quantproject-developers Mailing List for QuantProject (Page 43)
Brought to you by:
glauco_1
Menu
▾
▴
quantproject-developers
You can subscribe to this list here.
| 2003 |
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
(7) |
Nov
(103) |
Dec
(67) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 |
Jan
(52) |
Feb
(9) |
Mar
(69) |
Apr
(53) |
May
(80) |
Jun
(23) |
Jul
(24) |
Aug
(112) |
Sep
(9) |
Oct
|
Nov
(58) |
Dec
(93) |
| 2005 |
Jan
(90) |
Feb
(93) |
Mar
(61) |
Apr
(56) |
May
(37) |
Jun
(61) |
Jul
(55) |
Aug
(68) |
Sep
(25) |
Oct
(46) |
Nov
(41) |
Dec
(37) |
| 2006 |
Jan
(33) |
Feb
(7) |
Mar
(19) |
Apr
(27) |
May
(73) |
Jun
(49) |
Jul
(83) |
Aug
(66) |
Sep
(45) |
Oct
(16) |
Nov
(15) |
Dec
(7) |
| 2007 |
Jan
(14) |
Feb
(33) |
Mar
|
Apr
(21) |
May
|
Jun
(34) |
Jul
(18) |
Aug
(100) |
Sep
(39) |
Oct
(55) |
Nov
(12) |
Dec
(2) |
| 2008 |
Jan
(120) |
Feb
(133) |
Mar
(129) |
Apr
(104) |
May
(42) |
Jun
(2) |
Jul
(52) |
Aug
(99) |
Sep
(134) |
Oct
|
Nov
(137) |
Dec
(48) |
| 2009 |
Jan
(48) |
Feb
(55) |
Mar
(61) |
Apr
(3) |
May
(2) |
Jun
(1) |
Jul
|
Aug
(51) |
Sep
|
Oct
(7) |
Nov
|
Dec
|
| 2010 |
Jan
(7) |
Feb
(1) |
Mar
(145) |
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
(8) |
Dec
|
| 2011 |
Jan
(78) |
Feb
(1) |
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
(88) |
Sep
(6) |
Oct
(1) |
Nov
|
Dec
|
| 2012 |
Jan
|
Feb
(1) |
Mar
|
Apr
(6) |
May
(5) |
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
(1) |
| 2013 |
Jan
|
Feb
|
Mar
|
Apr
(1) |
May
(2) |
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
(2) |
| 2014 |
Jan
|
Feb
|
Mar
|
Apr
|
May
(1) |
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
|
From: Marco M. <mi...@us...> - 2008-07-01 17:37:11
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader/UserForms In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8804/UserForms Log Message: Directory /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader/UserForms added to the repository |
|
From: Marco M. <mi...@us...> - 2008-07-01 17:36:58
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8420/OpenTickDownloader Log Message: Directory /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader added to the repository |
|
From: Glauco S. <gla...@us...> - 2008-06-07 16:55:16
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1643/Downloader Modified Files: QuantDownloader_SD.csproj Log Message: A couple of resx file were removed (they were not found anyway) Index: QuantDownloader_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/QuantDownloader_SD.csproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** QuantDownloader_SD.csproj 2 Jul 2006 20:08:31 -0000 1.1 --- QuantDownloader_SD.csproj 7 Jun 2008 16:54:58 -0000 1.2 *************** *** 78,87 **** <None Include="app.config" /> <None Include="App.ico" /> - <EmbeddedResource Include="TickerSelectors\TickerSelectorForm.resx"> - <DependentUpon>TickerSelectorForm.cs</DependentUpon> - </EmbeddedResource> - <EmbeddedResource Include="WebDownloader.resx"> - <DependentUpon>WebDownloader.cs</DependentUpon> - </EmbeddedResource> </ItemGroup> <ItemGroup> --- 78,81 ---- |
|
From: Glauco S. <gla...@us...> - 2008-06-07 14:08:44
|
Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19264/b1_ADT Modified Files: ADT_SD.csproj Log Message: Collections\IntArrayManager.cs has been removed Index: ADT_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** ADT_SD.csproj 17 May 2008 14:53:11 -0000 1.10 --- ADT_SD.csproj 7 Jun 2008 14:08:32 -0000 1.11 *************** *** 48,52 **** <Compile Include="AssemblyInfo.cs" /> <Compile Include="BarComponent.cs" /> - <Compile Include="Collections\IntArrayManager.cs" /> <Compile Include="ConstantsProvider.cs" /> <Compile Include="ExtendedDataTable.cs" /> --- 48,51 ---- |
|
From: Glauco S. <gla...@us...> - 2008-05-25 19:05:58
|
Update of /cvsroot/quantproject/QuantProject/b1_ADT/Collections In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29303/b1_ADT/Collections Removed Files: IntArrayManager.cs Log Message: This class has been removed, Array.Copy() is used, now --- IntArrayManager.cs DELETED --- |
|
From: Glauco S. <gla...@us...> - 2008-05-25 16:23:17
|
Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29578/b4_Business Modified Files: Business_SD.csproj Log Message: a2_Strategies\returnsManagement\time\selectors\EvenIntervalsSelector.cs has been added Index: Business_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** Business_SD.csproj 17 May 2008 14:53:35 -0000 1.26 --- Business_SD.csproj 25 May 2008 16:00:28 -0000 1.27 *************** *** 114,117 **** --- 114,118 ---- <Compile Include="a2_Strategies\returnsManagement\time\ReturnInterval.cs" /> <Compile Include="a2_Strategies\returnsManagement\time\ReturnIntervals.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\selectors\EvenIntervalsSelector.cs" /> <Compile Include="a2_Strategies\returnsManagement\time\selectors\IIntervalsSelector.cs" /> <Compile Include="a2_Strategies\returnsManagement\time\selectors\FixedLengthTwoPhasesIntervalsSelector.cs" /> |
