quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging PairsTradingLogItem.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20779

Added Files:
	PairsTradingLogItem.cs 
Log Message:
Log item for the Pairs Trading strategy

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

PairsTradingLogItem.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.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Log item for the Pairs Trading strategy
	/// </summary>
	[Serializable]
	public class PairsTradingLogItem : LogItem
	{
		private TestingPositions[] bestTestingPositionsInSample;
		private int numberOfEligibleTickers;
		
//		public TestingPositions BestTestingPositionsInSample
//		{
//			set { this.bestTestingPositionsInSample = value; }
//		}

//		public WeightedPositions BestWeightedPositionsInSample
//		{
//			get
//			{
//				return this.bestTestingPositionsInSample.WeightedPositions;
//			}
//		}

		public int NumberOfEligibleTickers
		{
			get
			{
				return this.numberOfEligibleTickers;
			}
		}

		public PairsTradingLogItem(
			EndOfDayDateTime endOfDayDateTime ,
			TestingPositions[] bestTestingPositionsInSample ,
			int numberOfEligibleTickers )
			: base( endOfDayDateTime )
		{
			this.numberOfEligibleTickers = int.MinValue;
			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
		}
		public override void Run()
		{
//			string backTestId = "SimpleFLTP";
//			double cashToStart = 30000;
//
//			Benchmark benchmark = new Benchmark( "MSFT" );
//
//			IHistoricalQuoteProvider historicalQuoteProvider =
//				new HistoricalAdjustedQuoteProvider();
//
//			IInSampleChooser inSampleChooser =
//				(IInSampleChooser)new ConstantWeightedPositionsChooser( this.BestWeightedPositionsInSample );
//
//			IIntervalsSelector intervalsSelector =
//				new FixedLengthTwoPhasesIntervalsSelector(
//				1 , 1 , benchmark );
//			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
//
//			FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
//				new FixedLengthTwoPhasesStrategy(
//				this.BestWeightedPositionsInSample.Count ,
//				9999 , 9 , benchmark , intervalsSelector ,
//				eligiblesSelector , inSampleChooser , historicalQuoteProvider );
//
//			DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
//			DateTime lastDateTime = this.simulatedCreationTime.DateTime;
//			double maxRunningHours = 0.3;
//			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
//				new EndOfDayStrategyBackTester(
//				backTestId , fixedLengthTwoPhasesStrategy ,
//				historicalQuoteProvider , firstDateTime ,
//				lastDateTime , benchmark , cashToStart , maxRunningHours );
//
//			fixedLengthTwoPhasesStrategy.Account = endOfDayStrategyBackTester.Account;
//
//			endOfDayStrategyBackTester.Run();
//			BackTesterReportViewer.ShowReport( lastDateTime ,
//				endOfDayStrategyBackTester );
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20739

Added Files:
	PairsTradingGeneticChooser.cs 
Log Message:
genetic IInSampleChooser for the pairs trading strategy

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

PairsTradingGeneticChooser.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.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// genetic IInSampleChooser for the pairs trading strategy
	/// </summary>
	public class PairsTradingGeneticChooser : GeneticChooser
	{
		public PairsTradingGeneticChooser(
			int numberOfBestTestingPositionsToBeReturned ,
			Benchmark benchmark ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGenerator ) :
			base(
				2 ,
				numberOfBestTestingPositionsToBeReturned ,
				benchmark ,
				decoderForTestingPositions ,
				fitnessEvaluator ,
				historicalQuoteProvider ,
				crossoverRate ,
				mutationRate ,
				elitismRate ,
				populationSizeForGeneticOptimizer ,
				generationNumberForGeneticOptimizer ,
				seedForRandomGenerator )
		{
			//
			// TODO: Add constructor logic here
			//
		}
		protected override IGenomeManager getGenomeManager(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			GenomeManagerWithDuplicateGenes	genomeManagerWithDuplicateGenes =
				new GenomeManagerWithDuplicateGenes(
				2 ,
				eligibleTickers ,
				returnsManager ,
				this.decoderForTestingPositions ,
				this.fitnessEvaluator ,
				GenomeManagerType.ShortAndLong ,
				this.seedForRandomGenerator );
			return genomeManagerWithDuplicateGenes;
		}
		protected override string getHashCodeForGenome( Genome genome )
		{
			return ((TestingPositions)(genome.Meaning)).HashCodeForTickerComposition;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20330/Genetic

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic added to the repository

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20178

Added Files:
	PairsTradingFitnessEvaluator.cs 
Log Message:
Evaluates (in sample) the Pearson Correlation between two weighted positions

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

PairsTradingFitnessEvaluator.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.Statistics;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Evaluates (in sample) the Pearson Correlation
	/// between two weighted positions
	/// </summary>
	public class PairsTradingFitnessEvaluator : IFitnessEvaluator
	{

		public string Description
		{
			get
			{
				return "pearsonCrrltn";
			}
		}

		public PairsTradingFitnessEvaluator()
		{
		}
		#region GetFitnessValue
		private void getFitnessValue_checkParameters( object meaning )
		{
			if ( !( meaning is TestingPositions ) )
				throw new Exception(
					"The meaning should always be a TestingPositions!" );
		}
		private void getFitnessValue_checkWeightedPositions(
			WeightedPositions weightedPositions )
		{
			if ( weightedPositions.Count != 2 )
				throw new Exception( "This fitness evaluatore requires " +
					"two positions!" );
		}
		private double getFitnessValue(
			WeightedPosition firstPosition , WeightedPosition secondPosition ,
			ReturnsManager returnsManager )
		{
			float[] firstPositionReturns =
				returnsManager.GetReturns( firstPosition.Ticker );
			float[] secondPositionReturns =
				returnsManager.GetReturns( secondPosition.Ticker );
			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
				firstPosition.Weight , firstPositionReturns ,
				secondPosition.Weight , secondPositionReturns );
			return fitnessValue;
		}

