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From: Glauco S. <gla...@us...> - 2008-02-10 15:25:46
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29595/b4_Business/a2_Strategies Modified Files: IInSampleChooser.cs Log Message: - the ILogDescriptor interface is implemented, now Index: IInSampleChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/IInSampleChooser.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** IInSampleChooser.cs 19 Jan 2008 17:38:00 -0000 1.1 --- IInSampleChooser.cs 10 Feb 2008 15:25:42 -0000 1.2 *************** *** 27,30 **** --- 27,31 ---- using QuantProject.ADT.Messaging; using QuantProject.Business.Strategies.Eligibles; + using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.ReturnsManagement; *************** *** 34,38 **** /// Interface for classes that perform in sample researches (usually optimization) /// </summary> ! public interface IInSampleChooser : IProgressNotifier , IMessageSender { /// <summary> --- 35,39 ---- /// Interface for classes that perform in sample researches (usually optimization) /// </summary> ! public interface IInSampleChooser : IProgressNotifier , IMessageSender , ILogDescriptor { /// <summary> *************** *** 45,54 **** object AnalyzeInSample( EligibleTickers eligibleTickers , ReturnsManager returnsManager ); ! // EndOfDayDateTime currentOutOfSampleEndOfDayDateTime ); ! /// <summary> ! /// short text description for the chooser (it might be used for saving ! /// logs for strategies) ! /// </summary> ! string Description { get; } } } --- 46,55 ---- object AnalyzeInSample( EligibleTickers eligibleTickers , ReturnsManager returnsManager ); ! //// EndOfDayDateTime currentOutOfSampleEndOfDayDateTime ); ! // /// <summary> ! // /// Short description for the chooser ! // /// (it might be used in file names describing the strategy) ! // /// </summary> ! // string Description { get; } } } |
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From: Glauco S. <gla...@us...> - 2008-02-10 15:24:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29165/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging Modified Files: FixedLengthTwoPhasesLogItem.cs Log Message: The compiler forced me to add a cast to IInSampleChooser, I really don't understand this MILLO, any idea? Index: FixedLengthTwoPhasesLogItem.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging/FixedLengthTwoPhasesLogItem.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** FixedLengthTwoPhasesLogItem.cs 7 Feb 2008 18:28:16 -0000 1.1 --- FixedLengthTwoPhasesLogItem.cs 10 Feb 2008 15:24:52 -0000 1.2 *************** *** 110,114 **** // seedForRandomGenerator ); IInSampleChooser inSampleChooser = ! new ConstantWeightedPositionsChooser( this.BestWeightedPositionsInSample ); IIntervalsSelector intervalsSelector = --- 110,114 ---- // seedForRandomGenerator ); IInSampleChooser inSampleChooser = ! (IInSampleChooser)new ConstantWeightedPositionsChooser( this.BestWeightedPositionsInSample ); IIntervalsSelector intervalsSelector = |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:31:37
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6970/b4_Business/a2_Strategies/EquityEvaluation Modified Files: IEquityEvaluator.cs Log Message: - the ILogDescriptor interface is implemented, now Index: IEquityEvaluator.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/IEquityEvaluator.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** IEquityEvaluator.cs 13 Jul 2007 10:04:29 -0000 1.3 --- IEquityEvaluator.cs 10 Feb 2008 14:31:32 -0000 1.4 *************** *** 23,26 **** --- 23,28 ---- using System; + using QuantProject.Business.Strategies.Logging; + namespace QuantProject.Business.Strategies.EquityEvaluation { *************** *** 28,33 **** /// Interface to be implemented by equity line evaluators /// </summary> ! public interface IEquityEvaluator { float GetReturnsEvaluation( float[] returns ); } --- 30,40 ---- /// Interface to be implemented by equity line evaluators /// </summary> ! public interface IEquityEvaluator : ILogDescriptor { + // /// <summary> + // /// Short description (it might be used in file names describing the strategy) + // /// </summary> + // string Description { get; } + float GetReturnsEvaluation( float[] returns ); } |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:29:55
