quantproject-developers

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/BruteForce/ParametersManagers - New directory

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce/ParametersManagers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20956/ParametersManagers

Log Message:
Directory /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce/ParametersManagers added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13502/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce

Modified Files:
	WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs 
Log Message:
- a new parameter
int numberOfTopBestParameters 
is now passed to the BruteForceOptimizer

Index: WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce/WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs	28 Oct 2007 18:57:50 -0000	1.2
--- WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs	26 Mar 2008 00:54:54 -0000	1.3
***************
*** 365,369 ****
  
  			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager );
  
  			bruteForceOptimizer.NewProgress +=
--- 365,369 ----
  
  			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager , 1 );
  
  			bruteForceOptimizer.NewProgress +=

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.19, 1.20

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13425/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingBruteForceChooser.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** Scripts_SD.csproj	19 Mar 2008 23:31:28 -0000	1.19
--- Scripts_SD.csproj	26 Mar 2008 00:54:08 -0000	1.20
***************
*** 105,108 ****
--- 105,109 ----
      <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\PairsTradingGeneticChooser.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingBruteForceChooser.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\InSample\PairsTradingFitnessEvaluator.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Logging\PairsTradingLogItem.cs" />

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13043/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The code has been changed to use a PairsTradingBruteForceChooser (a PairsTradingGeneticChooser was used in the previous revision)

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingMain.cs	19 Mar 2008 23:24:02 -0000	1.4
--- PairsTradingMain.cs	26 Mar 2008 00:53:41 -0000	1.5
***************
*** 71,75 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  			this.eligiblesSelector =
--- 71,75 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  			this.eligiblesSelector =
***************
*** 81,84 ****
--- 81,93 ----
  		protected override void setInSampleChooser()
  		{
+ 			int numberOfBestTestingPositionsToBeReturned = 10;
+ 			
+ 			IDecoderForTestingPositions decoderForWeightedPositions =
+ 				new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
+ 
+ 			double maxCorrelationAllowed = 0.96;
+ 			IFitnessEvaluator fitnessEvaluator =
+ 				new PairsTradingFitnessEvaluator( maxCorrelationAllowed );
+ 
  			// parameters for the genetic optimizer
  			double crossoverRate = 0.85;
***************
*** 89,109 ****
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
- 
- 			IDecoderForTestingPositions decoderForWeightedPositions =
- 				new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
- 
- 			double maxCorrelationAllowed = 0.96;
- 			IFitnessEvaluator fitnessEvaluator =
- 				new PairsTradingFitnessEvaluator( maxCorrelationAllowed );
- 
  			this.inSampleChooser =
  				new PairsTradingGeneticChooser(
! 				10 ,
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
  				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
  		}
  
--- 98,118 ----
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
  			this.inSampleChooser =
  				new PairsTradingGeneticChooser(
! 				numberOfBestTestingPositionsToBeReturned ,
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
  				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer ,
! 				generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
+ 			
+ 			this.inSampleChooser =
+ 				new PairsTradingBruteForceChooser(
+ 					numberOfBestTestingPositionsToBeReturned ,
+ 					decoderForWeightedPositions ,
+ 					fitnessEvaluator ,
+ 					historicalQuoteProvider );
  		}
  
***************
*** 112,116 ****
  			int inSampleDays = 180;
  			// uncomment the following line for a faster script
! 			inSampleDays = 5;
  			
  			IIntervalsSelector intervalsSelector =
--- 121,125 ----
  			int inSampleDays = 180;
  			// uncomment the following line for a faster script
! //			inSampleDays = 5;
  			
  			IIntervalsSelector intervalsSelector =
***************
*** 121,125 ****
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.007 , 0.99 , 0.007 , 0.99 );
  		}
  		protected override void setEndOfDayStrategyBackTester()
--- 130,134 ----
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.005 , 0.99 , 0.005 , 0.99 );
  		}
  		protected override void setEndOfDayStrategyBackTester()

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization OTCBruteForceOptimizableParametersManager.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11916/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization

Modified Files:
	OTCBruteForceOptimizableParametersManager.cs 
Log Message:
- CombinationBasedBruteForceOptimizableParametersManager is now inherited (several code has been commented out, accordingly)

Index: OTCBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/OTCBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OTCBruteForceOptimizableParametersManager.cs	14 Jan 2008 23:43:47 -0000	1.2
--- OTCBruteForceOptimizableParametersManager.cs	26 Mar 2008 00:51:36 -0000	1.3
***************
*** 37,41 ****
  	/// </summary>
  	public class OTCBruteForceOptimizableParametersManager :
! 		IBruteForceOptimizableParametersManager
  	{
  		private Combination portfolioCombination;
--- 37,41 ----
  	/// </summary>
  	public class OTCBruteForceOptimizableParametersManager :
! 		CombinationBasedBruteForceOptimizableParametersManager
  	{
  		private Combination portfolioCombination;
***************
*** 48,52 ****
  			DateTime firstOptimizationDate ,
  			DateTime lastOptimizationDate ,
! 			int numberOfPortfolioPositions )
  		{
  			this.eligibleTickersForPortfolioPositions =
--- 48,57 ----
  			DateTime firstOptimizationDate ,
  			DateTime lastOptimizationDate ,
! 			int numberOfPortfolioPositions ) :
! 			base( new Combination(
! 			eligibleTickersForPortfolioPositions.Rows.Count ,
! 			eligibleTickersForPortfolioPositions.Rows.Count - 1 ,
! 			numberOfPortfolioPositions ) )
! 
  		{
  			this.eligibleTickersForPortfolioPositions =
***************
*** 65,98 ****
  				
  		}
! 		public bool MoveNext()
! 		{
! 			return this.portfolioCombination.MoveNext();
! 		}
! 		
! 		public void Reset()
! 		{
! 			this.portfolioCombination.Reset();
! 		}
! 		#region Current
! 		public object Current
! 		{
! 			get
! 			{
! 				return this.getCurrent();
! 			}
! 		}
! 		private object getCurrent()
! 		{
! 			int[] currentValues = new int[ this.portfolioCombination.Length ];
! 			for ( int i = 0 ; i < this.portfolioCombination.Length ; i ++ )
! 				currentValues[ i ] = this.portfolioCombination.GetValue( i );
! 			BruteForceOptimizableParameters bruteForceOptimizableParameters =
! 				new BruteForceOptimizableParameters( currentValues ,
! 				this );
! 			return bruteForceOptimizableParameters;
! 		}
! 		#endregion
  	
