
*** 59,64 ****
  
  			// Glauco code
! 			this.dtpFirstDate.Value = firstDate;
! 			this.dtpLastDate.Value = lastDate;
        this.bestGenomes = bestGenomes;
  			this.testdisplayer();
--- 64,73 ----
  
  			// Glauco code
! 			this.lastSelectedGenomeRepresentation =
! 				((GenomeRepresentation)bestGenomes[0]);
! 			this.dtpFirstDate.Value =
! 				this.lastSelectedGenomeRepresentation.FirstOptimizationDate;
! 			this.dtpLastDate.Value =
! 				this.lastSelectedGenomeRepresentation.LastOptimizationDate;
        this.bestGenomes = bestGenomes;
  			this.testdisplayer();
***************
*** 90,93 ****
--- 99,103 ----
  			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
  			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
+ 			this.label1 = new System.Windows.Forms.Label();
  			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
  			this.SuspendLayout();
***************
*** 98,104 ****
  			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
  			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(0, 93);
  			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(496, 248);
  			this.dgBestGenomes.TabIndex = 0;
  			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
--- 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);
***************
*** 117,120 ****
--- 127,139 ----
  			this.dtpLastDate.TabIndex = 2;
  			// 
+ 			// label1
+ 			// 
+ 			this.label1.Location = new System.Drawing.Point(32, 64);
+ 			this.label1.Name = "label1";
+ 			this.label1.Size = new System.Drawing.Size(400, 40);
+ 			this.label1.TabIndex = 3;
+ 			this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
+ 				"to preserve date displacements and backtest.";
+ 			// 
  			// TestDisplayer
  			// 
***************
*** 122,125 ****
--- 141,145 ----
  			this.ClientSize = new System.Drawing.Size(496, 341);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
+ 																																	this.label1,
  																																	this.dtpLastDate,
  																																	this.dtpFirstDate,
***************
*** 133,145 ****
  		#endregion
  
! 		private void dgBestGenomes_MouseUp_actually(object sender, System.Windows.Forms.MouseEventArgs e)
  		{
  			DataGrid dataGrid = (DataGrid)sender;
  			Point point = new Point( e.X , e.Y );
  			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
  			ArrayList bestGenomes = (ArrayList)dataGrid.DataSource;
! //			DataRow dataRow = dataTable.Rows[ hitTestInfo.Row ];
! 			GenomeRepresentation genomeRepresentation =
  				(GenomeRepresentation)bestGenomes[ hitTestInfo.Row ];
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				genomeRepresentation.SignedTickers );
--- 153,198 ----
  		#endregion
  
! 		private bool aRowHasBeenClicked(
! 			object sender, System.Windows.Forms.MouseEventArgs e )
  		{
  			DataGrid dataGrid = (DataGrid)sender;
  			Point point = new Point( e.X , e.Y );
  			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
+ 			return hitTestInfo.Row>=0;
+ 		}
+ 		private GenomeRepresentation dgBestGenomes_MouseUp_getClickedGenomeRepresentation(
+ 			object sender, System.Windows.Forms.MouseEventArgs e )
+ 		{
+ 			GenomeRepresentation genomeRepresentation = null;
+ 			DataGrid dataGrid = (DataGrid)sender;
+ 			Point point = new Point( e.X , e.Y );
+ 			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
  			ArrayList bestGenomes = (ArrayList)dataGrid.DataSource;
! 			//			DataRow dataRow = dataTable.Rows[ hitTestInfo.Row ];
! 			if ( hitTestInfo.Row >= 0 )
! 				// a grid row has been clicked, not the header
! 				genomeRepresentation =
  				(GenomeRepresentation)bestGenomes[ hitTestInfo.Row ];
+ 			return genomeRepresentation;
+ 		}
+ 		private void dgBestGenomes_MouseUp_rightButton_updateDates(
+ 			GenomeRepresentation newSelectedGenomeRepresentation )
+ 		{
+ 			TimeSpan currentFirstDateDisplacement =
+ 				( this.dtpFirstDate.Value -
+ 				this.lastSelectedGenomeRepresentation.FirstOptimizationDate );
+ 			TimeSpan currentLastDateDisplacement =
+ 				( this.dtpLastDate.Value -
+ 				this.lastSelectedGenomeRepresentation.LastOptimizationDate );
+ 			this.dtpFirstDate.Value = newSelectedGenomeRepresentation.FirstOptimizationDate +
+ 				currentFirstDateDisplacement;
+ 			this.dtpLastDate.Value = newSelectedGenomeRepresentation.LastOptimizationDate +
+ 				currentLastDateDisplacement;
+ 		}
+ 		private void dgBestGenomes_MouseUp_rightButton(object sender, System.Windows.Forms.MouseEventArgs e)
+ 		{
+ 			GenomeRepresentation genomeRepresentation =
+ 				this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
+ 			dgBestGenomes_MouseUp_rightButton_updateDates( genomeRepresentation );
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				genomeRepresentation.SignedTickers );
***************
*** 148,156 ****
  				this.dtpLastDate.Value , signedTickers );
  			linearCombinationTest.Run();
  		}
  		private void dgBestGenomes_MouseUp(object sender, System.Windows.Forms.MouseEventArgs e)
  		{
  			if ( e.Button == MouseButtons.Right )
! 				this.dgBestGenomes_MouseUp_actually( sender , e );
  		}
  	}
--- 201,231 ----
  				this.dtpLastDate.Value , signedTickers );
  			linearCombinationTest.Run();
+ 			this.lastSelectedGenomeRepresentation = genomeRepresentation;
+ 		}
+ 		private void dgBestGenomes_MouseUp_leftButton_updateDates(
+ 			GenomeRepresentation newSelectedGenomeRepresentation )
+ 		{
+ 			this.dtpFirstDate.Value =
+ 				newSelectedGenomeRepresentation.FirstOptimizationDate;
+ 			this.dtpLastDate.Value =
+ 				newSelectedGenomeRepresentation.LastOptimizationDate;
+ 		}
+ 		private void dgBestGenomes_MouseUp_leftButton(object sender, System.Windows.Forms.MouseEventArgs e)
+ 		{
+ 			if ( aRowHasBeenClicked( sender , e ) )
+ 				// a grid row has been clicked, not the header
+ 			{
+ 				GenomeRepresentation newSelectedGenomeRepresentation =
+ 					this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
+ 				dgBestGenomes_MouseUp_leftButton_updateDates( newSelectedGenomeRepresentation );
+ 				this.lastSelectedGenomeRepresentation = newSelectedGenomeRepresentation;
+ 			}
  		}
  		private void dgBestGenomes_MouseUp(object sender, System.Windows.Forms.MouseEventArgs e)
  		{
  			if ( e.Button == MouseButtons.Right )
! 				this.dgBestGenomes_MouseUp_rightButton( sender , e );
! 			if ( e.Button == MouseButtons.Left )
! 				this.dgBestGenomes_MouseUp_leftButton( sender , e );
  		}
  	}

[Quantproject-developers] QuantProject/b3_Data/DataTables Tickers_tickerGroups.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27700/b3_Data/DataTables

Modified Files:
	Tickers_tickerGroups.cs 
Log Message:
The Serializable attribute has been added

Index: Tickers_tickerGroups.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Tickers_tickerGroups.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Tickers_tickerGroups.cs	10 Jun 2005 18:57:06 -0000	1.2
--- Tickers_tickerGroups.cs	29 Jul 2005 13:28:17 -0000	1.3
***************
*** 31,36 ****
  	/// The DataTable to work with tickers inside a given group.
  	/// </summary>
! 	
!   public class Tickers_tickerGroups : DataTable
  	{
      // these static fields provide field name in the database table
--- 31,36 ----
  	/// The DataTable to work with tickers inside a given group.
  	/// </summary>
! 	[Serializable]
! 	public class Tickers_tickerGroups : DataTable
  	{
      // these static fields provide field name in the database table

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByGroup.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27638/b3_Data/Selectors

Added Files:
	SelectorByGroup.cs 
Log Message:
Class for selection on tickers by groupId