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6106/b4_Business/a2_Strategies Modified Files: IEndOfDayStrategyForBacktester.cs Log Message: - the ILogDescriptor interface is implemented, now - the property string DescriptionForLogFileName{ get; } is not requested anymore Index: IEndOfDayStrategyForBacktester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/IEndOfDayStrategyForBacktester.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** IEndOfDayStrategyForBacktester.cs 19 Jan 2008 17:36:28 -0000 1.1 --- IEndOfDayStrategyForBacktester.cs 10 Feb 2008 14:29:51 -0000 1.2 *************** *** 23,26 **** --- 23,28 ---- using System; + using QuantProject.Business.Strategies.Logging; + namespace QuantProject.Business.Strategies { *************** *** 29,33 **** /// to be used by the EndOfDayStrategyBackTester /// </summary> ! public interface IEndOfDayStrategyForBacktester : IEndOfDayStrategy { /// <summary> --- 31,35 ---- /// to be used by the EndOfDayStrategyBackTester /// </summary> ! public interface IEndOfDayStrategyForBacktester : IEndOfDayStrategy , ILogDescriptor { /// <summary> *************** *** 42,49 **** bool StopBacktestIfMaxRunningHoursHasBeenReached{ get; } event NewLogItemEventHandler NewLogItem; - /// <summary> - /// short description to be used as part of the log file name - /// </summary> - string DescriptionForLogFileName{ get; } } } --- 44,47 ---- |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:29:04
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5688/b4_Business/a2_Strategies/Optimizing/Decoding Modified Files: IDecoderForWeightedPositions.cs Log Message: - the ILogDescriptor interface is implemented, now Index: IDecoderForWeightedPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/IDecoderForWeightedPositions.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** IDecoderForWeightedPositions.cs 19 Jan 2008 17:50:51 -0000 1.1 --- IDecoderForWeightedPositions.cs 10 Feb 2008 14:28:59 -0000 1.2 *************** *** 24,27 **** --- 24,28 ---- using QuantProject.Business.Strategies.Eligibles; + using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.ReturnsManagement; *************** *** 32,36 **** /// genetic and for brute force optimizers) that will return a WeightedPositions /// </summary> ! public interface IDecoderForWeightedPositions { /// <summary> --- 33,37 ---- /// genetic and for brute force optimizers) that will return a WeightedPositions /// </summary> ! public interface IDecoderForWeightedPositions : ILogDescriptor { /// <summary> |
Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5649/b4_Business/a07_DataProviders Modified Files: HistoricalAdjustedQuoteProvider.cs HistoricalQuoteProvider.cs HistoricalRawQuoteProvider.cs IHistoricalQuoteProvider.cs Log Message: - IHistoricalQuoteProvider now implements the ILogDescriptor interface - IHistoricalQuoteProvider.ShortDescription has been removed - HistoricalQuoteProvider implements the Description property by means of the method protected abstract string getDescription(); - the classes HistoricalAdjustedQuoteProvider and HistoricalRawQuoteProvider implement the protected getDescription() method Index: HistoricalRawQuoteProvider.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalRawQuoteProvider.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** HistoricalRawQuoteProvider.cs 28 Jan 2008 21:50:56 -0000 1.4 --- HistoricalRawQuoteProvider.cs 10 Feb 2008 14:28:09 -0000 1.5 *************** *** 34,45 **** public class HistoricalRawQuoteProvider : HistoricalQuoteProvider { - public override string ShortDescription - { - get - { - return "raw"; - } - } - public HistoricalRawQuoteProvider() { --- 34,37 ---- *************** *** 51,54 **** --- 43,51 ---- endOfDayDateTime.GetNearestExtendedDateTime() ); } + + protected override string getDescription() + { + return "raw"; + } } } Index: IHistoricalQuoteProvider.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/IHistoricalQuoteProvider.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** IHistoricalQuoteProvider.cs 28 Jan 2008 21:48:01 -0000 1.3 --- IHistoricalQuoteProvider.cs 10 Feb 2008 14:28:09 -0000 1.4 *************** *** 26,29 **** --- 26,30 ---- using QuantProject.ADT.Histories; using QuantProject.Data.DataTables; + using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Timing; *************** *** 33,37 **** /// Interface to be implemented by historical quote providers /// </summary> ! public interface IHistoricalQuoteProvider { /// <summary> --- 34,38 ---- /// Interface to be implemented by historical quote providers /// </summary> ! public interface IHistoricalQuoteProvider : ILogDescriptor { /// <summary> *************** *** 50,57 **** EndOfDayHistory GetEndOfDayQuotes( string ticker , EndOfDayHistory endOfDayHistory ); - /// <summary> - /// Short description: it might be used for file names - /// </summary> - string ShortDescription { get; } } } --- 51,54 ---- Index: HistoricalAdjustedQuoteProvider.