! 		public object Decode( BruteForceOptimizableParameters
  			bruteForceOptimizableItem )
  		{
--- 70,104 ----
  				
  		}
! 
! //		public bool MoveNext()
! //		{
! //			return this.portfolioCombination.MoveNext();
! //		}
! //		
! //		public void Reset()
! //		{
! //			this.portfolioCombination.Reset();
! //		}
! //		#region Current
! //		public object Current
! //		{
! //			get
! //			{
! //				return this.getCurrent();
! //			}
! //		}
! //		private object getCurrent()
! //		{
! //			int[] currentValues = new int[ this.portfolioCombination.Length ];
! //			for ( int i = 0 ; i < this.portfolioCombination.Length ; i ++ )
! //				currentValues[ i ] = this.portfolioCombination.GetValue( i );
! //			BruteForceOptimizableParameters bruteForceOptimizableParameters =
! //				new BruteForceOptimizableParameters( currentValues ,
! //				this );
! //			return bruteForceOptimizableParameters;
! //		}
! //		#endregion
  	
! 		public override object Decode( BruteForceOptimizableParameters
  			bruteForceOptimizableItem )
  		{
***************
*** 100,104 ****
  		}
  		
! 		public double GetFitnessValue(
  			BruteForceOptimizableParameters bruteForceOptimizableItem )
  		{
--- 106,110 ----
  		}
  		
! 		public override double GetFitnessValue(
  			BruteForceOptimizableParameters bruteForceOptimizableItem )
  		{

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/BruteForce IBruteForceOptimizableParametersManager.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11316/b1_ADT/Optimizing/BruteForce

Modified Files:
	IBruteForceOptimizableParametersManager.cs 
Log Message:
The property

Index: IBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce/IBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IBruteForceOptimizableParametersManager.cs	21 Aug 2006 19:40:42 -0000	1.1
--- IBruteForceOptimizableParametersManager.cs	26 Mar 2008 00:50:22 -0000	1.2
***************
*** 34,37 ****
--- 34,40 ----
  		IEnumerator
  	{
+ 		// the number of total iterations expected
+ 		int TotalIterations { get; }
+ 
  		double GetFitnessValue( BruteForceOptimizableParameters bruteForceOptimizableParameters );
      object Decode( BruteForceOptimizableParameters bruteForceOptimizableParameters );

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization EndOfDayTimerHandlerOTCTypesBruteForce.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10405/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization

Modified Files:
	EndOfDayTimerHandlerOTCTypesBruteForce.cs 
Log Message:
- a new parameter
int numberOfTopBestParameters 
is now passed to the BruteForceOptimizer

Index: EndOfDayTimerHandlerOTCTypesBruteForce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/EndOfDayTimerHandlerOTCTypesBruteForce.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerOTCTypesBruteForce.cs	29 Aug 2007 09:43:34 -0000	1.3
--- EndOfDayTimerHandlerOTCTypesBruteForce.cs	26 Mar 2008 00:48:26 -0000	1.4
***************
*** 191,195 ****
        		           currentDate,this.numberOfTickersToBeChosen);
          
!       	BruteForceOptimizer BFO = new BruteForceOptimizer(otcBruteForceParamManager);
        	BFO.Run();
          	//this.setTickers_getChosenTickers(BFO.BestParameters);
--- 191,195 ----
        		           currentDate,this.numberOfTickersToBeChosen);
          
!       	BruteForceOptimizer BFO = new BruteForceOptimizer(otcBruteForceParamManager,1);
        	BFO.Run();
          	//this.setTickers_getChosenTickers(BFO.BestParameters);

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.18, 1.19

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9585/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
a2_Strategies\InSample\BruteForceChooser.cs has been added

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** Business_SD.csproj	16 Mar 2008 20:14:10 -0000	1.18
--- Business_SD.csproj	26 Mar 2008 00:47:03 -0000	1.19
***************
*** 77,80 ****
--- 77,81 ----
      <Compile Include="a2_Strategies\IEndOfDayStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\IInSampleChooser.cs" />
+     <Compile Include="a2_Strategies\InSample\BruteForceChooser.cs" />
      <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" />
      <Compile Include="a2_Strategies\InSample\DummyInSampleChooser.cs" />

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/BruteForce BruteForceOptimizer.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9522/b1_ADT/Optimizing/BruteForce

Modified Files:
	BruteForceOptimizer.cs 
Log Message:
- the read only property
public BruteForceOptimizableParameters[] TopBestParameters
has been added

- a new parameter
int numberOfTopBestParameters 
has been added to the constructor

Index: BruteForceOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce/BruteForceOptimizer.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** BruteForceOptimizer.cs	7 Oct 2007 13:12:13 -0000	1.3
--- BruteForceOptimizer.cs	26 Mar 2008 00:46:38 -0000	1.4
***************
*** 34,44 ****
  		private IBruteForceOptimizableParametersManager
  			bruteForceOptimizableParametersManager;
  
  		private int numberOfAnalizedItemsForNewProgess;
  		private int totalNumberOfItemsToBeAnalized;
  
! 		private BruteForceOptimizableParameters bestParameters;
  
  		private int analizedItems;
  
  		public event NewProgressEventHandler NewProgress;
--- 34,47 ----
  		private IBruteForceOptimizableParametersManager
  			bruteForceOptimizableParametersManager;
+ 		private int numberOfTopBestParameters;
  
  		private int numberOfAnalizedItemsForNewProgess;
  		private int totalNumberOfItemsToBeAnalized;
  