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

SelectorByGroup.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
	/// <summary>
	/// Class for selection on tickers by groupId
	/// </summary>
	public class SelectorByGroup : ITickerSelector 
	{
    private string groupID;

		public SelectorByGroup( string groupID )
		{
			this.groupID = groupID;
		}

		public DataTable GetTableOfSelectedTickers()
		{
			return QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers( this.groupID );        
		}
		public void SelectAllTickers()
		{
			;
		}	

	}
}

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.29,1.30

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27347/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Selectors\SelectorByGroup.cs has been added

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.29
retrieving revision 1.30
diff -C2 -d -r1.29 -r1.30
*** b3_Data.csproj	30 May 2005 18:28:13 -0000	1.29
--- b3_Data.csproj	29 Jul 2005 13:26:03 -0000	1.30
***************
*** 288,291 ****
--- 288,296 ----
                  />
                  <File
+                     RelPath = "Selectors\SelectorByGroup.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Selectors\SelectorByLiquidity.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29454/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 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** Scripts.prjx	25 Jul 2005 23:00:51 -0000	1.7
--- Scripts.prjx	27 Jul 2005 22:37:14 -0000	1.8
***************
*** 45,48 ****
--- 45,50 ----
      <File name=".\WalkForwardTesting\LinearCombination\RunBestLinearCombination.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\LinearCombination\TestDisplayer.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\EndOfDayTimerHandlerCTCWeekly.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\RunEfficientCTCWeeklyPortfolio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b1_ADT ADT.prjx,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29454/b1_ADT

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

Index: ADT.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT.prjx,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ADT.prjx	25 Jul 2005 23:00:50 -0000	1.5
--- ADT.prjx	27 Jul 2005 22:37:14 -0000	1.6
***************
*** 34,37 ****
--- 34,38 ----
      <File name=".\EstimatedObject.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\Optimizing\Genetic\NewGenerationEventArgs.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\Optimizing\Genetic\GenomeCounter.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References />

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29372/b1_ADT

Modified Files:
	b1_ADT.csproj 
Log Message:
Added GenomeCounter object for counting how many different genomes are generated by a given GeneticOptimizer

Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** b1_ADT.csproj	13 Jul 2005 16:30:30 -0000	1.18
--- b1_ADT.csproj	27 Jul 2005 22:36:48 -0000	1.19
***************
*** 198,201 ****
--- 198,206 ----
                  />
                  <File
+                     RelPath = "Optimizing\Genetic\GenomeCounter.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Optimizing\Genetic\GenomeManagement.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeCounter.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29121/b1_ADT/Optimizing/Genetic

Added Files:
	GenomeCounter.cs 
Log Message:
Added GenomeCounter object for counting how many different genomes are generated by a given GeneticOptimizer.

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

GenomeCounter.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;

namespace QuantProject.ADT.Optimizing.Genetic
{
	/// <summary>
	/// This object subscribes GeneticOptimizer's NewGeneration event
	/// in order to count how many genomes are totally tested
	/// Note: two different genomes are supposed to have different
	/// fitness values 
	///   
	/// </summary>
	[Serializable]
	public class GenomeCounter
	{
	  private Hashtable fitnessCollector;
    private GeneticOptimizer geneticOptimizer;
    		
    public int TotalEvaluatedGenomes
    {
      get{return this.fitnessCollector.Count;}
    }
   	public double BestFitness
    {
      get{return this.geneticOptimizer.BestGenome.Fitness;}
    }
    /// <summary>
    /// The instance of GenomeCounter has to be created
    /// before running the given GeneticOptimizer
    /// </summary>
    public GenomeCounter(GeneticOptimizer geneticOptimizer)
		{
    	this.geneticOptimizer = geneticOptimizer;
    	this.fitnessCollector = new Hashtable();
    	this.geneticOptimizer.NewGeneration += 
    		new NewGenerationEventHandler(this.newGenerationEventHandler);
    }
		
    private void newGenerationEventHandler(Object sender,
                          NewGenerationEventArgs newGenerationEventArgs)
    {
    	foreach(Genome genome in this.geneticOptimizer.CurrentGeneration)
    	{
    		if(!this.fitnessCollector.ContainsKey(genome.Fitness))
    		//the hashtable fitnessCollector doesn't contain the
    		//current genome's fitness, yet
    			this.fitnessCollector.Add(genome.Fitness, null);
    	}
    }
    
	
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28878/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Added new constructor for the GeneticOptimizer;
changed default values for mutationRate and the elitismRate (set to 0).


Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** GeneticOptimizer.cs	25 Jul 2005 22:27:49 -0000	1.7
--- GeneticOptimizer.cs	27 Jul 2005 22:34:24 -0000	1.8
***************
*** 127,130 ****
--- 127,134 ----
        get{return this.worstGenome;}
      }
+     public ArrayList CurrentGeneration
+     {
+       get{return this.currentGeneration;}
+     }
      #endregion
  
***************
*** 147,150 ****
--- 151,163 ----
      }
      
+     public GeneticOptimizer(IGenomeManager genomeManager, int populationSize,
+                             int generationNumber, int seedForRandomGenerator)
+     {
+       this.genomeManager = genomeManager;
+       this.populationSize = populationSize;
+       this.generationNumber = generationNumber;
+       this.random = new Random(seedForRandomGenerator);
+       this.commonInitialization();
+     }
      
      public GeneticOptimizer(double crossoverRate, double mutationRate, double elitismRate, 
***************
*** 178,184 ****
      private void commonInitialization()
      {
!       this.mutationRate = 0.02;
     		this.crossoverRate = 0.85;
!     	this.elitismRate = 0.01;
      	this.minConvergenceRate = 0.80;
      	this.keepOnRunningUntilConvergenceIsReached = false;
--- 191,197 ----
      private void commonInitialization()
      {
!       this.mutationRate = 0.10;
     		this.crossoverRate = 0.85;
!     	this.elitismRate = 0.0;
      	this.minConvergenceRate = 0.80;
      	this.keepOnRunningUntilConvergenceIsReached = false;

[Quantproject-developers] QuantProject/b1_ADT ConstantsProvider.cs,1.11,1.12

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28334/b1_ADT

Modified Files:
	ConstantsProvider.cs 
Log Message:
Added constant for getting the seed for the random generator of the GeneticOptimizer and the GenomeManagement class


Index: ConstantsProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ConstantsProvider.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** ConstantsProvider.cs	19 Jun 2005 14:57:11 -0000	1.11
--- ConstantsProvider.cs	27 Jul 2005 22:32:05 -0000	1.12
***************
*** 32,35 ****
--- 32,37 ----
  		public static int CachePages = 1000;
  		public static int PagesToBeRemovedFromCache = 500; // for Garbage Collection
+ 		public static int SeedForRandomGenerator = 333; // for GeneticOptimizer and
+ 																										// GenomeManagement
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.13,1.14 EndOfDayTimerHandlerCTC.cs,1.10,1.11 EndOfDayTimerHandlerCTCTest.cs,1.2,1.3 EndOfDayTimerHandlerCTO.cs,1.14,1.15 EndOfDayTimerHandlerCTOTest.cs,1.5,1.6 GenomeManagerForEfficientCTCPortfolio.cs,1.8,1.9 GenomeManagerForEfficientPortfolio.cs,1.13,1.14 RunEfficientCTCPortfolio.cs,1.9,1.10 RunEfficientCTOPortfolio.cs,1.20,1.21 RunEfficientPortfolio.cs,1.10,1.11 RunLastChosenPortfolioOutOfSample.cs,1.2,1.3 RunTestOptimizedCTCPortfolio.cs,1.3,1.4 RunTestOptimizedCTOPortfolio.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27684/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTCTest.cs EndOfDayTimerHandlerCTO.cs 
	EndOfDayTimerHandlerCTOTest.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientPortfolio.cs 
	RunEfficientCTCPortfolio.cs RunEfficientCTOPortfolio.cs 
	RunEfficientPortfolio.cs RunLastChosenPortfolioOutOfSample.cs 
	RunTestOptimizedCTCPortfolio.cs 
	RunTestOptimizedCTOPortfolio.cs 
Log Message:
- "Porfolio" fixed to "Portfolio";
- added GenomeCounter to the base EndOfDayTimerHandler;
- modified setTickers methods in close to close and open to close Handlers in order to provide the use of GenomeCounter object;
- showed in form.Text property GenomeCounter's info for the RunTestOptimizedCTCPortfolio and RunTestOptimizedCTOPortfolio