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalAdjustedQuoteProvider.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** HistoricalAdjustedQuoteProvider.cs 28 Jan 2008 21:50:40 -0000 1.5 --- HistoricalAdjustedQuoteProvider.cs 10 Feb 2008 14:28:09 -0000 1.6 *************** *** 34,45 **** public class HistoricalAdjustedQuoteProvider : HistoricalQuoteProvider { - public override string ShortDescription - { - get - { - return "adj"; - } - } - public HistoricalAdjustedQuoteProvider() { --- 34,37 ---- *************** *** 53,56 **** --- 45,53 ---- return marketValue; } + + protected override string getDescription() + { + return "adj"; + } } } Index: HistoricalQuoteProvider.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalQuoteProvider.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** HistoricalQuoteProvider.cs 28 Jan 2008 21:49:46 -0000 1.4 --- HistoricalQuoteProvider.cs 10 Feb 2008 14:28:09 -0000 1.5 *************** *** 33,41 **** public abstract class HistoricalQuoteProvider : IHistoricalQuoteProvider { ! public abstract string ShortDescription { get; } public HistoricalQuoteProvider() { } public abstract double GetMarketValue( string ticker , EndOfDayDateTime endOfDayDateTime ); --- 33,50 ---- public abstract class HistoricalQuoteProvider : IHistoricalQuoteProvider { ! public string Description ! { ! get ! { ! return "QtPrvdr_" + this.getDescription(); ! } ! } public HistoricalQuoteProvider() { } + + protected abstract string getDescription(); + public abstract double GetMarketValue( string ticker , EndOfDayDateTime endOfDayDateTime ); |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:22:01
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2900/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases Modified Files: FixedLengthTwoPhasesStrategy.cs Log Message: - the property DescriptionForLogFileName has been renamed to Description - the property Description has been improved Index: FixedLengthTwoPhasesStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** FixedLengthTwoPhasesStrategy.cs 7 Feb 2008 18:42:05 -0000 1.3 --- FixedLengthTwoPhasesStrategy.cs 10 Feb 2008 14:21:57 -0000 1.4 *************** *** 76,87 **** } } ! public string DescriptionForLogFileName { get { string descriptionForLogFileName = ! "WFFLPT_" + ! "nmDysBtwnOptmztns_" + this.numDaysBeetweenEachOtpimization + ! "_iS_" + this.inSampleChooser.Description + "_oS_longOnly"; return descriptionForLogFileName; --- 76,89 ---- } } ! public string Description { get { string descriptionForLogFileName = ! "Strtgy_fltp_" + ! "nmDysBtwnOptmztns_" + ! this.numDaysBeetweenEachOtpimization.ToString() + "_" + ! this.eligiblesSelector.Description + "_" + ! this.inSampleChooser.Description + "_oS_longOnly"; return descriptionForLogFileName; |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:20:36
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2423/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases Modified Files: FixedLengthTwoPhasesMain.cs Log Message: A generic IFitnessEvaluator is used, now. Index: FixedLengthTwoPhasesMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** FixedLengthTwoPhasesMain.cs 7 Feb 2008 18:41:31 -0000 1.4 --- FixedLengthTwoPhasesMain.cs 10 Feb 2008 14:20:32 -0000 1.5 *************** *** 30,33 **** --- 30,34 ---- 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; *************** *** 130,135 **** // definition for the Fitness Evaluator IEquityEvaluator equityEvaluator = new SharpeRatio(); ! FixedLengthTwoPhasesFitnessEvaluator ! fixedLengthTwoPhasesFitnessEvaluator = new FixedLengthTwoPhasesFitnessEvaluator( equityEvaluator ); --- 131,135 ---- // definition for the Fitness Evaluator IEquityEvaluator equityEvaluator = new SharpeRatio(); ! IFitnessEvaluator fitnessEvaluator = new FixedLengthTwoPhasesFitnessEvaluator( equityEvaluator ); *************** *** 145,149 **** new FixedLengthTwoPhasesGeneticChooser( numberOfPortfolioPositions , inSampleDays , benchmark , ! decoderForWeightedPositions , fixedLengthTwoPhasesFitnessEvaluator , historicalQuoteProvider , crossoverRate , mutationRate , elitismRate , --- 145,149 ---- new FixedLengthTwoPhasesGeneticChooser( numberOfPortfolioPositions , inSampleDays , benchmark , ! decoderForWeightedPositions , fitnessEvaluator , historicalQuoteProvider , crossoverRate , mutationRate , elitismRate , *************** *** 185,189 **** this.saveLog( endOfDayStrategyBackTester.Log , ! endOfDayStrategyBackTester.DescriptionForLogFileName ); } --- 185,189 ---- this.saveLog( endOfDayStrategyBackTester.Log , ! endOfDayStrategyBackTester.Description ); } |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:20:14