		private double getFitnessValue(
			WeightedPositions weightedPositions , ReturnsManager returnsManager )
		{
			this.getFitnessValue_checkWeightedPositions( weightedPositions );
			WeightedPosition firstPosition = weightedPositions[ 0 ];
			WeightedPosition secondPosition = weightedPositions[ 1 ];
			double fitnessValue = this.getFitnessValue(
				firstPosition , secondPosition , returnsManager );
			return fitnessValue;
		}
		private double getFitnessValue( TestingPositions testingPositions ,
			ReturnsManager returnsManager )
		{
			double fitnessValue;
			WeightedPositions weightedPositions = testingPositions.WeightedPositions;
			if ( weightedPositions == null )
				// the current optimization's candidate contains
				// two genes that decode to the same tickers
				fitnessValue = -0.4;
			else
				// for the current optimization's candidate,
				// all positions's tickers are distinct
				fitnessValue = this.getFitnessValue( weightedPositions , returnsManager );
			return fitnessValue;
		}
		public double GetFitnessValue( object meaning , ReturnsManager returnsManager )
		{
			this.getFitnessValue_checkParameters( meaning );			
			double fitnessValue =
				this.getFitnessValue( (TestingPositions)meaning , returnsManager );
			return fitnessValue;
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19898/InSampleChoosers

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19881/Logging

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

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19505/InSample

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

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingStrategy.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19072

Added Files:
	PairsTradingStrategy.cs 
Log Message:
Pairs Trading strategy with in sample optimizations

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

PairsTradingStrategy.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.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;


namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Pairs Trading strategy with in sample optimizations
	/// </summary>
	public class PairsTradingStrategy : BasicEndOfDayStrategyForBacktester
	{
//		private WeightedPositions positionsToBeOpened;

		private double
			minThresholdForGoingLong,
			maxThresholdForGoingLong,
			minThresholdForGoingShort,
			maxThresholdForGoingShort;

		private HistoricalAdjustedQuoteProvider
			historicalAdjustedQuoteProvider;
		
		public PairsTradingStrategy(
			int numDaysBeetweenEachOtpimization ,
			int numDaysForInSampleOptimization ,
			IIntervalsSelector intervalsSelector ,
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			double minThresholdForGoingLong ,
			double maxThresholdForGoingLong ,
			double minThresholdForGoingShort ,
			double maxThresholdForGoingShort ) :
			base(
			numDaysBeetweenEachOtpimization ,
			numDaysForInSampleOptimization ,
			intervalsSelector ,
			eligiblesSelector ,
			inSampleChooser ,
			historicalQuoteProvider )
		{
			this.minThresholdForGoingLong = minThresholdForGoingLong;
			this.maxThresholdForGoingLong = maxThresholdForGoingLong;
			this.minThresholdForGoingShort = minThresholdForGoingShort;
			this.maxThresholdForGoingShort = maxThresholdForGoingShort;

			this.historicalAdjustedQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
		}
		
		protected override string getTextIdentifier()
		{
			return "pairsTrdng";
		}
		
		private bool arePositionsToBeClosed()
		{
			bool endsTheLastInterval =
				( this.now().IsEqualTo(
				this.lastIntervalAppended().End ) );
			return ( endsTheLastInterval );
		}

		protected override bool marketOpenEventHandler_arePositionsToBeOpened()
		{
			return this.arePositionsToBeOpened();
		}
		protected override bool marketCloseEventHandler_arePositionsToBeOpened()
		{
			return this.arePositionsToBeOpened();
		}
		
		private bool arePositionsToBeOpened()
		{
			bool beginsTheLastInterval =
				( this.now().IsEqualTo(
				this.lastIntervalAppended().Begin ) );
			return ( beginsTheLastInterval );
		}

		#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 );
			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;
		}
		// 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 weightedPositionsToBeOpended =
				this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
				returnsManager , currentWeightedPositions );
			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()
		{
			ReturnsManager returnsManager =
				this.getReturnsManagerForLastSecondPhaseInterval();
			return this.getPositionsToBeOpened( returnsManager );
		}
		protected 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 marketOpenEventHandler_getPositionsToBeOpened()
		{
			return this.getPositionsToBeOpened();
		}

		protected override WeightedPositions marketCloseEventHandler_getPositionsToBeOpened()
		{
			return this.getPositionsToBeOpened();
		}

		protected override bool marketOpenEventHandler_arePositionsToBeClosed()
		{
			return this.arePositionsToBeClosed();
		}

		protected override bool marketCloseEventHandler_arePositionsToBeClosed()
		{
			return this.arePositionsToBeClosed();
		}

		protected override LogItem getLogItem( EligibleTickers eligibleTickers )
		{
			PairsTradingLogItem logItem =
				new PairsTradingLogItem( this.now() ,
				                        this.bestTestingPositionsInSample ,
				                        eligibleTickers.Count );
//			logItem.BestWeightedPositionsInSample =
//				this.bestTestingPositionsInSample.WeightedPositions;
//			logItem.NumberOfEligibleTickers =
//				eligibleTickers.Count;
			return logItem;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18673

Added Files:
	PairsTradingMain.cs 
Log Message:
Entry point for the PairsTradingMain strategy. If any strategy
parameter had to be changed, this is the place where it should
be done

