quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4015

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

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

FixedLengthTwoPhasesMain.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// Entry point for the FixedLengthTwoPhases strategy. If any strategy
	/// parameter had to be changed, this is the place where it should
	/// be done
	/// </summary>
	public class FixedLengthTwoPhasesMain
	{
		public FixedLengthTwoPhasesMain()
		{
		}
		#region Run
		private MessageManager setMessageManager(
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IEndOfDayStrategy endOfDayStrategy ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			MessageManager messageManager =
				new MessageManager( "FixedLengthUpDown.Txt" );
			messageManager.Monitor( eligiblesSelector );
			messageManager.Monitor( inSampleChooser );
			//			messageManager.Monitor( endOfDayStrategy );
			messageManager.Monitor( endOfDayStrategyBackTester );
			return messageManager;
		}

		// TO DO check if you can add this to QuantProject.Presentation.Reporting.WindowsForm.Report
		// as a public method or as a new constructor
		private void showReport(
			DateTime lastDateTimeRequestedForTheScript ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{			
			DateTime lastReportDateTime = ExtendedDateTime.Min(
				lastDateTimeRequestedForTheScript ,
				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
			Report report = new Report(
				endOfDayStrategyBackTester.Account ,
				endOfDayStrategyBackTester.HistoricalQuoteProvider );
			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
				new EndOfDayDateTime( lastReportDateTime ,
				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
				endOfDayStrategyBackTester.Benchmark.Ticker );
			report.Show();
		}

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

//			int numberOfPortfolioPositions = 4;
//			int inSampleDays = 90;
//			string tickersGroupId = "SP500";
			
			// uncomment the following three lines for faster scripts
			int numberOfPortfolioPositions = 2;
			int inSampleDays = 30;
			string tickersGroupId = "millo";

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

			// definition for the Fitness Evaluator
      IEquityEvaluator equityEvaluator = new SharpeRatio();
			FixedLengthTwoPhasesFitnessEvaluator
				fixedLengthTwoPhasesFitnessEvaluator =
				new FixedLengthTwoPhasesFitnessEvaluator(	equityEvaluator );

			// parameters for the genetic optimizer
			double crossoverRate = 0.85;
			double mutationRate = 0.02;
			double elitismRate = 0.001;
			int populationSizeForGeneticOptimizer = 3000;
			int generationNumberForGeneticOptimizer = 5;
			int seedForRandomGenerator =
				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
			IInSampleChooser inSampleChooser =
				new FixedLengthTwoPhasesGeneticChooser(
				numberOfPortfolioPositions , inSampleDays , benchmark ,
				decoderForWeightedPositions , fixedLengthTwoPhasesFitnessEvaluator ,
				historicalQuoteProvider ,
				crossoverRate , mutationRate , elitismRate ,
				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
				seedForRandomGenerator );

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

			FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
				new FixedLengthTwoPhasesStrategy(
					numberOfPortfolioPositions ,
					7 , 90 , benchmark , intervalsSelector ,
					eligiblesSelector , inSampleChooser , historicalQuoteProvider );

			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
			DateTime lastDateTime = new DateTime( 2004 , 1 , 15 );
			double maxRunningHours = 0.2;
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
					backTestId , fixedLengthTwoPhasesStrategy ,
					historicalQuoteProvider , firstDateTime ,
					lastDateTime , benchmark , cashToStart , maxRunningHours );

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

			MessageManager messageManager = this.setMessageManager(
				eligiblesSelector , inSampleChooser ,
				fixedLengthTwoPhasesStrategy , endOfDayStrategyBackTester );
			endOfDayStrategyBackTester.Run();
			this.showReport( lastDateTime ,
				endOfDayStrategyBackTester );
		}

		#endregion Run
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesLogItem.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2411

Added Files:
	FixedLengthTwoPhasesLogItem.cs 
Log Message:
Log item for the FixedLengthTwoPhases strategy

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

FixedLengthTwoPhasesLogItem.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// Log item for the FixedLengthTwoPhases strategy
	/// </summary>
	public class FixedLengthTwoPhasesLogItem : LogItem
	{
		private WeightedPositions bestWeightedPositionsInSample;
		private int numberOfEligibleTickers;
		
		public WeightedPositions BestWeightedPositionsInSample
		{
			get
			{
				if ( this.bestWeightedPositionsInSample == null )
					throw new Exception( "This property has not " +
						"been assigned yet! If you are loading the LogItem from " +
						"a log, this property was not set before logging the LogItem." );
				return this.bestWeightedPositionsInSample;
			}
			set { this.bestWeightedPositionsInSample = value; }
		}

		public int NumberOfEligibleTickers
		{
			get
			{
				if ( this.numberOfEligibleTickers == int.MinValue )
					throw new Exception( "This property has not " +
						"been assigned yet! If you are loading the LogItem from " +
						"a log, this property was not set before logging the LogItem." );
				return this.numberOfEligibleTickers;
			}
			set { this.numberOfEligibleTickers = value; }
		}

		public FixedLengthTwoPhasesLogItem( EndOfDayDateTime endOfDayDateTime )
			: base( endOfDayDateTime )
		{
			this.numberOfEligibleTickers = int.MinValue;
		}
		public override void Run()
		{
			// TO DO write a script to debug the in sample
			// optimization result
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1004/Genetic