! //		private BruteForceOptimizableParameters bestParameters;
! 		private BestParametersManager bestParametersManager;
  
  		private int analizedItems;
+ 		private bool runIsComplete;
  
  		public event NewProgressEventHandler NewProgress;
***************
*** 46,59 ****
  		public BruteForceOptimizableParameters BestParameters
  		{
! 			get { return this.bestParameters; }
  		}
  
  		public BruteForceOptimizer(
! 			IBruteForceOptimizableParametersManager bruteForceOptimizableParametersManager )
  		{
  			this.bruteForceOptimizableParametersManager =
  				bruteForceOptimizableParametersManager;
  			this.numberOfAnalizedItemsForNewProgess = 100000;
  			this.totalNumberOfItemsToBeAnalized = 0;
  		}
  		#region Run
--- 49,84 ----
  		public BruteForceOptimizableParameters BestParameters
  		{
! 			get { return this.TopBestParameters[ 0 ]; }
! 		}
! 		public BruteForceOptimizableParameters[] TopBestParameters
! 		{
! 			get
! 			{
! 				if ( !this.runIsComplete )
! 					throw new Exception( "This property cannot be invoked until " +
! 						"the Run execution is complete!" );
! 				return this.bestParametersManager.TopBestParameters;
! 			}
  		}
  
+ 
+ 		/// <summary>
+ 		/// Optimizer that enumerates all possible parameter values
+ 		/// </summary>
+ 		/// <param name="bruteForceOptimizableParametersManager"></param>
+ 		/// <param name="numberOfTopBestParameters">number of the best
+ 		/// optimizable parameters to be returned by the TopBestParameters
+ 		/// property</param>
  		public BruteForceOptimizer(
! 			IBruteForceOptimizableParametersManager bruteForceOptimizableParametersManager ,
! 			int numberOfTopBestParameters )
  		{
  			this.bruteForceOptimizableParametersManager =
  				bruteForceOptimizableParametersManager;
+ 			this.numberOfTopBestParameters = numberOfTopBestParameters;
+ 
  			this.numberOfAnalizedItemsForNewProgess = 100000;
  			this.totalNumberOfItemsToBeAnalized = 0;
+ 			this.runIsComplete = false;
  		}
  		#region Run
***************
*** 70,91 ****
  			}
  		}
! 		/// <summary>
! 		/// executes the optimization
! 		/// </summary>
! 		public void Run()
  		{
  			this.analizedItems = 0;
  			this.bruteForceOptimizableParametersManager.Reset();
! 			this.bestParameters =
! 				(BruteForceOptimizableParameters)this.bruteForceOptimizableParametersManager.Current;
  			while( this.bruteForceOptimizableParametersManager.MoveNext() )
  			{
  				BruteForceOptimizableParameters bruteForceOptimizableParameters =
  					(BruteForceOptimizableParameters)this.bruteForceOptimizableParametersManager.Current;
! 				if ( this.bestParameters.Fitness < bruteForceOptimizableParameters.Fitness )
! 					this.bestParameters = bruteForceOptimizableParameters;
  				this.handleProgress();
  			}
  		}
  		public void Run( int numberOfAnalizedItemsForNewProgess ,
  			int totalNumberOfItemsToBeAnalized )
--- 95,142 ----
  			}
  		}
! 
! 		#region Run
! //		private void handleCurrentOptimizableParameters(
! //			BruteForceOptimizableParameters bruteForceOptimizableParameters )
! //		{
! //			if ( !this.topBestParameters.IsFull )
! //				// this.topBestParameters still contains less than
! //				// this.numberOfTopBestParametersToBeReturned items. It means that we are still in
! //				// the initializing phase, when the first this.numberOfTopBestParametersToBeReturned
! //				// items are to be added to the topBestParameters
! //				this.topBestParameters.Analize( bruteForceOptimizableParameters )
! //					else if ( this.topBestParameters.LowestFitness < bruteForceOptimizableParameters.Fitness )
! //				this.updateTopBestParameters( bruteForceOptimizableParameters );
! //		}
! 		public void createTopBestParameters()
  		{
+ 			this.bestParametersManager = new BestParametersManager(
+ 				this.numberOfTopBestParameters );
  			this.analizedItems = 0;
  			this.bruteForceOptimizableParametersManager.Reset();
! //			this.bestParameters =
! //				(BruteForceOptimizableParameters)this.bruteForceOptimizableParametersManager.Current;
  			while( this.bruteForceOptimizableParametersManager.MoveNext() )
  			{
  				BruteForceOptimizableParameters bruteForceOptimizableParameters =
  					(BruteForceOptimizableParameters)this.bruteForceOptimizableParametersManager.Current;
! 				this.bestParametersManager.Analize( bruteForceOptimizableParameters );
  				this.handleProgress();
  			}
  		}
+ 		/// <summary>
+ 		/// executes the optimization
+ 		/// </summary>
+ 		public void Run()
+ 		{
+ 			this.createTopBestParameters();
+ //			this.bestParametersManager.TopBestParameters.Sort();
+ 			this.runIsComplete = true;
+ 		}
+ 		#endregion Run
+ 
+ 		/// <summary>
+ 		/// executes the optimization
+ 		/// </summary>
  		public void Run( int numberOfAnalizedItemsForNewProgess ,
  			int totalNumberOfItemsToBeAnalized )

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/BruteForce BruteForceOptimizableParameters.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8658/b1_ADT/Optimizing/BruteForce

Modified Files:
	BruteForceOptimizableParameters.cs 
Log Message:
- the IWithFitness interface is now implemented
- the read only Meaning property has been added

Index: BruteForceOptimizableParameters.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce/BruteForceOptimizableParameters.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** BruteForceOptimizableParameters.cs	21 Aug 2006 19:43:49 -0000	1.1
--- BruteForceOptimizableParameters.cs	26 Mar 2008 00:44:46 -0000	1.2
***************
*** 23,26 ****
--- 23,28 ----
  using System;
  
+ using QuantProject.ADT.Optimizing.Fitness;
+ 
  namespace QuantProject.ADT.Optimizing.BruteForce
  {
***************
*** 28,41 ****
  	/// Parameters to be optimized by a Brute Force optimizer
  	/// </summary>
! 	public class BruteForceOptimizableParameters
  	{
  		IBruteForceOptimizableParametersManager bruteForceOptimizableParametersManager;
  
- 		private bool isFitnessSet;
  
  		private double fitness;
  
  		private int[] parameterValues;
  