|
From: Glauco S. <gla...@us...> - 2008-05-25 15:58:58
|
Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28453/b1_ADT Modified Files: b1_ADT.csproj Log Message: Collections\IntArrayManager.cs has been removed, Array.Copy() is used, now Index: b1_ADT.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** b1_ADT.csproj 11 May 2008 18:52:06 -0000 1.32 --- b1_ADT.csproj 25 May 2008 15:58:43 -0000 1.33 *************** *** 168,176 **** /> <File - RelPath = "Collections\IntArrayManager.cs" - SubType = "Code" - BuildAction = "Compile" - /> - <File RelPath = "Collections\QPHashtable.cs" SubType = "Code" --- 168,171 ---- |
|
From: Marco M. <mi...@us...> - 2008-05-18 22:07:33
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32621/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding Modified Files: BasicDecoderForPVOPositions.cs Log Message: IntArrayManager.SubArray() method has been replaced by Array.Copy(). Index: BasicDecoderForPVOPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding/BasicDecoderForPVOPositions.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** BasicDecoderForPVOPositions.cs 20 Apr 2008 16:37:09 -0000 1.3 --- BasicDecoderForPVOPositions.cs 18 May 2008 22:07:19 -0000 1.4 *************** *** 99,108 **** protected override void setTickerRelatedGeneValues() { ! this.tickerRelatedGeneValues = ! IntArrayManager.SubArray(this.encoded, ! this.numOfGenesDedicatedToThresholds, ! this.encoded.Length - this.numOfGenesDedicatedToThresholds); } - } } --- 99,107 ---- protected override void setTickerRelatedGeneValues() { ! this.tickerRelatedGeneValues = new int[this.encoded.Length - this.numOfGenesDedicatedToThresholds]; ! Array.Copy(this.encoded , this.numOfGenesDedicatedToThresholds , ! this.tickerRelatedGeneValues , 0, ! this.encoded.Length - this.numOfGenesDedicatedToThresholds); } } } |
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/Decoding In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23726/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/Decoding Modified Files: WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility.cs Log Message: IntArrayManager.SubArray() has been replaced by Array.Copy() Index: WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/Decoding/WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility.cs 7 Oct 2007 12:44:38 -0000 1.1 --- WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility.cs 17 May 2008 18:11:21 -0000 1.2 *************** *** 24,28 **** using System.Data; - using QuantProject.ADT.Collections; using QuantProject.Business.Financial.Accounting; using QuantProject.Business.Strategies; --- 24,27 ---- *************** *** 69,76 **** { // this method is useless for a fixed portfolio decoder, ! // but I've written as a guideline for other decoders which // will use numberOfDrivingPositions instead of encoded.Length ! return IntArrayManager.SubArray( encoded , 0 , ! encoded.Length ); } private void decodeSignedTicker_checkParameters( --- 68,80 ---- { // this method is useless for a fixed portfolio decoder, ! // but I've written it as a guideline for other decoders which // will use numberOfDrivingPositions instead of encoded.Length ! int[] tickerRelatedGeneValuesForDrivingPositions = ! new int[ encoded.Length ]; ! Array.Copy( encoded , 0 , tickerRelatedGeneValuesForDrivingPositions , ! 0 , encoded.Length ); ! // return IntArrayManager.SubArray( encoded , 0 , ! // encoded.Length ); ! return tickerRelatedGeneValuesForDrivingPositions; } private void decodeSignedTicker_checkParameters( |
|
From: Glauco S. <gla...@us...> - 2008-05-17 18:10:48
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22276/b7_Scripts/WalkForwardTesting/PairsTrading Modified Files: PairsTradingMain.cs Log Message: Some code has been added, to test the CTO strategy Index: PairsTradingMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** PairsTradingMain.cs 11 May 2008 19:13:22 -0000 1.15 --- PairsTradingMain.cs 17 May 2008 18:10:41 -0000 1.16 *************** *** 66,73 **** --- 66,79 ---- this.historicalQuoteProviderForInSample = new HistoricalRawQuoteProvider(); + this.historicalQuoteProviderForChosingPositionsOutOfSample = new HistoricalAdjustedQuoteProvider(); + this.historicalQuoteProviderForChosingPositionsOutOfSample = + new HistoricalRawQuoteProvider(); + this.historicalQuoteProviderForTheBacktesterAccount = new HistoricalRawQuoteProvider(); + this.historicalQuoteProviderForTheBacktesterAccount = + new HistoricalAdjustedQuoteProvider(); // definition for the Fitness Evaluator *************** *** 150,154 **** // inSampleChooser = // new PairsTradingChooserFromSavedBackTestLog( ! // @"C:\qpReports\pairsTrading\longOnly\2008_04_27_4_41_53_pairsTrdng2Long_from_2001_01_01_to_2004_12_31_annlRtrn_128.52_maxDD_25.70\2008_04_27_4_41_53_pairsTrdng_from_2001_01_01_to_2004_12_31_annlRtrn_128.52_maxDD_25.70.qpL", // numberOfBestTestingPositionsToBeReturned); --- 