quantproject-developers

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeManagement.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20838/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeManagement.cs 
Log Message:
- Added new public method SetRandomGenerator, for setting the Random generator used by the other public methods.


Index: GenomeManagement.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagement.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagement.cs	13 Jul 2005 16:37:04 -0000	1.4
--- GenomeManagement.cs	25 Jul 2005 22:30:32 -0000	1.5
***************
*** 43,48 ****
      static GenomeManagement()
      {
! 	  		RandomGenerator = new Random((int)DateTime.Now.Ticks);
! 		    childs = new Genome[2];  	
  		}
      
--- 43,48 ----
      static GenomeManagement()
      {
! 	  	RandomGenerator = new Random((int)DateTime.Now.Ticks);
! 		  childs = new Genome[2];  	
  		}
      
***************
*** 64,68 ****
        }
      }
!   	/// <summary>
  		/// Returns an array of genome (length = 2) based 
  		/// on classical one point crossover genes recombination
--- 64,80 ----
        }
      }
!     
!     /// <summary>
!     /// It sets randomGenerator used by all other public methods
!     /// provided by the class.
!     /// If random generation process has to be controlled,
!     /// it needs to be called before all the other public methods
!     /// </summary>
!     public static void SetRandomGenerator(int seedForRandomGenerator)
!     {
!       GenomeManagement.RandomGenerator = new Random(seedForRandomGenerator);
!     }
!     
!     /// <summary>
  		/// Returns an array of genome (length = 2) based 
  		/// on classical one point crossover genes recombination

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20238/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
- Added if condition for calling NewGeneration event (just to avoid run time errors if no handler has been added to the event)
- added new constructor: now it is possible to set directly the randomGenerator 

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** GeneticOptimizer.cs	23 Jul 2005 18:02:23 -0000	1.6
--- GeneticOptimizer.cs	25 Jul 2005 22:27:49 -0000	1.7
***************
*** 41,45 ****
  	{
      #region fields  
!     private static Random random = new Random((int)DateTime.Now.Ticks);
      
      private double mutationRate;
--- 41,45 ----
  	{
      #region fields  
!     private Random random;
      
      private double mutationRate;
***************
*** 143,147 ****
        this.populationSize = populationSize;
        this.generationNumber = generationNumber;
!       
        this.commonInitialization();
      }
--- 143,147 ----
        this.populationSize = populationSize;
        this.generationNumber = generationNumber;
!       this.random = new Random((int)DateTime.Now.Ticks);
        this.commonInitialization();
      }
***************
*** 158,162 ****
        this.generationNumber = generationNumber;
        this.genomeManager = genomeManager;
!       
        this.commonInitialization();
      }
--- 158,176 ----
        this.generationNumber = generationNumber;
        this.genomeManager = genomeManager;
!       this.random = new Random((int)DateTime.Now.Ticks);
!       this.commonInitialization();
!     }
!     
!     public GeneticOptimizer(double crossoverRate, double mutationRate, double elitismRate, 
!                             int populationSize, int generationNumber,
!                             IGenomeManager genomeManager, int seedForRandomGenerator)
!     {
!       this.crossoverRate = crossoverRate;
!       this.mutationRate = mutationRate;
!       this.elitismRate = elitismRate;
!       this.populationSize = populationSize;
!       this.generationNumber = generationNumber;
!       this.genomeManager = genomeManager;
!       this.random = new Random(seedForRandomGenerator);
        this.commonInitialization();
      }
***************
*** 234,239 ****
        this.createGenomes();
        this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs(
! 				this.currentGeneration , this.generationCounter , this.generationNumber ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
--- 248,254 ----
        this.createGenomes();
        this.currentGeneration.Sort(this.genomeComparer);
!       if(this.NewGeneration != null)
! 			  this.NewGeneration( this , new NewGenerationEventArgs(
! 				  this.currentGeneration , this.generationCounter , this.generationNumber ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
***************
*** 263,267 ****
      private int rouletteSelection()
      {
!       double randomFitness = this.totalFitness *(double)GeneticOptimizer.random.Next(1,1001)/1000;
        int idx = -1;
        int first = 0;
--- 278,282 ----
      private int rouletteSelection()
      {
!       double randomFitness = this.totalFitness *(double)this.random.Next(1,1001)/1000;
        int idx = -1;
        int first = 0;
***************
*** 294,303 ****
      {
        this.totalFitness = 0.0;
-       for (int i = 0; i < this.populationSize; i++)
-       {
-         Genome g = ((Genome) this.currentGeneration[i]);
-         this.totalFitness += g.Fitness;
-       }
        
      }
      
--- 309,316 ----
      {
        this.totalFitness = 0.0;
        
+       foreach(Genome g in this.currentGeneration)
+         this.totalFitness += g.Fitness;
+             
      }
      
***************
*** 364,368 ****
          parent1 = ((Genome) this.currentGeneration[indexForParent1]);
          parent2 = ((Genome) this.currentGeneration[indexForParent2]);
!         if ((double)GeneticOptimizer.random.Next(1,1001)/1000 < this.crossoverRate)
          {
            childs = this.genomeManager.GetChilds(parent1, parent2);
--- 377,381 ----
          parent1 = ((Genome) this.currentGeneration[indexForParent1]);
          parent2 = ((Genome) this.currentGeneration[indexForParent2]);
!         if ((double)this.random.Next(1,1001)/1000 < this.crossoverRate)
          {
            childs = this.genomeManager.GetChilds(parent1, parent2);
***************
*** 387,392 ****
        this.updateCurrentGeneration();
        this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs(
! 				this.currentGeneration , this.generationCounter , this.generationNumber ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
--- 400,406 ----
        this.updateCurrentGeneration();
        this.currentGeneration.Sort(this.genomeComparer);
! 			if(this.NewGeneration != null)
! 			  this.NewGeneration( this , new NewGenerationEventArgs(
! 				  this.currentGeneration , this.generationCounter , this.generationNumber ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.31,1.32

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19073/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added CandidateProperties class, where to store information on tickers used by the GenomeManagerForEfficientPortfolio.

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** b7_Scripts.csproj	23 Jul 2005 17:11:22 -0000	1.31
--- b7_Scripts.csproj	25 Jul 2005 22:24:09 -0000	1.32
***************
*** 164,167 ****
--- 164,172 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\CandidateProperties.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\EndOfDayTimerHandler.cs"
                      SubType = "Code"
***************
*** 279,287 ****
                  />
                  <File
-                     RelPath = "WalkForwardTesting\LinearCombination\TestDisplayer.resx"
-                     DependentUpon = "TestDisplayer.cs"
-                     BuildAction = "EmbeddedResource"
-                 />
-                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\VisualObjectArchiver.cs"
                      SubType = "Code"
--- 284,287 ----

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting CandidateProperties.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-serv19073/b7_Scripts/TickerSelectionTesting

Added Files:
	CandidateProperties.cs 
Log Message:
Added CandidateProperties class, where to store information on tickers used by the GenomeManagerForEfficientPortfolio.