  		/// <summary>
  		/// Fitness value for current parameters value
--- 30,56 ----
  	/// Parameters to be optimized by a Brute Force optimizer
  	/// </summary>
! 	public class BruteForceOptimizableParameters : IWithFitness
  	{
  		IBruteForceOptimizableParametersManager bruteForceOptimizableParametersManager;
  
  
+ 		private object meaning;
  		private double fitness;
  
+ 		private bool isFitnessSet;
+ 
  		private int[] parameterValues;
  
+ 		public object Meaning
+ 		{
+ 			get
+ 			{
+ 				if ( this.meaning == null )
+ 					this.meaning =
+ 						this.bruteForceOptimizableParametersManager.Decode( this );
+ 				return this.meaning;
+ 			}
+ 		}
+ 
  		/// <summary>
  		/// Fitness value for current parameters value

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.90, 1.91

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8232/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingBruteForceChooser.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.90
retrieving revision 1.91
diff -C2 -d -r1.90 -r1.91
*** b7_Scripts.csproj	19 Mar 2008 23:15:01 -0000	1.90
--- b7_Scripts.csproj	26 Mar 2008 00:43:42 -0000	1.91
***************
*** 895,898 ****
--- 895,903 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingBruteForceChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers PairsTradingBruteForceChooser.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8183/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers

Added Files:
	PairsTradingBruteForceChooser.cs 
Log Message:
brute force IInSampleChooser for the pairs trading strategy

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

PairsTradingBruteForceChooser.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.ADT.Optimizing.BruteForce;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Optimizing.BruteForce;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;


namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// brute force IInSampleChooser for the pairs trading strategy
	/// </summary>
	public class PairsTradingBruteForceChooser : BruteForceChooser
	{
		public PairsTradingBruteForceChooser(
			int numberOfBestTestingPositionsToBeReturned ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			IHistoricalQuoteProvider historicalQuoteProvider ) :
			base (
			numberOfBestTestingPositionsToBeReturned ,
			decoderForTestingPositions ,
			fitnessEvaluator ,
			historicalQuoteProvider )
		{
		}
		protected override IBruteForceOptimizableParametersManager
			getBruteForceOptimizableParametersManager(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			BruteForceOptimizableParametersManagerForBalancedVolatility
				bruteForceOptimizableParametersManager =
				new BruteForceOptimizableParametersManagerForBalancedVolatility(
				eligibleTickers ,
				2 ,
				this.decoderForTestingPositions ,
				this.fitnessEvaluator ,
				returnsManager );
			return bruteForceOptimizableParametersManager;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.60, 1.61

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7775/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
- Microsoft.Office.Core is not referenced anymore (not clear to me what's happened)
- a2_Strategies\InSample\BruteForceChooser.cs has been added
- a2_Strategies\Optimizing\BruteForce\BruteForceOptimizableParametersManagerForBalancedVolatility.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.60
retrieving revision 1.61
diff -C2 -d -r1.60 -r1.61
*** b4_Business.csproj	13 Mar 2008 19:32:04 -0000	1.60
--- b4_Business.csproj	26 Mar 2008 00:42:16 -0000	1.61
***************
*** 130,141 ****
                      Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
                  />
-                 <Reference
-                     Name = "Microsoft.Office.Core"
-                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
-                     VersionMajor = "2"
-                     VersionMinor = "3"
-                     Lcid = "0"
-                     WrapperTool = "primary"
-                 />
              </References>
          </Build>
--- 130,133 ----
***************
*** 758,761 ****
--- 750,758 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\InSample\BruteForceChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs"
                      SubType = "Code"
***************
*** 793,796 ****
--- 790,798 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\Optimizing\BruteForce\BruteForceOptimizableParametersManagerForBalancedVolatility.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\Optimizing\Decoding\BasicDecoderForTestingPositions.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/BruteForce BruteForceOptimizableParametersManagerForBalancedVolatility.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7339

Added Files:
	BruteForceOptimizableParametersManagerForBalancedVolatility.cs 
Log Message:
Implements IBruteForceOptimizableParametersManager
for a single portfolio (i.e. a single WeightedPositions)
Weights are balanced with respect to volatility

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

BruteForceOptimizableParametersManagerForBalancedPortfolio.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 System.Collections;
//using System.Data;

using QuantProject.ADT.Optimizing.BruteForce;
using QuantProject.ADT.Statistics.Combinatorial;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
//using QuantProject.ADT.Statistics;
//using QuantProject.Business.Strategies;
//using QuantProject.Business.Strategies.EquityEvaluation;
//using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Business.Strategies.Optimizing.BruteForce
{
	/// <summary>
	/// Implements IBruteForceOptimizableParametersManager
	/// for a single portfolio (i.e. a single WeightedPositions)
	/// Weights are balanced with respect to volatility
	/// </summary>
	public class
		BruteForceOptimizableParametersManagerForBalancedVolatility
		: CombinationBasedBruteForceOptimizableParametersManager
	{
//		private double[] weightsForDrivingPositions;
		private EligibleTickers eligibleTickers;
		private int numberOfPositions;
		private IDecoderForTestingPositions decoderForTestingPositions;
		private IFitnessEvaluator fitnessEvaluator;
		private ReturnsManager returnsManager;

//		private Combination combination;

//		private double[] standardDeviationForDrivingPositions;
//		private float[][] drivingPositionsCloseToCloseReturns;

//		public object Current
//		{
//			get
//			{
//				int[] currentValues = new int[ this.combination.Length ];
//				for ( int i = 0 ; i < this.combination.Length ; i ++ )
//					currentValues[ i ] = this.combination.GetValue( i );
//				BruteForceOptimizableParameters bruteForceOptimizableParameters =
//					new BruteForceOptimizableParameters( currentValues ,
//					this );
//				return bruteForceOptimizableParameters;
//			}
//		}