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2328/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic Modified Files: FixedLengthTwoPhasesGenomeManager.cs Log Message: A generic IFitnessEvaluator is used, now. Index: FixedLengthTwoPhasesGenomeManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic/FixedLengthTwoPhasesGenomeManager.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** FixedLengthTwoPhasesGenomeManager.cs 19 Jan 2008 18:43:52 -0000 1.1 --- FixedLengthTwoPhasesGenomeManager.cs 10 Feb 2008 14:20:08 -0000 1.2 *************** *** 27,30 **** --- 27,31 ---- using QuantProject.Business.Strategies.EquityEvaluation; using QuantProject.Business.Strategies.Optimizing.Decoding; + using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation; using QuantProject.Business.Strategies.ReturnsManagement; *************** *** 40,44 **** ReturnsManager returnsManager; IDecoderForWeightedPositions decoderForWeightedPositions; ! FixedLengthTwoPhasesFitnessEvaluator fitnessEvaluator; int seedForRandomGenerator; --- 41,45 ---- ReturnsManager returnsManager; IDecoderForWeightedPositions decoderForWeightedPositions; ! IFitnessEvaluator fitnessEvaluator; int seedForRandomGenerator; *************** *** 48,52 **** ReturnsManager returnsManager , IDecoderForWeightedPositions decoderForWeightedPositions , ! FixedLengthTwoPhasesFitnessEvaluator fitnessEvaluator , int seedForRandomGenerator ) { --- 49,53 ---- ReturnsManager returnsManager , IDecoderForWeightedPositions decoderForWeightedPositions , ! IFitnessEvaluator fitnessEvaluator , int seedForRandomGenerator ) { |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:19:40
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1950/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic Modified Files: FixedLengthTwoPhasesGeneticChooser.cs Log Message: A generic IFitnessEvaluator is used, now. Index: FixedLengthTwoPhasesGeneticChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic/FixedLengthTwoPhasesGeneticChooser.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** FixedLengthTwoPhasesGeneticChooser.cs 7 Feb 2008 18:39:42 -0000 1.3 --- FixedLengthTwoPhasesGeneticChooser.cs 10 Feb 2008 14:19:36 -0000 1.4 *************** *** 31,34 **** --- 31,35 ---- 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; *************** *** 48,52 **** private Benchmark benchmark; private IDecoderForWeightedPositions decoderForWeightedPositions; ! private FixedLengthTwoPhasesFitnessEvaluator fixedLengthTwoPhasesFitnessEvaluator; private IHistoricalQuoteProvider historicalQuoteProvider; private double crossoverRate; --- 49,53 ---- private Benchmark benchmark; private IDecoderForWeightedPositions decoderForWeightedPositions; ! private IFitnessEvaluator fitnessEvaluator; private IHistoricalQuoteProvider historicalQuoteProvider; private double crossoverRate; *************** *** 64,71 **** get { ! string description = "genetic_" + "longOnly_" + "gnrtnSz_" + this.populationSizeForGeneticOptimizer + ! "_gnrtnNmbr_" + this.generationNumberForGeneticOptimizer; return description; } --- 65,73 ---- get { ! string description = "IsChsr_genetic_" + "longOnly_" + "gnrtnSz_" + this.populationSizeForGeneticOptimizer + ! "_gnrtnNmbr_" + this.generationNumberForGeneticOptimizer + ! this.decoderForWeightedPositions.Description; return description; } *************** *** 74,78 **** int numberOfPortfolioPositions , int inSampleDays , Benchmark benchmark , IDecoderForWeightedPositions decoderForWeightedPositions , ! FixedLengthTwoPhasesFitnessEvaluator fixedLengthTwoPhasesFitnessEvaluator , IHistoricalQuoteProvider historicalQuoteProvider , double crossoverRate , double mutationRate , double elitismRate , --- 76,80 ---- int numberOfPortfolioPositions , int inSampleDays , Benchmark benchmark , IDecoderForWeightedPositions decoderForWeightedPositions , ! IFitnessEvaluator fitnessEvaluator , IHistoricalQuoteProvider historicalQuoteProvider , double crossoverRate , double mutationRate , double elitismRate , *************** *** 85,90 **** this.benchmark = benchmark; this.decoderForWeightedPositions = decoderForWeightedPositions; ! this.fixedLengthTwoPhasesFitnessEvaluator = ! fixedLengthTwoPhasesFitnessEvaluator; this.historicalQuoteProvider = historicalQuoteProvider; this.crossoverRate = crossoverRate; --- 87,91 ---- this.benchmark = benchmark; this.decoderForWeightedPositions = decoderForWeightedPositions; ! this.fitnessEvaluator = fitnessEvaluator; this.historicalQuoteProvider = historicalQuoteProvider; this.crossoverRate = crossoverRate; *************** *** 172,176 **** returnsManager , this.decoderForWeightedPositions , ! this.fixedLengthTwoPhasesFitnessEvaluator , QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator ); --- 173,177 ---- returnsManager , this.decoderForWeightedPositions , ! this.fitnessEvaluator , QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator ); |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:18:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1507/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers Modified Files: FixedLengthTwoPhasesFitnessEvaluator.cs Log Message: The property public string Description has been implemented Index: FixedLengthTwoPhasesFitnessEvaluator.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/FixedLengthTwoPhasesFitnessEvaluator.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** FixedLengthTwoPhasesFitnessEvaluator.cs 19 Jan 2008 18:38:34 -0000 1.1 --- FixedLengthTwoPhasesFitnessEvaluator.cs 10 Feb 2008 14:18:53 -0000 1.2 *************** *** 25,28 **** --- 25,29 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.EquityEvaluation; + using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation; using QuantProject.Business.Strategies.ReturnsManagement; *************** *** 32,39 **** /// Evaluates (in sample) the fitness for a given WeightedPositions /// </summary> ! public class FixedLengthTwoPhasesFitnessEvaluator { private IEquityEvaluator equityEvaluator; public FixedLengthTwoPhasesFitnessEvaluator( IEquityEvaluator equityEvaluator ) --- 33,49 ---- /// Evaluates (in sample) the fitness for a given WeightedPositions /// </summary> ! public class FixedLengthTwoPhasesFitnessEvaluator : IFitnessEvaluator { private IEquityEvaluator equityEvaluator; + public string Description + { + get + { + return "FtnssEvltr_fltp_1phLong_2phShort_" + + this.equityEvaluator.Description; + } + } + public FixedLengthTwoPhasesFitnessEvaluator( IEquityEvaluator equityEvaluator ) |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:18:18
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1459/b4_Business/a2_Strategies/EquityEvaluation Modified Files: ExpectancyScore.cs Log Message: The property public string Description has been implemented Index: ExpectancyScore.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/ExpectancyScore.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** ExpectancyScore.cs 14 Aug 2007 14:47:04 -0000 1.1 --- ExpectancyScore.cs 10 Feb 2008 14:18:15 -0000 1.2 *************** *** 34,37 **** --- 34,45 ---- public class ExpectancyScore : IEquityEvaluator { + public string Description + { + get + { + return "EqEvltr_expctScr"; + } + } + public ExpectancyScore() { |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:17:56
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1066/b4_Business/a2_Strategies Modified Files: EndOfDayStrategyBackTester.cs Log Message: - the interface ILogDescriptor is now implemented - EndOfDayStrategyBackTester.DescriptionForLogFileName has been changed to EndOfDayStrategyBackTester.Description Index: EndOfDayStrategyBackTester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** EndOfDayStrategyBackTester.cs 7 Feb 2008 18:39:21 -0000 1.4 --- EndOfDayStrategyBackTester.cs 10 Feb 2008 14:17:51 -0000 1.5 *************** *** 38,42 **** /// Performs a backtest for an end of day strategy /// </summary> ! public class EndOfDayStrategyBackTester : IMessageSender { public event NewMessageEventHandler NewMessage; --- 38,42 ---- /// Performs a backtest for an end of day strategy /// </summary> ! public class EndOfDayStrategyBackTester : IMessageSender , ILogDescriptor { public event NewMessageEventHandler NewMessage; *************** *** 112,119 **** } } ! /// <summary> ! /// a short description for the performed backtest ! /// </summary> ! public string DescriptionForLogFileName { get --- 112,116 ---- } } ! public string Description { get *************** *** 128,133 **** "_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue + "_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue + ! "_qtPrvdr_" + this.historicalQuoteProvider.ShortDescription + ! "_strtgy_" + this.endOfDayStrategy.DescriptionForLogFileName; return description; } --- 125,130 ---- "_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue + "_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue + ! "_" + this.historicalQuoteProvider.Description + ! "_" + this.endOfDayStrategy.Description; return description; } *************** *** 297,301 **** 1 , currentEndOfDayDateTime , this.benchmark.Ticker , this.historicalQuoteProvider ); ! this.accountReport.Name = this.DescriptionForLogFileName; // this.progressBarForm.Close(); --- 294,298 ---- 1 , currentEndOfDayDateTime , this.benchmark.Ticker , this.historicalQuoteProvider ); ! this.accountReport.Name = this.Description; // this.progressBarForm.Close(); |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:17:07