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

CandidateProperties.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.Scripts.TickerSelectionTesting.EfficientPortfolios
{
  /// <summary>
  /// This is the class containing basic information
  /// for each candidate to be evaluated in order
  /// to discover the efficient frontier
  /// </summary>
  [Serializable]
  public class CandidateProperties
  {
    private string ticker;
    private float[] arrayOfRatesOfReturn;
    private float[] oppositeArrayOfRatesOfReturn;
    private bool longRatesOfReturn;

    public CandidateProperties(string ticker, float[] arrayOfRatesOfReturn)
    {
      this.ticker = ticker;
      this.longRatesOfReturn = true;
      this.arrayOfRatesOfReturn = arrayOfRatesOfReturn;
    }

    private float[] arrayOfRatesOfReturn_getOppositeArrayOfRatesOfReturn()
    {
      if(this.oppositeArrayOfRatesOfReturn == null)
      //opposite array of rates of returns not set yet
      {
        this.oppositeArrayOfRatesOfReturn = new float[this.arrayOfRatesOfReturn.Length];
        for(int i = 0; i<this.arrayOfRatesOfReturn.Length; i++)
          oppositeArrayOfRatesOfReturn[i] = -this.arrayOfRatesOfReturn[i];
      }  
      return this.oppositeArrayOfRatesOfReturn;
    }

    public float[] ArrayOfRatesOfReturn
    {
      get
      {
        float[] returnValue = this.arrayOfRatesOfReturn;
        if(!this.longRatesOfReturn)
          returnValue = this.arrayOfRatesOfReturn_getOppositeArrayOfRatesOfReturn();
        return returnValue;
      }
    }
    
    public bool LongRatesOfReturn
    {
      set{this.longRatesOfReturn = value;}
      get{return this.longRatesOfReturn;}
    }

    public string Ticker
    {
      get{return this.ticker;}
    }

  }

}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.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-serv14965/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs 
Log Message:
Improvements:
- a gris shows the better optimized genomes
- a firstDate and lastDate date selectors are displayed
  * default is the optimization interval
  * they can be changed to check the out of sample behavior
- right click on a grid row to backtest the selected genome

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestDisplayer.cs	13 Jul 2005 16:43:49 -0000	1.1
--- TestDisplayer.cs	23 Jul 2005 18:10:33 -0000	1.2
***************
*** 1,3 ****
--- 1,26 ----
+ /*
+ QuantProject - Quantitative Finance Library
+ 
+ TestDisplayer.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.Data;
  using System.Drawing;
  using System.Collections;
***************
*** 17,20 ****
--- 40,45 ----
  		/// </summary>
  		private System.ComponentModel.Container components = null;
+ 		private System.Windows.Forms.DateTimePicker dtpFirstDate;
+ 		private System.Windows.Forms.DateTimePicker dtpLastDate;
  
  		// Glauco code
***************
*** 25,29 ****
  			this.dgBestGenomes.DataSource = this.bestGenomes;
  		}
! 		public TestDisplayer( ArrayList bestGenomes )
  		{
  			//
--- 50,55 ----
  			this.dgBestGenomes.DataSource = this.bestGenomes;
  		}
! 		public TestDisplayer( DateTime firstDate , DateTime lastDate ,
! 			ArrayList bestGenomes )
  		{
  			//
***************
*** 33,36 ****
--- 59,64 ----
  
  			// Glauco code
+ 			this.dtpFirstDate.Value = firstDate;
+ 			this.dtpLastDate.Value = lastDate;
        this.bestGenomes = bestGenomes;
  			this.testdisplayer();
***************
*** 60,63 ****
--- 88,93 ----
  		{
  			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
+ 			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
+ 			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
  			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
  			this.SuspendLayout();
***************
*** 66,80 ****
  			// 
  			this.dgBestGenomes.DataMember = "";
  			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(48, 32);
  			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(208, 216);
  			this.dgBestGenomes.TabIndex = 0;
  			// 
  			// TestDisplayer
  			// 
  			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(292, 273);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
  																																	this.dgBestGenomes});
  			this.Name = "TestDisplayer";
--- 96,127 ----
  			// 
  			this.dgBestGenomes.DataMember = "";
+ 			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);
+ 			// 
+ 			// dtpFirstDate
+ 			// 
+ 			this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
+ 			this.dtpFirstDate.Name = "dtpFirstDate";
+ 			this.dtpFirstDate.TabIndex = 1;
+ 			// 
+ 			// dtpLastDate
+ 			// 
+ 			this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
+ 			this.dtpLastDate.Name = "dtpLastDate";
+ 			this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
+ 			this.dtpLastDate.TabIndex = 2;
  			// 
  			// TestDisplayer
  			// 
  			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(496, 341);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
+ 																																	this.dtpLastDate,
+ 																																	this.dtpFirstDate,
  																																	this.dgBestGenomes});
  			this.Name = "TestDisplayer";
***************
*** 85,88 ****
--- 132,157 ----
  		}
  		#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 );
+ 			LinearCombinationTest linearCombinationTest =
+ 				new LinearCombinationTest( this.dtpFirstDate.Value ,
+ 				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 );
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination MainForm.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-serv14325/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	MainForm.cs 
Log Message:
- bestGenomes is managed in a better way
- Console is used to writeln progress while the optimization process goes on

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** MainForm.cs	13 Jul 2005 16:43:49 -0000	1.1
--- MainForm.cs	23 Jul 2005 18:06:31 -0000	1.2
***************
*** 1,7 ****
  using System;
- using System.Data;
- using System.Drawing;
  using System.Collections;
  using System.ComponentModel;
  using System.Windows.Forms;
  
--- 1,8 ----
  using System;
  using System.Collections;
  using System.ComponentModel;
+ using System.Data;
+ using System.Drawing;
+ using System.Threading;
  using System.Windows.Forms;
  
***************
*** 33,37 ****
  	{
  
! 		private int numberOfTickersToBeSavedFromEachGeneration = 5;
  
  		private string tickerGroupID;
--- 34,38 ----
  	{
  
! //		private int numberOfTickersToBeSavedFromEachGeneration = 5;
  
  		private string tickerGroupID;
***************
*** 46,49 ****
--- 47,51 ----
  		private double targetReturn;
  		private PortfolioType portfolioType;
+ 		private GeneticOptimizer GO;
  
  		/// <summary>
***************
*** 171,183 ****
  			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
  		}
  		private void newGenerationEventHandler( object sender ,
  			NewGenerationEventArgs newGenerationEventArgs )
  		{
! 			ArrayList newGenerationBestGenomes = new ArrayList();
  			ArrayList generation = newGenerationEventArgs.Generation;
! 			for ( int i = generation.Count - 1 ;
! 				i > generation.Count - 1 - this.numberOfTickersToBeSavedFromEachGeneration ;
! 				i-- )
! 				this.bestGenomes.Add( generation[ i ] );
  		}
  		private void writeOptimizedGenomesToDisk()
--- 173,203 ----
  			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
  		}
+ 		private void newGenerationEventHandler_updateProgressBar(
+ 			NewGenerationEventArgs newGenerationEventArgs )
+ 		{
+ //			if ( ( newGenerationEventArgs.GenerationCounter == 1 ) ||
+ //				( newGenerationEventArgs.GenerationCounter /	100 * 100 ==
+ //				newGenerationEventArgs.GenerationCounter ) )
+ 				Console.WriteLine(
+ 					newGenerationEventArgs.GenerationCounter.ToString() + " / " +
+ 					newGenerationEventArgs.GenerationNumber.ToString() +
+ 					" - " + DateTime.Now.ToString() );
+ 		}
  		private void newGenerationEventHandler( object sender ,
  			NewGenerationEventArgs newGenerationEventArgs )
  		{
! 			newGenerationEventHandler_updateProgressBar( newGenerationEventArgs );
  			ArrayList generation = newGenerationEventArgs.Generation;
! 			if ( this.bestGenomes.Count == 0 )
! 				// this is the first generation created and this.bestGenomes is still empty
! 				this.bestGenomes.Add( new GenomeRepresentation(
! 					(Genome)generation[ generation.Count - 1 ]  ) );
! 			for ( int i=0 ; i < generation.Count ; i++ )
! 				if ( ((Genome)generation[ i ]).Fitness >
! 					((GenomeRepresentation)this.bestGenomes[
! 					this.bestGenomes.Count - 1 ]).Fitness )
! 					// generation[ i ] is a genome better than the best already stored
! 					this.bestGenomes.Add( new GenomeRepresentation(
! 						(Genome)generation[ i ]  ) );
  		}
  		private void writeOptimizedGenomesToDisk()
***************
*** 185,192 ****
  			VisualObjectArchiver visualObjectArchiver =
  				new VisualObjectArchiver();
! 			visualObjectArchiver.Save( this.bestGenomes , "bgn" ,
  				"Save best genomes" );
  		}
  