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

PairsTradingMain.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.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation;
using QuantProject.Scripts.General.Logging;
using QuantProject.Scripts.General.Reporting;


namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Entry point for the PairsTradingMain strategy. If any strategy
	/// parameter had to be changed, this is the place where it should
	/// be done
	/// </summary>
	public class PairsTradingMain
	{
		public PairsTradingMain()
		{
		}
		#region Run
		private MessageManager setMessageManager(
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IEndOfDayStrategyForBacktester endOfDayStrategy ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			string dateStamp =
				ExtendedDateTime.GetCompleteShortDescriptionForFileName( DateTime.Now );
			MessageManager messageManager =
				new MessageManager( "NotificationMessagesForCurrentStrategy_" +
				dateStamp + ".Txt" );
			messageManager.Monitor( eligiblesSelector );
			messageManager.Monitor( inSampleChooser );
			messageManager.Monitor( endOfDayStrategy );
			messageManager.Monitor( endOfDayStrategyBackTester );
			return messageManager;
		}

		private void saveLog( BackTestLog backTestLog ,
		                    string suggestedLogFileName )
		{
			string defaultFolderPath =
				"C:\\qpReports\\";
//			this.wFLagLog.TransactionHistory = this.account.Transactions;
			LogArchiver.Save( backTestLog ,
			              suggestedLogFileName , defaultFolderPath );
		}



		public void Run1()
		{
			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\" );
			LogViewer logViewer =
				new LogViewer( backTestLog );
			logViewer.Show();
		}

		public void Run()
		{
			string backTestId = "PairsTrading";
			double cashToStart = 30000;

			int inSampleDays = 90;
			string tickersGroupId = "SP500";
			
			// uncomment the following two lines for faster scripts
//			int inSampleDays = 30;
//			string tickersGroupId = "fastTest";

      Benchmark benchmark = new Benchmark( "MSFT" );
			int maxNumberOfEligiblesToBeChosen = 100;
			IDecoderForTestingPositions decoderForWeightedPositions
				= new DecoderForTestingPositionsWithBalancedWeights();
			IHistoricalQuoteProvider historicalQuoteProvider =
				new HistoricalAdjustedQuoteProvider();

			// definition for the Fitness Evaluator
//      IEquityEvaluator equityEvaluator = new SharpeRatio();
			IFitnessEvaluator	fitnessEvaluator =
				new PairsTradingFitnessEvaluator();

			// parameters for the genetic optimizer
			double crossoverRate = 0.85;
			double mutationRate = 0.02;
			double elitismRate = 0.001;
			int populationSizeForGeneticOptimizer = 20000;
			int generationNumberForGeneticOptimizer = 8;
			int seedForRandomGenerator =
				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
			IInSampleChooser inSampleChooser =
				new PairsTradingGeneticChooser(
				10 ,
				benchmark ,
				decoderForWeightedPositions , fitnessEvaluator ,
				historicalQuoteProvider ,
				crossoverRate , mutationRate , elitismRate ,
				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
				seedForRandomGenerator );

//			IIntervalsSelector intervalsSelector =
//				new FixedLengthTwoPhasesIntervalsSelector(
//				1 , 1 , benchmark );
			IIntervalsSelector intervalsSelector =
				new OddIntervalsSelector( 1 , 1 , benchmark );
			IEligiblesSelector eligiblesSelector =
				new MostLiquidAndLessVolatile(
				tickersGroupId , maxNumberOfEligiblesToBeChosen );

			PairsTradingStrategy pairsTradingStrategy =
				new PairsTradingStrategy(
				7 , inSampleDays , intervalsSelector ,
				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
				0.003 , 0.99 , 0.003 , 0.99 );

			DateTime firstDateTime = new DateTime( 2002 , 1 , 29 );
			DateTime lastDateTime = new DateTime( 2002 , 2 , 28 );
			double maxRunningHours = 8;
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
					backTestId , pairsTradingStrategy ,
					historicalQuoteProvider , firstDateTime ,
					lastDateTime , benchmark , cashToStart , maxRunningHours );

			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
			// constructor
			pairsTradingStrategy.Account = endOfDayStrategyBackTester.Account;

			MessageManager messageManager = this.setMessageManager(
				eligiblesSelector , inSampleChooser ,
				pairsTradingStrategy , endOfDayStrategyBackTester );
			endOfDayStrategyBackTester.Run();
			BackTesterReportViewer.ShowReport( lastDateTime ,
				endOfDayStrategyBackTester );
			this.saveLog(
				endOfDayStrategyBackTester.Log ,
				endOfDayStrategyBackTester.Description );
		}

		#endregion Run
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample GeneticChooser.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18908/a2_Strategies/InSample

Modified Files:
	GeneticChooser.cs 
Log Message:
Deleted an obsolete field; 
the abstract method setGenomeManager has been
changed (it was void; now it has to return a IGenomeManager object; its
name is now getGenomeManager)

Index: GeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/GeneticChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GeneticChooser.cs	22 Feb 2008 20:59:19 -0000	1.3
--- GeneticChooser.cs	25 Feb 2008 23:09:00 -0000	1.4
***************
*** 47,59 ****
  		public event NewProgressEventHandler NewProgress;
  		public event NewMessageEventHandler NewMessage;
! 
  		protected int numberOfPortfolioPositions;
  		protected int numberOfBestTestingPositionsToBeReturned;
- 		protected bool choosePositionsWithAtLeastOneDifferentTicker;
  		//the genetic chooser will return the requested number
  		//of genome (which meaning is a TestingPositions) that
! 		//have a different hash code
  		//the method that returns the hash code for genome
! 		//is virtual 
  		protected TestingPositions[] bestTestingPositions;
  		protected Benchmark benchmark;
--- 47,58 ----
  		public event NewProgressEventHandler NewProgress;
  		public event NewMessageEventHandler NewMessage;
! 		
  		protected int numberOfPortfolioPositions;
  		protected int numberOfBestTestingPositionsToBeReturned;
  		//the genetic chooser will return the requested number
  		//of genome (which meaning is a TestingPositions) that
! 		//have a different hash code (
  		//the method that returns the hash code for genome
! 		//is virtual) 
  		protected TestingPositions[] bestTestingPositions;
  		protected Benchmark benchmark;
***************
*** 207,213 ****
  		}
  
! 		protected abstract void setGenomeManager(EligibleTickers eligibleTickers ,
  			ReturnsManager returnsManager);
! 		//sets the member genomeManager in inherited classes
  		
  		private TestingPositions[] getBestTestingPositionsInSample(
--- 206,212 ----
  		}
  
