quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders AverageAndDebtAdjustedGrowthRateProvider.cs, NONE, 1.1 LastAvailableGrowthRateProvider.cs, NONE, 1.1 LastAvailablePEProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv16924

Added Files:
	AverageAndDebtAdjustedGrowthRateProvider.cs 
	LastAvailableGrowthRateProvider.cs LastAvailablePEProvider.cs 
Log Message:
Added classes implementing IGrowthProvider and IRatioProvider_PE interfaces

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

AverageAndDebtAdjustedGrowthRateProvider.cs
Copyright (C) 2011
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.Data;
using QuantProject.DataAccess.Tables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Class implementing IGrowthRateProvider Interface
	/// It provides an average growth rate, based on past
	/// incomes and then adjusted by the long term ratio level
	/// </summary>
	[Serializable]
	public class AverageAndDebtAdjustedGrowthRateProvider : 
							 FundamentalDataProvider,
							 IGrowthRateProvider													         
	{
		
		protected double optimalDebtEquityRatio;
		protected int maximumNumberOfGrowthRatesToTakeIntoAccount;
									 	
		public AverageAndDebtAdjustedGrowthRateProvider( int daysForAvailabilityOfData,
		                                                 int maximumNumberOfGrowthRatesToTakeIntoAccount,
							 	                                     double optimalDebtEquityRatio) :
																	 			  base( daysForAvailabilityOfData )
		{
			this.optimalDebtEquityRatio = optimalDebtEquityRatio;
			this.maximumNumberOfGrowthRatesToTakeIntoAccount = 
				maximumNumberOfGrowthRatesToTakeIntoAccount;
		}
		
		
		private double getGrowthRate_getLastAvailableDebtEquityRatio( string ticker , DateTime atDate )
		{
			double returnValue = this.optimalDebtEquityRatio;
			//if not available the given optimalDebtEquityRatio is returned,
			//so not to bias the estimated average growth rate
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
		  DataTable tableOfDebtEquityRatios =
				FinancialValues.GetLastFinancialValuesForTicker(
					ticker, 64, 12, limitDateForEndingPeriodDate);//64 CODE FOR DEBT EQUITY RATIO
			int numOfRows = tableOfDebtEquityRatios.Rows.Count;
			if( numOfRows > 0)
				returnValue = 
					Math.Abs((double)tableOfDebtEquityRatios.Rows[ numOfRows - 1 ]["fvValue"]);
			
			return returnValue;
		}
		
		private double[] getGrowthRate_getAverageGrowthRate_getGrowthRates( double[] allAvailableGrowthRates )
		{
			int numOfAvailableGrowthRates = allAvailableGrowthRates.Length;
			int numOfRatesToTakeIntoAccount =
				Math.Min(numOfAvailableGrowthRates, this.maximumNumberOfGrowthRatesToTakeIntoAccount);
			double[] returnValue = new double[numOfRatesToTakeIntoAccount];
			for(int i = 0; i < numOfRatesToTakeIntoAccount; i++)
			{
				returnValue[i] = 
					allAvailableGrowthRates[numOfAvailableGrowthRates - (numOfRatesToTakeIntoAccount - i)];
			}
			
			return returnValue;
		}
		
		private double getGrowthRate_getAverageGrowthRate( DataTable tableOfEarnings )
		{
			double returnValue;
			int numOfRows = tableOfEarnings.Rows.Count;
			double[] growthRates = new double[ numOfRows - 1 ];
			for(int i = 0; i < growthRates.Length ; i++)
			{
				growthRates[i] = 
					( (double)tableOfEarnings.Rows[ i + 1 ]["fvValue"] -
					  (double)tableOfEarnings.Rows[ i ]["fvValue"] ) /
					  (double)tableOfEarnings.Rows[ i ]["fvValue"];
			}
			double[] growthRatesToTakeIntoAccount =
				this.getGrowthRate_getAverageGrowthRate_getGrowthRates(growthRates);
			returnValue = ADT.Statistics.BasicFunctions.SimpleAverage(growthRatesToTakeIntoAccount);
			
			return returnValue;
		}
		
		public double GetGrowthRate( string ticker , DateTime atDate )
		{
			double returnValue;
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
			//40 financial code for "net income"
			DataTable tableOfEarnings =
				FinancialValues.GetLastFinancialValuesForTicker(
					ticker, 40, 12, limitDateForEndingPeriodDate);
			double averageGrowthRate = 
				this.getGrowthRate_getAverageGrowthRate(tableOfEarnings);
			double lastAvailableDebtEquityRatio =
				this.getGrowthRate_getLastAvailableDebtEquityRatio(ticker, atDate);
			
			returnValue = averageGrowthRate * 
									 	Math.Min(1.0,	(this.optimalDebtEquityRatio /
				               			       lastAvailableDebtEquityRatio ) );
			return returnValue;
		}
	}
}

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

LastAvailablePEProvider.cs
Copyright (C) 2010
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.DataAccess.Tables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Class implementing IRatioProvider_PE Interface
	/// It provides the last available PE, using the last available price
	/// and the last available Earnings.
	/// Instead of the last available price, 
	/// the average of the last available prices can be used 
	/// (it depends on how the class has been instatiated)
	/// </summary>
	[Serializable]
	public class LastAvailablePEProvider : FundamentalDataProvider,
																				 IRatioProvider_PE
	{
		private HistoricalMarketValueProvider historicalmarketValueProvider;
		
		public LastAvailablePEProvider(HistoricalMarketValueProvider historicalmarketValueProvider,
		                               int daysForAvailabilityOfData) : 
																	 base(daysForAvailabilityOfData)
		{
			this.historicalmarketValueProvider = historicalmarketValueProvider;
		}
		
		private double getPERatio_getLastAvailableEarningsPerShare(string ticker , DateTime atDate)
		{
			double returnValue;
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
			//56 code for EPS; 12 months = length of period financial value refers to
			returnValue = 
				FinancialValues.GetLastFinancialValueForTicker(ticker, 56, 12,
			                                    limitDateForEndingPeriodDate);
			return returnValue;
		}
		
		public double GetPERatio( string ticker , DateTime atDate )
		{
			double returnValue;
			double priceAtDate = 
				this.historicalmarketValueProvider.GetMarketValue(ticker,
			 	                                            atDate);
			double earningsPerShareAtDate =
				this.getPERatio_getLastAvailableEarningsPerShare(ticker , atDate);
			
			returnValue = priceAtDate / earningsPerShareAtDate;
			
			return returnValue;
		}
	}
}

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

LastAvailableGrowthRateProvider.cs
Copyright (C) 2010
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.Data;
using QuantProject.DataAccess.Tables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Class implementing IGrowthRateProvider Interface
	/// It provides the last available growth rate (of earnings)
	/// </summary>
	[Serializable]
	public class LastAvailableGrowthRateProvider : 
							 FundamentalDataProvider,
							 IGrowthRateProvider													         
	{
		
		public LastAvailableGrowthRateProvider( int daysForAvailabilityOfData ) : 
																	 			  base( daysForAvailabilityOfData )
		{
		}
				
		public double GetGrowthRate( string ticker , DateTime atDate )
		{
			double returnValue;
			double lastEarnings;
			double previousEarnings;
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
			//40 financial code for "net income"
			DataTable tableOfEarnings =
				FinancialValues.GetLastFinancialValuesForTicker(
					ticker, 40, 12, limitDateForEndingPeriodDate);
			int numOfRows = tableOfEarnings.Rows.Count;
			previousEarnings = (double)tableOfEarnings.Rows[numOfRows - 2]["fvValue"];
			lastEarnings = (double)tableOfEarnings.Rows[numOfRows - 1]["fvValue"];
			returnValue = (lastEarnings - previousEarnings)/previousEarnings;
			return returnValue;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders IGrowthRateProvider.cs, NONE, 1.1 IRatioProvider_PE.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15881

Added Files:
	IGrowthRateProvider.cs IRatioProvider_PE.cs 
Log Message:
Added IGrowthProvider and IRatioProvider_PE interfaces

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

IGrowthRateProvider.cs
Copyright (C) 2010
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.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Interface to be implemented by objects implementing a model which provides
	/// the growth rate for a given ticker, using 
	/// available fundamental data since another previous date
	/// </summary>
	public interface IGrowthRateProvider
	{
		double GetGrowthRate( string ticker , DateTime atDate );
	}
}

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

IRatioProvider_PE.cs
Copyright (C) 2010
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.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Interface to be implemented by objects implementing a way of computing
	/// the popular PE Ratio
	/// </summary>
	public interface IRatioProvider_PE
	{
		double GetPERatio( string ticker , DateTime atDate );
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals/FairValueProviders IFairValueProvider.cs, NONE, 1.1 PEGRatioFairValueProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/FairValueProviders
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv10368

Added Files:
	IFairValueProvider.cs PEGRatioFairValueProvider.cs 
Log Message:
Added IFairValueProvider interface and PEGRatioFairValueProvider implementing it

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

IFairValueProvider.cs
Copyright (C) 2010
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.Financial.Fundamentals.FairValueProviders
{
	/// <summary>
	/// Interface to be implemented by objects implementing a model which computes
	/// the fair value for a given ticker at a given date, using 
	/// available fundamental data since another previous date
	/// </summary>
	public interface IFairValueProvider
	{
		double GetFairValue( string ticker , DateTime firstDateForFundamentals,
		                     DateTime dateOfFairValueComputation );
	}
}

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

PEGRatioFairValueProvider.cs
Copyright (C) 2010
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.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.FairValueProviders
{
	/// <summary>
	/// Class implementing IFairValueProvider Interface
	/// using the popular PEG ratio (P/E ratio divided by an expected 
	/// growth rate)
	/// </summary>
	[Serializable]
	public class PEGRatioFairValueProvider : IFairValueProvider
	{
		private double fairPEGRatioLevel;
		private IRatioProvider_PE ratioProvider_PE;
		private IGrowthRateProvider growthRateProvider;
		private HistoricalMarketValueProvider historicalMarketValueProvider;
		
		public PEGRatioFairValueProvider(double fairPEGRatioLevel,
		                                 IRatioProvider_PE ratioProvider_PE,
		 																 IGrowthRateProvider growthRateProvider,
		                                 HistoricalMarketValueProvider historicalMarketValueProvider)
		{
			this.fairPEGRatioLevel = fairPEGRatioLevel;
			this.ratioProvider_PE = ratioProvider_PE;
			this.growthRateProvider = growthRateProvider;
			this.historicalMarketValueProvider = historicalMarketValueProvider;
		}
		
		private double getPEGRatio(string ticker , DateTime firstDateForFundamentals,
		                           DateTime dateOfFairValueComputation)
		{
			double returnValue;
			double growthRate = this.growthRateProvider.GetGrowthRate(ticker,
				      dateOfFairValueComputation);
			double PE = this.ratioProvider_PE.GetPERatio(ticker,
				      dateOfFairValueComputation);
			if(growthRate < 0)
				returnValue = double.MaxValue;
			else
				returnValue = PE / (100.0 * growthRate);
			
			return returnValue;
		}
		
		public double GetFairValue( string ticker , DateTime firstDateForFundamentals,
		                     				DateTime dateOfFairValueComputation )
		{
			double returnValue;
			double priceAtDateOfFairValueComputation = 
				this.historicalMarketValueProvider.GetMarketValue(ticker,
				                                            dateOfFairValueComputation);
			returnValue = priceAtDateOfFairValueComputation * this.fairPEGRatioLevel /
				            this.getPEGRatio(ticker, 
				                             firstDateForFundamentals,
				                             dateOfFairValueComputation);
			
			return returnValue;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv8863/RatioProviders

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders added to the repository

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals/FairValueProviders - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/FairValueProviders
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv8808/FairValueProviders

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/FairValueProviders added to the repository

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByMostDiscountedPrices.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv7575/a2_Strategies/Eligibles

Modified Files:
	ByMostDiscountedPrices.cs 
Log Message:
Updated ByMostDiscountedPrices IEligiblesSelectors