  		private void createOptimizedGenomes()
  		{
--- 205,218 ----
  			VisualObjectArchiver visualObjectArchiver =
  				new VisualObjectArchiver();
! 			OptimizationOutput optimizationOutput =
! 				new OptimizationOutput( this.firstDate , this.lastDate ,
! 				this.bestGenomes );
! 			visualObjectArchiver.Save( optimizationOutput , "bgn" ,
  				"Save best genomes" );
  		}
  
+ 		private void createOptimizedGenomes_go()
+ 		{
+ 		}
  		private void createOptimizedGenomes()
  		{
***************
*** 195,199 ****
  			//				this.getSetOfTickersToBeOptimized_quickly();
  			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized();
  			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
  				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
--- 221,227 ----
  			//				this.getSetOfTickersToBeOptimized_quickly();
  			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized_quickly();
! //			DataTable setOfTickersToBeOptimized =
! //				this.getSetOfTickersToBeOptimized();
  			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
  				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
***************
*** 204,215 ****
  				this.portfolioType);
          
! 			GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
  				this.populationSizeForGeneticOptimizer,
  				this.generationNumberForGeneticOptimizer);
! 			GO.NewGeneration += new NewGenerationEventHandler(
  				this.newGenerationEventHandler );
!         
  			GO.Run(false);
!         
  			this.writeOptimizedGenomesToDisk();
  		}
--- 232,247 ----
  				this.portfolioType);
          
! 			this.GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
  				this.populationSizeForGeneticOptimizer,
  				this.generationNumberForGeneticOptimizer);
! 			this.GO.NewGeneration += new NewGenerationEventHandler(
  				this.newGenerationEventHandler );
! 
! //			Thread thread = new Thread(new ThreadStart(this.createOptimizedGenomes_go));
! //			thread.IsBackground = true;
! //			thread.Start();
! 
  			GO.Run(false);
!        
  			this.writeOptimizedGenomesToDisk();
  		}
***************
*** 228,238 ****
  				VisualObjectArchiver visualObjectArchiver =
  					new VisualObjectArchiver();
! 				this.bestGenomes = (ArrayList)visualObjectArchiver.Load(
  					"Load best genomes" , "bgn" , "Load Genomes");
  			}
  		}
  		private void testOptimizedGenomesActually()
  		{
! 			TestDisplayer testDisplayer = new TestDisplayer( this.bestGenomes );
  			testDisplayer.ShowDialog();
  		}
--- 260,275 ----
  				VisualObjectArchiver visualObjectArchiver =
  					new VisualObjectArchiver();
! 				OptimizationOutput optimizationOutput =
!           (OptimizationOutput)visualObjectArchiver.Load(
  					"Load best genomes" , "bgn" , "Load Genomes");
+ 				this.firstDate = optimizationOutput.FirstDate;
+ 				this.lastDate = optimizationOutput.LastDate;
+ 				this.bestGenomes = optimizationOutput.BestGenomes;
  			}
  		}
  		private void testOptimizedGenomesActually()
  		{
! 			TestDisplayer testDisplayer = new TestDisplayer(
! 				this.firstDate , this.lastDate , this.bestGenomes );
  			testDisplayer.ShowDialog();
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Portfolio.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13831/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Portfolio.cs 
Log Message:
The property Positions has been added

Index: Portfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Portfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Portfolio.cs	4 Feb 2005 00:12:25 -0000	1.6
--- Portfolio.cs	23 Jul 2005 18:03:08 -0000	1.7
***************
*** 39,42 ****
--- 39,46 ----
    public class Portfolio : Hashtable
    {
+ 		public ICollection Positions
+ 		{
+ 			get { return this.Values; }
+ 		}
      public Portfolio() : base()
      {

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13685/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
The NewGeneration event args are enriched with currentGeneration and generationNumber

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GeneticOptimizer.cs	13 Jul 2005 16:36:03 -0000	1.5
--- GeneticOptimizer.cs	23 Jul 2005 18:02:23 -0000	1.6
***************
*** 234,238 ****
        this.createGenomes();
        this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs( this.currentGeneration ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
--- 234,239 ----
        this.createGenomes();
        this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs(
! 				this.currentGeneration , this.generationCounter , this.generationNumber ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
***************
*** 386,390 ****
        this.updateCurrentGeneration();
        this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs( this.currentGeneration ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
--- 387,392 ----
        this.updateCurrentGeneration();
        this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs(
! 				this.currentGeneration , this.generationCounter , this.generationNumber ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13352/b1_ADT/Optimizing/Genetic

Modified Files:
	NewGenerationEventArgs.cs 
Log Message:
- The property GenerationNumber has been added
- The property GenerationCounter has been added

Index: NewGenerationEventArgs.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/NewGenerationEventArgs.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** NewGenerationEventArgs.cs	13 Jul 2005 16:32:10 -0000	1.1
--- NewGenerationEventArgs.cs	23 Jul 2005 18:01:02 -0000	1.2
***************
*** 33,41 ****
--- 33,60 ----
  	{
  		private ArrayList generation;
+ 		private int generationNumber;
+ 		private int generationCounter;
  
+ 		/// <summary>
+ 		/// Current generation
+ 		/// </summary>
  		public ArrayList Generation
  		{
  			get { return this.generation; }
  		}
+ 		/// <summary>
+ 		/// Total number of generations to be created
+ 		/// </summary>
+ 		public int GenerationNumber
+ 		{
+ 			get { return this.generationNumber; }
+ 		}
+ 		/// <summary>
+ 		/// Number of the current generation
+ 		/// </summary>
+ 		public int GenerationCounter
+ 		{
+ 			get { return this.generationCounter; }
+ 		}
  
  		public NewGenerationEventArgs( ArrayList generation )
***************
*** 43,46 ****
--- 62,72 ----
  			this.generation = generation;
  		}
+ 		public NewGenerationEventArgs( ArrayList generation ,
+ 			int generationCounter , int generationNumber )
+ 		{
+ 			this.generation = generation;
+ 			this.generationCounter = generationCounter;
+ 			this.generationNumber = generationNumber;
+ 		}
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12752/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	GenomeRepresentation.cs 
Log Message:
Provides the genome relevant informations

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

GenomeRepresentation.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Financial.Ordering;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Provides the genome relevant informations
	/// </summary>
	[Serializable]
	public class GenomeRepresentation
	{
		private Genome genome;

		public string SignedTickers
		{
			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; }
		}

		public static string[] GetSignedTickers( string signedTickers )
		{
			string[] returnValue = signedTickers.Split( ";".ToCharArray() );
			return returnValue;
		}
		public static OrderType GetOrderType( string signedTicker )
		{
			OrderType returnValue;
			if ( signedTicker.IndexOf( "-" ) == 0 )
				returnValue = OrderType.MarketSellShort;
			else
				returnValue = OrderType.MarketBuy;
			return returnValue;
		}
		public static string GetTicker( string signedTicker )
		{
			string returnValue;
			if ( signedTicker.IndexOf( "-" ) == 0 )
				returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 );
			else
				returnValue = signedTicker;
			return returnValue;
		}
		public GenomeRepresentation( Genome genome )
		{
			this.genome = genome;
		}
	}
}