! 		protected abstract IGenomeManager getGenomeManager(EligibleTickers eligibleTickers ,
  			ReturnsManager returnsManager);
! 		//returns a specific IGenomeManager object in inherited classes
  		
  		private TestingPositions[] getBestTestingPositionsInSample(
***************
*** 216,220 ****
  			)
  		{
! 			this.setGenomeManager(eligibleTickers, returnsManager);
  			this.geneticOptimizer = new GeneticOptimizer(
  				this.crossoverRate ,
--- 215,219 ----
  			)
  		{
! 			this.genomeManager = this.getGenomeManager(eligibleTickers, returnsManager);
  			this.geneticOptimizer = new GeneticOptimizer(
  				this.crossoverRate ,

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample GeneticChooser.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25672/a2_Strategies/InSample

Modified Files:
	GeneticChooser.cs 
Log Message:
Removed parameter from the constructor (it created only confusion)

Index: GeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/GeneticChooser.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GeneticChooser.cs	13 Feb 2008 21:46:59 -0000	1.2
--- GeneticChooser.cs	22 Feb 2008 20:59:19 -0000	1.3
***************
*** 52,57 ****
  		protected bool choosePositionsWithAtLeastOneDifferentTicker;
  		//the genetic chooser will return the requested number
! 		//of TestingPositions that have a different tickers'composition
! 		//(that is TestingPositions with a different HashCodeForTickerComposition)
  		protected TestingPositions[] bestTestingPositions;
  		protected Benchmark benchmark;
--- 52,59 ----
  		protected bool choosePositionsWithAtLeastOneDifferentTicker;
  		//the genetic chooser will return the requested number
! 		//of genome (which meaning is a TestingPositions) that
! 		//have a different hash code
! 		//the method that returns the hash code for genome
! 		//is virtual 
  		protected TestingPositions[] bestTestingPositions;
  		protected Benchmark benchmark;
***************
*** 90,104 ****
  		/// AnalyzeInSample method will return
  		/// </param>
- 		/// <param name="choosePositionsWithAtLeastOneDifferentTicker">
- 		/// If true, the returned TestingPositions 
- 		/// will be different in TickerComposition
- 		/// (there won't be two TestingPositions with 
- 		/// exactly the same tickers).
- 		/// If false, there will be returned just the best TestingPositions
- 		/// ordered by fitness by the genetic optimizer
- 		/// </param>
  		public GeneticChooser(
  			int numberOfPortfolioPositions , int numberOfBestTestingPositionsToBeReturned ,
- 			bool choosePositionsWithAtLeastOneDifferentTicker ,
  			Benchmark benchmark ,
  			IDecoderForTestingPositions decoderForTestingPositions ,
--- 92,97 ----
***************
*** 181,192 ****
  		
  		//it returns a hashCode for the given genome
  		protected virtual string getHashCodeForGenome(Genome genome)
  		{
! 			string returnValue;
! 			if (this.choosePositionsWithAtLeastOneDifferentTicker)
! 				returnValue = ((TestingPositions)genome.Meaning).HashCodeForTickerComposition;
! 			else
! 				returnValue = genome.Meaning.GetHashCode().ToString();
! 
  			return returnValue;
  		}
--- 174,184 ----
  		
  		//it returns a hashCode for the given genome
+ 		//normally, it should be overrided in inherited classes
  		protected virtual string getHashCodeForGenome(Genome genome)
  		{
! 			string returnValue = genome.Meaning.GetHashCode().ToString();
! //			if (this.choosePositionsWithAtLeastOneDifferentTicker)
! //				returnValue = ((TestingPositions)genome.Meaning).HashCodeForTickerComposition;
! //			else
  			return returnValue;
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding BasicDecoderForTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24772/a2_Strategies/Optimizing/Decoding

Modified Files:
	BasicDecoderForTestingPositions.cs 
Log Message:
IDecoderForTestingPositions has to implement ILogDescriptor interface

Index: BasicDecoderForTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/BasicDecoderForTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** BasicDecoderForTestingPositions.cs	6 Feb 2008 23:11:27 -0000	1.1
--- BasicDecoderForTestingPositions.cs	22 Feb 2008 20:57:58 -0000	1.2
***************
*** 44,48 ****
  		protected EligibleTickers eligibleTickers;
  		protected ReturnsManager returnsManager;
! 				
  		public BasicDecoderForTestingPositions()
  		{
--- 44,58 ----
  		protected EligibleTickers eligibleTickers;
  		protected ReturnsManager returnsManager;
! 		
! 		public virtual string Description
! 		{
! 			get
! 			{
! 				string description =
! 					"BasicDecoderForTestingPositions_DecodedOnlyTickers_EqualWeights";
! 				return description;
! 			}
! 		}
! 
  		public BasicDecoderForTestingPositions()
  		{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding DecoderForTestingPositionsWithBalancedWeights.cs, 1.1, 1.2 IDecoderForTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24315/a2_Strategies/Optimizing/Decoding

Modified Files:
	DecoderForTestingPositionsWithBalancedWeights.cs 
	IDecoderForTestingPositions.cs 
Log Message:
The interface has to implement ILogDescriptor interface

Index: DecoderForTestingPositionsWithBalancedWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/DecoderForTestingPositionsWithBalancedWeights.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DecoderForTestingPositionsWithBalancedWeights.cs	6 Feb 2008 23:11:27 -0000	1.1
--- DecoderForTestingPositionsWithBalancedWeights.cs	22 Feb 2008 20:57:01 -0000	1.2
***************
*** 41,44 ****
--- 41,54 ----
  		}
  		
+ 		public override string Description
+ 		{
+ 			get
+ 			{
+ 				string description =
+ 					"DecoderForTestingPositions_DecodedOnlyTickers_WeightsAreBalancedOnVolatilityBase";
+ 				return description;
+ 			}
+ 		}
+ 
  		protected override double[] getWeights()
  		{