Index: RunTestOptimizedCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTOPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunTestOptimizedCTOPortfolio.cs	25 Jul 2005 22:35:43 -0000	1.5
--- RunTestOptimizedCTOPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.6
***************
*** 50,57 ****
  	/// </summary>
  	[Serializable]
!   public class RunTestOptimizedCTOPorfolio : RunEfficientCTOPorfolio
  	{
     
!     public RunTestOptimizedCTOPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                      int generationNumberForGeneticOptimizer,
--- 50,57 ----
  	/// </summary>
  	[Serializable]
!   public class RunTestOptimizedCTOPortfolio : RunEfficientCTOPortfolio
  	{
     
!     public RunTestOptimizedCTOPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                      int generationNumberForGeneticOptimizer,
***************
*** 98,101 ****
--- 98,102 ----
          this.benchmark );
        report.Show();
+       report.Text = this.getGenomeCounterInfo();
      }
       

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** EndOfDayTimerHandler.cs	24 Jun 2005 22:52:25 -0000	1.13
--- EndOfDayTimerHandler.cs	27 Jul 2005 22:30:55 -0000	1.14
***************
*** 66,69 ****
--- 66,75 ----
      
      protected PortfolioType portfolioType;
+ 
+     protected GenomeCounter genomeCounter;
+     public GenomeCounter GenomeCounter
+     {
+       get{return this.genomeCounter;}
+     }
      
      public string[] LastChosenTickers

Index: RunEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunEfficientCTCPortfolio.cs	25 Jul 2005 22:36:56 -0000	1.9
--- RunEfficientCTCPortfolio.cs	27 Jul 2005 22:30:55 -0000	1.10
***************
*** 57,61 ****
  	/// </summary>
  	[Serializable]
! 	public class RunEfficientCTCPorfolio : RunEfficientPorfolio
  	{
      protected int numDayOfPortfolioLife;
--- 57,61 ----
  	/// </summary>
  	[Serializable]
! 	public class RunEfficientCTCPortfolio : RunEfficientPortfolio
  	{
      protected int numDayOfPortfolioLife;
***************
*** 63,67 ****
      protected double maxAcceptableCloseToCloseDrawdown;
  		
!     public RunEfficientCTCPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                      int generationNumberForGeneticOptimizer,
--- 63,67 ----
      protected double maxAcceptableCloseToCloseDrawdown;
  		
!     public RunEfficientCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                      int generationNumberForGeneticOptimizer,

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunTestOptimizedCTCPortfolio.cs	25 Jul 2005 22:35:43 -0000	1.3
--- RunTestOptimizedCTCPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.4
***************
*** 57,61 ****
  	/// </summary>
  	[Serializable]
! 	public class RunTestOptimizedCTCPortfolio : RunEfficientCTCPorfolio
  	{
     
--- 57,61 ----
  	/// </summary>
  	[Serializable]
! 	public class RunTestOptimizedCTCPortfolio : RunEfficientCTCPortfolio
  	{
     
***************
*** 107,110 ****
--- 107,111 ----
          this.benchmark );
        report.Show();
+       report.Text = this.getGenomeCounterInfo();
      }
      

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** GenomeManagerForEfficientCTCPortfolio.cs	25 Jul 2005 22:49:54 -0000	1.8
--- GenomeManagerForEfficientCTCPortfolio.cs	27 Jul 2005 22:30:55 -0000	1.9
***************
*** 40,44 ****
    public class GenomeManagerForEfficientCTCPortfolio : GenomeManagerForEfficientPortfolio
    {
-     private int numDaysOfPortfolioLife;
      private int numDaysForReturnCalculation;
      
--- 40,43 ----
***************
*** 47,51 ****
                                                   DateTime lastQuoteDate,
                                                   int numberOfTickersInPortfolio,
-                                                  int numDaysOfPortfolioLife,
                                                   int numDaysForReturnCalculation,
                                                   double targetPerformance,
--- 46,49 ----
***************
*** 61,65 ****
                            
      {
-       this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.retrieveData();
--- 59,62 ----

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** EndOfDayTimerHandlerCTO.cs	25 Jul 2005 22:52:02 -0000	1.14
--- EndOfDayTimerHandlerCTO.cs	27 Jul 2005 22:30:55 -0000	1.15
***************
*** 46,49 ****
--- 46,50 ----
      protected int numDaysBetweenEachOptimization;
      private int numDaysElapsedSinceLastOptimization;
+     
      public EndOfDayTimerHandlerCTO(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, Account account,
***************
*** 132,137 ****
      }
      
!     
!     protected virtual void setTickers(DateTime currentDate)
      {
        
--- 133,138 ----
      }
      
!     protected virtual void setTickers(DateTime currentDate,
!                                      	bool setGenomeCounter)
      {
        
***************
*** 152,156 ****
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                      this.populationSizeForGeneticOptimizer,
!                                                     this.generationNumberForGeneticOptimizer);
          
          GO.Run(false);
--- 153,160 ----
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                      this.populationSizeForGeneticOptimizer,
!                                                     this.generationNumberForGeneticOptimizer,
!                                                    ConstantsProvider.SeedForRandomGenerator);
!         if(setGenomeCounter)
!         	this.genomeCounter = new GenomeCounter(GO);
          
          GO.Run(false);
***************
*** 184,188 ****
      	   this.numDaysBetweenEachOptimization)
      	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        	//sets tickers to be chosen next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;
--- 188,192 ----
      	   this.numDaysBetweenEachOptimization)
      	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
        	//sets tickers to be chosen next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;

Index: RunLastChosenPortfolioOutOfSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunLastChosenPortfolioOutOfSample.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunLastChosenPortfolioOutOfSample.cs	25 Jun 2005 09:50:44 -0000	1.2
--- RunLastChosenPortfolioOutOfSample.cs	27 Jul 2005 22:30:56 -0000	1.3
***************
*** 52,56 ****
  	/// </summary>
  	[Serializable]
! 	public class RunLastChosenPortfolioOutOfSample : RunEfficientPorfolio
  	{
  		private string[] tickers;
--- 52,56 ----
  	/// </summary>
  	[Serializable]
! 	public class RunLastChosenPortfolioOutOfSample : RunEfficientPortfolio
  	{
  		private string[] tickers;

Index: EndOfDayTimerHandlerCTOTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTOTest.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerCTOTest.cs	26 Jun 2005 14:53:07 -0000	1.5
--- EndOfDayTimerHandlerCTOTest.cs	27 Jul 2005 22:30:55 -0000	1.6
***************
*** 45,48 ****
--- 45,49 ----
    {
      private static bool optimized;
+        
      public EndOfDayTimerHandlerCTOTest(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, Account account,
***************
*** 61,69 ****
      }
      
!     protected override void setTickers(DateTime currentDate)
      {
!     	if(!EndOfDayTimerHandlerCTOTest.optimized)
      	{
!         base.setTickers(currentDate.AddDays(this.numDaysForLiquidity));
  	      EndOfDayTimerHandlerCTOTest.optimized = true;
  	   	}
--- 62,74 ----
      }
      
!     protected override void setTickers(DateTime currentDate, 
!                                       bool setGenomeCounter)
      {
!     	//setGenomeCounter never used; it is necessary for overriding 
!       
!       if(!EndOfDayTimerHandlerCTOTest.optimized)
      	{
!         base.setTickers(currentDate.AddDays(this.numDaysForLiquidity),
!                         true);
  	      EndOfDayTimerHandlerCTOTest.optimized = true;
  	   	}

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** RunEfficientPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.10
--- RunEfficientPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.11
***************
*** 2,6 ****
  QuantProject - Quantitative Finance Library
  
! RunEfficientPorfolio.cs
  Copyright (C) 2003 
  Marco Milletti
--- 2,6 ----
  QuantProject - Quantitative Finance Library
  
! RunEfficientPortfolio.cs
  Copyright (C) 2003 
  Marco Milletti
***************
*** 51,55 ****
  	/// </summary>
  	[Serializable]
!   public class RunEfficientPorfolio
  	{
      protected string tickerGroupID;
--- 51,55 ----
  	/// </summary>
  	[Serializable]
!   public class RunEfficientPortfolio
  	{
      protected string tickerGroupID;
***************
*** 108,112 ****
      }	
  	