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

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

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

Added Files:
	LinearCombinationTest.cs 
Log Message:
Object to test a linear combination strategy on given positions, on a given period of time 

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

LinearCombinationTest.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;
using System.Collections;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Object to test a linear combination strategy on given positions,
	/// on a given period of time 
	/// </summary>
	public class LinearCombinationTest
	{
		private DateTime firstDate;
		private DateTime lastDate;
		private string[] signedTickers;

		private HistoricalRawQuoteProvider historicalQuoteProvider;
		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
		private Account account;

		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
			string[] signedTickers )
		{
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.signedTickers = signedTickers;
		}
		private long marketOpenEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.Length;
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketOpenEventHandler_addOrder( string signedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
			string ticker = GenomeRepresentation.GetTicker( signedTicker );
			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketOpenEventHandler_addOrders()
		{
			foreach ( string signedTicker in this.signedTickers )
				marketOpenEventHandler_addOrder( signedTicker );
		}
		private void marketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( ( this.account.CashAmount == 0 ) &&
				( this.account.Transactions.Count == 0 ) )
				// cash has not been added yet
				this.account.AddCash( 30000 );
			marketOpenEventHandler_addOrders();
		}

		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
		{
			ArrayList tickers = new ArrayList();
			foreach ( Position position in this.account.Portfolio.Positions )
				tickers.Add( position.Instrument.Key );
			foreach ( string ticker in tickers )
				this.account.ClosePosition( ticker );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
			fiveMinutesBeforeMarketCloseEventHandler_closePositions();
		}
		private void oneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >=
				this.lastDate )
				this.account.EndOfDayTimer.Stop();
		}

		public void Run()
		{
			this.historicalEndOfDayTimer =
				new IndexBasedEndOfDayTimer(
				new EndOfDayDateTime( this.firstDate ,
				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
			this.historicalQuoteProvider =
				new HistoricalRawQuoteProvider();
			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) );
//			OneRank oneRank = new OneRank( account ,
//				this.endDateTime );
			this.historicalEndOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler(
				this.marketOpenEventHandler );
			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.fiveMinutesBeforeMarketCloseEventHandler );
			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.oneHourAfterMarketCloseEventHandler );
			this.account.EndOfDayTimer.Start();

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

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11921/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	OptimizationOutput.cs 
Log Message:
Data to be saved/load to/from disk, resulting from the optimization process.

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

GenomeRepresentation.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;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Data to be saved/load to/from disk, resulting from the
	/// optimization process.
	/// </summary>
	[Serializable]
	public class OptimizationOutput
	{
		private DateTime firstDate;
		public DateTime FirstDate
		{
			get { return this.firstDate; }
		}
		private DateTime lastDate;
		public DateTime LastDate
		{
			get { return this.lastDate; }
		}
		private ArrayList bestGenomes;
		public ArrayList BestGenomes
		{
			get { return this.bestGenomes; }
		}
		public OptimizationOutput( DateTime firstDate ,
			DateTime lastDate , ArrayList bestGenomes )
		{
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.bestGenomes = bestGenomes;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.30,1.31

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3693/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
- WalkForwardTesting\LinearCombination\GenomeRepresentation.cs has been added
- WalkForwardTesting\LinearCombination\LinearCombinationTest.cs has been added
- WalkForwardTesting\LinearCombination\OptimizationOutput.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.30
retrieving revision 1.31
diff -C2 -d -r1.30 -r1.31
*** b7_Scripts.csproj	13 Jul 2005 16:42:24 -0000	1.30
--- b7_Scripts.csproj	23 Jul 2005 17:11:22 -0000	1.31
***************
*** 244,247 ****
--- 244,257 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\LinearCombinationTest.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\MainForm.cs"
                      SubType = "Form"
***************
*** 254,257 ****
--- 264,272 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\LinearCombination\OptimizationOutput.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\RunBestLinearCombination.cs"
                      SubType = "Code"

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26378

Added Files:
	VisualObjectArchiver.cs 
Log Message:
Saves/Loads objects to/form disk, invoking a dialog form to ask for
the full file path to write/read to/from.

Now it is in the Script "area", but it is written to be fully purpose.
Millo, I believe it may be useful in the presentation layer (I've seen
it would semplify some code you wrote to serialize/deserialize
objects to/from disk). Please let me
know your thoughts.

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

VisualObjectArchiver.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.ComponentModel;
using System.Windows.Forms;

using QuantProject.ADT.FileManaging;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Saves/Loads objects to/form disk, invoking a dialog form to ask for
	/// the full file path to write/read to/from.
	/// </summary>
	public class VisualObjectArchiver
	{
		private SaveFileDialog saveFileDialog;
		/// <summary>
		/// object to be saved
		/// </summary>
		private Object obj;

		public VisualObjectArchiver()
		{
		}
//		public VisualObjectArchiver( ArrayList bestGenomes , string suffix ,
//			string initialDirectory , string title )
//		{
//			this.visualObjectArchiver( bestGenomes , suffix , initialDirectory ,
//				title );
//		}
		private void fileOkEventHandler( object sender , CancelEventArgs e )
		{
			QuantProject.ADT.FileManaging.ObjectArchiver.Archive(
				this.obj , ((SaveFileDialog)this.saveFileDialog).FileName );
		}
		private void save( object obj , string suffix ,
			 string title , string initialDirectory )
		{
			this.obj = obj;
			this.saveFileDialog = new SaveFileDialog();
			this.saveFileDialog.DefaultExt = suffix;
			this.saveFileDialog.Title = title;
			this.saveFileDialog.InitialDirectory = initialDirectory;
			this.saveFileDialog.AddExtension = true;
			this.saveFileDialog.CreatePrompt = true;
			this.saveFileDialog.OverwritePrompt = true;
			//the saveFileDialog title is the same as the
			//menu item clicked by the user
			this.saveFileDialog.CheckPathExists = true;
			this.saveFileDialog.FileOk += new CancelEventHandler(
				this.fileOkEventHandler );
			this.saveFileDialog.ShowDialog();
		}
		public void Save( object obj , string suffix ,
			string title , string initialDirectory )
		{
			this.save( obj , suffix , title , initialDirectory );
		}
		public void Save( object obj , string suffix ,
			string title )
		{
			this.Save( obj , suffix , title ,
				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
		}
		private string getPath( string title )
		{
			OpenFileDialog openFileDialog = new OpenFileDialog();
			openFileDialog.Title = title;
			openFileDialog.Multiselect = false;
			openFileDialog.CheckFileExists = true;
			openFileDialog.ShowDialog();
			return openFileDialog.FileName;
		}
		private object load( object obj , string suffix ,
			string title , string initialDirectory )
		{
			string chosenPath = this.getPath( title );
			return ObjectArchiver.Extract( chosenPath );
		}
		public object Load( object obj , string suffix , string title )
		{
			return this.load( obj , suffix , title ,
				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs,NONE,1.1 RunBestLinearCombination.cs,NONE,1.1 MainForm.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24531

Added Files:
	TestDisplayer.cs RunBestLinearCombination.cs MainForm.cs 
Log Message:
A new Script (LinearCombination) has been add to study
linear combination optimizations.