//		public int TotalIterations
//		{
//			get
//			{
//				return Convert.ToInt32( this.combination.TotalNumberOfCombinations );
//			}
//		}

		public BruteForceOptimizableParametersManagerForBalancedVolatility(
			EligibleTickers eligibleTickers ,
//			string portfolioLongTicker ,
			//			string portfolioShortTicker ,
			//			DateTime firstOptimizationDate ,
			//			DateTime lastOptimizationDate ,
			int numberOfPositions ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			ReturnsManager returnsManager ) :
			base( new Combination(
			- eligibleTickers.Count ,
			eligibleTickers.Count - 1 ,
			numberOfPositions ) )
		{
			this.eligibleTickers = eligibleTickers;
			this.numberOfPositions = numberOfPositions;
			this.decoderForTestingPositions = decoderForTestingPositions;
			this.fitnessEvaluator = fitnessEvaluator;
			this.returnsManager = returnsManager;
//			this.combination = new Combination(
//				- this.eligibleTickers.Count ,
//				this.eligibleTickers.Count - 1 ,
//				numberOfPositions );
		}

//		protected override Combination getCombination()
//		{
//			return new Combination(
//				- this.eligibleTickers.Count ,
//				this.eligibleTickers.Count - 1 ,
//				this.numberOfPositions );
//		}
//		public bool MoveNext()
//		{
//			return this.combination.MoveNext();
//		}
//		public void Reset()
//		{
//			this.combination.Reset();
//		}

//		protected override getCurrent( int[] currentValues )
//		{
//			BruteForceOptimizableParameters bruteForceOptimizableParameters =
//				new BruteForceOptimizableParameters( currentValues ,
//				this );
//			return bruteForceOptimizableParameters;
//		}

		public override object Decode( BruteForceOptimizableParameters
			bruteForceOptimizableParameters )
		{
			return this.decoderForTestingPositions.Decode(
				bruteForceOptimizableParameters.GetValues() ,
				this.eligibleTickers ,
				this.returnsManager );
		}
		public override double GetFitnessValue(
			BruteForceOptimizableParameters bruteForceOptimizableParameters )
		{
			object meaning = this.Decode(
				bruteForceOptimizableParameters );
			double fitnessValue =
				this.fitnessEvaluator.GetFitnessValue( meaning , this.returnsManager );
			return fitnessValue;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/BruteForce - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6909/BruteForce

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/BruteForce added to the repository

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6427/b4_Business/a2_Strategies/InSample

Added Files:
	BruteForceChooser.cs 
Log Message:
Abstract brute force in sample chooser to be used for
in sample optimization

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

BruteForceChooser.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.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.ADT.Optimizing.BruteForce;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing;
using QuantProject.Business.Strategies.Optimizing.BruteForce;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Business.Strategies.InSample
{
	/// <summary>
	/// Abstract brute force in sample chooser to be used for
	/// in sample optimization
	/// </summary>
	public abstract class BruteForceChooser : IInSampleChooser
	{
		public event NewProgressEventHandler NewProgress;
		public event NewMessageEventHandler NewMessage;

		protected int numberOfBestTestingPositionsToBeReturned;
		protected IDecoderForTestingPositions decoderForTestingPositions;
		protected IFitnessEvaluator fitnessEvaluator;
		protected IHistoricalQuoteProvider historicalQuoteProvider;

		public string Description
		{
			get
			{
				string description = "BruteForce" +
					"_FitnEval_" + this.fitnessEvaluator.Description +
					"_DecoderForTestingPositions_" + this.decoderForTestingPositions;
				return description;
			}
		}

		public BruteForceChooser(
			int numberOfBestTestingPositionsToBeReturned ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			IHistoricalQuoteProvider historicalQuoteProvider )
		{
			this.numberOfBestTestingPositionsToBeReturned =
				numberOfBestTestingPositionsToBeReturned;
			this.decoderForTestingPositions = decoderForTestingPositions;
			this.fitnessEvaluator = fitnessEvaluator;
			this.historicalQuoteProvider = historicalQuoteProvider;
		}

		protected abstract IBruteForceOptimizableParametersManager
			getBruteForceOptimizableParametersManager( EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager );
		
		#region AnalyzeInSample
		private void analyzeInSample_checkParameters(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			if ( eligibleTickers.Count <= 0	)
				throw new Exception( "Eligible tickers for driving positions is empty!" );
		}

		#region getBestTestingPositionsInSample

		#region newBruteForceOptimizerProgressEventHandler

		#region sendNewMessage
		private string getProgressMessage(
			NewProgressEventArgs eventArgs )
		{
//			string progressMessage =
//				this.ToString() + " / " +
//				generationNumber.ToString() +
//				" - " +
//				DateTime.Now.ToString();
			string progressMessage =
				eventArgs.CurrentProgress.ToString() + " / " +
				eventArgs.Goal.ToString() +
				" - " +
				DateTime.Now.ToString();
			return progressMessage;
		}
		private void sendNewMessage( NewProgressEventArgs eventArgs )
		{
			string message = this.getProgressMessage( eventArgs );
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		#endregion sendNewMessage

		private void newBruteForceOptimizerProgressEventHandler(
			Object sender , NewProgressEventArgs eventArgs )
		{
			if ( this.NewProgress != null )
				this.NewProgress( sender , eventArgs );
			this.sendNewMessage( eventArgs );
		}
		#endregion newBruteForceOptimizerProgressEventHandler

		private void
			getBestTestingPositionsInSample_getTestingPositionsActually_checkParameter(
			BruteForceOptimizer bruteForceOptimizer )
		{
			if ( bruteForceOptimizer.TopBestParameters.Length <
				this.numberOfBestTestingPositionsToBeReturned )
				throw new Exception( "The brute force optimizer has not examined enough " +
					"candidates!" );
		}
		private TestingPositions[] getBestTestingPositionsInSample_getTestingPositionsActually(
			BruteForceOptimizer bruteForceOptimizer )
		{
			this.getBestTestingPositionsInSample_getTestingPositionsActually_checkParameter(
				bruteForceOptimizer );
			TestingPositions[] bestTestingPositions =
				new TestingPositions[ this.numberOfBestTestingPositionsToBeReturned ];
			for ( int i = 0 ; i < bruteForceOptimizer.TopBestParameters.Length ; i++ )
			{
				BruteForceOptimizableParameters bruteForceOptimizableParameters =
					bruteForceOptimizer.TopBestParameters[ i ];
				bestTestingPositions[ i ] =
					(TestingPositions)bruteForceOptimizableParameters.Meaning;
			}
			return bestTestingPositions;
		}
	