! 		public RunEfficientPorfolio(string benchmark,
                                  DateTime startDate, DateTime endDate, 
                                  PortfolioType portfolioType, 
--- 108,112 ----
      }	
  	
! 		public RunEfficientPortfolio(string benchmark,
                                  DateTime startDate, DateTime endDate, 
                                  PortfolioType portfolioType, 
***************
*** 126,130 ****
  		}
      
!     public RunEfficientPorfolio(string tickerGroupID, int numberOfEligibleTickers,
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                  int generationNumberForGeneticOptimizer,
--- 126,130 ----
  		}
      
!     public RunEfficientPortfolio(string tickerGroupID, int numberOfEligibleTickers,
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                  int generationNumberForGeneticOptimizer,
***************
*** 155,158 ****
--- 155,170 ----
        //this.numIntervalDays = 3;
  		}
+     
+     protected string getGenomeCounterInfo()
+     {
+       string returnValue = "";
+       if(this.endOfDayTimerHandler.GenomeCounter != null)
+         returnValue = "Total generated genomes: " +
+                       this.endOfDayTimerHandler.GenomeCounter.TotalEvaluatedGenomes.ToString() + 
+                       "; Current fitness: " +
+                       this.endOfDayTimerHandler.GenomeCounter.BestFitness.ToString();
+       return returnValue;
+     }
+ 
      #region Run
   		

Index: EndOfDayTimerHandlerCTCTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCTest.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerCTCTest.cs	26 Jun 2005 14:53:07 -0000	1.2
--- EndOfDayTimerHandlerCTCTest.cs	27 Jul 2005 22:30:55 -0000	1.3
***************
*** 71,79 ****
      }
  		    
!     protected override void setTickers(DateTime currentDate)
      {
        if(!EndOfDayTimerHandlerCTCTest.optimized)
        {
!       	base.setTickers(currentDate.AddDays(this.numDaysForLiquidity));
        	EndOfDayTimerHandlerCTCTest.optimized = true;
        }
--- 71,82 ----
      }
  		    
!     protected override void setTickers(DateTime currentDate,
!                                         bool setGenomeCounter)
      {
+       //setGenomeCounter never used; it is necessary for overriding 
        if(!EndOfDayTimerHandlerCTCTest.optimized)
        {
!       	base.setTickers(currentDate.AddDays(this.numDaysForLiquidity),
!                         true);
        	EndOfDayTimerHandlerCTCTest.optimized = true;
        }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** RunEfficientCTOPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.20
--- RunEfficientCTOPortfolio.cs	27 Jul 2005 22:30:56 -0000	1.21
***************
*** 54,61 ****
  	/// </summary>
    [Serializable]
!   public class RunEfficientCTOPorfolio : RunEfficientPorfolio
    {
      protected int numDaysBetweenEachOptimization;	
!     public RunEfficientCTOPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
        int numberOfTickersToBeChosen, int numDaysForLiquidity, 
        int generationNumberForGeneticOptimizer,
--- 54,61 ----
  	/// </summary>
    [Serializable]
!   public class RunEfficientCTOPortfolio : RunEfficientPortfolio
    {
      protected int numDaysBetweenEachOptimization;	
!     public RunEfficientCTOPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
        int numberOfTickersToBeChosen, int numDaysForLiquidity, 
        int generationNumberForGeneticOptimizer,

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** GenomeManagerForEfficientPortfolio.cs	25 Jul 2005 22:47:57 -0000	1.13
--- GenomeManagerForEfficientPortfolio.cs	27 Jul 2005 22:30:55 -0000	1.14
***************
*** 120,123 ****
--- 120,124 ----
        this.portfolioType = portfolioType;
        this.setMinAndMaxValueForGenes();
+       GenomeManagement.SetRandomGenerator(QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator);
      }
      
***************
*** 203,207 ****
      public Genome[] GetChilds(Genome parent1, Genome parent2)
      {
!       return 
        	GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2,
        	                                           this.constToDiscoverDuplicateGenes);
--- 204,208 ----
      public Genome[] GetChilds(Genome parent1, Genome parent2)
      {
!       return
        	GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2,
        	                                           this.constToDiscoverDuplicateGenes);

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** EndOfDayTimerHandlerCTC.cs	25 Jul 2005 22:59:57 -0000	1.10
--- EndOfDayTimerHandlerCTC.cs	27 Jul 2005 22:30:55 -0000	1.11
***************
*** 147,151 ****
      
      
!     protected virtual void setTickers(DateTime currentDate)
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
--- 147,152 ----
      
      
!     protected virtual void setTickers(DateTime currentDate,
!                                       bool setGenomeCounter)
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
***************
*** 164,174 ****
            currentDate.AddDays(-this.numDaysForLiquidity), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysOfPortfolioLife, this.numDaysForReturnCalculation,
            this.targetReturn,
           	this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer, 
!                                                     this.generationNumberForGeneticOptimizer);
!         //GO.KeepOnRunningUntilConvergenceIsReached = true;
          GO.Run(false);
          this.chosenTickers = (string[])GO.BestGenome.Meaning;
--- 165,178 ----
            currentDate.AddDays(-this.numDaysForLiquidity), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForReturnCalculation,
            this.targetReturn,
           	this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer, 
!                                                     this.generationNumberForGeneticOptimizer,
!                                                    ConstantsProvider.SeedForRandomGenerator);
!         if(setGenomeCounter)
!           this.genomeCounter = new GenomeCounter(GO);
!         
          GO.Run(false);
          this.chosenTickers = (string[])GO.BestGenome.Meaning;
***************
*** 191,195 ****
        {
          this.orders.Clear();
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //it sets tickers to be chosen at next close
        }
--- 195,199 ----
        {
          this.orders.Clear();
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
          //it sets tickers to be chosen at next close
        }

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.32,1.33

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26140/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added files for testing the close to close efficient portfolio buyed at monday and sold at friday;


Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.32
retrieving revision 1.33
diff -C2 -d -r1.32 -r1.33
*** b7_Scripts.csproj	25 Jul 2005 22:24:09 -0000	1.32
--- b7_Scripts.csproj	27 Jul 2005 22:23:14 -0000	1.33
***************
*** 184,187 ****
--- 184,192 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\EndOfDayTimerHandlerCTCWeekly.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\EndOfDayTimerHandlerCTO.cs"
                      SubType = "Code"
***************
*** 224,227 ****
--- 229,237 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\RunEfficientCTCWeeklyPortfolio.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\RunEfficientCTOPortfolio.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTCWeekly.cs,NONE,1.1 RunEfficientCTCWeeklyPortfolio.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-serv25903/b7_Scripts/TickerSelectionTesting

Added Files:
	EndOfDayTimerHandlerCTCWeekly.cs 
	RunEfficientCTCWeeklyPortfolio.cs 
Log Message:
Added files for testing the close to close efficient portfolio buyed at monday and sold at friday.

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

RunEfficientCTCWeeklyPorfolio.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 System.Data;
using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.ADT.FileManaging;



namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// Script to buy at close on Monday and sell at close
	/// on next Friday (or before, if drawdown crosses a given level)
	/// The efficient portfolio's generation rules are
	/// contained in EndOfDayTimerHandlerCTCWeekly class
	/// </summary>
	[Serializable]
	public class RunEfficientCTCWeeklyPortfolio : RunEfficientPortfolio
	{
    protected int numDaysForReturnCalculation;
    protected double maxAcceptableCloseToCloseDrawdown;
		
    public RunEfficientCTCWeeklyPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                    int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                    int generationNumberForGeneticOptimizer,
                                    int populationSizeForGeneticOptimizer, string benchmark,
                                    DateTime startDate, DateTime endDate,
                                   	int numDaysForReturnCalculation, 
                                   	double targetReturn,
                                    PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
                                    double maxRunningHours):
																base(tickerGroupID, numberOfEligibleTickers, 
                                    numberOfTickersToBeChosen, numDaysForLiquidity, 
                                    generationNumberForGeneticOptimizer,
                                    populationSizeForGeneticOptimizer, benchmark,
                                    startDate, endDate, targetReturn,
                                   	portfolioType, maxRunningHours)
		{
      this.ScriptName = "CloseToCloseScriptsWeeklyEfficientPortfolio";
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
		}