Index: ByMostDiscountedPrices.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByMostDiscountedPrices.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByMostDiscountedPrices.cs	20 Nov 2010 18:55:41 -0000	1.1
--- ByMostDiscountedPrices.cs	16 Jan 2011 18:34:18 -0000	1.2
***************
*** 29,33 ****
  using QuantProject.Data.DataTables;
  using QuantProject.Data.Selectors;
! using QuantProject.Business.Financial.Fundamentals;
  
  namespace QuantProject.Business.Strategies.Eligibles
--- 29,33 ----
  using QuantProject.Data.DataTables;
  using QuantProject.Data.Selectors;
! using QuantProject.Business.Financial.Fundamentals.FairValueProviders;
  
  namespace QuantProject.Business.Strategies.Eligibles
***************
*** 40,50 ****
  	/// are returned depending on the time the selection is requested:
  	/// the group SP 500 should be like that);
! 	/// -step 2: from tickers selected by step 1, the ones
  	/// (not more than a given max number) that have
! 	/// the greatest (negative) relative difference between the current price
! 	/// and the fair price;
  	/// </summary>
  	[Serializable]
! 	public class ByMostDiscountedPrices : IEligiblesSelector
  	{
  		public event NewMessageEventHandler NewMessage;
--- 40,54 ----
  	/// are returned depending on the time the selection is requested:
  	/// the group SP 500 should be like that);
! 	/// -step 2: from tickers selected by step 1, only the ones
! 	/// that have incomes greater than a given minimum in the 
! 	/// last given times, in a row
! 	/// -step 3: from tickers selected by step 2, the ones
  	/// (not more than a given max number) that have
! 	/// the greatest relative difference between the fair price 
! 	/// (provided by a IFairValueProvider) and the average price
! 	/// computed for a given number of days
  	/// </summary>
  	[Serializable]
! 	public class ByMostDiscountedPrices :  IEligiblesSelector
  	{
  		public event NewMessageEventHandler NewMessage;
***************
*** 55,58 ****
--- 59,67 ----
  		private int numOfDaysForFundamentalAnalysis;
  		private IFairValueProvider fairValueProvider;
+ 		private int numDaysForFundamentalDataAvailability;
+ 		private double minimumIncome;
+ 		private int numberOfMinGrowingIncomesInARowForTickers;
+ 		private double minimumRelativeDifferenceBetweenFairAndAverageMarketPrice;
+ 		private	int numOfDaysForAverageMarketPriceComputation;
  		
  		public string Description
***************
*** 68,72 ****
  		public ByMostDiscountedPrices(IFairValueProvider fairValueProvider,
  			string tickersGroupID , bool temporizedGroup, 
! 			int maxNumberOfEligibleTickersToBeChosen, int numOfDaysForFundamentalAnalysis)
  		{
  			this.fairValueProvider = fairValueProvider;
--- 77,85 ----
  		public ByMostDiscountedPrices(IFairValueProvider fairValueProvider,
  			string tickersGroupID , bool temporizedGroup, 
! 			int maxNumberOfEligibleTickersToBeChosen, int numOfDaysForFundamentalAnalysis,
! 			int numDaysForFundamentalDataAvailability, double minimumIncome,
! 			int numberOfMinGrowingIncomesInARowForTickers,
! 			double minimumRelativeDifferenceBetweenFairAndAverageMarketPrice,
! 			int numOfDaysForAverageMarketPriceComputation)
  		{
  			this.fairValueProvider = fairValueProvider;
***************
*** 76,79 ****
--- 89,101 ----
  			this.tickersGroupID = tickersGroupID;
  			this.numOfDaysForFundamentalAnalysis = numOfDaysForFundamentalAnalysis;
+ 			this.numDaysForFundamentalDataAvailability = 
+ 				numDaysForFundamentalDataAvailability;
+ 			this.minimumIncome = minimumIncome;
+ 			this.numberOfMinGrowingIncomesInARowForTickers = 
+ 				numberOfMinGrowingIncomesInARowForTickers;
+ 			this.minimumRelativeDifferenceBetweenFairAndAverageMarketPrice =
+ 				minimumRelativeDifferenceBetweenFairAndAverageMarketPrice;
+ 			this.numOfDaysForAverageMarketPriceComputation =
+ 				numOfDaysForAverageMarketPriceComputation;
  		}
  		
***************
*** 81,107 ****
  			DataTable initialTableFromWhichToChooseTheMostDiscountedTickers, DateTime date )
  		{
  			DataTable tableOfEligibleTickers;
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("FairPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("FairPrice", System.Type.GetType("System.Double"));
! 			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("MarketPrice"))
!         initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("LastMonthAverageMarketPrice", System.Type.GetType("System.Double"));
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("RelativeDifferenceBetweenFairAndMarketPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("RelativeDifferenceBetweenFairAndMarketPrice", System.Type.GetType("System.Double"));
        foreach(DataRow row in initialTableFromWhichToChooseTheMostDiscountedTickers.Rows)
        {
!       	row["FairPrice"] = 
!       		this.fairValueProvider.GetFairValue( (string)row[0],
!       	                                       date.AddDays(-this.numOfDaysForFundamentalAnalysis),
!       	                                       date );
!       	float[] lastMonthQuotes = 
!       		Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], date.AddDays(-30), date);
!       	row["LastMonthAverageMarketPrice"] = 
!       		ADT.Statistics.BasicFunctions.SimpleAverage(lastMonthQuotes);
!       	row["RelativeDifferenceBetweenFairAndMarketPrice"] = 
!       		((double)row["FairPrice"]-(double)row["LastMonthAverageMarketPrice"])/(double)row["FairPrice"];
        }
!       tableOfEligibleTickers = 
        	ExtendedDataTable.CopyAndSort(initialTableFromWhichToChooseTheMostDiscountedTickers,
!       	                              "RelativeDifferenceBetweenFairAndMarketPrice", true);
        ExtendedDataTable.DeleteRows(tableOfEligibleTickers, this.maxNumberOfEligibleTickersToBeChosen);
        
--- 103,147 ----
  			DataTable initialTableFromWhichToChooseTheMostDiscountedTickers, DateTime date )
  		{
+ 			double signOfCurrentFairPrice;
+ 			double currentFairPrice;
  			DataTable tableOfEligibleTickers;
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("FairPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("FairPrice", System.Type.GetType("System.Double"));
! 			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("AverageMarketPrice"))
!         initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("AverageMarketPrice", System.Type.GetType("System.Double"));
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("RelativeDifferenceBetweenFairAndMarketPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("RelativeDifferenceBetweenFairAndMarketPrice", System.Type.GetType("System.Double"));
        foreach(DataRow row in initialTableFromWhichToChooseTheMostDiscountedTickers.Rows)
        {
!       	try{
! 	      	currentFairPrice = this.fairValueProvider.GetFairValue( (string)row[0],
! 	      	                                       date.AddDays(-this.numOfDaysForFundamentalAnalysis),
! 	      	                                       date );
! 	      	row["FairPrice"] = currentFairPrice;
! 	      	double[] quotesForAveragePriceComputation = 
! 	      		Quotes.GetDoubleArrayOfAdjustedCloseQuotes((string)row[0], date.AddDays(-this.numOfDaysForAverageMarketPriceComputation), date);
! 	      	row["AverageMarketPrice"] = 
! 	      		ADT.Statistics.BasicFunctions.SimpleAverage(quotesForAveragePriceComputation);
! 	      	if(currentFairPrice < 0.0)
! 	      		signOfCurrentFairPrice = -1.0;
! 	      	else
! 	      		signOfCurrentFairPrice = 1.0;
! 	      	row["RelativeDifferenceBetweenFairAndMarketPrice"] = signOfCurrentFairPrice *
! 	      		((double)row["FairPrice"]-(double)row["AverageMarketPrice"])/(double)row["AverageMarketPrice"];
!       	}
!       	catch(Exception ex)
!       	{
! 					string s = ex.ToString();
! 				}	
        }
!       string filterString = 
!       	"AverageMarketPrice is not null AND FairPrice is not null AND " +
!       	"RelativeDifferenceBetweenFairAndMarketPrice >" +
!       	this.minimumRelativeDifferenceBetweenFairAndAverageMarketPrice.ToString();
!       	
!       tableOfEligibleTickers =
        	ExtendedDataTable.CopyAndSort(initialTableFromWhichToChooseTheMostDiscountedTickers,
!       	                              filterString,
!       	                              "RelativeDifferenceBetweenFairAndMarketPrice", false);
        ExtendedDataTable.DeleteRows(tableOfEligibleTickers, this.maxNumberOfEligibleTickersToBeChosen);
        
***************
*** 127,132 ****
        	group = new SelectorByGroup(this.tickersGroupID);
        DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
        
!       return this.getEligibleTickers_actually_getTableOfMostDiscountedTickers(tickersFromGroup, currentDate);
        
  		}
--- 167,179 ----
        	group = new SelectorByGroup(this.tickersGroupID);
        DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
+       SelectorByNumOfMinGrowingIncomesInARow selectorByMinimumGrowingIncomes =
+       	new SelectorByNumOfMinGrowingIncomesInARow(tickersFromGroup, history.FirstDateTime,
+       	                                            history.LastDateTime, 
+       	                                            this.minimumIncome, this.numberOfMinGrowingIncomesInARowForTickers,
+       	                                            12, this.numDaysForFundamentalDataAvailability);
+       DataTable tickersWithPositiveGrowingIncomes = 
+       	selectorByMinimumGrowingIncomes.GetTableOfSelectedTickers();
        
!       return this.getEligibleTickers_actually_getTableOfMostDiscountedTickers(tickersWithPositiveGrowingIncomes, currentDate);
        
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByGroup.cs, NONE, 1.1 ByLiquidity.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv6803/a2_Strategies/Eligibles

Added Files:
	ByGroup.cs ByLiquidity.cs 
Log Message:
Added ByGroup and ByLiquidity classes, implementing IEligiblesSelector interface

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

ByLiquidity.cs
Copyright (C) 2011
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.Data;

using QuantProject.ADT.Histories;
using QuantProject.ADT.Messaging;
using QuantProject.Data.Selectors;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Implements IEligiblesSelector for selecting a given max number of tickers through
	/// the following step-by-step selecting process:
	/// -step 1: all tickers belonging to a given group
	/// are selected (the group can be "temporized": that is tickers
	/// are returned depending on the time the selection is requested:
	/// the group SP 500 should be like that);
	/// -step 2: from tickers selected by step 1, the most liquid
	///  are selected (not more than a given max number);
	/// </summary>
	[Serializable]
	public class ByLiquidity : IEligiblesSelector
	{
		public event NewMessageEventHandler NewMessage;
		
		private bool temporizedGroup;
		private string tickersGroupID;
		private int maxNumberOfEligibleTickersToBeChosen;
		
		public string Description
		{
			get{
				return "From_" + this.tickersGroupID + " (temporized: " +
					this.temporizedGroup.ToString() + ")\n" +
					"MaxNumOfEligibles_" + this.maxNumberOfEligibleTickersToBeChosen.ToString() + "\n" +
					"Most Liquid for the in sample time frame";
			}
		}
				
		public ByLiquidity(
			string tickersGroupID , bool temporizedGroup, 
			int maxNumberOfEligibleTickersToBeChosen)
		{
			this.temporizedGroup = temporizedGroup;
			this.tickersGroupID = tickersGroupID;
			this.maxNumberOfEligibleTickersToBeChosen =
				maxNumberOfEligibleTickersToBeChosen;
		}

		private EligibleTickers getEligibleTickers_actually(
			History history )
		{
			DateTime currentDate = history.LastDateTime; 

			SelectorByGroup group;
			if(this.temporizedGroup)
			//the group is "temporized": returned set of tickers
			// depend on time
				group = new SelectorByGroup(this.tickersGroupID,
				                            currentDate);
      else//the group is not temporized
      	group = new SelectorByGroup(this.tickersGroupID);
      DataTable tickersFromGroup = group.GetTableOfSelectedTickers();

			SelectorByLiquidity mostLiquidSelector =
				new SelectorByLiquidity( tickersFromGroup ,
        false, history.FirstDateTime, currentDate,
        this.maxNumberOfEligibleTickersToBeChosen);
      DataTable dataTableToBeReturned =
				mostLiquidSelector.GetTableOfSelectedTickers();

//			DataSet dataSet = new DataSet();
//			dataSet.Tables.Add( dataTableMostLiquid );
//			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidAlwaysQuoted.xml" );

      return
				new EligibleTickers( dataTableToBeReturned );
		}
		
		private void getEligibleTickers_sendNewMessage(
			EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if(this.NewMessage != null)
				this.NewMessage( this , newMessageEventArgs );
		}
		