		private TestingPositions[] getBestTestingPositionsInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			IBruteForceOptimizableParametersManager
				bruteForceOptimizableParametersManager =
				this.getBruteForceOptimizableParametersManager(
				eligibleTickers , returnsManager );
			BruteForceOptimizer bruteForceOptimizer =
				new BruteForceOptimizer( bruteForceOptimizableParametersManager ,
				this.numberOfBestTestingPositionsToBeReturned );
			bruteForceOptimizer.NewProgress +=
				new NewProgressEventHandler(
				this.newBruteForceOptimizerProgressEventHandler );
			bruteForceOptimizer.Run( 10000 ,
				bruteForceOptimizableParametersManager.TotalIterations );
			
			return this.getBestTestingPositionsInSample_getTestingPositionsActually(
				bruteForceOptimizer );
		}
		#endregion getBestTestingPositionsInSample

		public object AnalyzeInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			this.analyzeInSample_checkParameters( eligibleTickers ,
			                                     returnsManager );
			TestingPositions[] bestTestingPositionsInSample =
				this.getBestTestingPositionsInSample( eligibleTickers ,
				                                     returnsManager );
			return bestTestingPositionsInSample;
		}
		#endregion AnalyzeInSample
	}
}

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj, 1.53, 1.54

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5985/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Microsoft.Office.Core is not referenced anymore (not clear to me what's happened)

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.53
retrieving revision 1.54
diff -C2 -d -r1.53 -r1.54
*** b3_Data.csproj	10 Feb 2008 15:27:21 -0000	1.53
--- b3_Data.csproj	26 Mar 2008 00:38:37 -0000	1.54
***************
*** 121,132 ****
                  />
                  <Reference
-                     Name = "Microsoft.Office.Core"
-                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
-                     VersionMajor = "2"
-                     VersionMinor = "3"
-                     Lcid = "0"
-                     WrapperTool = "primary"
-                 />
-                 <Reference
                      Name = "b1_ADT"
                      Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
--- 121,124 ----

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj, 1.28, 1.29

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5545/b1_ADT

Modified Files:
	b1_ADT.csproj 
Log Message:
- Optimizing\BruteForce\BestParametersManager.cs has been added
- Optimizing\BruteForce\CombinationBasedBruteForceOptimizableParametersManager.cs has been added
- Optimizing\Fitness\FitnessComparer.cs has been added
- Optimizing\Fitness\IWithFitness.cs has been added

Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** b1_ADT.csproj	12 Mar 2008 21:51:35 -0000	1.28
--- b1_ADT.csproj	26 Mar 2008 00:37:17 -0000	1.29
***************
*** 228,231 ****
--- 228,236 ----
                  />
                  <File
+                     RelPath = "Optimizing\BruteForce\BestParametersManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Optimizing\BruteForce\BruteForceOptimizableParameters.cs"
                      SubType = "Code"
***************
*** 238,241 ****
--- 243,251 ----
                  />
                  <File
+                     RelPath = "Optimizing\BruteForce\CombinationBasedBruteForceOptimizableParametersManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Optimizing\BruteForce\IBruteForceOptimizableParametersManager.cs"
                      SubType = "Code"
***************
*** 253,256 ****
--- 263,276 ----
                  />
                  <File
+                     RelPath = "Optimizing\Fitness\FitnessComparer.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Optimizing\Fitness\IWithFitness.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Optimizing\Genetic\GeneticOptimizer.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Fitness FitnessComparer.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Fitness
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4698

Added Files:
	FitnessComparer.cs 
Log Message:
Compares BruteForceOptimizableParameters by fitness

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

FitnessComparer.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 System.Collections;

namespace QuantProject.ADT.Optimizing.Fitness
{
	/// <summary>
	/// Compares BruteForceOptimizableParameters by fitness
	/// </summary>
	[Serializable]
	public sealed class FitnessComparer : IComparer
	{
		public FitnessComparer()
		{
		}
		public int Compare( object x, object y)
		{
			int returnValue = 0;
			
			if( ( x is IWithFitness ) && ( y is IWithFitness ) )	
			{
				if ( ((IWithFitness)x).Fitness > ((IWithFitness)y).Fitness )
					returnValue = 1;
				else if ( ((IWithFitness) x).Fitness < ((IWithFitness) y).Fitness )
					returnValue = -1;
			}
			else
        throw new ArgumentException( "Both objects to compare must be IWithFitness!" );
									
			return returnValue;
		}
	}
}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Fitness IWithFitness.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Fitness
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4671

Added Files:
	IWithFitness.cs 
Log Message:
Interface to be implemented by any object that exposes a Fitness

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

IWithFitness.cs
Copyright (C) 2006
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.Fitness
{
	/// <summary>
	/// Interface to be implemented by any object that exposes a Fitness
	/// </summary>
	public interface IWithFitness
	{
		double Fitness { get; }
  }
}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Fitness - New directory

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Fitness
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4248/Fitness

Log Message:
Directory /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Fitness added to the repository

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/BruteForce CombinationBasedBruteForceOptimizableParametersManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4212/b1_ADT/Optimizing/BruteForce

Added Files:
	CombinationBasedBruteForceOptimizableParametersManager.cs 
Log Message:
Abstract class to be inherited by those IBruteForceOptimizableParametersManager
who are based on a single Combination to be scan through