    #region auxiliary overriden methods for Run
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCWeekly(this.tickerGroupID, this.numberOfEligibleTickers,
    	                                                        this.numberOfTickersToBeChosen, this.numDaysForLiquidity,
    	                                                        this.account,
    	                                                        this.generationNumberForGeneticOptimizer,
    	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
    	                                                        this.numDaysForReturnCalculation,
    	                                                        this.targetReturn,
    	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
    }
    
    protected override void run_initializeHistoricalQuoteProvider()
    {
    	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
    protected override void run_addEventHandlers()
    {
           
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);
      
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);
      
      this.endOfDayTimer.OneHourAfterMarketClose += 
      	new OneHourAfterMarketCloseEventHandler(
      	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
    }

    
    #endregion 
	}
}

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

EndOfDayTimerHandlerCTCWeekly.cs
Copyright (C) 2003 
Marco Milletti

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

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

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

using QuantProject.ADT;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	
  /// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the efficient close to close
  /// weekly portfolio (with a given days of life)!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerCTCWeekly : EndOfDayTimerHandler
  {
    protected int numDaysForReturnCalculation;
    protected double maxAcceptableCloseToCloseDrawdown;
    protected bool stopLossConditionReached;
    protected double currentAccountValue;
    protected double previousAccountValue;
    
    public EndOfDayTimerHandlerCTCWeekly(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForLiquidity,
                                Account account,                                
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark,
                                int numDaysForReturnCalculation,
                                double targetReturn,
                               	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
    														base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForLiquidity, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, targetReturn,
                                portfolioType)
    {
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.stopLossConditionReached = false;
      this.currentAccountValue = 0.0;
      this.previousAccountValue = 0.0;
    }
	

    #region MarketCloseEventHandler
    
   
    
    protected void updateStopLossCondition()
    {
      this.previousAccountValue = this.currentAccountValue;
      this.currentAccountValue = this.account.GetMarketValue();
      if((this.currentAccountValue - this.previousAccountValue)
           /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
      {
        this.stopLossConditionReached = true;
      }
      else
      {
        this.stopLossConditionReached = false;
      }
    }    
    
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	this.updateStopLossCondition();
    	
    	if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
    	   DayOfWeek.Monday)
    		this.openPositions();
    	
    	if(this.stopLossConditionReached ||
    	   endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
    	   DayOfWeek.Friday)
    		this.closePositions();
    	
    }
    
    #endregion
    
    #region OneHourAfterMarketCloseEventHandler
    
    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID,false,
                                      currentDate.AddDays(-this.numDaysForLiquidity),
                                      currentDate,
                                      this.numberOfEligibleTickers);
      this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
        new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
                                  false, currentDate.AddDays(-this.numDaysForLiquidity),currentDate,
                                  this.numberOfEligibleTickers, this.benchmark);
      return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
    }
    
    
    protected virtual void setTickers(DateTime currentDate)
    {
      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
        //the optimization process is meaningful only if the initial set of tickers is 
        //larger than the number of tickers to be chosen                     
      
      {
        
      	//double targetReturnForEachPeriodOfPortfolioLife =
      	//	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
      	//the target has to be such that annual system return is minimum 50%
      	//(with no commissions and bid-ask spreads)
      	IGenomeManager genManEfficientCTCPortfolio =
          new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
          currentDate.AddDays(-this.numDaysForLiquidity), 
          currentDate, this.numberOfTickersToBeChosen,
          this.numDaysForReturnCalculation,
          this.targetReturn,
         	this.portfolioType);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                    this.populationSizeForGeneticOptimizer, 
                                                    this.generationNumberForGeneticOptimizer);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
        GO.Run(false);
        this.chosenTickers = (string[])GO.BestGenome.Meaning;
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }

    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
     
      if(this.account.Portfolio.Count == 0 &&
    	   endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
    	   DayOfWeek.Friday)
      {
        this.orders.Clear();
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        //it sets tickers to be chosen at next Monday
      }
    }
		#endregion
  }
}

[Quantproject-developers] QuantProject/b1_ADT ADT.prjx,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26877/b1_ADT

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

Index: ADT.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT.prjx,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ADT.prjx	24 Jun 2005 22:54:50 -0000	1.4
--- ADT.prjx	25 Jul 2005 23:00:50 -0000	1.5
***************
*** 33,36 ****
--- 33,37 ----
      <File name=".\Statistics\AdvancedFunctions.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\EstimatedObject.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\Optimizing\Genetic\NewGenerationEventArgs.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References />

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26877/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 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Scripts.prjx	24 Jun 2005 22:54:51 -0000	1.6
--- Scripts.prjx	25 Jul 2005 23:00:51 -0000	1.7
***************
*** 37,40 ****
--- 37,48 ----
      <File name=".\TickerSelectionTesting\EndOfDayTimerHandlerLastChosenPortfolio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\TickerSelectionTesting\RunLastChosenPortfolioOutOfSample.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\GenomeRepresentation.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\CandidateProperties.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\VisualObjectArchiver.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\LinearCombinationTest.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\MainForm.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\OptimizationOutput.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\RunBestLinearCombination.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\LinearCombination\TestDisplayer.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26639/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTC.cs 
Log Message:
Now the EndOfDayTimerHandler for the Close To Close efficient portfolio contains a handler for the OneHourAfterMarketCloseEvent.
Now, if at a given Close some positions are closed, new positions are opened at the next Close.


Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerCTC.cs	24 Jun 2005 22:52:25 -0000	1.9
--- EndOfDayTimerHandlerCTC.cs	25 Jul 2005 22:59:57 -0000	1.10
***************
*** 51,55 ****
      protected double currentAccountValue;
      protected double previousAccountValue;
! 
      public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity,
--- 51,55 ----
      protected double currentAccountValue;
      protected double previousAccountValue;
!     
      public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity,
***************
*** 71,75 ****
        this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.daysCounter = -1;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
        this.stopLossConditionReached = false;
--- 71,75 ----
        this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.daysCounter = 0;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
        this.stopLossConditionReached = false;
***************
*** 77,82 ****
        this.previousAccountValue = 0.0;
      }
! 		    
!     #region MarketOpenEventHandler
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
--- 77,135 ----
        this.previousAccountValue = 0.0;
      }
! 	
! 
!     #region MarketCloseEventHandler
!     
!    
!     
!     protected void updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       bool positionsJustClosed = false;
!       this.updateStopLossCondition();
!       if(this.account.Portfolio.Count > 0)
!       //portfolio is not empty
!       {
!         this.daysCounter++;
!         if(this.daysCounter == this.numDaysOfPortfolioLife ||
!            this.stopLossConditionReached)
!         //num days of portfolio life or 
!         //max acceptable close to close drawdown reached
!         {
!           this.closePositions();
!           this.daysCounter = 0;
!           positionsJustClosed = true;
!         }
!       }
!       
!       if(this.account.Portfolio.Count == 0 &&
!          !positionsJustClosed)
!         //portfolio is empty but it has not been closed
!         //at the current close
!       {
!         this.openPositions();
!         this.daysCounter = 0;
!       }
!     }
!     
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!     
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
***************
*** 125,191 ****
      }
  
      /// <summary>
!     /// Handles a "Market Open" event.
      /// </summary>
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.updateStopLossCondition();
!       if(this.daysCounter == -1 || this.daysCounter == this.numDaysOfPortfolioLife - 1  ||
!           this.stopLossConditionReached )
!       //at the beginning, after num days of porfolio life has elasped,
!       //or when the stop loss condition is reached
        {
          this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //it sets tickers to be chosen at next close
-         this.orders.Clear();
        }
      }
  		#endregion
- 
-     #region MarketCloseEventHandler
-     
-    
-     
-     protected void updateStopLossCondition()
-     {
-       this.previousAccountValue = this.currentAccountValue;
-       this.currentAccountValue = this.account.GetMarketValue();
-       if((this.currentAccountValue - this.previousAccountValue)
-            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
-       {
-         this.stopLossConditionReached = true;
-       }
-       else
-       {
-         this.stopLossConditionReached = false;
-       }
-     }    
-     
-     public override void MarketCloseEventHandler(
-       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
-     {
-       if(this.daysCounter == -1 || 
-           this.daysCounter == this.numDaysOfPortfolioLife ||
-           this.stopLossConditionReached)
-       //it is the first day or num days of portfolio life or 
-       //max acceptable close to close draw down
-       //has been reached
-       {
-         this.closePositions();
-         this.openPositions();
-         this.daysCounter = 0;
-       }
-       else
-       {
-         this.daysCounter++;
-       }
-     }
-     
-     #endregion
- 
- 		
    }
  }
--- 178,199 ----
      }
  