		/// <summary>
		/// Returns the eligible tickers
		/// </summary>
		/// <returns></returns>
		public EligibleTickers GetEligibleTickers(
			History history )
		{
			EligibleTickers eligibleTickers =
				this.getEligibleTickers_actually( history );
			this.getEligibleTickers_sendNewMessage( eligibleTickers );
			return eligibleTickers;
		}
	}
}

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

ByGroup.cs
Copyright (C) 2011
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.Data;

using QuantProject.ADT.Histories;
using QuantProject.ADT.Messaging;
using QuantProject.Data.Selectors;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Implements IEligiblesSelector for selecting all the tickers
	/// belonging to a given group
	/// </summary>
	[Serializable]
	public class ByGroup : IEligiblesSelector
	{
		public event NewMessageEventHandler NewMessage;
		
		private bool temporizedGroup;
		private string tickersGroupID;
		
		public string Description
		{
			get{
				return "From_" + this.tickersGroupID + " (temporized: " +
					this.temporizedGroup.ToString() + ")";
			}
		}
				
		public ByGroup(
			string tickersGroupID , bool temporizedGroup)
		{
			this.temporizedGroup = temporizedGroup;
			this.tickersGroupID = tickersGroupID;
		}

		private EligibleTickers getEligibleTickers_actually(
			History history )
		{
			DateTime currentDate = history.LastDateTime; 

			SelectorByGroup group;
			if(this.temporizedGroup)
			//the group is "temporized": returned set of tickers
			// depend on time
				group = new SelectorByGroup(this.tickersGroupID,
				                            currentDate);
      else//the group is not temporized
      	group = new SelectorByGroup(this.tickersGroupID);
      DataTable tickersFromGroup = group.GetTableOfSelectedTickers();

//			DataSet dataSet = new DataSet();
//			dataSet.Tables.Add( dataTableMostLiquid );
//			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidAlwaysQuoted.xml" );

      return
				new EligibleTickers( tickersFromGroup );
		}
		
		private void getEligibleTickers_sendNewMessage(
			EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if(this.NewMessage != null)
				this.NewMessage( this , newMessageEventArgs );
		}
		
		/// <summary>
		/// Returns the eligible tickers
		/// </summary>
		/// <returns></returns>
		public EligibleTickers GetEligibleTickers(
			History history )
		{
			EligibleTickers eligibleTickers =
				this.getEligibleTickers_actually( history );
			this.getEligibleTickers_sendNewMessage( eligibleTickers );
			return eligibleTickers;
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.39, 1.40

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5482/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added GetDoubleArrayOfAdjustedCloseQuotes method

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.39
retrieving revision 1.40
diff -C2 -d -r1.39 -r1.40
*** Quotes.cs	29 Mar 2009 18:35:36 -0000	1.39
--- Quotes.cs	16 Jan 2011 18:28:18 -0000	1.40
***************
*** 671,674 ****
--- 671,682 ----
        return ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,"quAdjustedClose");
      }
+     public static double[] GetDoubleArrayOfAdjustedCloseQuotes(string ticker,
+                                                         DateTime firstQuoteDate,
+                                                         DateTime lastQuoteDate)
+     {
+       Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
+       return ExtendedDataTable.GetArrayOfDoubleFromColumn(tickerQuotes,"quAdjustedClose");
+     }
+     
  		#region GetAdjustedCloseHistory
  		private static History getAdjustedCloseHistory( Quotes tickerQuotes )

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByNumberOfMinimumIncomesInARow.cs, NONE, 1.1 SelectorByNumOfMinGrowingIncomesInARow.cs, NONE, 1.1 SelectorByPriceAndFairValueComparison.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4883/Selectors

Added Files:
	SelectorByNumberOfMinimumIncomesInARow.cs 
	SelectorByNumOfMinGrowingIncomesInARow.cs 
	SelectorByPriceAndFairValueComparison.cs 
Log Message:
Added Selectors by (very simple, at the moment) fundamental analysis

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

SelectorByPriceAndFairValueComparison.cs
Copyright (C) 2010 
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 System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;
using QuantProject.

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by the relative difference
  /// between price and fair value computed by the given
  /// IFairValueProvider
  /// </summary>
   public class SelectorByPriceAndFairValueComparison : TickerSelector, ITickerSelector 
  {
		private IFairValueProvider fairValueProvider;
    
		#region SelectorByPriceAndFairValueComparison Constructors
		
		/// <summary>
		/// ITickerSelector class for selecting tickers 
		/// by the relative difference
  	/// between price and fair value computed by the given
 		/// IFairValueProvider
		/// </summary>
		/// <param name="fairValueProvider">IFairValueProvider object,
		/// which provides fair value computation for a given
		/// tickers at a given date</param>
		/// <param name="setOfTickersToBeSelected">DataTable containing
		/// tickers that have to be selected</param>
		/// <param name="orderInASCmode">If true, returned tickers
		/// are ordered in Ascending mode - from less to most. If false
		/// , returned tickers are ordered in descending mode - from most to less</param>
		/// <param name="firstDateForFundamentalAnalysis"></param>
		/// <param name="lastDateForFundamentalAnalysis"></param>
		/// <param name="maxNumOfReturnedTickers">Max number of selected
		/// tickers to be returned</param>
		/// <returns></returns>
    public SelectorByPriceAndFairValueComparison(IFairValueProvider fairValueProvider,
      	                                         DataTable setOfTickersToBeSelected,
									                               bool orderInASCmode,
									                               DateTime firstDateForFundamentalAnalysis,
									                               DateTime lastDateForFundamentalAnalysis,
									                               long maxNumOfReturnedTickers):
                          base(setOfTickersToBeSelected, 
                               orderInASCmode,
															 firstDateForFundamentalAnalysis,
															 firstDateForFundamentalAnalysis,
															 maxNumOfReturnedTickers)
		{
			this.fairValueProvider = fairValueProvider;
		}
				
		#endregion SelectorByLiquidityConstructors
		
    public DataTable GetTableOfSelectedTickers()
    {
			DataTable returnTickers;
      if(this.setOfTickersToBeSelected == null)
      {
        if ( this.minVolume > long.MinValue )
          // a min volume value has been requested
          returnTickers =
            QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
            this.groupID,
            this.firstQuoteDate,
            this.lastQuoteDate,
            this.minVolume ,
            this.maxNumOfReturnedTickers);
        else
          // a min volume value has not been requested
          returnTickers =
            QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
            this.groupID,
            this.firstQuoteDate,
            this.lastQuoteDate,
            this.maxNumOfReturnedTickers);
      }
      else//a set of tickers, not a group ID, 
          //has been passed to the selector
      {  
        if ( this.minVolume > long.MinValue )
          // a min volume value has been requested
          returnTickers =
            QuantProject.Data.DataTables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
            this.setOfTickersToBeSelected, 
            this.firstQuoteDate,
            this.lastQuoteDate,
            this.minVolume,
            this.maxNumOfReturnedTickers,
            this.numberOfTopRowsToDelete);
        else
          returnTickers =
            QuantProject.Data.DataTables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
            this.setOfTickersToBeSelected, 
            this.firstQuoteDate,
            this.lastQuoteDate,
            this.maxNumOfReturnedTickers,
            this.numberOfTopRowsToDelete);
      }
      return returnTickers;
		}
		public void SelectAllTickers()
		{
			;
		}	
	}
}

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

SelectorByNumberOfMinimumIncomesInARow.cs
Copyright (C) 2010 
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 System.Data;
using System.Windows.Forms;

using QuantProject.ADT.Histories;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers which have a given number of
  /// minimum incomes previously than a given date
  /// </summary>
   public class SelectorByNumberOfMinimumIncomesInARow : TickerSelector , ITickerSelector
  {
    private double minimumIncome;
   	private int numberOfIncomes;
    private int incomePeriodLengthInMonths;
    private int numDaysForFundamentalDataAvailability;
    
    public SelectorByNumberOfMinimumIncomesInARow(DataTable setOfTickersToBeSelected, 
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               double minimumIncome,
                               int numberOfIncomes,
                               int incomePeriodLengthInMonths,
                               int numDaysForFundamentalDataAvailability):
                                    base(setOfTickersToBeSelected, 
                                         true,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         500)
    {
      this.minimumIncome = minimumIncome;
    	this.numberOfIncomes = numberOfIncomes;
      this.incomePeriodLengthInMonths = incomePeriodLengthInMonths;
      this.numDaysForFundamentalDataAvailability = 
      	numDaysForFundamentalDataAvailability;
    }

		 #region GetTableOfSelectedTickers
		 
		 private bool getTableOfSelectedTickers_areIncomesAllGreaterThanMinimum(DataTable incomesForTicker)
		 {
		 		bool returnValue = true;
		 		double currentIncome;
			 	for(int i = 0; i < incomesForTicker.Rows.Count; i++)
			 	{
			 		currentIncome = 
			 			(double)incomesForTicker.Rows[i]["fvValue"];
			 		if( currentIncome < this.minimumIncome )
				 		returnValue = false;
			 	}
			 	return returnValue;
		 }
		 
		 public DataTable GetTableOfSelectedTickers()
		 {
		 		DataTable returnValue = new DataTable();
		 		returnValue.Columns.Add("Ticker", System.Type.GetType("System.String"));
		 		object[] values = new object[1];
		 		string currentTicker;
			 	DataTable incomesForCurrentTicker;
			 	for(int i = 0; i < this.setOfTickersToBeSelected.Rows.Count; i++)
			 	{
			 		currentTicker = 
			 			(string)this.setOfTickersToBeSelected.Rows[i][0];
			 		incomesForCurrentTicker =
			 			FinancialValues.GetLastFinancialValuesForTicker(currentTicker,
			 			  40, 12, this.lastQuoteDate.AddDays(-this.numDaysForFundamentalDataAvailability));
			 		if( this.getTableOfSelectedTickers_areIncomesAllGreaterThanMinimum(incomesForCurrentTicker) )
			 		{
			 			values[0] = currentTicker;
			 			returnValue.Rows.Add(values);
			 		}
			 	}
			 	return returnValue;
		 }
		 #endregion GetTableOfSelectedTickers
		 
		 public void SelectAllTickers()
		 {
			 ;
		 }	
	 }
}

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

SelectorByNumOfMinGrowingIncomesInARow.cs
Copyright (C) 2010 
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 System.Data;
using System.Windows.Forms;

using QuantProject.ADT.Histories;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers which have a given number of
  /// minimum incomes, always growing, previously than a given date
  /// </summary>
   public class SelectorByNumOfMinGrowingIncomesInARow : TickerSelector , ITickerSelector
  {
    private double minimumIncome;
   	private int numberOfIncomes;
    private int incomePeriodLengthInMonths;
    private int numDaysForFundamentalDataAvailability;
    
    public SelectorByNumOfMinGrowingIncomesInARow(DataTable setOfTickersToBeSelected, 
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               double minimumIncome,
                               int numberOfIncomes,
                               int incomePeriodLengthInMonths,
                               int numDaysForFundamentalDataAvailability):
                                    base(setOfTickersToBeSelected, 
                                         true,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         500)
    {
      this.minimumIncome = minimumIncome;
    	this.numberOfIncomes = numberOfIncomes;
      this.incomePeriodLengthInMonths = incomePeriodLengthInMonths;
      this.numDaysForFundamentalDataAvailability = 
      	numDaysForFundamentalDataAvailability;
    }