--- NEW FILE: MainForm.cs ---
using System;
using System.Data;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
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.Business.Financial.Accounting.Commissions;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Summary description for MainForm.
	/// </summary>
	public class MainForm : System.Windows.Forms.Form
	{

		private int numberOfTickersToBeSavedFromEachGeneration = 5;

		private string tickerGroupID;
		private int numberOfEligibleTickers;
		private int numberOfTickersToBeChosen;
		//		private int numDaysForLiquidity;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDate;
		private DateTime lastDate;
		private double targetReturn;
		private PortfolioType portfolioType;

		/// <summary>
		/// bestGenomes[ i ] contains an array list with the best genomes
		/// for generation i
		/// </summary>
		private ArrayList bestGenomes;

		private System.Windows.Forms.MainMenu mainMenu1;
		private System.Windows.Forms.MenuItem menuItem1;
		private System.Windows.Forms.MenuItem menuItem2;
		private System.Windows.Forms.MenuItem menuItem3;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		public MainForm( string tickerGroupID, int numberOfEligibleTickers, 
			int numberOfTickersToBeChosen, int numDaysForLiquidity, 
			int generationNumberForGeneticOptimizer,
			int populationSizeForGeneticOptimizer, string benchmark,
			DateTime firstDate, DateTime lastDate, double targetReturn,
			PortfolioType portfolioType)
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			this.tickerGroupID = tickerGroupID;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			//				this.numDaysForLiquidity = numDaysForLiquidity;
			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.benchmark = benchmark;
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.targetReturn = targetReturn;
			this.portfolioType = portfolioType;
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent()
		{
			this.mainMenu1 = new System.Windows.Forms.MainMenu();
			this.menuItem1 = new System.Windows.Forms.MenuItem();
			this.menuItem2 = new System.Windows.Forms.MenuItem();
			this.menuItem3 = new System.Windows.Forms.MenuItem();
			// 
			// mainMenu1
			// 
			this.mainMenu1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
																																							this.menuItem1});
			// 
			// menuItem1
			// 
			this.menuItem1.Index = 0;
			this.menuItem1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
																																							this.menuItem2,
																																							this.menuItem3});
			this.menuItem1.Text = "File";
			// 
			// menuItem2
			// 
			this.menuItem2.Index = 0;
			this.menuItem2.Text = "Create Optimized Genomes";
			this.menuItem2.Click += new System.EventHandler(this.menuItem2_Click);
			// 
			// menuItem3
			// 
			this.menuItem3.Index = 1;
			this.menuItem3.Text = "Test Optimized Genomes";
			this.menuItem3.Click += new System.EventHandler(this.menuItem3_Click);
			// 
			// MainForm
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(292, 273);
			this.Menu = this.mainMenu1;
			this.Name = "MainForm";
			this.Text = "MainForm";

		}
		#endregion

		#region createOptimizedGenomes
		protected DataTable getSetOfTickersToBeOptimized_quickly()
		{
			DataTable returnValue =
				new QuantProject.Data.DataTables.Tickers_tickerGroups( "test" );
			returnValue.Columns[ 0 ].ColumnName = "tiTicker";
			return returnValue;
		}
		protected DataTable getSetOfTickersToBeOptimized()
		{
			SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
				this.firstDate, this.lastDate,
				this.numberOfEligibleTickers);
      
			DataTable eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
				false, this.firstDate,
				this.lastDate, this.numberOfEligibleTickers, this.benchmark);
			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
		}
		private void newGenerationEventHandler( object sender ,
			NewGenerationEventArgs newGenerationEventArgs )
		{
			ArrayList newGenerationBestGenomes = new ArrayList();
			ArrayList generation = newGenerationEventArgs.Generation;
			for ( int i = generation.Count - 1 ;
				i > generation.Count - 1 - this.numberOfTickersToBeSavedFromEachGeneration ;
				i-- )
				this.bestGenomes.Add( generation[ i ] );
		}
		private void writeOptimizedGenomesToDisk()
		{
			VisualObjectArchiver visualObjectArchiver =
				new VisualObjectArchiver();
			visualObjectArchiver.Save( this.bestGenomes , "bgn" ,
				"Save best genomes" );
		}

		private void createOptimizedGenomes()
		{
			this.bestGenomes = new ArrayList();
			//			DataTable setOfTickersToBeOptimized =
			//				this.getSetOfTickersToBeOptimized_quickly();
			DataTable setOfTickersToBeOptimized =
				this.getSetOfTickersToBeOptimized();
			GenomeManagerForEfficientCTOPortfolio genManEfficientCTOPortfolio = 
				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
				this.firstDate,
				this.lastDate,
				this.numberOfTickersToBeChosen,
				this.targetReturn,
				this.portfolioType);
        
			GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
				this.populationSizeForGeneticOptimizer,
				this.generationNumberForGeneticOptimizer);
			GO.NewGeneration += new NewGenerationEventHandler(
				this.newGenerationEventHandler );
        
			GO.Run(false);
        
			this.writeOptimizedGenomesToDisk();
		}
		private void menuItem2_Click(object sender, System.EventArgs e)
		{
			this.createOptimizedGenomes();
		}

		#endregion

		#region testOptimizedGenomes
		private void loadBestGenomesFromDisk()
		{
			if ( this.bestGenomes == null )
			{
				VisualObjectArchiver visualObjectArchiver =
					new VisualObjectArchiver();
				this.bestGenomes = (ArrayList)visualObjectArchiver.Load(
					"Load best genomes" , "bgn" , "Load Genomes");
			}
		}
		private void testOptimizedGenomesActually()
		{
			TestDisplayer testDisplayer = new TestDisplayer( this.bestGenomes );
			testDisplayer.ShowDialog();
		}
		private void testOptimizedGenomes()
		{
			this.loadBestGenomesFromDisk();
			this.testOptimizedGenomesActually();
		}
		private void menuItem3_Click(object sender, System.EventArgs e)
		{
			this.testOptimizedGenomes();
		}
		#endregion
	}
}

--- NEW FILE: TestDisplayer.cs ---
using System;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Summary description for TestDisplayer.
	/// </summary>
	public class TestDisplayer : System.Windows.Forms.Form
	{
		private System.Windows.Forms.DataGrid dgBestGenomes;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		// Glauco code
		private ArrayList bestGenomes;

		private void testdisplayer()
		{
			this.dgBestGenomes.DataSource = this.bestGenomes;
		}
		public TestDisplayer( ArrayList bestGenomes )
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			// Glauco code
      this.bestGenomes = bestGenomes;
			this.testdisplayer();
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent()
		{
			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
			this.SuspendLayout();
			// 
			// dgBestGenomes
			// 
			this.dgBestGenomes.DataMember = "";
			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
			this.dgBestGenomes.Location = new System.Drawing.Point(48, 32);
			this.dgBestGenomes.Name = "dgBestGenomes";
			this.dgBestGenomes.Size = new System.Drawing.Size(208, 216);
			this.dgBestGenomes.TabIndex = 0;
			// 
			// TestDisplayer
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(292, 273);
			this.Controls.AddRange(new System.Windows.Forms.Control[] {
																																	this.dgBestGenomes});
			this.Name = "TestDisplayer";
			this.Text = "TestDisplayer";
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
			this.ResumeLayout(false);

		}
		#endregion
	}
}

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

RunBestLinearCombination.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Scripting;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Script to buy at open and sell at close 
	/// the best in sample linear combination.
	/// The generation rules
	/// (contained in the EndOfDayTimerHandler) are:
	/// - choose the most liquid tickers;
	/// - choose the best linear combination among these tickers
	/// </summary>
	[Serializable]
	public class RunBestLinearCombination : Script
	{
		private string tickerGroupID;
		private int numberOfEligibleTickers;
		private int numberOfTickersToBeChosen;
		private int numDaysForLiquidity;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDate;
		private DateTime lastDate;
		private double targetReturn;
		private PortfolioType portfolioType;

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

		public override void Run()
    {
			MainForm mainForm = new MainForm( tickerGroupID, numberOfEligibleTickers, 
			numberOfTickersToBeChosen, numDaysForLiquidity, 
			generationNumberForGeneticOptimizer,
			populationSizeForGeneticOptimizer, benchmark,
			firstDate, lastDate, targetReturn,
			portfolioType);
			mainForm.ShowDialog();
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24450/LinearCombination

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

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.29,1.30

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24260/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
A new Script (LinearCombination) has been add to study
linear combination optimizations.