+     
      /// <summary>
!     /// Handles a "One hour after market close" event.
      /// </summary>
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!      
!       if(this.account.Portfolio.Count == 0 )
        {
+         this.orders.Clear();
          this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //it sets tickers to be chosen at next close
        }
      }
  		#endregion
    }
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25583/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	MainForm.cs 
Log Message:



Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** MainForm.cs	23 Jul 2005 18:06:31 -0000	1.2
--- MainForm.cs	25 Jul 2005 22:52:02 -0000	1.3
***************
*** 221,225 ****
  			//				this.getSetOfTickersToBeOptimized_quickly();
  			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized_quickly();
  //			DataTable setOfTickersToBeOptimized =
  //				this.getSetOfTickersToBeOptimized();
--- 221,225 ----
  			//				this.getSetOfTickersToBeOptimized_quickly();
  			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized();
  //			DataTable setOfTickersToBeOptimized =
  //				this.getSetOfTickersToBeOptimized();

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25583/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTO.cs 
Log Message:



Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** EndOfDayTimerHandlerCTO.cs	24 Jun 2005 22:52:25 -0000	1.13
--- EndOfDayTimerHandlerCTO.cs	25 Jul 2005 22:52:02 -0000	1.14
***************
*** 72,76 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!     	this.openPositions();
      }
  		
--- 72,78 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!     	//temporarily the if condition
!     	//if(this.numDaysElapsedSinceLastOptimization == 0)
!     		this.openPositions();
      }
  		
***************
*** 79,83 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!     	this.closePositions();
      }
      
--- 81,90 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!     	
!     	//temporarily
!     	//if(this.numDaysElapsedSinceLastOptimization ==
!     	//   this.numDaysBetweenEachOptimization)
!     	 		this.closePositions();
!     	  	
      }
      
***************
*** 116,126 ****
        //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
        //return winners.GetTableOfSelectedTickers();
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
!         new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!                                                       this.benchmark, true,
!                                                       currentDate.AddDays(-this.numDaysForLiquidity),
!                                                       currentDate, this.numberOfEligibleTickers/2);
!       //return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!       return lessCorrelated.GetTableOfSelectedTickers();
      }
      
--- 123,133 ----
        //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
        //return winners.GetTableOfSelectedTickers();
!       //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
!       //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       //                                                this.benchmark, true,
!       //                                                currentDate.AddDays(-this.numDaysForLiquidity),
!       //                                                currentDate, this.numberOfEligibleTickers/2);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!       //return lessCorrelated.GetTableOfSelectedTickers();
      }
      
***************
*** 173,177 ****
      {
      	this.orders.Clear();
-     	this.numDaysElapsedSinceLastOptimization++;
      	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
        if(this.numDaysElapsedSinceLastOptimization == 
--- 180,183 ----
***************
*** 182,185 ****
--- 188,195 ----
        	this.numDaysElapsedSinceLastOptimization = 0;
      	}
+       else
+       {
+         this.numDaysElapsedSinceLastOptimization++;
+       }
      	
      }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientCTCPortfolio.cs,1.7,1.8 GenomeManagerForEfficientCTOPortfolio.cs,1.12,1.13

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25036/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
Log Message:
Decode method is now inherited directly by the base class.


Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** GenomeManagerForEfficientCTOPortfolio.cs	13 Jul 2005 16:37:04 -0000	1.12
--- GenomeManagerForEfficientCTOPortfolio.cs	25 Jul 2005 22:49:54 -0000	1.13
***************
*** 55,98 ****
                            
      {
!       this.retrieveData(); 
      }
      
-     
-     public override object Decode(Genome genome)
-     {
-       
-       string[] arrayOfTickers = new string[genome.Genes().Length];
-       int indexOfTicker;
-       for(int index = 0; index < genome.Genes().Length; index++)
-       {
-         indexOfTicker = (int)genome.Genes().GetValue(index);
-         arrayOfTickers[index] = (string)this.setOfTickers.Rows[indexOfTicker][0];
-       }
-       return arrayOfTickers;
-       
-       /*old implementation, to be used for output to console
-       string sequenceOfTickers = ""; 
-       object returnValue;
-       foreach(int index in genome.Genes())
-       {
-         sequenceOfTickers += (string)this.setOfTickers.Rows[index][0] + ";" ;
-       }
-       returnValue = sequenceOfTickers;
-       returnValue += "(rate: " + this.RateOfReturn + " std: " +
-                         System.Math.Sqrt(this.Variance) + ")";
-       return returnValue;
-       */
-     }
-   
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
        float[] returnValue = null;
!       if(!ticker.StartsWith("-"))
!       {
!       	string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       	Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
!       	returnValue = ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
!       	this.numberOfExaminedReturns = returnValue.Length;
!       }
        return returnValue;
      }
--- 55,68 ----
                            
      {
!       this.retrieveData();
      }
      
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
        float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
!       this.numberOfExaminedReturns = returnValue.Length;
!       
        return returnValue;
      }

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** GenomeManagerForEfficientCTCPortfolio.cs	13 Jul 2005 16:37:04 -0000	1.7
--- GenomeManagerForEfficientCTCPortfolio.cs	25 Jul 2005 22:49:54 -0000	1.8
***************
*** 66,105 ****
      }
      
-     
-     public override object Decode(Genome genome)
-     {
-       
-       string[] arrayOfTickers = new string[genome.Genes().Length];
-       int indexOfTicker;
-       for(int index = 0; index < genome.Genes().Length; index++)
-       {
-         indexOfTicker = (int)genome.Genes().GetValue(index);
-         arrayOfTickers[index] = (string)this.setOfTickers.Rows[indexOfTicker][0];
-       }
-       return arrayOfTickers;
-       
-     }
-   
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
        float[] returnValue = null;
!       if(!ticker.StartsWith("-"))
!       {
!       	string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       	Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
!       	float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
!        	returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
!       	int i = 0; //index for ratesOfReturns array
        
- 	      for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
- 	      {
- 	        returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
- 	      	                     allAdjValues[idx] - 1);
- 	        i++;
- 	      }	
-        	this.numberOfExaminedReturns = returnValue.Length;
-       }
        return returnValue;
-     	
      }
     	/*
--- 66,85 ----
      }
      
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
        float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
!       returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
!       int i = 0; //index for ratesOfReturns array
! 	    for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
! 	    {
! 	      returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
! 	      	                    allAdjValues[idx] - 1);
! 	      i++;
! 	    }	
!       this.numberOfExaminedReturns = returnValue.Length;
        
        return returnValue;
      }
     	/*

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.12,1.13

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24585/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Added array containing CandidateProperties (information on tickers to be optimized).
Code has been simplified in many points.
More relevant changes:
- Decode method has been updated (and it is now used by inherited classes);
- methods for getting portfolio rates of return have been changed (now they are based on the new CandidateProperties class)  


Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** GenomeManagerForEfficientPortfolio.cs	13 Jul 2005 16:37:04 -0000	1.12
--- GenomeManagerForEfficientPortfolio.cs	25 Jul 2005 22:47:57 -0000	1.13
***************
*** 43,48 ****
      protected int maxValueForGenes;
  
!     protected DataTable setOfTickers;
      protected int originalNumOfTickers;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
--- 43,52 ----
      protected int maxValueForGenes;
  
!     protected DataTable setOfTickers;//used only for keeping
!                                      //the same signature for 
!                                      //protected retrieveData() method
!     protected CandidateProperties[] setOfCandidates;
      protected int originalNumOfTickers;
+     protected int constToDiscoverDuplicateGenes;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
***************
*** 55,67 ****
      protected int numberOfExaminedReturns;
      