		 #region GetTableOfSelectedTickers
		 
		 private bool getTableOfSelectedTickers_areIncomesAllGreaterThanMinimum(DataTable incomesForTicker)
		 {
		 		bool returnValue = true;
		 		double previousIncome;
		 		double currentIncome = this.minimumIncome;
			 	for(int i = 0; i < incomesForTicker.Rows.Count; i++)
			 	{
			 		previousIncome = currentIncome;
			 		currentIncome =
			 			(double)incomesForTicker.Rows[i]["fvValue"];
			 		if( currentIncome < this.minimumIncome ||
			 		    currentIncome < previousIncome )
				 		returnValue = false;
			 	}
			 	return returnValue;
		 }
		 
		 public DataTable GetTableOfSelectedTickers()
		 {
		 		DataTable returnValue = new DataTable();
		 		returnValue.Columns.Add("Ticker", System.Type.GetType("System.String"));
		 		object[] values = new object[1];
		 		string currentTicker;
			 	DataTable incomesForCurrentTicker;
			 	for(int i = 0; i < this.setOfTickersToBeSelected.Rows.Count; i++)
			 	{
			 		currentTicker = 
			 			(string)this.setOfTickersToBeSelected.Rows[i][0];
			 		incomesForCurrentTicker =
			 			FinancialValues.GetLastFinancialValuesForTicker(currentTicker,
			 			  40, 12, this.lastQuoteDate.AddDays(-this.numDaysForFundamentalDataAvailability));
			 		if( this.getTableOfSelectedTickers_areIncomesAllGreaterThanMinimum(incomesForCurrentTicker) )
			 		{
			 			values[0] = currentTicker;
			 			returnValue.Rows.Add(values);
			 		}
			 	}
			 	return returnValue;
		 }
		 #endregion GetTableOfSelectedTickers
		 
		 public void SelectAllTickers()
		 {
			 ;
		 }	
	 }
}

[Quantproject-developers] QuantProject/b2_DataAccess/Tables FinancialValues.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv31767

Modified Files:
	FinancialValues.cs 
Log Message:
Added methods for retrieving fundamentals (financial values) for tickers

Index: FinancialValues.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/FinancialValues.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FinancialValues.cs	20 Nov 2010 19:01:00 -0000	1.1
--- FinancialValues.cs	16 Jan 2011 18:10:30 -0000	1.2
***************
*** 49,53 ****
  			this.financialValues = FinancialValues.GetTickerFinancialValues( ticker, periodLengthInMonths );
  		}
! 		
  		/// <summary>
  		/// It provides addition of the given financial values into table "financial values"
--- 49,53 ----
  			this.financialValues = FinancialValues.GetTickerFinancialValues( ticker, periodLengthInMonths );
  		}
! 				
  		/// <summary>
  		/// It provides addition of the given financial values into table "financial values"
***************
*** 73,77 ****
  			}
  		}
! 				
  		/// <summary>
  		/// returns the financial values DataTable for the given ticker
--- 73,145 ----
  			}
  		}
! 		
! 		/// <summary>
! 		/// Returns last available financial value for the given ticker
! 		/// </summary>
! 		/// <param name="ticker"></param>
! 		/// <param name="financialDataCode">Code for the financial value
! 		/// - stored in DB table </param>
! 		/// <param name="atDate">Last financial value at the first immediate
! 		/// date previous than param atDate will be returned</param>
! 		/// <returns></returns>
! 		public static double GetLastFinancialValueForTicker( string ticker, int financialDataCode, 
! 		                                                     int periodLengthInMonths, 
! 		                                                     DateTime atDate )
! 		{
! 			string sqlString = "select * from financialValues where fvTiTicker='" + ticker + "' " +
! 				"AND fvFdId=" + financialDataCode + " " +
! 				"AND fvPeriodLengthInMonths=" + periodLengthInMonths + " " +
! 				"AND fvEndingPeriodDate<" + SQLBuilder.GetDateConstant(atDate) + " " +
! 				"order by fvEndingPeriodDate";
! 			DataTable dataTable = SqlExecutor.GetDataTable(sqlString);
! 			int numOfRows = dataTable.Rows.Count;
! 						
! 			return (double)(dataTable.Rows[ numOfRows - 1 ][ "fvValue" ]);
! 		}
! 		/// <summary>
! 		/// Returns last available financial values for the given ticker
! 		/// </summary>
! 		/// <param name="ticker"></param>
! 		/// <param name="financialDataCode">Code for the financial value
! 		/// - stored in DB table </param>
! 		/// <param name="atDate">Last financial values with endingPeriodDate
! 		/// previous than param atDate will be returned</param>
! 		/// <returns></returns>
! 		public static DataTable GetLastFinancialValuesForTicker( string ticker, int financialDataCode, 
! 		                                                     int periodLengthInMonths, 
! 		                                                     DateTime atDate )
! 		{
! 			string sqlString = "select * from financialValues where fvTiTicker='" + ticker + "' " +
! 				"AND fvFdId=" + financialDataCode + " " +
! 				"AND fvPeriodLengthInMonths=" + periodLengthInMonths + " " +
! 				"AND fvEndingPeriodDate<" + SQLBuilder.GetDateConstant(atDate) + " " + 
! 				"order by fvEndingPeriodDate";
! 			
! 			DataTable dataTable = SqlExecutor.GetDataTable(sqlString);
! 						
! 			return dataTable;
! 		}
! 		/// <summary>
! 		/// Returns last available financial values for all tickers
! 		/// </summary>
! 		/// <param name="financialDataCode">Code for the financial value
! 		/// - stored in DB table </param>
! 		/// <param name="atDate">Last financial values with endingPeriodDate
! 		/// previous than param atDate will be returned</param>
! 		/// <returns></returns>
! 		public static DataTable GetLastFinancialValues(int financialDataCode, 
! 		                                               int periodLengthInMonths, 
! 		                                               DateTime atDate )
! 		{
! 			string sqlString = "select * from financialValues where fvFdId=" + financialDataCode + " " +
! 				"AND fvPeriodLengthInMonths=" + periodLengthInMonths + " " +
! 				"AND fvEndingPeriodDate<" + SQLBuilder.GetDateConstant(atDate) + " " + 
! 				"order by fvEndingPeriodDate";
! 			
! 			DataTable dataTable = SqlExecutor.GetDataTable(sqlString);
! 						
! 			return dataTable;
! 		}
! 		
  		/// <summary>
  		/// returns the financial values DataTable for the given ticker

[Quantproject-developers] QuantDownloader/Downloader TickerDownloader.cs, 1.23, 1.24

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

Update of /cvsroot/quantproject/QuantDownloader/Downloader
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv26948

Modified Files:
	TickerDownloader.cs 
Log Message:
Fixed bug: now the TickerDownloader properly updates new adjusted values in DB

Index: TickerDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerDownloader.cs,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** TickerDownloader.cs	30 Dec 2008 00:18:26 -0000	1.23
--- TickerDownloader.cs	16 Jan 2011 11:21:29 -0000	1.24
***************
*** 485,489 ****
        foreach(DataRow row in this.downloadedValuesFromSource.Rows)
        {
!         Quotes.UpdateAdjustedClose(this.currentTicker, (DateTime)row[Quotes.Date], (float)row[Quotes.AdjustedClose]);
        }
        this.updateCurrentStatusAdjustedClose("Updated");
--- 485,489 ----
        foreach(DataRow row in this.downloadedValuesFromSource.Rows)
        {
!         Quotes.UpdateAdjustedClose(this.currentTicker, (DateTime)row[Quotes.Date], (double)row[Quotes.AdjustedClose]);
        }
        this.updateCurrentStatusAdjustedClose("Updated");

[Quantproject-developers] QuantProject/b2_DataAccess/Tables Quotes.cs, 1.37, 1.38

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv26178/Tables

Modified Files:
	Quotes.cs 
Log Message:
Fixed bug in method used by the Downloader for updating new adjusted values

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Quotes.cs,v
retrieving revision 1.37
retrieving revision 1.38
diff -C2 -d -r1.37 -r1.38
*** Quotes.cs	4 Aug 2009 21:57:32 -0000	1.37
--- Quotes.cs	16 Jan 2011 11:18:32 -0000	1.38
***************
*** 298,302 ****
  			try
  			{
! 				float adjustedCloseInDatabase;
  				double absoluteDifference;
  				DataTable tableOfSingleRow =
--- 298,302 ----
  			try
  			{
! 				double adjustedCloseInDatabase;
  				double absoluteDifference;
  				DataTable tableOfSingleRow =
***************
*** 304,308 ****
  					                         ticker + "' AND quDate=" +
  					                         SQLBuilder.GetDateConstant(dateToCheck));
! 				adjustedCloseInDatabase = (float)(tableOfSingleRow.Rows[0]["quAdjustedClose"]);
  				absoluteDifference = Math.Abs(currentAdjustedValueFromSource - adjustedCloseInDatabase);
  				if(absoluteDifference>ConstantsProvider.MaxDifferenceForAdjustedValues)
--- 304,308 ----
  					                         ticker + "' AND quDate=" +
  					                         SQLBuilder.GetDateConstant(dateToCheck));
! 				adjustedCloseInDatabase = (double)(tableOfSingleRow.Rows[0]["quAdjustedClose"]);
  				absoluteDifference = Math.Abs(currentAdjustedValueFromSource - adjustedCloseInDatabase);
  				if(absoluteDifference>ConstantsProvider.MaxDifferenceForAdjustedValues)

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestGenomeManagerForLinearRegression.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv30618/t5_Testing/b7_scripts/linearRegression

Modified Files:
	TestGenomeManagerForLinearRegression.cs 
Log Message:
DecoderForLinearRegressionTestingPositions now has a parametric number of trading positions and a parametric list of signaling portfolios

Index: TestGenomeManagerForLinearRegression.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression/TestGenomeManagerForLinearRegression.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestGenomeManagerForLinearRegression.cs	28 Mar 2010 17:06:10 -0000	1.1
--- TestGenomeManagerForLinearRegression.cs	6 Jan 2011 19:42:26 -0000	1.2
***************
*** 54,58 ****
  				new FakeHistoricalMarketValueProvider() );
  			DecoderForLinearRegressionTestingPositions decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions( 4 );
  			LinearRegressionFitnessEvaluator fitnessEvaluator =
  				new LinearRegressionFitnessEvaluator(
--- 54,58 ----
  				new FakeHistoricalMarketValueProvider() );
  			DecoderForLinearRegressionTestingPositions decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions( 2 , new int[] { 1 , 1 , 1 , 1 } );
  			LinearRegressionFitnessEvaluator fitnessEvaluator =
  				new LinearRegressionFitnessEvaluator(

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestDecoderForLinearRegressionTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv30555/t5_Testing/b7_scripts/linearRegression

Modified Files:
	TestDecoderForLinearRegressionTestingPositions.cs 
Log Message:
DecoderForLinearRegressionTestingPositions now has a parametric number of trading positions and a parametric list of signaling portfolios

Index: TestDecoderForLinearRegressionTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression/TestDecoderForLinearRegressionTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestDecoderForLinearRegressionTestingPositions.cs	28 Mar 2010 16:56:58 -0000	1.1
--- TestDecoderForLinearRegressionTestingPositions.cs	6 Jan 2011 19:42:01 -0000	1.2
***************
*** 142,146 ****
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions( 3 );
  			
  			Assert.AreEqual(
--- 142,146 ----
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions( 2 , new int[] { 1 , 1 , 1 } );
  			
  			Assert.AreEqual(
***************
*** 216,220 ****
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions( 3 );
  			
  			DynamicMock dynamicMockForReturnsManager = new DynamicMock( typeof(IReturnsManager) );
--- 216,220 ----
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions( 2 , new int[] { 1 , 1 , 1 } );
  			
  			DynamicMock dynamicMockForReturnsManager = new DynamicMock( typeof(IReturnsManager) );

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv30237/t5_Testing/b7_scripts/linearRegression

Modified Files:
	TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs 
Log Message:
DecoderFirstTradingTickerInEachSignalingPortfolio is now invoked with two parameters (but the code needs to be fixed, the first parameter is not used at all)

Index: TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression/TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs	28 Mar 2010 16:56:37 -0000	1.1
--- TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs	6 Jan 2011 19:40:13 -0000	1.2
***************
*** 146,150 ****
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderFirstTradingTickerInEachSignalingPortfolio( 3 );
  			
  			Assert.AreEqual(
--- 146,150 ----
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderFirstTradingTickerInEachSignalingPortfolio( 2 , 3 );
  			
  			Assert.AreEqual(
***************
*** 221,225 ****
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderFirstTradingTickerInEachSignalingPortfolio( 3 );
  			
  			DynamicMock dynamicMockForReturnsManager = new DynamicMock( typeof(IReturnsManager) );
--- 221,225 ----
  			DecoderForLinearRegressionTestingPositions
  				decoderForLinearRegressionTestingPositions =
! 				new DecoderFirstTradingTickerInEachSignalingPortfolio( 2 , 3 );
  			
  			DynamicMock dynamicMockForReturnsManager = new DynamicMock( typeof(IReturnsManager) );