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.29
retrieving revision 1.30
diff -C2 -d -r1.29 -r1.30
*** b7_Scripts.csproj	24 Jun 2005 22:52:25 -0000	1.29
--- b7_Scripts.csproj	13 Jul 2005 16:42:24 -0000	1.30
***************
*** 244,247 ****
--- 244,277 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\LinearCombination\MainForm.cs"
+                     SubType = "Form"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\MainForm.resx"
+                     DependentUpon = "MainForm.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\RunBestLinearCombination.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\TestDisplayer.cs"
+                     SubType = "Form"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\TestDisplayer.resx"
+                     DependentUpon = "TestDisplayer.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\LinearCombination\VisualObjectArchiver.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeManagerTest.cs,1.2,1.3 GenomeManagement.cs,1.3,1.4 GenomeComparer.cs,1.2,1.3 Genome.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23124/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeManagerTest.cs GenomeManagement.cs GenomeComparer.cs 
	Genome.cs 
Log Message:
The [Serializable] attribute has been added.

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** Genome.cs	24 Jun 2005 22:23:15 -0000	1.4
--- Genome.cs	13 Jul 2005 16:37:04 -0000	1.5
***************
*** 31,34 ****
--- 31,35 ----
  	/// provided by biology
  	/// </summary>
+ 	[Serializable]
  	public class Genome : IComparable
  	{

Index: GenomeManagerTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagerTest.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerTest.cs	10 Jun 2005 18:48:45 -0000	1.2
--- GenomeManagerTest.cs	13 Jul 2005 16:37:04 -0000	1.3
***************
*** 31,34 ****
--- 31,35 ----
  	/// behaviour of the genetic optimizer
  	/// </summary>
+ 	[Serializable]
    public class GenomeManagerTest : IGenomeManager
    {

Index: GenomeComparer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeComparer.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeComparer.cs	17 May 2005 23:02:35 -0000	1.2
--- GenomeComparer.cs	13 Jul 2005 16:37:04 -0000	1.3
***************
*** 29,32 ****
--- 29,33 ----
  	/// Compares genomes by fitness
  	/// </summary>
+ 	[Serializable]
  	public sealed class GenomeComparer : IComparer
  	{

Index: GenomeManagement.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagement.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagement.cs	24 Jun 2005 22:25:49 -0000	1.3
--- GenomeManagement.cs	13 Jul 2005 16:37:04 -0000	1.4
***************
*** 32,35 ****
--- 32,36 ----
  	/// (crossovering, mutating, etc.)
  	/// </summary>
+ 	[Serializable]
    public sealed class GenomeManagement 
  	{

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.11,1.12 GenomeManagerForEfficientCTOPortfolio.cs,1.11,1.12 GenomeManagerForEfficientCTCPortfolio.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23124/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
Log Message:
The [Serializable] attribute has been added.

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** GenomeManagerForEfficientCTOPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.11
--- GenomeManagerForEfficientCTOPortfolio.cs	13 Jul 2005 16:37:04 -0000	1.12
***************
*** 37,40 ****
--- 37,41 ----
  	/// GeneticOptimizer
  	/// </summary>
+ 	[Serializable]
    public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
    {

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** GenomeManagerForEfficientPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.11
--- GenomeManagerForEfficientPortfolio.cs	13 Jul 2005 16:37:04 -0000	1.12
***************
*** 36,39 ****
--- 36,40 ----
    /// efficient portfolios using the GeneticOptimizer
    /// </summary>
+   [Serializable]
    public class GenomeManagerForEfficientPortfolio : IGenomeManager
    {

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** GenomeManagerForEfficientCTCPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.6
--- GenomeManagerForEfficientCTCPortfolio.cs	13 Jul 2005 16:37:04 -0000	1.7
***************
*** 37,40 ****
--- 37,41 ----
  	/// using the GeneticOptimizer
  	/// </summary>
+ 	[Serializable]
    public class GenomeManagerForEfficientCTCPortfolio : GenomeManagerForEfficientPortfolio
    {

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22902/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
- The NewGeneration event has been added.
- The [Serializable] attribute has been added.

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GeneticOptimizer.cs	2 Jun 2005 18:03:59 -0000	1.4
--- GeneticOptimizer.cs	13 Jul 2005 16:36:03 -0000	1.5
***************
*** 27,31 ****
  namespace QuantProject.ADT.Optimizing.Genetic
  {
!   /// <summary>
    /// The class needs to be initialized by an object implementing
    /// IGenomeManager interface 
--- 27,34 ----
  namespace QuantProject.ADT.Optimizing.Genetic
  {
! 	public delegate void NewGenerationEventHandler(
! 	Object sender , NewGenerationEventArgs eventArgs );
! 
! 	/// <summary>
    /// The class needs to be initialized by an object implementing
    /// IGenomeManager interface 
***************
*** 34,37 ****
--- 37,41 ----
    /// keepOnRunningUntilConvergenceIsReached = false, minConvergenceRate = 0.80 
    /// </summary>
+   [Serializable]
  	public class GeneticOptimizer
  	{
***************
*** 124,127 ****
--- 128,133 ----
      }
      #endregion
+ 
+ 		public event NewGenerationEventHandler NewGeneration;
      
      /// <summary>
***************
*** 228,231 ****
--- 234,238 ----
        this.createGenomes();
        this.currentGeneration.Sort(this.genomeComparer);
+ 			this.NewGeneration( this , new NewGenerationEventArgs( this.currentGeneration ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
***************
*** 378,382 ****
        this.nextGeneration.Sort(this.genomeComparer);
        this.updateCurrentGeneration();
!       this.currentGeneration.Sort(this.genomeComparer); 
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();
--- 385,390 ----
        this.nextGeneration.Sort(this.genomeComparer);
        this.updateCurrentGeneration();
!       this.currentGeneration.Sort(this.genomeComparer);
! 			this.NewGeneration( this , new NewGenerationEventArgs( this.currentGeneration ) );
        this.calculateTotalFitness();
        this.updateCumulativeFitnessList();

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22009/b1_ADT/Optimizing/Genetic

Added Files:
	NewGenerationEventArgs.cs 
Log Message:
EventArgs for the NewGeneration event

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

NewGenerationEventArgs.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;

namespace QuantProject.ADT.Optimizing.Genetic
{
	/// <summary>
	/// EventArgs for the NewGeneration event
	/// </summary>
	[Serializable]
	public class NewGenerationEventArgs
	{
		private ArrayList generation;

		public ArrayList Generation
		{
			get { return this.generation; }
		}

		public NewGenerationEventArgs( ArrayList generation )
		{
			this.generation = generation;
		}
	}
}

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj,1.17,1.18

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv21674/b1_ADT

Modified Files:
	b1_ADT.csproj 
Log Message:
NewGenerationEventArgs.cs has been added

Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** b1_ADT.csproj	24 Jun 2005 22:32:09 -0000	1.17
--- b1_ADT.csproj	13 Jul 2005 16:30:30 -0000	1.18
***************
*** 213,216 ****
--- 213,221 ----
                  />
                  <File
+                     RelPath = "Optimizing\Genetic\NewGenerationEventArgs.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Statistics\AdvancedFunctions.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTCTest.cs,1.1,1.2 EndOfDayTimerHandlerCTOTest.cs,1.4,1.5 RunTestOptimizedCTOPortfolio.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3817/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTCTest.cs EndOfDayTimerHandlerCTOTest.cs 
	RunTestOptimizedCTOPortfolio.cs 
Log Message:
Fixed bug in classes for testing the trading strategies on optimized tickers. Now the equity line is really "in sample".