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv656/b4_Business/a2_Strategies/Optimizing/Decoding Modified Files: DecoderForBalancedWeightedPositions.cs Log Message: The property public string Description has been implemented Index: DecoderForBalancedWeightedPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/DecoderForBalancedWeightedPositions.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** DecoderForBalancedWeightedPositions.cs 19 Jan 2008 17:49:57 -0000 1.1 --- DecoderForBalancedWeightedPositions.cs 10 Feb 2008 14:17:02 -0000 1.2 *************** *** 39,42 **** --- 39,52 ---- private MeaningForUndecodableEncoded meaningForUndecodableEncoded; + public string Description + { + get + { + string description = "Dcdr_blncdWghtdPstns"; + return description; + } + } + + public DecoderForBalancedWeightedPositions() { |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:16:16
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General/Reporting In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv604/b7_Scripts/General/Reporting Modified Files: BackTesterReportViewer.cs Log Message: EndOfDayStrategyBackTester.DescriptionForLogFileName has been changed to EndOfDayStrategyBackTester.Description Index: BackTesterReportViewer.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/General/Reporting/BackTesterReportViewer.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** BackTesterReportViewer.cs 7 Feb 2008 18:22:20 -0000 1.1 --- BackTesterReportViewer.cs 10 Feb 2008 14:16:12 -0000 1.2 *************** *** 52,56 **** endOfDayStrategyBackTester.AccountReport , true ); ! report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 , new EndOfDayDateTime( lastReportDateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) , --- 52,56 ---- endOfDayStrategyBackTester.AccountReport , true ); ! report.Create( endOfDayStrategyBackTester.Description , 1 , new EndOfDayDateTime( lastReportDateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) , |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:15:22
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Update of /cvsroot/quantproject/QuantProject/b5_Presentation In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32659/b5_Presentation Modified Files: b5_Presentation.csproj Log Message: Minor automatic change by VSNet Index: b5_Presentation.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** b5_Presentation.csproj 7 Feb 2008 18:14:22 -0000 1.42 --- b5_Presentation.csproj 10 Feb 2008 14:15:18 -0000 1.43 *************** *** 166,170 **** <File RelPath = "Charting\Chart.cs" ! SubType = "Code" BuildAction = "Compile" /> --- 166,170 ---- <File RelPath = "Charting\Chart.cs" ! SubType = "UserControl" BuildAction = "Compile" /> |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:14:02
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31839/b4_Business Modified Files: b4_Business.csproj Log Message: - a2_Strategies\Logging\ILogDescriptor.cs has been added Index: b4_Business.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v retrieving revision 1.52 retrieving revision 1.53 diff -C2 -d -r1.52 -r1.53 *** b4_Business.csproj 7 Feb 2008 18:12:14 -0000 1.52 --- b4_Business.csproj 10 Feb 2008 14:13:57 -0000 1.53 *************** *** 743,746 **** --- 743,751 ---- /> <File + RelPath = "a2_Strategies\Logging\ILogDescriptor.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a2_Strategies\Logging\LogItem.cs" SubType = "Code" *************** *** 778,781 **** --- 783,791 ---- /> <File + RelPath = "a2_Strategies\Optimizing\FitnessEvaluation\IFitnessEvaluator.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a2_Strategies\OutOfSample\TestingPositions.cs" SubType = "Code" |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:10:48