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra TestLinearSystemSolver.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv28640/t5_Testing/b1_ADT/LinearAlgebra

Modified Files:
	TestLinearSystemSolver.cs 
Log Message:
Copyright notice has been added

Index: TestLinearSystemSolver.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra/TestLinearSystemSolver.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestLinearSystemSolver.cs	28 Mar 2010 16:52:35 -0000	1.1
--- TestLinearSystemSolver.cs	6 Jan 2011 19:34:55 -0000	1.2
***************
*** 1,9 ****
  /*
!  * Created by SharpDevelop.
!  * User: Glauco
!  * Date: 3/21/2010
!  * Time: 8:10 PM
!  * 
!  * To change this template use Tools | Options | Coding | Edit Standard Headers.
   */
  
--- 1,22 ----
  /*
! QuantProject - Quantitative Finance Library
! 
! TestLinearSystemSolver.cs
! Copyright (C) 2010
! 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.
   */
  

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Strategies LinearRegressionStrategy.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Strategies
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv28477/b7_Scripts/WalkForwardTesting/LinearRegression/Strategies

Modified Files:
	LinearRegressionStrategy.cs 
Log Message:
more information is now added to each log item

Index: LinearRegressionStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Strategies/LinearRegressionStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearRegressionStrategy.cs	28 Mar 2010 16:17:02 -0000	1.1
--- LinearRegressionStrategy.cs	6 Jan 2011 19:33:42 -0000	1.2
***************
*** 41,44 ****
--- 41,45 ----
  	public class LinearRegressionStrategy : BasicStrategyForBacktester
  	{
+ 		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
  		private IEntryStrategy entryStrategy;
  		private IExitStrategy exitStrategy;
***************
*** 49,52 ****
--- 50,54 ----
  			IIntervalsSelector intervalsSelectorForInSample ,
  			IIntervalsSelector intervalsSelectorForOutOfSample ,
+ 			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling ,
  			IEligiblesSelector eligiblesSelectorForTradingTickers ,
  //			IEligiblesSelector eligiblesSelectorForSignalingTickers ,
***************
*** 68,71 ****
--- 70,74 ----
  		{
  			this.intervalsSelectorForOutOfSample = intervalsSelectorForOutOfSample;
+ 			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
  			this.entryStrategy = entryStrategy;
  			this.exitStrategy = exitStrategy;
***************
*** 82,86 ****
  				new LinearRegressionLogItem(
  					this.now() ,
! 					this.bestTestingPositionsInSample );
  //					this.numDaysForInSampleOptimization ,
  //					eligibleTickers.Count );
--- 85,92 ----
  				new LinearRegressionLogItem(
  					this.now() ,
! 					this.bestTestingPositionsInSample ,
! 					(DateTime)this.inSampleReturnsManager.ReturnIntervals.BordersHistory.GetByIndex( 0 ) ,
! 					this.intervalsSelectorForInSample ,
! 					this.returnIntervalSelectorForSignaling );
  //					this.numDaysForInSampleOptimization ,
  //					eligibleTickers.Count );
***************
*** 104,108 ****
  			bool areToBeOpened = false;
  			if ( this.outOfSampleReturnIntervals.Count >= 1 &&
! 			   this.bestTestingPositionsInSample != null )
  			{
  //				ReturnInterval seconLastInterval =
--- 110,114 ----
  			bool areToBeOpened = false;
  			if ( this.outOfSampleReturnIntervals.Count >= 1 &&
! 			    this.bestTestingPositionsInSample != null )
  			{
  //				ReturnInterval seconLastInterval =

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging LinearRegressionLogItem.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv28101/b7_Scripts/WalkForwardTesting/LinearRegression/Logging

Modified Files:
	LinearRegressionLogItem.cs 
Log Message:
more members are now added to analizersForTestingPositions

Index: LinearRegressionLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/LinearRegressionLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearRegressionLogItem.cs	28 Mar 2010 16:12:57 -0000	1.1
--- LinearRegressionLogItem.cs	6 Jan 2011 19:31:59 -0000	1.2
***************
*** 26,29 ****
--- 26,31 ----
  using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Strategies.OutOfSample;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Presentation;
  using QuantProject.Scripts.General.Logging;
***************
*** 38,47 ****
  	{
  //		private LinearRegressionTestingPositions[] bestTestingPositionsInSample;
  		
  		public LinearRegressionLogItem(
  			DateTime now ,
! 			TestingPositions[] bestTestingPositionsInSample ) :
  			base( now , bestTestingPositionsInSample )
  		{
  //			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
  		}
--- 40,64 ----
  	{
  //		private LinearRegressionTestingPositions[] bestTestingPositionsInSample;
+ 		DateTime firstDateTimeInSample;
+ 		private IIntervalsSelector intervalsSelector;
+ 		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
  		
  		public LinearRegressionLogItem(
  			DateTime now ,
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeInSample ,
! 			IIntervalsSelector intervalsSelector ,
! 			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling ) :
  			base( now , bestTestingPositionsInSample )
  		{
+ 			this.intervalsSelector = intervalsSelector;
+ 			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
+ 			this.firstDateTimeInSample = firstDateTimeInSample;
+ 			
+ 			foreach( AnalyzerForLinearRegressionTestingPositions analizer in
+ 			        this.analizersForTestingPositions )
+ 				analizer.SetOtherMembers(
+ 					firstDateTimeInSample ,
+ 					intervalsSelector , returnIntervalSelectorForSignaling );
  //			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging AnalyzerForLinearRegressionTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv27008/b7_Scripts/WalkForwardTesting/LinearRegression/Logging

Modified Files:
	AnalyzerForLinearRegressionTestingPositions.cs 
Log Message:
now it has been actually written: analyzes a LinearRegressionTestingPositions that has been logged in sample

Index: AnalyzerForLinearRegressionTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/AnalyzerForLinearRegressionTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AnalyzerForLinearRegressionTestingPositions.cs	28 Mar 2010 16:12:46 -0000	1.1
--- AnalyzerForLinearRegressionTestingPositions.cs	6 Jan 2011 19:28:22 -0000	1.2
***************
*** 22,27 ****
--- 22,35 ----
  
  using System;
+ using System.Drawing;
+ using System.Windows.Forms;
  
+ using QuantProject.ADT.Histories;
+ using QuantProject.ADT.Statistics;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Scripting;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
+ using QuantProject.Presentation;
  
  namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
***************
*** 34,49 ****
  	public class AnalyzerForLinearRegressionTestingPositions : IExecutable
  	{
! 		LinearRegressionTestingPositions linearRegressionTestingPositions;
! 		DateTime accountTimerDateTimeWhenThisObjectWasLogged;
  		
  		public AnalyzerForLinearRegressionTestingPositions(
  			LinearRegressionTestingPositions linearRegressionTestingPositions ,
! //			int numberOfInSampleDays ,
! 			DateTime accountTimerDateTimeWhenThisObjectWasLogged )
  		{
  			this.linearRegressionTestingPositions = linearRegressionTestingPositions;
  			this.accountTimerDateTimeWhenThisObjectWasLogged =
  				accountTimerDateTimeWhenThisObjectWasLogged;
  		}
  		public void Run()
  		{
--- 42,227 ----
  	public class AnalyzerForLinearRegressionTestingPositions : IExecutable
  	{
! 		private LinearRegressionTestingPositions linearRegressionTestingPositions;
! 		private DateTime firstDateTimeInSample;
! 		private IIntervalsSelector intervalsSelector;
! 		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
! 		private DateTime accountTimerDateTimeWhenThisObjectWasLogged;
  		
+ 		/// <summary>
+ 		/// Generation when the TestingPositions object has been created
+ 		/// (if genetically optimized)
+ 		/// </summary>
+ 		public int Generation
+ 		{
+ 			get
+ 			{
+ 				return this.linearRegressionTestingPositions.Generation;
+ 			}
+ 		}
+ 		public double FitnessInSample
+ 		{
+ 			get { return this.linearRegressionTestingPositions.FitnessInSample; }
+ 		}
+ 
  		public AnalyzerForLinearRegressionTestingPositions(
  			LinearRegressionTestingPositions linearRegressionTestingPositions ,
! 			DateTime accountTimerDateTimeWhenThisObjectWasLogged
! 		)
  		{
  			this.linearRegressionTestingPositions = linearRegressionTestingPositions;
+ //			this.firstDateTimeInSample = firstDateTimeInSample;
+ //			this.intervalsSelector = intervalsSelector;
+ //			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
  			this.accountTimerDateTimeWhenThisObjectWasLogged =
  				accountTimerDateTimeWhenThisObjectWasLogged;
  		}
+ 		
+ 		public void SetOtherMembers(
+ 			DateTime firstDateTimeInSample ,
+ 			IIntervalsSelector intervalsSelector ,
+ 			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling )
+ 		{
+ 			this.firstDateTimeInSample = firstDateTimeInSample;
+ 			this.intervalsSelector = intervalsSelector;
+ 			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
+ 		}
+ 		
+ 		#region Run
+ 		
+ 		#region getReturnIntervals
+ 		private ReturnIntervals initializeReturnIntervalsWithTheFirstInterval(
+ 			DateTime firstDateTime )
+ 		{
+ 			ReturnInterval firstReturnInterval =
+ 				this.intervalsSelector.GetFirstInterval( firstDateTime );
+ 			ReturnIntervals returnIntervals = new ReturnIntervals( firstReturnInterval );
+ 			return returnIntervals;
+ 		}
+ 		private DateTime getFirstDateTime()
+ 		{
+ 			DateTime firstDateTime = this.accountTimerDateTimeWhenThisObjectWasLogged.AddDays( - 180 );
+ 			return firstDateTime;
+ 		}
+ 		private DateTime getLastDateTime()
+ 		{
+ 			DateTime lastDateTime = this.accountTimerDateTimeWhenThisObjectWasLogged;
+ 			return lastDateTime;
+ 		}
+ 		private ReturnInterval getNextInterval( ReturnIntervals returnIntervals )
+ 		{
+ 			ReturnInterval returnIntervalForTrading = this.intervalsSelector.GetNextInterval(
+ 				returnIntervals );
+ //			ReturnInterval returnIntervalForSignaling =
+ //				this.returnIntervalSelectorForSignaling.GetReturnIntervalUsedForSignaling(
+ //					returnIntervalForTrading );
+ //			return returnIntervalForSignaling;
+ 			return returnIntervalForTrading;
+ 		}
+ 		private ReturnIntervals getReturnIntervals(
+ 			DateTime firstDateTime , DateTime lastDateTime )
+ 		{
+ 			ReturnIntervals returnIntervals =
+ 				this.initializeReturnIntervalsWithTheFirstInterval( firstDateTime );
+ 			while ( returnIntervals.LastInterval.End < lastDateTime )
+ 			{
+ 				ReturnInterval nextInterval = this.getNextInterval( returnIntervals );
+ 				returnIntervals.Add( nextInterval );
+ 			}
+ 			return returnIntervals;
+ 		}
+ 		private ReturnIntervals getReturnIntervals()
+ 		{
+ //			DateTime firstDateTime = this.getFirstDateTime();
+ 			DateTime firstDateTime = this.firstDateTimeInSample;
+ 			DateTime lastDateTime = this.getLastDateTime();
+ 			ReturnIntervals returnIntervals = this.getReturnIntervals(
+ 				firstDateTime , lastDateTime );
+ 			return returnIntervals;
+ 		}
+ 		#endregion getReturnIntervals
+ 		
+ 		private History getVirtualValues(
+ 			ReturnIntervals returnIntervals , IVirtualReturnComputer virtualReturnComputer )
+ 		{
+ 			History virtualValues = new History();
+ 			int currentIntervalIndex = 0;
+ 			double currentValue = 30000;
+ 			while ( currentIntervalIndex < returnIntervals.Count )
+ 			{
+ 				ReturnInterval currentInterval = returnIntervals[ currentIntervalIndex ];
+ 				if ( !virtualValues.ContainsKey( currentInterval.Begin ) )
+ 					virtualValues.Add( currentInterval.Begin , currentValue );
+ 				try
+ 				{
+ 					double currentReturn = virtualReturnComputer.ComputeReturn( currentInterval );
+ 					currentValue = currentValue + currentValue * currentReturn;
+ 					virtualValues.Add( currentInterval.End , currentValue );
+ 				}
+ 				catch( TickerNotExchangedException )
+ 				{
+ 				}
+ 				currentIntervalIndex++;
+ 			}
+ 			return virtualValues;
+ 		}
+ 		
+ 		#region getVirtualValues
+ 		private void getVirtualValues(
+ 			ReturnIntervals returnIntervals ,
+ 			out History predictedVirtualValues , out History tradingPortfolioVirtualValues )
+ 		{
+ 			IHistoricalMarketValueProvider historicalMarketValueProvider =
+ 				new HistoricalAdjustedQuoteProvider();
+ 			
+ 			ReturnPredictor returnPredictor = new ReturnPredictor(
+ 				this.linearRegressionTestingPositions , this.returnIntervalSelectorForSignaling ,
+ 				historicalMarketValueProvider );
+ 			predictedVirtualValues = this.getVirtualValues(
+ 				returnIntervals , returnPredictor );
+ 			
+ 			PortfolioReturnComputer tradingPortfolioReturnComputer =
+ 				new PortfolioReturnComputer(
+ 					this.linearRegressionTestingPositions.TradingPortfolio ,
+ 					historicalMarketValueProvider );
+ 			tradingPortfolioVirtualValues = this.getVirtualValues(
+ 				returnIntervals , tradingPortfolioReturnComputer );
+ 		}
+ 		#endregion getVirtualValues
+ 		
+ 		#region showHistoriesPlots
+ 		private HistoriesViewer showHistoriesPlots(
+ 			History predictedVirtualValues , History tradingPortfolioVirtualValues )
+ 		{
+ 			HistoriesViewer historiesViewer =
+ 				new HistoriesViewer( "Linear Regression Log Analyzer" );
+ 			historiesViewer.StartPosition = FormStartPosition.Manual;
+ 			historiesViewer.Location = new Point( 200 , 200 );
+ 			historiesViewer.Add( predictedVirtualValues , Color.Red );
+ 			historiesViewer.Add( tradingPortfolioVirtualValues , Color.Green );
+ 			historiesViewer.Show();
+ 			return historiesViewer;
+ 		}
+ 		#endregion showHistoriesPlots
+ 		
+ 		#region showCorrelation
+ 		private double[] getArrayFromHistory( History history )
+ 		{
+ 			double[] arrayValues = new double[ history.Count ];
+ 			for( int i = 0 ; i < arrayValues.Length ; i++ )
+ 				arrayValues[ i ] = (double)history.GetValueList()[ i ];
+ 			return arrayValues;			
+ 		}
+ 
+ 		private void showCorrelation(
+ 			History predictedVirtualValues , History tradingPortfolioVirtualValues )
+ 		{
+ 			double correlationValue = BasicFunctions.PearsonCorrelationCoefficient(
+ 				this.getArrayFromHistory( predictedVirtualValues ) ,
+ 				this.getArrayFromHistory( tradingPortfolioVirtualValues ) );
+ 			MessageBox.Show( "Correlation value: " + correlationValue );
+ 		}
+ 		#endregion showCorrelation
+ 		
+ 		
  		public void Run()
  		{
***************
*** 51,58 ****
  			// coefficients and then show which are those who seem to
  			// be more significant
! 			System.Windows.Forms.MessageBox.Show(
! 				"A good analyzer has not yet been thought about, for " +
! 				"a LinearRegressionTestingPositions" );
  		}
  	}
  }
--- 229,244 ----
  			// coefficients and then show which are those who seem to
  			// be more significant
! 			ReturnIntervals returnIntervals = this.getReturnIntervals();
! 			
! 			History predictedVirtualValues;
! 			History tradingPortfolioVirtualValues;
! 			this.getVirtualValues(
! 				returnIntervals , out predictedVirtualValues , out tradingPortfolioVirtualValues );
! 			
! 			this.showHistoriesPlots( predictedVirtualValues , tradingPortfolioVirtualValues );
! 			
! 			this.showCorrelation( predictedVirtualValues , tradingPortfolioVirtualValues );
  		}
+ 		#endregion Run
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic GenomeManagerForLinearRegression.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv26817/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic

Modified Files:
	GenomeManagerForLinearRegression.cs 
Log Message:
now decoderForLinearRegressionTestingPositions is assigned a parameter value

Index: GenomeManagerForLinearRegression.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic/GenomeManagerForLinearRegression.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerForLinearRegression.cs	28 Mar 2010 16:12:04 -0000	1.1
--- GenomeManagerForLinearRegression.cs	6 Jan 2011 19:27:06 -0000	1.2
***************
*** 97,103 ****
  					seedForRandomGeneratorForSignalingTickers );
  			this.decoderForLinearRegressionTestingPositions =
! 				new DecoderForLinearRegressionTestingPositions(
! //					decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading ,
! 					decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios );
  			this.genomeSize =
  				decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading +
--- 97,104 ----
  					seedForRandomGeneratorForSignalingTickers );
  			this.decoderForLinearRegressionTestingPositions =
! 				decoderForLinearRegressionTestingPositions;
! //				new DecoderForLinearRegressionTestingPositions(
! ////					decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading ,
! //					decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios );
  			this.genomeSize =
  				decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading +

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation LinearRegressionFitnessEvaluator.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv25966/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Modified Files:
	LinearRegressionFitnessEvaluator.cs 
Log Message:
- unused code have been removed
- now the interface QuantProject.ADT.Econometrics.ILinearRegression is reference, instead of an implementing class

Index: LinearRegressionFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation/LinearRegressionFitnessEvaluator.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearRegressionFitnessEvaluator.cs	28 Mar 2010 16:08:00 -0000	1.1
--- LinearRegressionFitnessEvaluator.cs	6 Jan 2011 19:24:19 -0000	1.2
***************
*** 92,96 ****
  		}
  		
! 		public QuantProject.ADT.Econometrics.LinearRegression SetUpAndRunLinearRegression(
  			LinearRegressionTestingPositions testingPositions )
  		{
--- 92,96 ----
  		}
  		
! 		public QuantProject.ADT.Econometrics.ILinearRegression SetUpAndRunLinearRegression(
  			LinearRegressionTestingPositions testingPositions )
  		{
***************
*** 100,103 ****
--- 100,105 ----
  					this.returnsManagerForTradingTickers ,
  					this.returnsManagerForSignalingTickers );
+ //			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
+ //				new QuantProject.ADT.Econometrics.LinearRegressionWithoutCovarianceMatrix();
  			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
  				new QuantProject.ADT.Econometrics.LinearRegression();
***************
*** 128,156 ****
  		#region getFitnessValue
  
- 		private double getFitnessValue(
- 			WeightedPositions tradingPortfolio ,
- 			WeightedPositions[] signalingPortfolios )
- 		{
- 			ILinearRegressionValues linearRegressionValues =
- 				this.linearRegressionSetupManger.SetUpTheLinearRegressionValues(
- 					tradingPortfolio , signalingPortfolios ,
- 					this.returnsManagerForTradingTickers ,
- 					this.returnsManagerForSignalingTickers );
- //			this.getFitnessValue_checkWeightedPositions( weightedPositions );
- //			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
- //				this.setupAndRunTheLinearRegression(
- //					tradingPortfolio , signalingPortfolios , returnsManager );
- 			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
- 				new QuantProject.ADT.Econometrics.LinearRegression();
- 			linearRegression.RunRegression(
- 				linearRegressionValues.Regressand ,
- 				linearRegressionValues.Regressors );
- //				linearRegressionValues.RegressorWeights );
- 			double fitnessValue = linearRegression.CenteredRSquare;
- 			return fitnessValue;
- 		}
  		private double getFitnessValue( LinearRegressionTestingPositions testingPositions )
  		{
! 			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
  				this.SetUpAndRunLinearRegression( testingPositions );
  			double fitnessValue = linearRegression.CenteredRSquare;
--- 130,136 ----
  		#region getFitnessValue
  
  		private double getFitnessValue( LinearRegressionTestingPositions testingPositions )
  		{
! 			QuantProject.ADT.Econometrics.ILinearRegression linearRegression =
  				this.SetUpAndRunLinearRegression( testingPositions );
  			double fitnessValue = linearRegression.CenteredRSquare;
***************
*** 177,184 ****
  				fitnessValue =
  					this.getFitnessValue( (LinearRegressionTestingPositions)meaning );
! //			this.hasReturnsManagerForTradingTickersBeenSetSinceLastGetFitnessValueRequest =
! //				false;
! //			this.hasReturnsManagerForSignalingTickersBeenSetSinceLastGetFitnessValueRequest =
! //				false;
  			return fitnessValue;
  		}
--- 157,164 ----
  				fitnessValue =
  					this.getFitnessValue( (LinearRegressionTestingPositions)meaning );
! 			if ( fitnessValue < -0.03 && fitnessValue > -2 )
! 			{
! 				string forBreakpoint;  // for breakpoint
! 			}
  			return fitnessValue;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding DecoderForLinearRegressionTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv19385/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding

Modified Files:
	DecoderForLinearRegressionTestingPositions.cs 
Log Message:
The behavior of the decoder has been changed. Now the genome is decoded as follows: a given number of tickers is used to decode a trading portfolio. Then, a given number of signaling portfolios are created, each with a given number of contained signaling tickers.

Index: DecoderForLinearRegressionTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding/DecoderForLinearRegressionTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DecoderForLinearRegressionTestingPositions.cs	28 Mar 2010 16:02:47 -0000	1.1
--- DecoderForLinearRegressionTestingPositions.cs	6 Jan 2011 18:56:26 -0000	1.2
***************
*** 34,39 ****
  	/// <summary>
  	/// Simple decoder for the Linear Regression strategy.
! 	/// The genome is decoded as follows: the first two tickers are used to decode
  	/// a trading portfolio.
  	/// For each of the other tickers is created a portfolio with that single ticker and
  	/// such portfolio is used as a signaling portfolio.
--- 34,41 ----
  	/// <summary>
  	/// Simple decoder for the Linear Regression strategy.
! 	/// The genome is decoded as follows: a given number of tickers is used to decode
  	/// a trading portfolio.
+ 	/// Then, a given number of signaling portfolios are created, each with its number
+ 	/// of contained tickers.
  	/// For each of the other tickers is created a portfolio with that single ticker and
  	/// such portfolio is used as a signaling portfolio.
***************
*** 45,78 ****
  	public class DecoderForLinearRegressionTestingPositions // : IDecoderForTestingPositions
  	{
! //		private int numberOfTickersForTrading;
! //
  		public int NumberOfTickersForTrading {
! //			get { return this.numberOfTickersForTrading; }
! 			get { return 2; }
  		}
  //
- 		private int numberOfSignalingPortfolios;
  //
  		public int NumberOfSignalingPortfolios {
! 			get { return this.numberOfSignalingPortfolios; }
  		}
  		private BasicDecoderForTestingPositions basicDecoderForTestingPositions;
  		
! 		public DecoderForLinearRegressionTestingPositions( int numberOfSignalingPortfolios )
! //			int numberOfTickersForTrading , int numberOfTickersForSignaling )
  		{
! //			this.numberOfTickersForTrading = numberOfTickersForTrading;
! 			this.numberOfSignalingPortfolios = numberOfSignalingPortfolios;
  			this.basicDecoderForTestingPositions = new BasicDecoderForTestingPositions();
  		}
  		
  		#region Decode
! 		private void decode_checkParameters( int[] genome )
  		{
! 			int numberOfExpectedGenes = this.numberOfSignalingPortfolios + 2;
! 			if ( genome.Length != numberOfExpectedGenes )
  				throw new Exception(
! 					"The given genom contains " + genome.Length + " genes, but " +
! 					numberOfExpectedGenes + " where expected!" );
  		}
  		private int[] getSubGenome( int[] genome , int startingPosition , int length )
--- 47,92 ----
  	public class DecoderForLinearRegressionTestingPositions // : IDecoderForTestingPositions
  	{
! 		private int numberOfTickersForTrading;
! 
! 		private int[] numberOfTickersInEachSignalingPortfolio;
! 		
  		public int NumberOfTickersForTrading {
! 			get { return this.numberOfTickersForTrading; }
  		}
  //
  //
  		public int NumberOfSignalingPortfolios {
! 			get { return this.numberOfTickersInEachSignalingPortfolio.Length; }
  		}
+ 		
  		private BasicDecoderForTestingPositions basicDecoderForTestingPositions;
+ 		protected int expectedNumberOfGeneValues;
  		