Index: RunTestOptimizedCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTOPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunTestOptimizedCTOPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.3
--- RunTestOptimizedCTOPortfolio.cs	26 Jun 2005 14:53:07 -0000	1.4
***************
*** 96,100 ****
          new EndOfDayDateTime( this.endDateTime.DateTime ,
          EndOfDaySpecificTime.MarketClose ) ,
!         "^SPX" );
        report.Show();
      }
--- 96,100 ----
          new EndOfDayDateTime( this.endDateTime.DateTime ,
          EndOfDaySpecificTime.MarketClose ) ,
!         "^NDX" );
        report.Show();
      }

Index: EndOfDayTimerHandlerCTCTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerCTCTest.cs	2 Jun 2005 18:00:47 -0000	1.1
--- EndOfDayTimerHandlerCTCTest.cs	26 Jun 2005 14:53:07 -0000	1.2
***************
*** 75,79 ****
        if(!EndOfDayTimerHandlerCTCTest.optimized)
        {
!       	base.setTickers(currentDate);
        	EndOfDayTimerHandlerCTCTest.optimized = true;
        }
--- 75,79 ----
        if(!EndOfDayTimerHandlerCTCTest.optimized)
        {
!       	base.setTickers(currentDate.AddDays(this.numDaysForLiquidity));
        	EndOfDayTimerHandlerCTCTest.optimized = true;
        }

Index: EndOfDayTimerHandlerCTOTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTOTest.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerCTOTest.cs	24 Jun 2005 22:52:25 -0000	1.4
--- EndOfDayTimerHandlerCTOTest.cs	26 Jun 2005 14:53:07 -0000	1.5
***************
*** 65,69 ****
      	if(!EndOfDayTimerHandlerCTOTest.optimized)
      	{
!     		base.setTickers(currentDate);
  	      EndOfDayTimerHandlerCTOTest.optimized = true;
  	   	}
--- 65,69 ----
      	if(!EndOfDayTimerHandlerCTOTest.optimized)
      	{
!         base.setTickers(currentDate.AddDays(this.numDaysForLiquidity));
  	      EndOfDayTimerHandlerCTOTest.optimized = true;
  	   	}

[Quantproject-developers] QuantProject/b1_ADT ExtendedDataTable.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19468/b1_ADT

Modified Files:
	ExtendedDataTable.cs 
Log Message:
Added GetRatesOfReturnsFromColumns method

Index: ExtendedDataTable.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDataTable.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** ExtendedDataTable.cs	10 Jun 2005 18:52:00 -0000	1.9
--- ExtendedDataTable.cs	25 Jun 2005 10:01:54 -0000	1.10
***************
*** 161,165 ****
        
      }
!     
      /// <summary>
  	  /// It returns a hashtable containing the common values in two
--- 161,191 ----
        
      }
!     /// <summary>
!     /// Get an array of float corresponding to the rates of return
!     ///  of columnA with respect to columnB
!     /// </summary>
!     public static float[] GetRatesOfReturnsFromColumns(DataTable table,
!                                                        string columnAName, string columnBName)
!     {
!       int numRows = table.Rows.Count;
!       float[] arrayOfFloat = new float[numRows];
!       int index = 0;
!       try
!       {
!         for(; index!= numRows; index++)
!         {
!           arrayOfFloat[index] = (float) table.Rows[index][columnAName] / 
!         	                       (float) table.Rows[index][columnBName] - 1;
!         }
! 
!       }
!       catch(Exception ex)
!       {
!         MessageBox.Show(ex.ToString());
!         index = numRows; //for getting out of the for block
!       }
!       return arrayOfFloat;
!       
!     }
      /// <summary>
  	  /// It returns a hashtable containing the common values in two

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerLastChosenPortfolio.cs,1.1,1.2 GenomeManagerForEfficientCTCPortfolio.cs,1.5,1.6 GenomeManagerForEfficientCTOPortfolio.cs,1.10,1.11 GenomeManagerForEfficientPortfolio.cs,1.10,1.11 RunEfficientPortfolio.cs,1.9,1.10 RunLastChosenPortfolioOutOfSample.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14463/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerLastChosenPortfolio.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientPortfolio.cs RunEfficientPortfolio.cs 
	RunLastChosenPortfolioOutOfSample.cs 
Log Message:
(Sorry: for the last commit I was too confident. I didn't diff files before committing)
Updated files for the EfficientPortfolio script:
- new classes for testing a given array of tickers (normally, for testing out of sample an optimization's result);
- reorganized code in a more object oriented way (now code duplication has been completely erased);
- now, the optimization process for the shortAndLong portfolio should be more efficient (memory is now used properly)

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** GenomeManagerForEfficientCTOPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.10
--- GenomeManagerForEfficientCTOPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.11
***************
*** 86,100 ****
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       float[] returnValue;
!       float coefficient = this.getCoefficient(ticker);
!       string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(tickerQuotes, "quClose", "quOpen");
!       
!       for(int idx = 0; idx!= returnValue.Length; idx++)
        {
!       	returnValue[idx] = coefficient*(returnValue[idx] - 1);
        }
!       return returnValue; 
      }
      /*
--- 86,98 ----
      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;
      }
      /*

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunEfficientPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.9
--- RunEfficientPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.10
***************
*** 96,104 ****
        get { return this.portfolioType; }
      }
!     
!     public IHistoricalQuoteProvider HistoricalQuoteProvider
!     {
!       get { return this.historicalQuoteProvider; }
!     }
      public virtual string ScriptName
      {
--- 96,100 ----
        get { return this.portfolioType; }
      }
!        
      public virtual string ScriptName
      {

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GenomeManagerForEfficientCTCPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.5
--- GenomeManagerForEfficientCTCPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.6
***************
*** 82,100 ****
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       float coefficient = this.getCoefficient(ticker);
!       string tickerCode = GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!     	Quotes tickerQuotes = new Quotes(tickerCode, this.firstQuoteDate, this.lastQuoteDate);
!       float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
!       float[] ratesOfReturns = 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 )
        {
!         ratesOfReturns[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
!       	                     allAdjValues[idx] - 1)*coefficient;
!         i++;
        }
! 
!       return ratesOfReturns;
      }
     	/*
--- 82,104 ----
      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;
!     	
      }
     	/*