!     static public string GetCleanTickerCode(string tickerModifiedCode)
      {
!     	if(tickerModifiedCode.StartsWith("-"))
!     	//if the first char is "-"
!     	//each element of the array of rates of return is
!     	//multiplied by -1
!     		return tickerModifiedCode.Substring(1,tickerModifiedCode.Length -1);
      	else
!     		return tickerModifiedCode;
      }
      
--- 59,68 ----
      protected int numberOfExaminedReturns;
      
!     static public string GetCleanTickerCode(string tickerCodeForLongOrShortTrade)
      {
!     	if(tickerCodeForLongOrShortTrade.StartsWith("-"))
!     		return tickerCodeForLongOrShortTrade.Substring(1,tickerCodeForLongOrShortTrade.Length -1);
      	else
!     		return tickerCodeForLongOrShortTrade;
      }
      
***************
*** 99,102 ****
--- 100,106 ----
      }
      
+     //setOfInitialTickers has to contain the
+     //ticker's symbol in the first column !
+ 
      public GenomeManagerForEfficientPortfolio(DataTable setOfInitialTickers,
  																				      DateTime firstQuoteDate,
***************
*** 107,114 ****
                            
      {
!       this.setOfTickers = setOfInitialTickers;
!  			this.originalNumOfTickers = setOfInitialTickers.Rows.Count;
!       if(!this.setOfTickers.Columns.Contains("ArrayOfRatesOfReturn"))
!         this.setOfTickers.Columns.Add("ArrayOfRatesOfReturn", System.Type.GetType("System.Array"));
        this.firstQuoteDate = firstQuoteDate;
        this.lastQuoteDate = lastQuoteDate;
--- 111,117 ----
                            
      {
!  			this.setOfTickers = setOfInitialTickers;
!       this.originalNumOfTickers = setOfInitialTickers.Rows.Count;
!       this.constToDiscoverDuplicateGenes = this.originalNumOfTickers + 1;
        this.firstQuoteDate = firstQuoteDate;
        this.lastQuoteDate = lastQuoteDate;
***************
*** 117,171 ****
        this.portfolioType = portfolioType;
        this.setMinAndMaxValueForGenes();
-       this.set_SetOfInitialTickers();
-   
-     }
-     
-     
-     private void set_SetOfInitialTickers()
-     {
-       
-       if(this.portfolioType == PortfolioType.ShortAndLong)
-       {
-       	for(int i = 0;i<this.originalNumOfTickers;i++)
-       	{
-       		string ticker = (string)this.setOfTickers.Rows[i][0];
-       		DataRow newRow = this.setOfTickers.NewRow();
-       		newRow[0] = "-" + ticker;
-       		this.setOfTickers.Rows.Add(newRow);
-       		//so, if row[i][0]="TICKER" 
-       		//row[i+originalNumOfTickers][0]="-TICKER"
-       	}
-       }
      }
      
      private void setMinAndMaxValueForGenes()
      {
-       //each genes is the index for the setOfTickers table
        this.minValueForGenes = 0;
!       
!       if(this.portfolioType == PortfolioType.OnlyLong ||
!          this.portfolioType == PortfolioType.OnlyShort)
!             this.maxValueForGenes = this.setOfTickers.Rows.Count - 1;
!       else//ShortAndLong
!             this.maxValueForGenes = this.setOfTickers.Rows.Count*2 - 1;
      }
      
!     
!     
!     protected float getCoefficient(string ticker)
      {
!     	float returnValue;
!     	if(ticker.StartsWith("-"))
!     	//if the first char is "-"
!     	//each element of the array of rates of return is
!     	//multiplied by -1
!     		returnValue = -1;
!     	else
!     		returnValue = 1;
!     	
!     	return returnValue;
!     		
      }
!     
      protected virtual double getFitnessValue_calculate()
      {
--- 120,154 ----
        this.portfolioType = portfolioType;
        this.setMinAndMaxValueForGenes();
      }
      
      private void setMinAndMaxValueForGenes()
      {
        this.minValueForGenes = 0;
!       this.maxValueForGenes = this.originalNumOfTickers - 1;
!            
!       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
      }
      
!     //this protected method has to be called by inherited genome
!     //managers (open to close or close to close) 
!     //only after all initializations provided
!     //by their respective constructors
!     protected void retrieveData()
      {
!       this.setOfCandidates = new CandidateProperties[setOfTickers.Rows.Count];
!       for(int i = 0; i<setOfTickers.Rows.Count; i++)
!       {
!         string ticker = (string)setOfTickers.Rows[i][0];
!         this.setOfCandidates[i] = new CandidateProperties(ticker,
!                                       this.getArrayOfRatesOfReturn(ticker));
!       }
      }
! 
!     //implementation of IGenomeManager
!   
!     #region GetFitnessValue
! 
      protected virtual double getFitnessValue_calculate()
      {
***************
*** 216,224 ****
      }
      
      public Genome[] GetChilds(Genome parent1, Genome parent2)
      {
        return 
        	GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2,
!       	                                           this.originalNumOfTickers);
      }
      
--- 199,209 ----
      }
      
+     #endregion
+ 
      public Genome[] GetChilds(Genome parent1, Genome parent2)
      {
        return 
        	GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2,
!       	                                           this.constToDiscoverDuplicateGenes);
      }
      
***************
*** 228,237 ****
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!         genome.MaxValueForGenes + 1);
        while(genome.HasGene(returnValue) ||
!             genome.HasGene(returnValue + this.originalNumOfTickers) ||
!             genome.HasGene(returnValue - this.originalNumOfTickers) )
!       //the portfolio can't have a long position and a short position
!       // for the same ticker
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
--- 213,221 ----
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!                                                               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
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
***************
*** 241,245 ****
        return returnValue;
      }
-     
          
      public void Mutate(Genome genome, double mutationRate)
--- 225,228 ----
***************
*** 251,256 ****
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
        while(genome.HasGene(newValueForGene) || 
!             genome.HasGene(newValueForGene + this.originalNumOfTickers) ||
!             genome.HasGene(newValueForGene - this.originalNumOfTickers) )
          //the efficient portfolio, in this implementation, 
          // can't have a long position and a short position
--- 234,239 ----
        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
***************
*** 258,284 ****
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!           genome.MaxValueForGenes +1);
        }
        GenomeManagement.MutateOneGene(genome, mutationRate,
!         genePositionToBeMutated, newValueForGene);
      }
      
      public virtual object Decode(Genome genome)
      {
!       string sequenceOfTickers = ""; 
!       object returnValue;
!       foreach(int index in genome.Genes())
        {
!         sequenceOfTickers += (string)this.setOfTickers.Rows[index][0] + ";" ;
        }
!       returnValue = sequenceOfTickers;
!       returnValue += "(rate: " + this.RateOfReturn + " std: " +
!         System.Math.Sqrt(this.Variance) + ")";
!       return returnValue;
      }
      // end of implementation of IGenomeManager
  
      #region old implementation for variance computation
!     
      protected double getPortfolioVariance(int[] tickerIdx)
      {
--- 241,282 ----
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
!                                                          genome.MaxValueForGenes + 1);
        }
        GenomeManagement.MutateOneGene(genome, mutationRate,
!                                      genePositionToBeMutated, newValueForGene);
      }
      
+     #region Decode
+ 
+     private string decode_getTickerCodeForLongOrShortTrade(int geneValue)
+     {
+       string initialCharForTickerCode = "";
+       int position = geneValue;
+       if(geneValue<0)
+       {
+         position = Math.Abs(geneValue + 1);
+         initialCharForTickerCode = "-";
+       }  
+       return initialCharForTickerCode + this.setOfCandidates[position].Ticker;
+     }
+ 
      public virtual object Decode(Genome genome)
      {
!       string[] arrayOfTickers = new string[genome.Genes().Length];
!       int indexOfTicker;
!       for(int index = 0; index < genome.Genes().Length; index++)
        {
!         indexOfTicker = (int)genome.Genes().GetValue(index);
!         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       return arrayOfTickers;
!       
      }
+     #endregion
+ 
      // end of implementation of IGenomeManager
  