Index: IDecoderForTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/IDecoderForTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IDecoderForTestingPositions.cs	6 Feb 2008 23:08:58 -0000	1.1
--- IDecoderForTestingPositions.cs	22 Feb 2008 20:57:01 -0000	1.2
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.Business.Strategies.OutOfSample;
  using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.Logging;
  
  namespace QuantProject.Business.Strategies.Optimizing.Decoding
***************
*** 34,38 ****
  	/// StrategyPositionsForTesting
  	/// </summary>
! 	public interface IDecoderForTestingPositions
  	{
  		/// <summary>
--- 35,39 ----
  	/// StrategyPositionsForTesting
  	/// </summary>
! 	public interface IDecoderForTestingPositions : ILogDescriptor
  	{
  		/// <summary>

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/OutOfSample TestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/OutOfSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23838/a2_Strategies/OutOfSample

Modified Files:
	TestingPositions.cs 
Log Message:
Fixed bug in HashCodeForTickerComposition

Index: TestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/OutOfSample/TestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestingPositions.cs	6 Feb 2008 23:05:49 -0000	1.1
--- TestingPositions.cs	22 Feb 2008 20:55:37 -0000	1.2
***************
*** 58,62 ****
  		      listOfTickers.Sort();
  		      foreach(string tickerCode in listOfTickers)
! 		        this.hashCodeForTickerComposition += tickerCode;
        	}
        	return this.hashCodeForTickerComposition;
--- 58,62 ----
  		      listOfTickers.Sort();
  		      foreach(string tickerCode in listOfTickers)
! 		        this.hashCodeForTickerComposition += tickerCode + ";";
        	}
        	return this.hashCodeForTickerComposition;
***************
*** 69,73 ****
  		}
  		
! 		//it creates a empty TestingPositions
  		public TestingPositions()
      {
--- 69,73 ----
  		}
  		
! 		//it creates an empty TestingPositions
  		public TestingPositions()
      {

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers BasicGenomeManager.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27053/b4_Business/a2_Strategies/Optimizing/GenomeManagers

Modified Files:
	BasicGenomeManager.cs 
Log Message:
- seedForRandomGenerator is given as a parameter, now
- a couple of "one line" return statements have been split up, to allow an easier debugging/breakpointing

Index: BasicGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers/BasicGenomeManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** BasicGenomeManager.cs	13 Feb 2008 21:31:42 -0000	1.1
--- BasicGenomeManager.cs	19 Feb 2008 21:56:24 -0000	1.2
***************
*** 59,70 ****
  			return this.maxValueForGenes;
  		}
! 				    
  		public BasicGenomeManager(EligibleTickers eligibleTickers,
! 			int numberOfTickersInPortfolio,
! 			IDecoderForTestingPositions decoderForTestingPositions,
! 			IFitnessEvaluator fitnessEvaluator,
! 			GenomeManagerType genomeManagerType,
! 			ReturnsManager returnsManager)
!                           
  		{
  			this.eligibleTickers = eligibleTickers;
--- 59,71 ----
  			return this.maxValueForGenes;
  		}
! 		
  		public BasicGenomeManager(EligibleTickers eligibleTickers,
! 		                          int numberOfTickersInPortfolio,
! 		                          IDecoderForTestingPositions decoderForTestingPositions,
! 		                          IFitnessEvaluator fitnessEvaluator,
! 		                          GenomeManagerType genomeManagerType,
! 		                          ReturnsManager returnsManager ,
! 		                          int seedForRandomGenerator )
! 			
  		{
  			this.eligibleTickers = eligibleTickers;
***************
*** 75,79 ****
  			this.returnsManager = returnsManager;
  			this.setMinAndMaxValueForGenes();
! 			GenomeManagement.SetRandomGenerator(QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator);
  		}
      
--- 76,80 ----
  			this.returnsManager = returnsManager;
  			this.setMinAndMaxValueForGenes();
! 			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
  		}
      
***************
*** 103,107 ****
  		public virtual double GetFitnessValue(Genome genome)
  		{
! 			return this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);
  		}
      
--- 104,110 ----
  		public virtual double GetFitnessValue(Genome genome)
  		{
! 			double fitnessValue =
! 				this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);
! 			return fitnessValue;
  		}
      
***************
*** 142,150 ****
  //			//
  //		}
!     
  		public virtual object Decode(Genome genome)
  		{
! 			return this.decoderForTestingPositions.Decode(genome.Genes(),
! 						 this.eligibleTickers,	this.returnsManager);
  		}
  	}
--- 145,155 ----
  //			//
  //		}
! 		
  		public virtual object Decode(Genome genome)
  		{
! 			object decoded =
! 				this.decoderForTestingPositions.Decode(genome.Genes(),
! 				                                       this.eligibleTickers,	this.returnsManager);
! 			return decoded;
  		}
  	}

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.53, 1.54 Business_SD.csproj, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24497

Modified Files:
	b4_Business.csproj Business_SD.csproj 
Log Message:
Updated vs net and SD project files

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** Business_SD.csproj	10 Feb 2008 19:46:31 -0000	1.11
--- Business_SD.csproj	13 Feb 2008 22:19:56 -0000	1.12
***************
*** 73,76 ****
--- 73,77 ----
      <Compile Include="a2_Strategies\IInSampleChooser.cs" />
      <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" />
+     <Compile Include="a2_Strategies\InSample\GeneticChooser.cs" />
      <Compile Include="a2_Strategies\Logging\BackTestLog.cs" />
      <Compile Include="a2_Strategies\Logging\ILogDescriptor.cs" />
***************
*** 82,85 ****
--- 83,89 ----
      <Compile Include="a2_Strategies\Optimizing\Decoding\IDecoderForTestingPositions.cs" />
      <Compile Include="a2_Strategies\Optimizing\Decoding\IDecoderForWeightedPositions.cs" />
+     <Compile Include="a2_Strategies\Optimizing\FitnessEvaluation\IFitnessEvaluator.cs" />
+     <Compile Include="a2_Strategies\Optimizing\GenomeManagers\BasicGenomeManager.cs" />
+     <Compile Include="a2_Strategies\Optimizing\GenomeManagers\GenomeManagerType.cs" />
      <Compile Include="a2_Strategies\OutOfSample\TestingPositions.cs" />
      <Compile Include="a2_Strategies\returnsManagement\time\CloseToCloseIntervals.cs" />
***************
*** 223,226 ****
--- 227,232 ----
      </ProjectReference>
      <Folder Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows" />
+     <Folder Include="a2_Strategies\Optimizing\FitnessEvaluation" />
+     <Folder Include="a2_Strategies\Optimizing\GenomeManagers" />
      <Folder Include="a2_Strategies\OutOfSample" />
      <Folder Include="a2_Strategies\Eligibles" />