156,160 ---- // inSampleChooser = // new PairsTradingChooserFromSavedBackTestLog( ! // @"C:\qpReports\pairsTrading\2008_05_08_23_49_18_pairsTrdng_from_2005_01_01_to_2008_04_30_annlRtrn_90.70_maxDD_5.43\2008_05_08_23_49_18_pairsTrdng_from_2005_01_01_to_2008_04_30_annlRtrn_90.70_maxDD_5.43.qpL", // numberOfBestTestingPositionsToBeReturned); *************** *** 166,171 **** IIntervalsSelector intervalsSelectorForOutOfSample = new OddIntervalsSelector( 1 , 1 , this.benchmark ); IIntervalsSelector intervalsSelectorForInSample = ! intervalsSelectorForOutOfSample; // uncomment the following two statements in order to use an --- 172,180 ---- IIntervalsSelector intervalsSelectorForOutOfSample = new OddIntervalsSelector( 1 , 1 , this.benchmark ); + // uncomment the following statement in order to test a CTO strategy (out of sample) + intervalsSelectorForOutOfSample = + new EvenIntervalsSelector( 1 , 1 , this.benchmark ); IIntervalsSelector intervalsSelectorForInSample = ! new OddIntervalsSelector( 1 , 1 , this.benchmark ); // uncomment the following two statements in order to use an *************** *** 215,220 **** DateTime firstDateTime = new DateTime( 2001 , 1 , 1 ); DateTime lastDateTime = new DateTime( 2008 , 4 , 30 ); ! // uncomment the following line for a faster script // lastDateTime = new DateTime( 2001 , 1 , 31 ); --- 224,232 ---- DateTime firstDateTime = new DateTime( 2001 , 1 , 1 ); + firstDateTime = new DateTime( 2005 , 1 , 1 ); DateTime lastDateTime = new DateTime( 2008 , 4 , 30 ); ! ! // uncomment the following two lines for a faster script ! // firstDateTime = new DateTime( 2001 , 1 , 1 ); // lastDateTime = new DateTime( 2001 , 1 , 31 ); |
|
From: Glauco S. <gla...@us...> - 2008-05-17 18:06:26
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15948/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies Modified Files: PairsTradingStrategy.cs Log Message: Some old, commented out code, has been removed Index: PairsTradingStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** PairsTradingStrategy.cs 11 May 2008 16:56:43 -0000 1.3 --- PairsTradingStrategy.cs 17 May 2008 18:06:22 -0000 1.4 *************** *** 42,53 **** public class PairsTradingStrategy : SymmetricEndOfDayStrategyForBacktester { - // private WeightedPositions positionsToBeOpened; - - // private double - // minThresholdForGoingLong, - // maxThresholdForGoingLong, - // minThresholdForGoingShort, - // maxThresholdForGoingShort; - private IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample; --- 42,45 ---- *************** *** 74,82 **** historicalQuoteProviderForInSample ) { - // this.minThresholdForGoingLong = minThresholdForGoingLong; - // this.maxThresholdForGoingLong = maxThresholdForGoingLong; - // this.minThresholdForGoingShort = minThresholdForGoingShort; - // this.maxThresholdForGoingShort = maxThresholdForGoingShort; - this.historicalQuoteProviderForChosingPositionsOutOfSample = historicalQuoteProviderForChosingPositionsOutOfSample; --- 66,69 ---- *************** *** 113,125 **** #endregion arePositionsToBeClosed - // protected override bool marketOpenEventHandler_arePositionsToBeOpened() - // { - // return this.arePositionsToBeOpened(); - // } - // protected override bool marketCloseEventHandler_arePositionsToBeOpened() - // { - // return this.arePositionsToBeOpened(); - // } - protected override bool arePositionsToBeOpened() { --- 100,103 ---- *************** *** 130,321 **** } - // #region getPositionsToBeOpened - // #region getReturnsManagerForLastSecondPhaseInterval - // private EndOfDayDateTime - // getIntervalBeginForLastSecondPhaseInterval() - // { - // // this method will be invoked only if (this.returnIntervals.Count >= 2) - // int secondLastIntervalIndex = - // this.returnIntervals.Count - 2; - // ReturnInterval secondLastInterval = - // this.returnIntervals[ secondLastIntervalIndex ]; - // return secondLastInterval.End; - // } - // private EndOfDayDateTime - // getIntervalEndForLastSecondPhaseInterval() - // { - // return this.lastIntervalAppended().Begin; - // } - // private ReturnInterval - // getReturnIntervalForLastSecondPhaseInterval() - // { - // EndOfDayDateTime intervalBegin = - // this.getIntervalBeginForLastSecondPhaseInterval(); - // EndOfDayDateTime intervalEnd = - // this.getIntervalEndForLastSecondPhaseInterval(); - // ReturnInterval returnIntervalForLastSecondPhaseInterval = - // new ReturnInterval( intervalBegin , intervalEnd ); - // return returnIntervalForLastSecondPhaseInterval; - // } - // private ReturnIntervals - // getReturnIntervalsForLastSecondPhaseInterval() - // { - // ReturnInterval returnIntervalForLastSecondPhaseInterval = - // this.getReturnIntervalForLastSecondPhaseInterval(); - // ReturnIntervals returnIntervalsForLastSecondPhaseInterval = - // new ReturnIntervals( returnIntervalForLastSecondPhaseInterval ); - // return returnIntervalsForLastSecondPhaseInterval; - // } - // private ReturnsManager getReturnsManagerForLastSecondPhaseInterval() - // { - // ReturnIntervals returnIntervals = - // this.getReturnIntervalsForLastSecondPhaseInterval(); - //// ReturnsManager returnsManager = - //// new ReturnsManager( returnIntervals , - //// this.historicalAdjustedQuoteProvider ); - // ReturnsManager returnsManager = - // new ReturnsManager( returnIntervals , - // this.historicalQuoteProviderForChosingPositionsOutOfSample ); - // return returnsManager; - // } - // #endregion getReturnsManagerForLastSecondPhaseInterval - // private double getReturnForTheLastSecondPhaseInterval( - // ReturnsManager returnsManager , - // WeightedPositions weightedPositions ) - // { - // // returnsManager should contain a single ReturnInterval, and - // // this ReturnInterval should be the last second phase interval - // double returnForTheLastSecondPhaseInterval = - // weightedPositions.GetReturn( 0 , returnsManager ); - // return returnForTheLastSecondPhaseInterval; - // } - // - // /// <summary> - // /// Inverts one of the two positions - // /// </summary> - // /// <param name="weightedPositions"></param> - // /// <returns></returns> - // private WeightedPositions getCandidateForPortfolio( - // WeightedPositions weightedPositions ) - // { - // double[] weights = new double[ 2 ]; - // weights[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Weight; - // weights[ 1 ] = -((WeightedPosition)weightedPositions[ 1 ]).Weight; - // string[] tickers = new String[ 2 ]; - // tickers[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Ticker; - // tickers[ 1 ] = ((WeightedPosition)weightedPositions[ 1 ]).Ticker; - // WeightedPositions candidateForPortfolio = - // new WeightedPositions( weights , tickers ); - // return candidateForPortfolio; - // } - // // if the currentWeightedPositions' return satisfies the thresholds - // // then this method returns the WeightedPositions to be opened. - // // Otherwise (currentWeightedPositions' return does NOT - // // satisfy the thresholds) this method returns null - // private WeightedPositions - // getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( - // ReturnsManager returnsManager , - // WeightedPositions currentWeightedPositions ) - // { - // WeightedPositions weightedPositionsToBeOpened = null; - // try - // { - // double returnForTheLastSecondPhaseInterval = - // this.getReturnForTheLastSecondPhaseInterval( - // returnsManager , - // currentWeightedPositions ); - // if ( ( returnForTheLastSecondPhaseInterval >= - // this.minThresholdForGoingLong ) && - // ( returnForTheLastSecondPhaseInterval <= - // this.maxThresholdForGoingLong ) ) - // // it looks like there has been an inefficiency that - // // might be recovered, by going short - // weightedPositionsToBeOpened = currentWeightedPositions.Opposite; - // if ( ( -returnForTheLastSecondPhaseInterval >= - // this.minThresholdForGoingShort ) && - // ( -returnForTheLastSecondPhaseInterval <= - // this.maxThresholdForGoingShort ) ) - // // it looks like there has been an inefficiency that - // // might be recovered, by going long - // weightedPositionsToBeOpened = currentWeightedPositions; - // } - // catch( TickerNotExchangedException ex ) - // { - // string dummy = ex.Message; - // } - // return weightedPositionsToBeOpened; - // } - // private WeightedPositions - // getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( - // ReturnsManager returnsManager , - // int currentTestingPositionsIndex ) - // { - // WeightedPositions currentWeightedPositions = - // this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions; - // WeightedPositions candidateForPortfolio = - // this.getCandidateForPortfolio( currentWeightedPositions ); - // WeightedPositions weightedPositionsToBeOpended = - // this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( - // returnsManager , candidateForPortfolio ); - // return weightedPositionsToBeOpended; - // } - // protected WeightedPositions getPositionsToBeOpened( - // ReturnsManager returnsManager ) - // { - // WeightedPositions weightedPositionsToBeOpended = null; - // int currentTestingPositionsIndex = 0; - // while ( ( weightedPositionsToBeOpended == null ) - // && ( currentTestingPositionsIndex < this.bestTestingPositionsInSample.Length ) ) - // { - // weightedPositionsToBeOpended = - // this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( - // returnsManager , currentTestingPositionsIndex ); - // currentTestingPositionsIndex++; - // } - // return weightedPositionsToBeOpended; - // } - // private WeightedPositions - // getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually() - // { - // ReturnsManager returnsManager = - // this.getReturnsManagerForLastSecondPhaseInterval(); - // WeightedPositions weightedPositions = - // this.getPositionsToBeOpened( returnsManager ); - // return weightedPositions; - // } - // /// <summary> - // /// To