      #region old implementation for variance computation
!     /*
      protected double getPortfolioVariance(int[] tickerIdx)
      {
***************
*** 322,346 ****
        return returnValue;
      }
! 
      #endregion
!     
!     
!     protected void retrieveData()
!     {
!       foreach(DataRow row in this.setOfTickers.Rows)
!       {
!         //
!         float[] arrayOfRatesOfReturn = this.getArrayOfRatesOfReturn((string)row[0]);
!         if(arrayOfRatesOfReturn == null)
!         	row["ArrayOfRatesOfReturn"] = DBNull.Value;
!         else
!         	row["ArrayOfRatesOfReturn"] = arrayOfRatesOfReturn;
!       }
!     }
!     
      //this protected method must be overriden by inherited classes
      //specifing the type of rates of return that have to 
      //be analyzed
- 
      protected virtual float[] getArrayOfRatesOfReturn(string ticker)
      {
--- 320,330 ----
        return returnValue;
      }
!     */
      #endregion
!          
!    
      //this protected method must be overriden by inherited classes
      //specifing the type of rates of return that have to 
      //be analyzed
      protected virtual float[] getArrayOfRatesOfReturn(string ticker)
      {
***************
*** 348,378 ****
      	return returnValue;
      }
!    
!         
!     protected double[] getPortfolioRatesOfReturn(int[] tickerIdx)
      {
        double[] returnValue = new double[this.numberOfExaminedReturns];
-       float[] tickerRatesOfReturn;
        for(int i = 0; i<returnValue.Length; i++)    
        {  
!         foreach(int idx in tickerIdx)
!         {
!         	if(this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"] is System.DBNull)
!           //the idx points to a ticker for which short returns are
!           //to be examined
!         		tickerRatesOfReturn =
!         					(float[])this.setOfTickers.Rows[idx - this.originalNumOfTickers]["ArrayOfRatesOfReturn"];
!         	else
!         		tickerRatesOfReturn = (float[])this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"];
!           
!           returnValue[i] += 
!           		this.getCoefficient((string)this.setOfTickers.Rows[idx][0])*
!           		tickerRatesOfReturn[i]/this.genomeSize;
!           //the investment is assumed to be equally divided for each ticker
!         }
        }
        return returnValue;
-       
      }
      
    }
--- 332,373 ----
      	return returnValue;
      }
!     
!     #region getPortfolioRatesOfReturn
!     
!     private int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(int geneValueForTickerIdx)
!     {
!       int position = geneValueForTickerIdx;
!       if(geneValueForTickerIdx<0)
!         position = Math.Abs(geneValueForTickerIdx + 1);
!       return position;
!     }
!     
!     private float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(int tickerIdx,
!                                                                                int arrayElementPosition)
!     {
!       bool longReturns = false;
!       if(tickerIdx > 0)
!         //the tickerIdx points to a ticker for which long returns are to be examined
!         longReturns = true;
!       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(tickerIdx);
!       this.setOfCandidates[position].LongRatesOfReturn = longReturns;
!       float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
!       return (arrayOfRatesOfReturn[arrayElementPosition]/this.GenomeSize);
!       //the investment is assumed to be equally divided for each ticker
!     }    
!     
!     protected double[] getPortfolioRatesOfReturn(int[] tickersIdx)
      {
        double[] returnValue = new double[this.numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
!         foreach(int tickerIdx in tickersIdx)
!           returnValue[i] +=
!             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(tickerIdx,i);
        }
        return returnValue;
      }
+ 
+     #endregion
      
    }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTCPortfolio.cs,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22458/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientCTCPortfolio.cs 
Log Message:
Added handler for the OneHourMarketClose event


Index: RunEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCPortfolio.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** RunEfficientCTCPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.8
--- RunEfficientCTCPortfolio.cs	25 Jul 2005 22:36:56 -0000	1.9
***************
*** 106,113 ****
      protected override void run_addEventHandlers()
      {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);  
!       
        this.endOfDayTimer.MarketClose +=
          new MarketCloseEventHandler(
--- 106,110 ----
      protected override void run_addEventHandlers()
      {
!            
        this.endOfDayTimer.MarketClose +=
          new MarketCloseEventHandler(
***************
*** 117,120 ****
--- 114,121 ----
          new MarketCloseEventHandler(
          this.checkDateForReport);
+       
+       this.endOfDayTimer.OneHourAfterMarketClose += 
+       	new OneHourAfterMarketCloseEventHandler(
+       	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
      }
  

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunTestOptimizedCTCPortfolio.cs,1.2,1.3 RunTestOptimizedCTOPortfolio.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22203/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunTestOptimizedCTCPortfolio.cs 
	RunTestOptimizedCTOPortfolio.cs 
Log Message:
Minor changes


Index: RunTestOptimizedCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTOPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunTestOptimizedCTOPortfolio.cs	26 Jun 2005 14:53:07 -0000	1.4
--- RunTestOptimizedCTOPortfolio.cs	25 Jul 2005 22:35:43 -0000	1.5
***************
*** 57,61 ****
                                      int generationNumberForGeneticOptimizer,
                                      int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate, double targetReturn,
                                      PortfolioType portfolioType, double maxRunningHours, 
                                     	int numDaysBetweenEachOptimization):
--- 57,61 ----
                                      int generationNumberForGeneticOptimizer,
                                      int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime endDate, double targetReturn,
                                      PortfolioType portfolioType, double maxRunningHours, 
                                     	int numDaysBetweenEachOptimization):
***************
*** 64,68 ****
                                      generationNumberForGeneticOptimizer,
                                      populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, targetReturn,
                                     	portfolioType, maxRunningHours,
                                     	numDaysBetweenEachOptimization)
--- 64,68 ----
                                      generationNumberForGeneticOptimizer,
                                      populationSizeForGeneticOptimizer, benchmark,
!                                     endDate.AddDays(-numDaysForLiquidity), endDate, targetReturn,
                                     	portfolioType, maxRunningHours,
                                     	numDaysBetweenEachOptimization)
***************
*** 93,100 ****
        
        Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "Test optimization of OpenClose efficient portfolio", 1 ,
          new EndOfDayDateTime( this.endDateTime.DateTime ,
          EndOfDaySpecificTime.MarketClose ) ,
!         "^NDX" );
        report.Show();
      }
--- 93,100 ----
        
        Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "TestOptimizationOpenToCloseEfficientPortfolio", 1 ,
          new EndOfDayDateTime( this.endDateTime.DateTime ,
          EndOfDaySpecificTime.MarketClose ) ,
!         this.benchmark );
        report.Show();
      }

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunTestOptimizedCTCPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.2
--- RunTestOptimizedCTCPortfolio.cs	25 Jul 2005 22:35:43 -0000	1.3
***************
*** 64,68 ****
                                      int generationNumberForGeneticOptimizer,
                                      int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
                                     	int numDaysOfPortfolioLife, int numDaysForReturnCalculation, 
                                     	double targetReturn,
--- 64,68 ----
                                      int generationNumberForGeneticOptimizer,
                                      int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime endDate,
                                     	int numDaysOfPortfolioLife, int numDaysForReturnCalculation, 
                                     	double targetReturn,
***************
*** 73,78 ****
                                      generationNumberForGeneticOptimizer,
                                      populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate,
!                                    	numDaysOfPortfolioLife, numDaysForReturnCalculation, 
                                     	targetReturn,
                                      portfolioType, maxAcceptableCloseToCloseDrawdown, 
--- 73,78 ----
                                      generationNumberForGeneticOptimizer,
                                      populationSizeForGeneticOptimizer, benchmark,
!                                     endDate.AddDays(-numDaysForLiquidity), endDate,
!                                    	numDaysOfPortfolioLife - 1, numDaysForReturnCalculation, 
                                     	targetReturn,
                                      portfolioType, maxAcceptableCloseToCloseDrawdown, 
***************
*** 102,109 ****
        ((EndOfDayTimerHandlerCTCTest)this.endOfDayTimerHandler).Reset();
         Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "Test optimization of Close to close efficient portfolio", 1 ,
          new EndOfDayDateTime( this.endDateTime.DateTime ,
          EndOfDaySpecificTime.MarketClose ) ,
!         "^SPX" );
        report.Show();
      }
--- 102,109 ----
        ((EndOfDayTimerHandlerCTCTest)this.endOfDayTimerHandler).Reset();
         Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "TestOptimizationCTCPortfolio", 1 ,
          new EndOfDayDateTime( this.endDateTime.DateTime ,
          EndOfDaySpecificTime.MarketClose ) ,
!         this.benchmark );
        report.Show();
      }