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30621/b4_Business/a2_Strategies/Logging Added Files: ILogDescriptor.cs Log Message: Short description to be added to some log (it might be used in file names, too) --- NEW FILE: ILogDescriptor.cs --- using System; namespace QuantProject.Business.Strategies.Logging { /// <summary> /// Summary description for ILogDescriptor. /// </summary> public interface ILogDescriptor { /// <summary> /// Short description to be added to some log (it might be used in file names, too) /// </summary> string Description{ get; } } } |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:10:12
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/FitnessEvaluation In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30272/b4_Business/a2_Strategies/Optimizing/FitnessEvaluation Added Files: IFitnessEvaluator.cs Log Message: Interface to be implemented by fitness evaluators --- NEW FILE: IFitnessEvaluator.cs --- /* QuantProject - Quantitative Finance Library DecoderForBalancedWeightedPositions.cs Copyright (C) 2008 Glauco Siliprandi This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. */ using System; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.ReturnsManagement; namespace QuantProject.Business.Strategies.Optimizing.FitnessEvaluation { /// <summary> /// Interface to be implemented by fitness evaluators /// </summary> public interface IFitnessEvaluator : ILogDescriptor { /// <summary> /// Computes the fitness value for the given meaning, /// measured on the given returns /// </summary> /// <param name="meaning"></param> /// <param name="returnsManager"></param> /// <returns></returns> double GetFitnessValue( object meaning , ReturnsManager returnsManager ); } } |
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From: Glauco S. <gla...@us...> - 2008-02-10 14:09:14
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/FitnessEvaluation In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30118/FitnessEvaluation Log Message: Directory /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/FitnessEvaluation added to the repository |
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From: Marco M. <mi...@us...> - 2008-02-10 10:43:01
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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 Index: EndOfDayDateTime.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/EndOfDayDateTime.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** EndOfDayDateTime.cs 7 Feb 2008 18:38:02 -0000 1.6 --- EndOfDayDateTime.cs 10 Feb 2008 10:42:55 -0000 1.7 *************** *** 34,38 **** private DateTime dateTime; private EndOfDaySpecificTime endOfDaySpecificTime; ! public DateTime DateTime { --- 34,38 ---- private DateTime dateTime; private EndOfDaySpecificTime endOfDaySpecificTime; ! public DateTime DateTime { *************** *** 209,212 **** --- 209,227 ---- return this.getNextSpecificTime(); } + + #region Overload of Operators + + public static bool operator==(EndOfDayDateTime a, EndOfDayDateTime b) + { + return a.IsEqualTo(b); + } + + public static bool operator!=(EndOfDayDateTime a, EndOfDayDateTime b) + { + return !a.IsEqualTo(b); + } + + #endregion + } } |
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From: Marco M. <mi...@us...> - 2008-02-08 19:16:27
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Update of /cvsroot/quantproject/QuantProject In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21976 Removed Files: QuantProject.cmbx Log Message: Removed old sharp develop project files --- QuantProject.cmbx DELETED --- |
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From: Marco M. <mi...@us...> - 2008-02-08 19:16:10
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Update of /cvsroot/quantproject/QuantProject/b91_QuantProject In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b91_QuantProject Removed Files: QuantProject.prjx QuantProject_SD.prjx Log Message: Removed old sharp develop project files --- QuantProject.prjx DELETED --- --- QuantProject_SD.prjx DELETED --- |
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From: Marco M. <mi...@us...> - 2008-02-08 19:16:05
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b7_Scripts Removed Files: Scripts.prjx Scripts_SD.prjx Log Message: Removed old sharp develop project files --- Scripts.prjx DELETED --- --- Scripts_SD.prjx DELETED --- |
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From: Marco M. <mi...@us...> - 2008-02-08 19:16:05
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b4_Business Removed Files: Business.prjx Business_SD.prjx Log Message: Removed old sharp develop project files --- Business_SD.prjx DELETED --- --- Business.prjx DELETED --- |