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

BruteForceOptimizer.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.ADT.Statistics.Combinatorial;

namespace QuantProject.ADT.Optimizing.BruteForce
{
	/// <summary>
	/// Abstract class to be inherited by those IBruteForceOptimizableParametersManager
	/// who are based on a single Combination to be scan through
	/// </summary>
	public abstract class CombinationBasedBruteForceOptimizableParametersManager :
		IBruteForceOptimizableParametersManager
	{
		protected Combination combination;

		public int TotalIterations
		{
			get
			{
				return Convert.ToInt32( this.combination.TotalNumberOfCombinations );
			}
		}

		public object Current
		{
			get
			{
				int[] currentValues = new int[ this.combination.Length ];
				for ( int i = 0 ; i < this.combination.Length ; i ++ )
					currentValues[ i ] = this.combination.GetValue( i );
				BruteForceOptimizableParameters bruteForceOptimizableParameters =
					new BruteForceOptimizableParameters( currentValues ,
					this );
				return bruteForceOptimizableParameters;
			}
		}

		public CombinationBasedBruteForceOptimizableParametersManager(
			Combination combination )
		{
			this.combination = combination;
		}

		public abstract object Decode( BruteForceOptimizableParameters
			bruteForceOptimizableParameters );

		public abstract double GetFitnessValue(
			BruteForceOptimizableParameters bruteForceOptimizableParameters );

		public bool MoveNext()
		{
			return this.combination.MoveNext();
		}
		public void Reset()
		{
			this.combination.Reset();
		}


	}
}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/BruteForce BestParametersManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3387/b1_ADT/Optimizing/BruteForce

Added Files:
	BestParametersManager.cs 
Log Message:
Keeps and manages the array of BruteForceOptimizableParameters that have the highest fitness

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

BestParametersManager.cs
Copyright (C) 2006
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.Fitness;

namespace QuantProject.ADT.Optimizing.BruteForce
{
	/// <summary>
	/// Keeps and manages the array of BruteForceOptimizableParameters that
	/// have the highest fitness
	/// </summary>
	public class BestParametersManager
	{
		private int numberOfTopBestParametersToBeReturned;

		private int numberOfNonNullItemsInTopBestParameters;
		private int indexForTheCurrentCandidateToBeSwappedOut;

		private BruteForceOptimizableParameters[] topBestParameters;

		public BruteForceOptimizableParameters[] TopBestParameters
		{
			get
			{
				this.sortTopBestParameters();
				return this.topBestParameters;
			}
		}

		/// <summary>
		/// Keeps and manages the array of BruteForceOptimizableParameters that
		/// have the highest fitness
		/// </summary>
		/// <param name="numberOfTopBestParametersToBeReturned">number of
		/// BruteForceOptimizableParameters that are going to be returned, as
		/// the ones with the highest fitness</param>
		public BestParametersManager( int numberOfTopBestParametersToBeReturned )
		{
			this.numberOfTopBestParametersToBeReturned =
				numberOfTopBestParametersToBeReturned;
			this.topBestParameters =
				new BruteForceOptimizableParameters[ numberOfTopBestParametersToBeReturned ];
			
			this.numberOfNonNullItemsInTopBestParameters = 0;
			this.indexForTheCurrentCandidateToBeSwappedOut = 0;
		}

		private void sortTopBestParameters()
		{
			// comment out the following three lines if you have an exception
			// in the Sort method and you want to break to the proper line
//				double fitness;
//				for ( int i = 0 ; i < this.topBestParameters.Length ; i++ )
//					fitness = ((BruteForceOptimizableParameters) this.topBestParameters[ i ]).Fitness;

			FitnessComparer fitnessComparer = new	FitnessComparer();
      Array.Sort( this.topBestParameters , fitnessComparer );
		}
    
		#region Analize
		private bool isBetterThanTheCurrentCandidateToBeSwappedOut(
			BruteForceOptimizableParameters bruteForceOptimizableParameters )
		{
			bool isBetter = true;
			BruteForceOptimizableParameters currentCandidateToBeSwappedOut =
				this.topBestParameters[ this.indexForTheCurrentCandidateToBeSwappedOut ];
			if ( currentCandidateToBeSwappedOut != null )
				// the initialization phase has been complete: the first
				// this.numberOfTopBestParametersToBeKept items has been added to
				// this.topBestParameters
				isBetter = ( bruteForceOptimizableParameters.Fitness >
					currentCandidateToBeSwappedOut.Fitness );
			return isBetter;
		}
		// true iif we are still in the initialization phase, when the
		// first this.numberOfTopBestParametersToBeReturned items have already
		// been added to this.topBestParameters
		private bool isStillTheInitializationPhase()
		{
			bool isStillInitialization =
				( this.numberOfNonNullItemsInTopBestParameters <
				this.numberOfTopBestParametersToBeReturned );
			return isStillInitialization;
		}
		private void update_numberOfNonNullItemsInTopBestParameters()
		{
			if ( this.isStillTheInitializationPhase() )
				this.numberOfNonNullItemsInTopBestParameters++;
		}

		#region updateIndexForTheCurrentCandidateToBeSwappedOut
		private void updateIndexForTheCurrentCandidateToBeSwappedOut_ifTheCase(
			int indexForCurrentItemInTopBestParameters )
		{
			BruteForceOptimizableParameters currentItemInTopBestParametes =
				this.topBestParameters[ indexForCurrentItemInTopBestParameters ];
			if ( !this.isBetterThanTheCurrentCandidateToBeSwappedOut(
				currentItemInTopBestParametes ) )
				// the current candidate to be swapped out is better (or equally good)
				// than the current item in this.topBestParameters

				// the current item becomes the candidate to be swapped out
				this.indexForTheCurrentCandidateToBeSwappedOut =
					indexForCurrentItemInTopBestParameters;
		}
		private int getIndexForTheWorstAmongTheBestParameters()
		{
			int indexForTheWorstAmongTheBestParameters = 0;
			for ( int indexForTheCurrentItemInTopBestParameters = 1 ;
				indexForTheCurrentItemInTopBestParameters < this.topBestParameters.Length ;
				indexForTheCurrentItemInTopBestParameters++ )
			{
				BruteForceOptimizableParameters currentWorstAmongTheBestParameters =
					this.topBestParameters[ indexForTheWorstAmongTheBestParameters ];
				BruteForceOptimizableParameters currentItemInTopBestParametes =
					this.topBestParameters[ indexForTheCurrentItemInTopBestParameters ];
				if ( currentItemInTopBestParametes.Fitness <
					currentWorstAmongTheBestParameters.Fitness )
					indexForTheWorstAmongTheBestParameters =
						indexForTheCurrentItemInTopBestParameters;
			}
			return indexForTheWorstAmongTheBestParameters;
		}
		private void updateIndexForTheCurrentCandidateToBeSwappedOut_afterTheInitializationPhase()
		{			
			this.indexForTheCurrentCandidateToBeSwappedOut =
				this.getIndexForTheWorstAmongTheBestParameters();
		}
		private void updateIndexForTheCurrentCandidateToBeSwappedOut()
		{
//			this.indexForTheCurrentCandidateToBeSwappedOut = 0;
//			int indexForCurrentItemInTopBestParameters = 1;
//			int indexForTheFirstNullItemInTopBestParameters = -1;
			if ( this.isStillTheInitializationPhase() )
				this.indexForTheCurrentCandidateToBeSwappedOut =
					this.numberOfNonNullItemsInTopBestParameters;
			else
				// the initialization phase is complete: the first
				// this.numberOfTopBestParametersToBeReturned items have already
				// been added to this.topBestParameters
				this.updateIndexForTheCurrentCandidateToBeSwappedOut_afterTheInitializationPhase();
		}
		#endregion updateIndexForTheCurrentCandidateToBeSwappedOut