be overriden if a subset of the positions has to be returned - // /// </summary> - // /// <param name="weightedPositions"></param> - // /// <returns></returns> - // protected virtual WeightedPositions selectWeightedPositions( - // WeightedPositions weightedPositions ) - // { - // return weightedPositions; - // } - // private WeightedPositions - // getPositionsToBeOpened_withAtLeastASecondPhaseInterval() - // { - // WeightedPositions weightedPositions = - // this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually(); - // WeightedPositions weightedPositionsToBeReturned = null; - // if ( weightedPositions != null ) - // // at least one of the BestTestingPositions shows an inefficiency - // // above the threshold - // weightedPositionsToBeReturned = - // selectWeightedPositions( weightedPositions ); - // return weightedPositionsToBeReturned; - // } - // protected override WeightedPositions getPositionsToBeOpened() - // { - // WeightedPositions weightedPositions = null; - // if ( this.returnIntervals.Count >= 2 ) - // // at least a second phase interval exists - // weightedPositions = - // this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval(); - // return weightedPositions; - // } - // #endregion - protected override WeightedPositions getPositionsToBeOpened() { --- 108,111 ---- *************** *** 336,343 **** this.numDaysForInSampleOptimization , eligibleTickers.Count ); - // logItem.BestWeightedPositionsInSample = - // this.bestTestingPositionsInSample.WeightedPositions; - // logItem.NumberOfEligibleTickers = - // eligibleTickers.Count; return logItem; } --- 126,129 ---- |
|
From: Glauco S. <gla...@us...> - 2008-05-17 18:05:51
|
Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14904/b4_Business/a2_Strategies/returnsManagement/time/selectors Modified Files: OddIntervalsSelector.cs Log Message: - fixedLengthTwoPhasesIntervalsSelector is protected now (it was private in the previous revision) - the method GetFirstInterval() is virtual now - the two changes have been applied because EventIntervalSelector inherits this class Index: OddIntervalsSelector.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors/OddIntervalsSelector.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** OddIntervalsSelector.cs 27 Feb 2008 21:41:32 -0000 1.1 --- OddIntervalsSelector.cs 17 May 2008 18:05:41 -0000 1.2 *************** *** 44,48 **** // private int benchmarkTimeStepsForEvenIntervals; // private Benchmark benchmark; ! private FixedLengthTwoPhasesIntervalsSelector fixedLengthTwoPhasesIntervalsSelector; --- 44,48 ---- // private int benchmarkTimeStepsForEvenIntervals; // private Benchmark benchmark; ! protected FixedLengthTwoPhasesIntervalsSelector fixedLengthTwoPhasesIntervalsSelector; *************** *** 87,97 **** return nextOddInterval; } ! public ReturnInterval GetFirstInterval( EndOfDayDateTime startingEndOfDayDateTime ) { ! ReturnInterval nextInterval = this.fixedLengthTwoPhasesIntervalsSelector.GetFirstInterval( startingEndOfDayDateTime ); ! return nextInterval; } --- 87,97 ---- return nextOddInterval; } ! public virtual ReturnInterval GetFirstInterval( EndOfDayDateTime startingEndOfDayDateTime ) { ! ReturnInterval firstInterval = this.fixedLengthTwoPhasesIntervalsSelector.GetFirstInterval( startingEndOfDayDateTime ); ! return firstInterval; } |
|
From: Glauco S. <gla...@us...> - 2008-05-17 18:03:00
|
Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11299/b4_Business Modified Files: b4_Business.csproj Log Message: a2_Strategies\returnsManagement\time\selectors\EvenIntervalsSelector.cs has been added Index: b4_Business.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v retrieving revision 1.68 retrieving revision 1.69 diff -C2 -d -r1.68 -r1.69 *** b4_Business.csproj 11 May 2008 18:55:18 -0000 1.68 --- b4_Business.csproj 17 May 2008 18:02:48 -0000 1.69 *************** *** 945,948 **** --- 945,953 ---- /> <File + RelPath = "a2_Strategies\returnsManagement\time\selectors\EvenIntervalsSelector.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a2_Strategies\returnsManagement\time\selectors\FixedLengthTwoPhasesIntervalsSelector.cs" SubType = "Code" |
|
From: Glauco S. <gla...@us...> - 2008-05-17 18:02:28
|
Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10835/time/selectors Added Files: EvenIntervalsSelector.cs Log Message: Selects a set of intervals where there is a fixed number of benchmark time steps for odd intervals (first, third, ...) and a (possibly) different fixed number of benchmark time steps for even intervals (second, fourth, ...). A benchmark time step is either an "open to close" interval or a "close to open" interval (refered to dateTimes when the benchmark is exchanged) Only even intervals (second, fourth, ...) are returned, odd intervals (first, third, ...) are skipped instead --- NEW FILE: EvenIntervalsSelector.cs --- /* QuantProject - Quantitative Finance Library EvenIntervalsSelector.cs Copyright (C) 2007 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.Histories; using QuantProject.Business.Timing; namespace QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors { /// <summary> /// Selects a set of intervals where there is a fixed number of benchmark /// time steps /// for odd intervals (first, third, ...) and a (possibly) different /// fixed number of benchmark time steps for even intervals (second, fourth, ...). /// A benchmark time step is either an "open to close" interval or /// a "close to open" interval (refered to dateTimes when the benchmark is /// exchanged) /// Only even intervals (second, fourth, ...) are returned, odd intervals /// (first, third, ...) are skipped instead /// </summary> public class EvenIntervalsSelector : OddIntervalsSelector { /// <summary> /// Selects a set of intervals where there is a fixed number of benchmark /// time steps /// for odd intervals (first, third, ...) and a (possibly) different /// fixed number of benchmark time steps for even intervals (second, fourth, ...). /// A benchmark time step is either an "open to close" interval or /// a "close to open" interval (refered to dateTimes when the benchmark is /// exchanged) /// Only even intervals (second, fourth, ...) are returned, odd intervals /// (first, third, ...) are skipped instead /// </summary> /// <param name="benchmarkTimeStepsForOddIntervals">number of benchmark time steps /// for odd intervals (first, third, fifth, ...)</param> /// <param name="benchmarkTimeStepsForEvenIntervals">number of benchmark time steps /// for even intervals (second, fourth, sixth, ...)</param> /// <param name="benchmark"></param> public EvenIntervalsSelector( int benchmarkTimeStepsForOddIntervals , int benchmarkTimeStepsForEvenIntervals , Benchmark benchmark ) : base( benchmarkTimeStepsForOddIntervals , benchmarkTimeStepsForEvenIntervals , benchmark ) { } public override ReturnInterval GetFirstInterval( EndOfDayDateTime startingEndOfDayDateTime ) { ReturnInterval firstInterval = this.fixedLengthTwoPhasesIntervalsSelector.GetFirstInterval( startingEndOfDayDateTime ); ReturnIntervals returnIntervalsWithTheFirstIntervalOnly = new ReturnIntervals( firstInterval ); ReturnInterval secondInterval = this.fixedLengthTwoPhasesIntervalsSelector.GetNextInterval( returnIntervalsWithTheFirstIntervalOnly ); return secondInterval; } } } |
|
From: Glauco S. <gla...@us...> - 2008-05-17 14:54:57
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24532/b7_Scripts Modified Files: Scripts_SD.csproj Log Message: - WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs has been removed - WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs has been added - WalkForwardTesting\PairsTrading\OutOfSampleChoosers\OutOfSampleChooserForSingleLongPosition.cs has been removed Index: Scripts_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** Scripts_SD.csproj 3 May 2008 17:53:48 -0000 1.27 --- Scripts_SD.csproj 17 May 2008 14:54:48 -0000 1.28 *************** *** 109,113 **** <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceChooser.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceOptimizableParametersManager.cs" /> ! <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\PairsTradingGeneticChooser.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingChooserFromSavedBackTestLog.cs" /> --- 109,113 ---- <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceChooser.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceOptimizableParametersManager.cs" /> ! <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\PairsTradingGeneticChooser.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingChooserFromSavedBackTestLog.cs" /> *************** *** 119,123 **** <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\OutOfSampleChooserForExactNumberOfBestLongPositions.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\OutOfSampleChooserForSingleLongAndShort.cs" /> - <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\OutOfSampleChooserForSingleLongPosition.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingMain.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingTestingPositions.cs" /> --- 119,122 ---- *************** *** 297,300 **** --- 296,300 ---- <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers" /> <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce" /> + <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding" /> <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic" /> <Folder Include="WalkForwardTesting\PairsTrading\Logging" /> |
|
From: Glauco S. <gla...@us...> - 2008-05-17 14:53:42
|
Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23501/b4_Business Modified Files: Business_SD.csproj Log Message: a2_Strategies\Eligibles\MostLiquidAndLessVolatile.cs has been removed Index: Business_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** Business_SD.csproj 4 May 2008 22:43:57 -0000 1.25 --- Business_SD.csproj 17 May 2008 14:53:35 -0000 1.26 *************** *** 80,84 **** <Compile Include="a2_Strategies\Eligibles\EligibleTickers.cs" /> <Compile Include="a2_Strategies\Eligibles\IEligiblesSelector.cs" /> - <Compile Include="a2_Strategies\Eligibles\MostLiquidAndLessVolatile.cs" /> <Compile Include="a2_Strategies\EndOfDayStrategies\BasicEndOfDayStrategyForBacktester.cs" /> <Compile Include="a2_Strategies\EndOfDayStrategies\SymmetricEndOfDayStrategyForBacktester.cs" /> --- 80,83 ---- |
|
From: Glauco S. <gla...@us...> - 2008-05-17 14:53:22
|
Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23044/b1_ADT Modified Files: ADT_SD.csproj Log Message: Collections\StringArrayManager.cs has been removed Index: ADT_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** ADT_SD.csproj 28 Apr 2008 21:12:21 -0000 1.9 --- ADT_SD.csproj 17 May 2008 14:53:11 -0000 1.10 *************** *** 49,53 **** <Compile Include="BarComponent.cs" /> <Compile Include="Collections\IntArrayManager.cs" /> - <Compile Include="Collections\StringArrayManager.cs" /> <Compile Include="ConstantsProvider.cs" /> <Compile Include="ExtendedDataTable.cs" /> --- 49,52 ---- |
|
From: Glauco S. <gla...@us...> - 2008-05-11 19:13:25
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12885/b7_Scripts/WalkForwardTesting/PairsTrading Modified Files: PairsTradingMain.cs Log Message: The code to build the MostLiquidAndLessVolatile eligibles selector has been removed. Index: PairsTradingMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** PairsTradingMain.cs 11 May 2008 16:54:33 -0000 1.14 --- PairsTradingMain.cs 11 May 2008 19:13:22 -0000 1.15 *************** *** 83,91 **** // tickersGroupId = "fastTest"; IEligiblesSelector eligiblesSelector = - new MostLiquidAndLessVolatile( - tickersGroupId , - maxNumberOfEligiblesToBeChosen ); - eligiblesSelector = new ByPriceMostLiquidAlwaysQuoted( tickersGroupId , --- 83,91 ---- // tickersGroupId = "fastTest"; + // IEligiblesSelector eligiblesSelector = + // new MostLiquidAndLessVolatile( + // tickersGroupId , + // maxNumberOfEligiblesToBeChosen ); IEligiblesSelector eligiblesSelector = new ByPriceMostLiquidAlwaysQuoted( tickersGroupId , *************** *** 214,218 **** double cashToStart = 30000; ! DateTime firstDateTime = new DateTime( 2005 , 1 , 1 ); DateTime lastDateTime = new DateTime( 2008 , 4 , 30 ); // uncomment the following line for a faster script --- 214,218 ---- double cashToStart = 30000; ! DateTime firstDateTime = new DateTime( 2001 , 1 , 1 ); DateTime lastDateTime = new DateTime( 2008 , 4 , 30 ); // uncomment the following line for a faster script |
|
From: Glauco S. <gla...@us...> - 2008-05-11 19:02:34
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8114/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers Modified Files: OutOfSampleChooserForExactNumberOfBestLongPositions.cs Log Message: The method StringArrayManager.SubArray() is not used anymore. The standard method Array.Copy() is used now. Index: OutOfSampleChooserForExactNumberOfBestLongPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForExactNumberOfBestLongPositions.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** OutOfSampleChooserForExactNumberOfBestLongPositions.cs 11 May 2008 16:39:28 -0000 1.2 --- OutOfSampleChooserForExactNumberOfBestLongPositions.cs 11 May 2008 19:02:29 -0000 1.3 *************** *** 98,103 **** { double[] weights = this.getWeights(); ! string[] tickers = StringArrayManager.SubArray( ! longPositionTickers , 0 , this.exactNumberOfBestLongPositionsToBeReturned ); // comment out the following three lines to select only the second best long ticker --- 98,105 ---- { double[] weights = this.getWeights(); ! string[] tickers = ! new String[ this.exactNumberOfBestLongPositionsToBeReturned ]; ! Array.Copy( longPositionTickers , tickers , ! this.exactNumberOfBestLongPositionsToBeReturned ); // comment out the following three lines to select only the second best long ticker |
|
From: Glauco S. <gla...@us...> - 2008-05-11 19:00:56
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7171/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases Modified Files: FixedLengthTwoPhasesStrategy.cs Log Message: The class' comment has been improved Index: FixedLengthTwoPhasesStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** FixedLengthTwoPhasesStrategy.cs 1 Apr 2008 21:30:53 -0000 1.6 --- FixedLengthTwoPhasesStrategy.cs 11 May 2008 19:00:50 -0000 1.7 *************** *** 40,44 **** { /// <summary> ! /// FixedLengthTwoPhases strategy with in sample optimizations /// </summary> public class FixedLengthTwoPhasesStrategy : IEndOfDayStrategyForBacktester --- 40,46 ---- { /// <summary> ! /// FixedLengthTwoPhases strategy with in sample optimizations. ! /// The strategy goes with the best weighted positions for the ! /// first phase, then goes with the opposite for the second phase /// </summary> public class FixedLengthTwoPhasesStrategy : IEndOfDayStrategyForBacktester |