! 		public DecoderForLinearRegressionTestingPositions(
! 			int numberOfTickersForTrading , int[] numberOfTickersInEachSignalingPortfolio )
  		{
! 			this.numberOfTickersForTrading = numberOfTickersForTrading;
! 			this.numberOfTickersInEachSignalingPortfolio =
! 				numberOfTickersInEachSignalingPortfolio;
! 			
  			this.basicDecoderForTestingPositions = new BasicDecoderForTestingPositions();
+ 			this.setExpectedNumberOfGeneValues();
+ 		}
+ 		
+ 		private void setExpectedNumberOfGeneValues()
+ 		{
+ 			this.expectedNumberOfGeneValues = this.numberOfTickersForTrading;
+ 			for( int i = 0 ; i < this.NumberOfSignalingPortfolios ; i++ )
+ 				this.expectedNumberOfGeneValues +=
+ 					this.numberOfTickersInEachSignalingPortfolio[ i ];
  		}
  		
  		#region Decode
! 		virtual protected void decode_checkParameters( int[] genome )
  		{
! 			if ( genome.Length != this.expectedNumberOfGeneValues )
  				throw new Exception(
! 					"The given genome contains " + genome.Length + " genes, but " +
! 					this.expectedNumberOfGeneValues + " where expected!" );
  		}
  		private int[] getSubGenome( int[] genome , int startingPosition , int length )
***************
*** 90,94 ****
  			int[] encodedForTradingTickers =
  //				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
! 				this.getSubGenome( encoded , 0 , 2 );
  			WeightedPositions weightedPositionsForTrading =
  				this.basicDecoderForTestingPositions.Decode(
--- 104,108 ----
  			int[] encodedForTradingTickers =
  //				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
! 				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
  			WeightedPositions weightedPositionsForTrading =
  				this.basicDecoderForTestingPositions.Decode(
***************
*** 105,109 ****
  				this.getSubGenome(
  //					encoded , this.numberOfTickersForTrading , this.numberOfTickersForSignaling );
! 					encoded , 2 , encoded.Length - 2 );
  			WeightedPositions weightedPositionsForSignaling =
  				this.basicDecoderForTestingPositions.Decode(
--- 119,124 ----
  				this.getSubGenome(
  //					encoded , this.numberOfTickersForTrading , this.numberOfTickersForSignaling );
! 					encoded , this.numberOfTickersForTrading ,
! 					encoded.Length - this.numberOfTickersForTrading );
  			WeightedPositions weightedPositionsForSignaling =
  				this.basicDecoderForTestingPositions.Decode(
***************
*** 130,133 ****
--- 145,158 ----
  		
  		#region getTradingPortfolio
+ 		
+ 		#region getSignedTickersForTradingPortfolio
+ 		private SignedTicker[] getSignedTickersArray(
+ 			WeightedPositions weightedPositionsForTrading )
+ 		{
+ 			SignedTicker[] signedTickersArray = new SignedTicker[ weightedPositionsForTrading.Count ];
+ 			for( int i = 0 ; i < weightedPositionsForTrading.Count ; i++ )
+ 				signedTickersArray[ i ] = weightedPositionsForTrading.SignedTickers[ i ];
+ 			return signedTickersArray;
+ 		}
  		protected virtual SignedTickers getSignedTickersForTradingPortfolio(
  			WeightedPositions weightedPositionsForTrading ,
***************
*** 135,143 ****
  		{
  			SignedTickers signedTickersForTradingPortfolio = new SignedTickers(
! 				new SignedTicker[] {
! 					weightedPositionsForTrading.SignedTickers[ 0 ] ,
! 					weightedPositionsForTrading.SignedTickers[ 1 ] } );
  			return signedTickersForTradingPortfolio;
  		}
  		private WeightedPositions getTradingPortfolio(
  			WeightedPositions weightedPositionsForTrading ,
--- 160,171 ----
  		{
  			SignedTickers signedTickersForTradingPortfolio = new SignedTickers(
! 				this.getSignedTickersArray( weightedPositionsForTrading ) );
! //				new SignedTicker[] {
! //					weightedPositionsForTrading.SignedTickers[ 0 ] ,
! //					weightedPositionsForTrading.SignedTickers[ 1 ] } );
  			return signedTickersForTradingPortfolio;
  		}
+ 		#endregion getSignedTickersForTradingPortfolio
+ 		
  		private WeightedPositions getTradingPortfolio(
  			WeightedPositions weightedPositionsForTrading ,
***************
*** 224,229 ****
  		
  		/// <summary>
! 		/// The genome is decoded as follows: the first two tickers are used to decode
  		/// a trading portfolio.
  		/// For each of the other tickers is created a portfolio with that single ticker and
  		/// such portfolio is used as a signaling portfolio.
--- 252,260 ----
  		
  		/// <summary>
! 		/// Simple decoder for the Linear Regression strategy.
! 		/// The genome is decoded as follows: a given number of tickers is used to decode
  		/// a trading portfolio.
+ 		/// Then, a given number of signaling portfolios are created, each with its number
+ 		/// of contained tickers.
  		/// For each of the other tickers is created a portfolio with that single ticker and
  		/// such portfolio is used as a signaling portfolio.

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding DecoderFirstTradingTickerInEachSignalingPortfolio.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv18215/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding

Modified Files:
	DecoderFirstTradingTickerInEachSignalingPortfolio.cs 
Log Message:
useless comments have been removed

Index: DecoderFirstTradingTickerInEachSignalingPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Decoding/DecoderFirstTradingTickerInEachSignalingPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DecoderFirstTradingTickerInEachSignalingPortfolio.cs	28 Mar 2010 15:57:29 -0000	1.1
--- DecoderFirstTradingTickerInEachSignalingPortfolio.cs	6 Jan 2011 18:52:30 -0000	1.2
***************
*** 37,41 ****
  	/// of n-1 WeightedPositions: the i_th WeightedPositions contains the balanced portfolio
  	/// with two positions: one for the ticker of the first gene and one for the ticker
! 	/// of the i+1_th gene; the first two ticker are decoded using the eligible tickers
  	/// for trading, while the other tickers are decoded using the eligible tickers
  	/// for signaling
--- 37,41 ----
  	/// of n-1 WeightedPositions: the i_th WeightedPositions contains the balanced portfolio
  	/// with two positions: one for the ticker of the first gene and one for the ticker
! 	/// of the i+1_th gene; the first two tickers are decoded using the eligible tickers
  	/// for trading, while the other tickers are decoded using the eligible tickers
  	/// for signaling
***************
*** 45,160 ****
  		DecoderForLinearRegressionTestingPositions
  	{
! 		////		private int numberOfTickersForTrading;
! 		////
! //		public int NumberOfTickersForTrading {
! 		////			get { return this.numberOfTickersForTrading; }
! //			get { return 2; }
! //		}
! 		////
! //		private int numberOfTickersForSignaling;
! 		////
! //		public int NumberOfTickersForSignaling {
! //			get { return this.numberOfTickersForSignaling; }
! //		}
! //		private BasicDecoderForTestingPositions basicDecoderForTestingPositions;
! //
! 		public DecoderFirstTradingTickerInEachSignalingPortfolio( int numberOfTickersForSignaling ) :
! 			base( numberOfTickersForSignaling )
  		{
! 			
  		}
! //			int numberOfTickersForTrading , int numberOfTickersForSignaling )
! //		{
! //			this.numberOfTickersForTrading = numberOfTickersForTrading;
! //			this.numberOfTickersForSignaling = numberOfTickersForSignaling;
! //			this.basicDecoderForTestingPositions = new BasicDecoderForTestingPositions();
! //		}
! //
! //		#region Decode
! //		private void decode_checkParameters( int[] genome )
! //		{
! //			int numberOfExpectedGenes = this.numberOfTickersForSignaling + 2;
! //			if ( genome.Length != numberOfExpectedGenes )
! //				throw new Exception(
! //					"The given genom contains " + genome.Length + " genes, but " +
! //					numberOfExpectedGenes + " where expected!" );
! //		}
! //		private int[] getSubGenome( int[] genome , int startingPosition , int length )
! //		{
! //			int[] subGenome = new int[ length ];
! //			for( int i = startingPosition ; i < startingPosition + length ; i++ )
! //				subGenome[ i - startingPosition ] = genome[ i ];
! //			return subGenome;
! //		}
! //		private WeightedPositions decodeWeightedPositionsForTrading(
! //			int[] encoded ,
! //			EligibleTickers eligibleTickersForTrading ,
! //			IReturnsManager returnsManager )
! //		{
! //			int[] encodedForTradingTickers =
! 			////				this.getSubGenome( encoded , 0 , this.numberOfTickersForTrading );
! //				this.getSubGenome( encoded , 0 , 2 );
! //			WeightedPositions weightedPositionsForTrading =
! //				this.basicDecoderForTestingPositions.Decode(
! //					encodedForTradingTickers ,
! //					eligibleTickersForTrading , returnsManager ).WeightedPositions;
! //			return weightedPositionsForTrading;
! //		}
! //		private WeightedPositions decodeWeightedPositionsForSignaling(
! //			int[] encoded ,
! //			EligibleTickers eligibleTickersForSignaling ,
! //			IReturnsManager returnsManager )
! //		{
! //			int[] encodedForSignalingTickers =
! //				this.getSubGenome(
! 			////					encoded , this.numberOfTickersForTrading , this.numberOfTickersForSignaling );
! //					encoded , 2 , encoded.Length - 2 );
! //			WeightedPositions weightedPositionsForSignaling =
! //				this.basicDecoderForTestingPositions.Decode(
! //					encodedForSignalingTickers ,
! //					eligibleTickersForSignaling , returnsManager ).WeightedPositions;
! //			return weightedPositionsForSignaling;
! //		}
! //
! //		#region getTestingPositions
! //		protected virtual WeightedPositions getBalancedPortfolio(
! //			SignedTickers signedTickers ,
! //			IReturnsManager returnsManager )
! //		{
! //			WeightedPositions balancedPortfolio = null;
! //			if ( !CollectionManager.ContainsDuplicates( signedTickers.Tickers ) )
! //			{
! //				double[] balancedWeights = WeightedPositions.GetBalancedWeights(
! //					signedTickers , returnsManager );
! //				balancedPortfolio =
! //					new WeightedPositions( balancedWeights , signedTickers.Tickers );
! //			}
! //			return balancedPortfolio;
! //		}
! //
! //		#region getTradingPortfolio
! //		protected virtual SignedTickers getSignedTickersForTradingPortfolio(
! //			WeightedPositions weightedPositionsForTrading ,
! //			IReturnsManager returnsManager )
! //		{
! //			SignedTickers signedTickersForTradingPortfolio = new SignedTickers(
! //				new SignedTicker[] {
! //					weightedPositionsForTrading.SignedTickers[ 0 ] ,
! //					weightedPositionsForTrading.SignedTickers[ 1 ] } );
! //			return signedTickersForTradingPortfolio;
! //		}
! //		private WeightedPositions getTradingPortfolio(
! //			WeightedPositions weightedPositionsForTrading ,
! //			IReturnsManager returnsManager )
! //		{
! //			SignedTickers signedTickers = this.getSignedTickersForTradingPortfolio(
! //				weightedPositionsForTrading , returnsManager );
! //			WeightedPositions tradingPortfolio = this.getBalancedPortfolio(
! //				signedTickers , returnsManager );
! //			return tradingPortfolio;
! //		}
! //		#endregion getTradingPortfolio
! //
! //		#region getSignalingPortfolios
  		protected override SignedTickers getSignedTickersForSignalingPortfolio(
  			int portfolioIndex ,
--- 45,74 ----
  		DecoderForLinearRegressionTestingPositions
  	{
! 
! 		public DecoderFirstTradingTickerInEachSignalingPortfolio(
! 			int numberOfTickersForTrading , int numberOfSignalingPortfolios ) :
! 			base( 2 , getNumberOfTickersForTrading( numberOfSignalingPortfolios ) )
  		{
! 			this.expectedNumberOfGeneValues = 2 + numberOfSignalingPortfolios;
  		}
! 		
! 		private static int[] getNumberOfTickersForTrading( int numberOfSignalingPortfolios )
! 		{
! 			int[] numberOfTickersInEachSignalingPortfolio =
! 				new int[ numberOfSignalingPortfolios ];
! 			for ( int i = 0 ; i < numberOfSignalingPortfolios ; i++ )
! 				numberOfTickersInEachSignalingPortfolio[ i ] = 2;
! 			return numberOfTickersInEachSignalingPortfolio;
! 		}
! 
! 		protected override void decode_checkParameters( int[] genome )
! 		{
! 			if ( genome.Length != this.expectedNumberOfGeneValues )
! 				throw new Exception(
! 					"The given genome contains " + genome.Length + " genes, but " +
! 					this.expectedNumberOfGeneValues + " where expected!" );
! 		}
! 
! 
  		protected override SignedTickers getSignedTickersForSignalingPortfolio(
  			int portfolioIndex ,
***************
*** 169,253 ****
  			return signedTickersForSignalingPortfolio;
  		}
! //		private WeightedPositions getSignalingPortfolio(
! //			int portfolioIndex ,
! //			WeightedPositions weightedPositionsForTrading ,
! //			WeightedPositions weightedPositionsForSignaling ,
! //			IReturnsManager returnsManager )
! //		{
! //			SignedTickers signedTickers = this.getSignedTickersForSignalingPortfolio(
! //				portfolioIndex , weightedPositionsForTrading , weightedPositionsForSignaling ,
! //				returnsManager );
! //			WeightedPositions signalingPortfolio = this.getBalancedPortfolio(
! //				signedTickers , returnsManager );
! //			return signalingPortfolio;
! //		}
! //		private WeightedPositions[] getSignalingPortfolios(
! //			WeightedPositions weightedPositionsForTrading ,
! //			WeightedPositions weightedPositionsForSignaling ,
! //			IReturnsManager returnsManager )
! //		{
! //			bool containsSignalingPortfolioWithDuplicateTickers = false;
! //				WeightedPositions[] signalingPortfolios = new WeightedPositions[
! //					weightedPositionsForSignaling.Count ];
! //			for ( int j=0 ; j < weightedPositionsForSignaling.Count ; j++ )
! //			{
! //				signalingPortfolios[ j ] = this.getSignalingPortfolio(
! //					j , weightedPositionsForTrading , weightedPositionsForSignaling ,
! //					returnsManager );
! //				if ( signalingPortfolios[ j ] == null )
! //					containsSignalingPortfolioWithDuplicateTickers = true;
! //			}
! //			if ( containsSignalingPortfolioWithDuplicateTickers )
! //				signalingPortfolios = null;
! //			return signalingPortfolios;
! //		}
! //		#endregion getSignalingPortfolios
! //
! //
! //
! //		private TestingPositions getTestingPositions(
! //			WeightedPositions weightedPositionsForTrading ,
! //			WeightedPositions weightedPositionsForSignaling ,
! //			IReturnsManager returnsManagerForTradingTickers ,
! //			IReturnsManager returnsManagerForSignalingTickers )
! //		{
! //			TestingPositions testingPositions = new TestingPositionsForUndecodableEncoded();
! //			WeightedPositions tradingPortfolio = this.getTradingPortfolio(
! //				weightedPositionsForTrading , returnsManagerForTradingTickers );
! //			WeightedPositions[] signalingPortfolios = this.getSignalingPortfolios(
! //				weightedPositionsForTrading , weightedPositionsForSignaling ,
! //				returnsManagerForSignalingTickers );
! //			if ( tradingPortfolio != null && signalingPortfolios != null )
! //				// all portfolios are valid, because none of them contained
! //				// duplicated tickers
! //				testingPositions = new LinearRegressionTestingPositions(
! //						signalingPortfolios , tradingPortfolio );
! //			return testingPositions;
! //		}
! //		#endregion getTestingPositions
! //
! //		public TestingPositions Decode(
! //			int[] encoded ,
! //			EligibleTickers eligibleTickersForTrading ,
! //			EligibleTickers eligibleTickersForSignaling ,
! //			IReturnsManager returnsManagerForTradingTickers ,
! //			IReturnsManager returnsManagerForSignalingTickers )
! //		{
! //			this.decode_checkParameters( encoded );
! //			WeightedPositions weightedPositionsForTrading =
! //				this.decodeWeightedPositionsForTrading(
! //					encoded , eligibleTickersForTrading , returnsManagerForTradingTickers );
! //			WeightedPositions weightedPositionsForSignaling =
! //				this.decodeWeightedPositionsForSignaling(
! //					encoded , eligibleTickersForSignaling , returnsManagerForSignalingTickers );
! //			TestingPositions meaning = new TestingPositionsForUndecodableEncoded();
! //			if ( weightedPositionsForTrading != null && weightedPositionsForSignaling != null )
! //				// there were not duplicated tickers in the encoded
! //				meaning = this.getTestingPositions(
! //					weightedPositionsForTrading , weightedPositionsForSignaling ,
! //					returnsManagerForTradingTickers , returnsManagerForSignalingTickers );
! //			return meaning;
! //		}
! //		#endregion Decode
  		}
  	}
--- 83,90 ----
  			return signedTickersForSignalingPortfolio;
  		}
! 
! 
! 
! 
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression LinearRegressionMain.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15939/b7_Scripts/WalkForwardTesting/LinearRegression