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.53
retrieving revision 1.54
diff -C2 -d -r1.53 -r1.54
*** b4_Business.csproj	10 Feb 2008 14:13:57 -0000	1.53
--- b4_Business.csproj	13 Feb 2008 22:19:56 -0000	1.54
***************
*** 738,741 ****
--- 738,746 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\InSample\GeneticChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\Logging\BackTestLog.cs"
                      SubType = "Code"
***************
*** 788,791 ****
--- 793,806 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\Optimizing\GenomeManagers\BasicGenomeManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Optimizing\GenomeManagers\GenomeManagerType.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\OutOfSample\TestingPositions.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample GeneticChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10870

Modified Files:
	GeneticChooser.cs 
Log Message:
Fixed bug in GeneticChooser class. The class has not been tested yet ...


Index: GeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/GeneticChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GeneticChooser.cs	13 Feb 2008 21:30:21 -0000	1.1
--- GeneticChooser.cs	13 Feb 2008 21:46:59 -0000	1.2
***************
*** 215,219 ****
  		}
  
! 		protected abstract void setGenomeManager();
  		//sets the member genomeManager in inherited classes
  		
--- 215,220 ----
  		}
  
! 		protected abstract void setGenomeManager(EligibleTickers eligibleTickers ,
! 			ReturnsManager returnsManager);
  		//sets the member genomeManager in inherited classes
  		
***************
*** 223,227 ****
  			)
  		{
! 			this.setGenomeManager();
  			this.geneticOptimizer = new GeneticOptimizer(
  				this.crossoverRate ,
--- 224,228 ----
  			)
  		{
! 			this.setGenomeManager(eligibleTickers, returnsManager);
  			this.geneticOptimizer = new GeneticOptimizer(
  				this.crossoverRate ,

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers BasicGenomeManager.cs, NONE, 1.1 GenomeManagerType.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4477

Added Files:
	BasicGenomeManager.cs GenomeManagerType.cs 
Log Message:
Added BasicGenomeManager, an abstract class that should be inherited
by all the IGenomeManagers created for genetic optimization.

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

BasicGenomeManager.cs
Copyright (C) 2008
Marco Milletti

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

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

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

using System;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;

namespace QuantProject.Business.Strategies.Optimizing.GenomeManagers
{
	/// <summary>
	/// This is a basic abstract implementation of IGenomeManager, that should be
	/// inherited by specific GenomeManagers for specific strategies
	/// </summary>
	[Serializable]
	public abstract class BasicGenomeManager : IGenomeManager
	{
		protected int genomeSize;
		protected int minValueForGenes;
		protected int maxValueForGenes;
		protected GenomeManagerType genomeManagerType;
		protected EligibleTickers eligibleTickers;
		protected ReturnsManager returnsManager;
		protected IDecoderForTestingPositions decoderForTestingPositions;
		protected IFitnessEvaluator fitnessEvaluator;
    
		public virtual int GenomeSize
		{
			get{return this.genomeSize;}
		}
		public virtual int GetMinValueForGenes(int genePosition)
		{
			return this.minValueForGenes;
		}
		public virtual int GetMaxValueForGenes(int genePosition)
		{
			return this.maxValueForGenes;
		}
				    
		public BasicGenomeManager(EligibleTickers eligibleTickers,
			int numberOfTickersInPortfolio,
			IDecoderForTestingPositions decoderForTestingPositions,
			IFitnessEvaluator fitnessEvaluator,
			GenomeManagerType genomeManagerType,
			ReturnsManager returnsManager)
                          
		{
			this.eligibleTickers = eligibleTickers;
			this.genomeSize = numberOfTickersInPortfolio;
			this.decoderForTestingPositions = decoderForTestingPositions;
			this.fitnessEvaluator = fitnessEvaluator;
			this.genomeManagerType = genomeManagerType;
			this.returnsManager = returnsManager;
			this.setMinAndMaxValueForGenes();
			GenomeManagement.SetRandomGenerator(QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator);
		}
    
		private void setMinAndMaxValueForGenes()
		{
			switch (this.genomeManagerType) 
			{
				case GenomeManagerType.OnlyLong :        
					//OnlyLong orders are admitted
					this.minValueForGenes = 0;
					this.maxValueForGenes = this.eligibleTickers.Count - 1;
					break;
				case GenomeManagerType.OnlyShort :        
					//OnlyShort orders are admitted
					this.minValueForGenes = - this.eligibleTickers.Count;
					//if gene g is negative, it refers to the ticker |g|-1 to be shorted
					this.maxValueForGenes = - 1;
					break;
				default :        
					//Both Long and Short orders are admitted
					this.minValueForGenes = - this.eligibleTickers.Count;
					this.maxValueForGenes = this.eligibleTickers.Count - 1;
					break;
			}
		}
        
		public virtual double GetFitnessValue(Genome genome)
		{
			return this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);
		}
    
		public abstract Genome[] GetChilds(Genome parent1, Genome parent2);
		public abstract int GetNewGeneValue(Genome genome, int genePosition);
//		{
//			// in this implementation new gene values must be different from
//			// the others already stored in the given genome
//			int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
//				genome.GetMaxValueForGenes(genePosition) + 1);
//			while( GenomeManipulator.IsTickerContainedInGenome(returnValue,genome) )
//				//the portfolio can't have a long position and a short one for the same ticker 
//			{
//				returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
//					genome.GetMaxValueForGenes(genePosition) + 1);
//			}
//			return returnValue;
//		}
        
		public abstract void Mutate(Genome genome);
//		{
//			// in this implementation only one gene is mutated
//			// the new value has to be different from all the other genes of the genome
//			int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
//			int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
//				genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
//			while( GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome) )
//				//the portfolio can't have a long position and a short one for the same ticker
//			{
//				newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
//					genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
//			}
//			GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
//		}