Index: EndOfDayTimerHandlerLastChosenPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerLastChosenPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerLastChosenPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.1
--- EndOfDayTimerHandlerLastChosenPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.2
***************
*** 81,85 ****
      	//if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.lastDate) == 0)
        //	this.closePositions();
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.CompareTo(this.firstDate.DateTime) == 0)
        		this.closePositions();
      }
--- 81,85 ----
      	//if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.lastDate) == 0)
        //	this.closePositions();
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.CompareTo(this.lastDate.DateTime.AddDays(-1)) == 0)
        		this.closePositions();
      }

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** GenomeManagerForEfficientPortfolio.cs	24 Jun 2005 22:52:25 -0000	1.10
--- GenomeManagerForEfficientPortfolio.cs	25 Jun 2005 09:50:44 -0000	1.11
***************
*** 52,55 ****
--- 52,56 ----
      protected PortfolioType portfolioType;
      protected double[] portfolioRatesOfReturn;
+     protected int numberOfExaminedReturns;
      
      static public string GetCleanTickerCode(string tickerModifiedCode)
***************
*** 62,66 ****
      	else
      		return tickerModifiedCode;
-     		
      }
      
--- 63,66 ----
***************
*** 150,153 ****
--- 150,155 ----
      }
      
+     
+     
      protected float getCoefficient(string ticker)
      {
***************
*** 189,194 ****
      {
        double returnValue = 0;
-       //OLD IMPLEMENTATION double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
-       //OLD IMPLEMENTATION double portfolioVariance = this.getPortfolioVariance(genome.Genes());
        this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
        double averagePortfolioRateOfReturn = 
--- 191,194 ----
***************
*** 278,281 ****
--- 278,283 ----
      // end of implementation of IGenomeManager
  
+     #region old implementation for variance computation
+     
      protected double getPortfolioVariance(int[] tickerIdx)
      {
***************
*** 320,323 ****
--- 322,328 ----
      }
  
+     #endregion
+     
+     
      protected void retrieveData()
      {
***************
*** 326,379 ****
          //
          float[] arrayOfRatesOfReturn = this.getArrayOfRatesOfReturn((string)row[0]);
!         row["ArrayOfRatesOfReturn"] = arrayOfRatesOfReturn;
        }
      }
      
!     //this protected method can be overriden by inherited classes
!     //which can specify the type of rates of return
!     
!     //in this basic implementation rates of returns
!     //are based on daily close to close
      protected virtual float[] getArrayOfRatesOfReturn(string ticker)
      {
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
!       float[] ratesOfReturns = new float[allAdjValues.Length];
!       int i = 0; //index for ratesOfReturns array
!       
!       for(int idx = 0; idx < allAdjValues.Length; idx++)
!       {
!         ratesOfReturns[i] = allAdjValues[idx+1]/
!           allAdjValues[idx] - 1;
!         i++;
!       }
!       
!       return ratesOfReturns;
      }
     
!     protected double getPortfolioRateOfReturn(int[] tickerIdx)
!     {
!       double returnValue = 0;
!       foreach(int idx in tickerIdx)
!       {
!         returnValue += 
!         		BasicFunctions.SimpleAverage((float[])this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"]);
!       }
!       //the investment is assumed to be equally divided
!       return (returnValue/this.GenomeSize);
!       
!     }
!     
      protected double[] getPortfolioRatesOfReturn(int[] tickerIdx)
      {
!       int numberOfExaminedReturns = 
!           ((float[])this.setOfTickers.Rows[tickerIdx[0]]["ArrayOfRatesOfReturn"]).Length;
!       double[] returnValue = new double[numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
          foreach(int idx in tickerIdx)
          {
!           float[] tickerRatesOfReturn = (float[])this.setOfTickers.Rows[idx]["ArrayOfRatesOfReturn"];
!           returnValue[i] += tickerRatesOfReturn[i]/this.genomeSize; 
            //the investment is assumed to be equally divided for each ticker
          }
--- 331,371 ----
          //
          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)
      {
!     	float[] returnValue = null;
!     	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
          }

Index: RunLastChosenPortfolioOutOfSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunLastChosenPortfolioOutOfSample.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunLastChosenPortfolioOutOfSample.cs	24 Jun 2005 22:52:25 -0000	1.1
--- RunLastChosenPortfolioOutOfSample.cs	25 Jun 2005 09:50:44 -0000	1.2
***************
*** 49,60 ****
  	/// <summary>
  	/// Class for running a test based on last chosen tickers of a given
! 	/// RunEfficientPortfolio - normally, one with optimization purposes -
! 	/// , after it has been executed
  	/// </summary>
  	[Serializable]
  	public class RunLastChosenPortfolioOutOfSample : RunEfficientPorfolio
  	{
!     RunEfficientPorfolio testEfficientPortfolio;
!     public RunLastChosenPortfolioOutOfSample(RunEfficientPorfolio testEfficientPortfolio,
  		                                         string benchmark,
                                  						 DateTime startDate,
--- 49,61 ----
  	/// <summary>
  	/// Class for running a test based on last chosen tickers of a given
! 	/// PortfolioType
  	/// </summary>
  	[Serializable]
  	public class RunLastChosenPortfolioOutOfSample : RunEfficientPorfolio
  	{
! 		private string[] tickers;
! 		private PortfolioType typeOfPortfolio;
!     public RunLastChosenPortfolioOutOfSample(string[] chosenTickers,
!                                              PortfolioType typeOfPortfolio, 
  		                                         string benchmark,
                                  						 DateTime startDate,
***************
*** 64,77 ****
                                  						 		 startDate,
                                  						     endDate,
!                                 						     testEfficientPortfolio.TypeOfPortfolio,
                                  						     maxRunningHours)
  		{
!       this.startDateTime = new EndOfDayDateTime(
          startDate, EndOfDaySpecificTime.MarketOpen );
      	this.endDateTime = new EndOfDayDateTime(
          endDate, EndOfDaySpecificTime.MarketClose );
      	this.ScriptName = "LastChosenPortfolioOutOfSample";
!     	this.testEfficientPortfolio = testEfficientPortfolio;
!     	
  		}
      #region Run
--- 65,79 ----
                                  						 		 startDate,
                                  						     endDate,
!                                 						     typeOfPortfolio,
                                  						     maxRunningHours)
  		{
!       this.tickers = chosenTickers;
!       this.typeOfPortfolio = typeOfPortfolio;
! 			this.startDateTime = new EndOfDayDateTime(
          startDate, EndOfDaySpecificTime.MarketOpen );
      	this.endDateTime = new EndOfDayDateTime(
          endDate, EndOfDaySpecificTime.MarketClose );
      	this.ScriptName = "LastChosenPortfolioOutOfSample";
!     	    	
  		}
      #region Run
***************
*** 80,85 ****
      {
      	this.endOfDayTimerHandler =
!     		new EndOfDayTimerHandlerLastChosenPortfolio(this.testEfficientPortfolio.LastChosenTickers,
!     		                                            this.testEfficientPortfolio.TypeOfPortfolio,
      		                                            this.account,
      		                                            this.benchmark,
--- 82,87 ----
      {
      	this.endOfDayTimerHandler =
!     		new EndOfDayTimerHandlerLastChosenPortfolio(this.tickers,
!     		                                            this.typeOfPortfolio,
      		                                            this.account,
      		                                            this.benchmark,
***************
*** 96,100 ****
      protected override void run_initializeHistoricalQuoteProvider()
      {
!      	this.historicalQuoteProvider = this.testEfficientPortfolio.HistoricalQuoteProvider; 
      }
      protected override void run_initializeAccount()
--- 98,103 ----
      protected override void run_initializeHistoricalQuoteProvider()
      {
!     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!      		
      }
      protected override void run_initializeAccount()