Modified Files:
	LinearRegressionMain.cs 
Log Message:
minor changes to the script parameters

Index: LinearRegressionMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/LinearRegressionMain.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearRegressionMain.cs	28 Mar 2010 15:48:08 -0000	1.1
--- LinearRegressionMain.cs	6 Jan 2011 18:44:08 -0000	1.2
***************
*** 97,109 ****
  			ITickerSelectorByGroup tickerSelectorByGroup = new TickerSelectorByGroup();
  //			double minPercentageOfAvailableValues = 0.8;
! 			double minPercentageOfAvailableValues = 0.9;
  			double minPriceForTradingTicker = 1;
  			double maxPriceForTradingTicker = 9000;
  			int maxNumberOfEligiblesForTrading = 150;
  			
! 			// uncomment the followings line for a faster script
! //			groupIdForTradingTickers = "fastTest";
! //			groupIdForAdditionalSignalingTickers = "fastTest";
! //			maxNumberOfEligiblesForTrading = 8;
  
  			IEligiblesSelector eligiblesSelector =
--- 97,109 ----
  			ITickerSelectorByGroup tickerSelectorByGroup = new TickerSelectorByGroup();
  //			double minPercentageOfAvailableValues = 0.8;
! 			double minPercentageOfAvailableValues = 1;
  			double minPriceForTradingTicker = 1;
  			double maxPriceForTradingTicker = 9000;
  			int maxNumberOfEligiblesForTrading = 150;
  			
! 			// uncomment the followings lines for a faster script
! 			groupIdForTradingTickers = "fastTest";
! 			groupIdForAdditionalSignalingTickers = "fastTest";
! 			maxNumberOfEligiblesForTrading = 8;
  
  			IEligiblesSelector eligiblesSelector =
***************
*** 133,145 ****
  			// uncomment the following line for a faster script
  //			numberOfBestTestingPositionsToBeReturned = 20;
! //			numberOfBestTestingPositionsToBeReturned = 5;
  			
! //			int numberOfTickersForTrading = 2;
! 			int numberOfSignalingPortfolios = 4;
  			
  			DecoderForLinearRegressionTestingPositions decoderForWeightedPositions =
  				new DecoderForLinearRegressionTestingPositions(
! 					numberOfSignalingPortfolios );
! //					numberOfTickersForTrading , numberOfTickersForSignaling );
  
  //			double maxCorrelationAllowed = 0.96; copypasted
--- 133,145 ----
  			// uncomment the following line for a faster script
  //			numberOfBestTestingPositionsToBeReturned = 20;
! 			numberOfBestTestingPositionsToBeReturned = 3;
  			
! 			int numberOfTickersForTrading = 1;
! 			int[] numberOfTickersInEachSignalingPortfolio =
! 				new int[] { 1 , 1 , 1 };
  			
  			DecoderForLinearRegressionTestingPositions decoderForWeightedPositions =
  				new DecoderForLinearRegressionTestingPositions(
! 					numberOfTickersForTrading , numberOfTickersInEachSignalingPortfolio );
  
  //			double maxCorrelationAllowed = 0.96; copypasted
***************
*** 164,176 ****
  			
  			// parameters for the genetic optimizer
! 			double crossoverRate = 0.85;
  			double mutationRate = 0.02;
! 			double elitismRate = 0.001;
  			int populationSizeForGeneticOptimizer = 60000;
  			int generationNumberForGeneticOptimizer = 15;
  			
  			// uncomment the followings line for a faster script
! //			populationSizeForGeneticOptimizer = 300;
! //			generationNumberForGeneticOptimizer = 4;
  			
  			int seedForRandomGeneratorForTheGeneticOptimizer =
--- 164,176 ----
  			
  			// parameters for the genetic optimizer
! 			double crossoverRate = 0.5;
  			double mutationRate = 0.02;
! 			double elitismRate = 0.00001;
  			int populationSizeForGeneticOptimizer = 60000;
  			int generationNumberForGeneticOptimizer = 15;
  			
  			// uncomment the followings line for a faster script
! 			populationSizeForGeneticOptimizer = 300;
! 			generationNumberForGeneticOptimizer = 4;
  			
  			int seedForRandomGeneratorForTheGeneticOptimizer =
***************
*** 210,217 ****
  		{
  			int inSampleDays = 180;
! 			inSampleDays = 360;
  			// uncomment the following line for a faster script
! //			inSampleDays = 5;
! //			inSampleDays = 60;
  			
  //			IIntervalsSelector intervalsSelectorForOutOfSample =
--- 210,217 ----
  		{
  			int inSampleDays = 180;
! //			inSampleDays = 360;
  			// uncomment the following line for a faster script
! //			inSampleDays = 20;
! 			inSampleDays = 60;
  			
  //			IIntervalsSelector intervalsSelectorForOutOfSample =
***************
*** 237,241 ****
  					maxTimeSpanToLookAhead );
  
! 			double minForecastedReturn = 0.01F;
  			IEntryStrategy longAndShortBasedOnAverageExpectedReturn =
  				new EntryStrategyBasedOnForecastedReturn(
--- 237,241 ----
  					maxTimeSpanToLookAhead );
  
! 			double minForecastedReturn = 0.002F;
  			IEntryStrategy longAndShortBasedOnAverageExpectedReturn =
  				new EntryStrategyBasedOnForecastedReturn(
***************
*** 250,253 ****
--- 250,254 ----
  					7 , inSampleDays ,
  					intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
+ 					this.returnIntervalSelectorForSignaling ,
  					eligiblesSelector ,		// eligible selector for trading tickers
  //					this.eligiblesSelectorForSignalingTickers ,
***************
*** 287,292 ****
  
  			// uncomment the following two lines for a faster script
! //			firstDateTime = new DateTime( 2006 , 1 , 2 );
! //			lastDateTime = new DateTime( 2006 , 1 , 10 );
  
  			double maxRunningHours = 12;
--- 288,295 ----
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2006 , 2 , 26 );
! 			lastDateTime = new DateTime( 2006 , 4 , 5 );
! //			firstDateTime = new DateTime( 2005 , 2 , 26 );
! //			lastDateTime = new DateTime( 2006 , 12 , 5 );
  
  			double maxRunningHours = 12;

[Quantproject-developers] QuantProject/b7_Scripts/General/Logging AnalyzableLogItem.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General/Logging
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15610/b7_Scripts/General/Logging

Modified Files:
	AnalyzableLogItem.cs 
Log Message:
analizersForTestingPositions was private, is protected now

Index: AnalyzableLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/General/Logging/AnalyzableLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AnalyzableLogItem.cs	28 Mar 2010 15:47:36 -0000	1.1
--- AnalyzableLogItem.cs	6 Jan 2011 18:43:02 -0000	1.2
***************
*** 38,42 ****
  	public abstract class AnalyzableLogItem : LogItem
  	{
! 		private List<IExecutable> analizersForTestingPositions;
  		protected TestingPositions[] bestTestingPositionsInSample;
  		
--- 38,42 ----
  	public abstract class AnalyzableLogItem : LogItem
  	{
! 		protected List<IExecutable> analizersForTestingPositions;
  		protected TestingPositions[] bestTestingPositionsInSample;