|
From: Glauco S. <gla...@us...> - 2008-05-11 19:00:32
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7077/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases Modified Files: FixedLengthTwoPhasesMain.cs Log Message: The eligibles selector MostLiquidAndLessVolatile is not used anymore. It has been replaced by ByPriceMostLiquidLessVolatileOTCAlwaysQuoted Index: FixedLengthTwoPhasesMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** FixedLengthTwoPhasesMain.cs 1 Apr 2008 21:30:33 -0000 1.7 --- FixedLengthTwoPhasesMain.cs 11 May 2008 19:00:20 -0000 1.8 *************** *** 156,162 **** new FixedLengthTwoPhasesIntervalsSelector( 1 , 1 , benchmark ); IEligiblesSelector eligiblesSelector = ! new MostLiquidAndLessVolatile( ! tickersGroupId , maxNumberOfEligiblesToBeChosen ); FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy = --- 156,171 ---- new FixedLengthTwoPhasesIntervalsSelector( 1 , 1 , benchmark ); + + // IEligiblesSelector eligiblesSelector = + // new MostLiquidAndLessVolatile( + // tickersGroupId , maxNumberOfEligiblesToBeChosen ); IEligiblesSelector eligiblesSelector = ! new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted( ! tickersGroupId , ! true , ! maxNumberOfEligiblesToBeChosen , ! maxNumberOfEligiblesToBeChosen + 50 , ! 10 , 10 , 20 , 75 ); ! FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy = |
|
From: Glauco S. <gla...@us...> - 2008-05-11 18:59:17
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6592/b7_Scripts Modified Files: b7_Scripts.csproj Log Message: The class DecoderForPairsTradingTestingPositionsWithBalancedWeights is also used by the brute force chooser, thus WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs has been moved to WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs Index: b7_Scripts.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v retrieving revision 1.97 retrieving revision 1.98 diff -C2 -d -r1.97 -r1.98 *** b7_Scripts.csproj 3 May 2008 17:53:16 -0000 1.97 --- b7_Scripts.csproj 11 May 2008 18:59:13 -0000 1.98 *************** *** 945,949 **** /> <File ! RelPath = "WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" SubType = "Code" BuildAction = "Compile" --- 945,949 ---- /> <File ! RelPath = "WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" SubType = "Code" BuildAction = "Compile" |
|
From: Glauco S. <gla...@us...> - 2008-05-11 18:58:47
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Decoding In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6186 Added Files: DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs Log Message: The class DecoderForPairsTradingTestingPositionsWithBalancedWeights is also used by the brute force chooser, thus WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs has been moved to WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs --- NEW FILE: DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs --- /* QuantProject - Quantitative Finance Library DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs Copyright (C) 2008 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.Strategies; using QuantProject.Business.Strategies.Optimizing.Decoding; using QuantProject.Business.Strategies.OutOfSample; namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading { /// <summary> /// Decoder for the Pairs Trading strategy /// </summary> public class DecoderForPairsTradingTestingPositionsWithBalancedWeights : DecoderForTestingPositionsWithBalancedWeights { public DecoderForPairsTradingTestingPositionsWithBalancedWeights() { } protected override TestingPositions getMeaningForUndecodable() { return new PairsTradingTestingPositions(); } protected override TestingPositions getTestingPositions(double[] weights, string[] tickers) { WeightedPositions weightedPositions = new WeightedPositions( weights , tickers ); PairsTradingTestingPositions pairsTradingTestingPositions = new PairsTradingTestingPositions( weightedPositions ); return pairsTradingTestingPositions; } } } |
|
From: Glauco S. <gla...@us...> - 2008-05-11 18:58:17
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Decoding In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6125/Decoding Log Message: Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Decoding added to the repository |
|
From: Glauco S. <gla...@us...> - 2008-05-11 18:57:51
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5694/InSampleChoosers/Genetic Removed Files: DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs Log Message: The class DecoderForPairsTradingTestingPositionsWithBalancedWeights is also used by the brute force chooser, thus WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs has been moved to WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Decoding\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs --- DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs DELETED --- |