//		public virtual object Decode(BruteForceOptimizableParameters bruteForceOptimizableParameters)
//		{
//			//
//		}
    
		public virtual object Decode(Genome genome)
		{
			return this.decoderForTestingPositions.Decode(genome.Genes(),
						 this.eligibleTickers,	this.returnsManager);
		}
	}
}

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

GenomeManagerType.cs
Copyright (C) 2008 
Marco Milletti

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

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

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

using System;

namespace QuantProject.Business.Strategies.Optimizing.GenomeManagers
{
  /// <summary>
  /// Specifies the type of the GenomeManager 
  /// </summary>
  [Serializable]
  public enum GenomeManagerType
  {
    OnlyLong,//it selects genes that are to be decoded 
    //as tickers for only long orders (and so on)
		OnlyShort,
    ShortAndLong,
		OnlyMixed
  }
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4013

Added Files:
	GeneticChooser.cs 
Log Message:
Added GeneticChooser, an abstract class that should be inherited
by all the IInSampleChoosers that use genetic optimization.

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

GeneticChooser.cs
Copyright (C) 2008
Marco Milletti

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

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

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

using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies.OutOfSample;

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

		protected int numberOfPortfolioPositions;
		protected int numberOfBestTestingPositionsToBeReturned;
		protected bool choosePositionsWithAtLeastOneDifferentTicker;
		//the genetic chooser will return the requested number
		//of TestingPositions that have a different tickers'composition
		//(that is TestingPositions with a different HashCodeForTickerComposition)
		protected TestingPositions[] bestTestingPositions;
		protected Benchmark benchmark;
		protected IDecoderForTestingPositions decoderForTestingPositions;
		protected IFitnessEvaluator fitnessEvaluator;
		protected IHistoricalQuoteProvider historicalQuoteProvider;
		protected IGenomeManager genomeManager;
		protected double crossoverRate;
		protected double mutationRate;
		protected double elitismRate;
		protected int populationSizeForGeneticOptimizer;
		protected int generationNumberForGeneticOptimizer;
		protected int seedForRandomGenerator;

		protected GeneticOptimizer geneticOptimizer;


		public string Description
		{
			get
			{
				string description = "PopSize_" + this.populationSizeForGeneticOptimizer +
					"_GenNum_" + this.generationNumberForGeneticOptimizer +
					"_FitnEval_" + this.fitnessEvaluator.Description +
					"_DecoderForTestingPositions_" + this.decoderForTestingPositions;
				return description;
			}
		}
		
		/// <summary>
		/// Abstract GeneticChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of TestingPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		/// <param name="choosePositionsWithAtLeastOneDifferentTicker">
		/// If true, the returned TestingPositions 
		/// will be different in TickerComposition
		/// (there won't be two TestingPositions with 
		/// exactly the same tickers).
		/// If false, there will be returned just the best TestingPositions
		/// ordered by fitness by the genetic optimizer
		/// </param>
		public GeneticChooser(
			int numberOfPortfolioPositions , int numberOfBestTestingPositionsToBeReturned ,
			bool choosePositionsWithAtLeastOneDifferentTicker ,
			Benchmark benchmark ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGenerator )
		{
			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
			this.bestTestingPositions = new TestingPositions[numberOfBestTestingPositionsToBeReturned];
			this.benchmark = benchmark;
			this.decoderForTestingPositions = decoderForTestingPositions;
			this.fitnessEvaluator =	fitnessEvaluator;
			this.historicalQuoteProvider = historicalQuoteProvider;
			this.crossoverRate = crossoverRate;
			this.mutationRate = mutationRate;
			this.elitismRate = elitismRate;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
			this.seedForRandomGenerator = seedForRandomGenerator;
		}

		#region AnalyzeInSample
		private void analyzeInSample_checkParameters(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			if ( eligibleTickers.Count <	this.numberOfPortfolioPositions )
				throw new Exception( "Eligible tickers for driving positions contains " +
					"only " + eligibleTickers.Count +
					" elements, while NumberOfDrivingPositions is " +
					this.numberOfPortfolioPositions );
			if ( this.numberOfBestTestingPositionsToBeReturned > 
			    this.populationSizeForGeneticOptimizer )
				throw new Exception( "Number of BestTestingPositions for " +
				                     "out of sample testing is too high with " +
				                     "respect to the population size of the " + 
				                     "genetic optimizer" );
		}
		
		#region newGenerationEventHandler
		private void sendNewProgress( NewGenerationEventArgs e )
		{
			if ( this.NewProgress != null )
				this.NewProgress( this ,
					new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
		}
		#region sendNewMessage
		private string getProgressMessage(
			int generationCounter , int generationNumber )
		{
			string progressMessage =
				generationCounter.ToString() + " / " +
				generationNumber.ToString() +
				" - " +
				DateTime.Now.ToString();
			return progressMessage;
		}
		private void sendNewMessage( NewGenerationEventArgs e )
		{
			string message = this.getProgressMessage(
				e.GenerationCounter , e.GenerationNumber );
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		#endregion sendNewMessage
		private void newGenerationEventHandler(
			object sender , NewGenerationEventArgs e )
		{
			this.sendNewProgress( e );
			this.sendNewMessage( e );
		}
		#endregion newGenerationEventHandler
		