		/// <summary>
		/// replaces the current candidate to be swapped out with the given
		/// bruteForceOptimizableParameters
		/// </summary>
		/// <param name="bruteForceOptimizableParameters"></param>
		private void replaceTheCurrentCandidateToBeSwappedOut( BruteForceOptimizableParameters
			bruteForceOptimizableParameters )
		{
			this.topBestParameters[ this.indexForTheCurrentCandidateToBeSwappedOut ] =
				bruteForceOptimizableParameters;
//			this.topBestParameters[ 0 ] =
//				bruteForceOptimizableParameters;
			this.update_numberOfNonNullItemsInTopBestParameters();
			this.updateIndexForTheCurrentCandidateToBeSwappedOut();
		}
		/// <summary>
		/// Checks if bruteForceOptimizableParameters needs to be added to
		/// this.topBestParameters
		/// If it has to be added, then this.topBestParameters is managed
		/// accordingly
		/// </summary>
		/// <param name="bruteForceOptimizableParameters"></param>
		public void Analize( BruteForceOptimizableParameters
			bruteForceOptimizableParameters )
		{
			if ( this.isBetterThanTheCurrentCandidateToBeSwappedOut(
				bruteForceOptimizableParameters ) )
				this.replaceTheCurrentCandidateToBeSwappedOut(
					bruteForceOptimizableParameters );
//			if ( this.numberOfMeaningfulItemsInTheArray < this.numberOfTopBestParametersToBeKept )
//				// this.topBestParameters still contains less than
//				// this.numberOfTopBestParametersToBeReturned items. It means that we are still in
//				// the initializing phase, when the first this.numberOfTopBestParametersToBeReturned
//				// items are to be added to the topBestParameters
//				this.addWithoutSwappingOut( bruteForceOptimizableParameters );
//			else
//				// the initializing phase is complete, that is the first
//				// this.numberOfTopBestParametersToBeReturned has already been added to
//				// this.topBestParameters
//				if ( this.lowestFitness() < bruteForceOptimizableParameters.Fitness )
//					this.addSwappingOutTheLastOne( bruteForceOptimizableParameters );
		}
		#endregion Handle
	}
}

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.18, 1.19

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17528/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
General\BasicScriptForBacktesting.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** Scripts_SD.csproj	16 Mar 2008 20:15:00 -0000	1.18
--- Scripts_SD.csproj	19 Mar 2008 23:31:28 -0000	1.19
***************
*** 50,53 ****
--- 50,54 ----
      <Compile Include="AssemblyInfo.cs" />
      <Compile Include="EvaluatingOptimizationTechnique\TechnicalAnalysis\RunTestingOptimizationExtremeCounterTrend.cs" />
+     <Compile Include="General\BasicScriptForBacktesting.cs" />
      <Compile Include="General\Logging\LogArchiver.cs" />
      <Compile Include="General\Logging\LogViewer.cs" />

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17050/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	TesterForPairsTradingTestingPositions.cs 
Log Message:
- first bug fixed: now each of the two positions' weight is given the proper sign
- second bug fixed: the cash to start the second position is always positive, now (sometimes it happened to be negative, in the previous revision)

Index: TesterForPairsTradingTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/TesterForPairsTradingTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TesterForPairsTradingTestingPositions.cs	13 Mar 2008 19:33:14 -0000	1.1
--- TesterForPairsTradingTestingPositions.cs	19 Mar 2008 23:31:02 -0000	1.2
***************
*** 112,124 ****
  				benchmark , cashToStart , maxRunningHours );
  
! 			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
  
  			endOfDayStrategyBackTester.Run();
  			return endOfDayStrategyBackTester.AccountReport;
  		}
  		private WeightedPositions getWeightedPositions(
  			WeightedPosition weightedPosition )
  		{
! 			double[] weights = { 1 };
  			string[] tickers = { weightedPosition.Ticker };
  			WeightedPositions weightedPositions =
--- 112,134 ----
  				benchmark , cashToStart , maxRunningHours );
  
! //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
  
  			endOfDayStrategyBackTester.Run();
  			return endOfDayStrategyBackTester.AccountReport;
  		}
+ 		private double getWeightedPositions_getWeight(
+ 			WeightedPosition weightedPosition )
+ 		{
+ 			double weight = 1;
+ 			if ( weightedPosition.IsShort )
+ 				// the current WeightedPosition is short in the couple correlation
+ 				weight = -1;
+ 			return weight;
+ 		}
  		private WeightedPositions getWeightedPositions(
  			WeightedPosition weightedPosition )
  		{
! //			double[] weights = { 1 };
! 			double[] weights = { this.getWeightedPositions_getWeight( weightedPosition ) };
  			string[] tickers = { weightedPosition.Ticker };
  			WeightedPositions weightedPositions =
***************
*** 159,164 ****
  				historicalQuoteProvider ,
  				benchmark ,
! 				30000 * weightedPositions[ 1 ].Weight /
! 				weightedPositions[ 0 ].Weight );
  			
  			Report report =
--- 169,174 ----
  				historicalQuoteProvider ,
  				benchmark ,
! 				Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				weightedPositions[ 0 ].Weight ) );
  			
  			Report report =