		//it returns a hashCode for the given genome
		protected virtual string getHashCodeForGenome(Genome genome)
		{
			string returnValue;
			if (this.choosePositionsWithAtLeastOneDifferentTicker)
				returnValue = ((TestingPositions)genome.Meaning).HashCodeForTickerComposition;
			else
				returnValue = genome.Meaning.GetHashCode().ToString();

			return returnValue;
		}
		
		private void setBestTestingPositions()
		{
			GeneticOptimizer GO = this.geneticOptimizer;
			int addedTestingPositions = 0;
      int counter = 0;
      Genome currentGenome = null;
      string currentGenomeHashcode;
      Hashtable genomesCollector = new Hashtable();
      while(addedTestingPositions < this.numberOfBestTestingPositionsToBeReturned && 
            counter < GO.PopulationSize)
      {
      	currentGenome = (Genome)GO.CurrentGeneration[GO.PopulationSize - 1 - counter];
      	currentGenomeHashcode = this.getHashCodeForGenome(currentGenome);
      	if( counter == 0 || !genomesCollector.ContainsKey(currentGenomeHashcode) )
      	{
					this.bestTestingPositions[addedTestingPositions] = 
						(TestingPositions)currentGenome.Meaning;
      		genomesCollector.Add(currentGenomeHashcode, null);
      	}
      	counter ++ ;
      }  
		}

		protected abstract void setGenomeManager();
		//sets the member genomeManager in inherited classes
		
		private TestingPositions[] getBestTestingPositionsInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager
			)
		{
			this.setGenomeManager();
			this.geneticOptimizer = new GeneticOptimizer(
				this.crossoverRate ,
				this.mutationRate ,
				this.elitismRate ,
				this.populationSizeForGeneticOptimizer ,
				this.generationNumberForGeneticOptimizer ,
				this.genomeManager ,
				this.seedForRandomGenerator );
			this.geneticOptimizer.NewGeneration +=
				new NewGenerationEventHandler( this.newGenerationEventHandler );
			this.geneticOptimizer.Run( false );
			this.setBestTestingPositions();
	
			return this.bestTestingPositions;
		}

		/// <summary>
		/// Returns the best TestingPositions with respect to the in sample data
		/// </summary>
		/// <param name="eligibleTickers"></param>
		/// <returns></returns>
		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/b4_Business/a2_Strategies/Optimizing/GenomeManagers - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2551/GenomeManagers

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

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.10, 1.11

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32139

Modified Files:
	Business_SD.csproj 
Log Message:
Added ILogDescriptor interface to the project, to be used for
logging activities (naming of log files and creating log files' contents)

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** Business_SD.csproj	7 Feb 2008 18:13:39 -0000	1.10
--- Business_SD.csproj	10 Feb 2008 19:46:31 -0000	1.11
***************
*** 74,77 ****
--- 74,78 ----
      <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" />
      <Compile Include="a2_Strategies\Logging\BackTestLog.cs" />
+     <Compile Include="a2_Strategies\Logging\ILogDescriptor.cs" />
      <Compile Include="a2_Strategies\Logging\LogItem.cs" />
      <Compile Include="a2_Strategies\Logging\NewLogItemEventArgs.cs" />

[Quantproject-developers] Warnings per operatore ==

[Glauco S. <gl...@my...>]

Marco Milletti wrote:
> Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
> In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10185/b4_Business/a05_Timing
>
> Modified Files:
> 	EndOfDayDateTime.cs
> Log Message:
> == and != operator have been overloaded when used with objects of this type
>   
VSNet mi da' questi due warnings (ho settato VSNet per darmi solo 
warnings "significativi"):

C:\QuantProject\QuantProject\b4_Business\a05_Timing\EndOfDayDateTime.cs(32,17): 
warning CS0660: 'QuantProject.Business.Timing.EndOfDayDateTime' defines 
operator == or operator != but does not override Object.Equals(object o)
C:\QuantProject\QuantProject\b4_Business\a05_Timing\EndOfDayDateTime.cs(32,17): 
warning CS0661: 'QuantProject.Business.Timing.EndOfDayDateTime' defines 
operator == or operator != but does not override Object.GetHashCode()

Ti dicono qualcosa?

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj, 1.52, 1.53

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30442/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Minor VSNet automatic change

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.52
retrieving revision 1.53
diff -C2 -d -r1.52 -r1.53
*** b3_Data.csproj	7 Feb 2008 17:12:16 -0000	1.52
--- b3_Data.csproj	10 Feb 2008 15:27:21 -0000	1.53
***************
*** 144,148 ****
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Component"
                      BuildAction = "Compile"
                  />
--- 144,148 ----
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation WinningPeriods.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30032/b4_Business/a2_Strategies/EquityEvaluation

Modified Files:
	WinningPeriods.cs 
Log Message:
The property
public string Description
has been implemented

Index: WinningPeriods.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/WinningPeriods.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WinningPeriods.cs	13 Jul 2007 10:18:03 -0000	1.2
--- WinningPeriods.cs	10 Feb 2008 15:26:34 -0000	1.3
***************
*** 31,34 ****
--- 31,42 ----
  	public class WinningPeriods : IEquityEvaluator
  	{
+ 		public string Description
+ 		{
+ 			get
+ 			{
+ 				return "EqEvltr_wnngPrds";
+ 			}
+ 		}
+ 
  		public WinningPeriods()
  		{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation SharpeRatio.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30000/b4_Business/a2_Strategies/EquityEvaluation

Modified Files:
	SharpeRatio.cs 
Log Message:
The property
public string Description
has been implemented

Index: SharpeRatio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/SharpeRatio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SharpeRatio.cs	14 Aug 2007 14:51:01 -0000	1.2
--- SharpeRatio.cs	10 Feb 2008 15:26:15 -0000	1.3
***************
*** 34,37 ****
--- 34,45 ----
  	public class SharpeRatio : IEquityEvaluator
  	{
+ 		public string Description
+ 		{
+ 			get
+ 			{
+ 				return "EqEvltr_shrpRt";
+ 			}
+ 		}
+ 
  		public SharpeRatio()
  		{