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

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv653/InSampleChoosers

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

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv638/FixedLengthTwoPhases

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

[Quantproject-developers] QuantProject/b5_Presentation Presentation_SD.csproj, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32685/b5_Presentation

Modified Files:
	Presentation_SD.csproj 
Log Message:
MessageManager.cs has been added

Index: Presentation_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Presentation_SD.csproj,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Presentation_SD.csproj	29 Aug 2007 10:34:59 -0000	1.2
--- Presentation_SD.csproj	19 Jan 2008 18:26:34 -0000	1.3
***************
*** 65,68 ****
--- 65,69 ----
      <Compile Include="Charting\CharPlot.cs" />
      <Compile Include="Charting\Chart.cs" />
+     <Compile Include="MessageManager.cs" />
      <Compile Include="Reporting\Console\ConsoleManager.cs" />
      <Compile Include="Reporting\MicrosoftExcel\ExcelManager.cs" />

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj, 1.39, 1.40

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32646/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
MessageManager.cs has been added

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.39
retrieving revision 1.40
diff -C2 -d -r1.39 -r1.40
*** b5_Presentation.csproj	29 Aug 2007 10:32:02 -0000	1.39
--- b5_Presentation.csproj	19 Jan 2008 18:26:09 -0000	1.40
***************
*** 126,138 ****
                  />
                  <Reference
-                     Name = "b4_Business"
-                     Project = "{6EE31501-376E-491B-869E-F06D5B7C9C30}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "NPlot"
                      AssemblyName = "NPlot"
                      HintPath = "..\..\NPlot.dll"
                  />
              </References>
          </Build>
--- 126,138 ----
                  />
                  <Reference
                      Name = "NPlot"
                      AssemblyName = "NPlot"
                      HintPath = "..\..\NPlot.dll"
                  />
+                 <Reference
+                     Name = "b4_Business"
+                     Project = "{6EE31501-376E-491B-869E-F06D5B7C9C30}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>
***************
*** 150,153 ****
--- 150,158 ----
                  />
                  <File
+                     RelPath = "MessageManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "VisualObjectArchiver.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b5_Presentation MessageManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31842

Added Files:
	MessageManager.cs 
Log Message:
Manages text messages

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

MessageManager.cs
Copyright (C) 2007 
Glauco Siliprandi

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

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

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

using System;
using System.IO;

using QuantProject.ADT.Messaging;

namespace QuantProject.Presentation
{
	/// <summary>
	/// Manages text messages
	/// </summary>
	public class MessageManager
	{
		private string textFileName;

		/// <summary>
		/// Manages text messages
		/// </summary>
		/// <param name="textFileName">messages will be written to this file
		/// also</param>
		public MessageManager( string textFileName )
		{
			this.textFileName = textFileName;
		}

		/// <summary>
		/// Displays a text message to the console and logs the message
		/// in the specified text file
		/// </summary>
		/// <param name="message"></param>
		/// <param name="textFileName"></param>
		public static void DisplayMessage( string message , string textFileName )
		{
			//			Console.WriteLine( message );
			//			Console.WriteLine( "" );
			System.Diagnostics.Debug.Listeners[0].WriteLine( message );

			//			FileStream fileStream = new FileStream( "WFLagLog.Txt" ,
			//				FileMode.OpenOrCreate );
			StreamWriter streamWriter = new StreamWriter( textFileName ,
				true );
			streamWriter.WriteLine( message );
			streamWriter.Close();
			//			fileStream.Close();
		}

		#region Monitor

		private void newMessageHandler(
			Object sender , NewMessageEventArgs eventArgs )
		{
			MessageManager.DisplayMessage(
				eventArgs.Message + "\n" , this.textFileName );
		}
		/// <summary>
		/// Adds the messageSender to the list of senders that this MessageManager
		/// is listening to. When the messageSender will rise a new message,
		/// this MessageManager will display it
		/// </summary>
		/// <param name="messageSender"></param>
		public void Monitor( IMessageSender messageSender )
		{
			messageSender.NewMessage +=
				new NewMessageHandler( this.newMessageHandler );
		}
		#endregion Monitor
	}
}

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30584/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
a2_Strategies\Benchmark.cs has been added
a2_Strategies\EndOfDayStrategyBackTester.cs has been added
a2_Strategies\IEndOfDayStrategyForBacktester.cs has been added
a2_Strategies\IInSampleChooser.cs has been added
a2_Strategies\Eligibles\EligibleTickers.cs has been added
a2_Strategies\Eligibles\IEligiblesSelector.cs has been added
a2_Strategies\Eligibles\MostLiquidAndLessVolatile.cs has been added
a2_Strategies\Logging\BackTestLog.cs has been added
2_Strategies\Logging\LogItem.cs has been added
a2_Strategies\Logging\NewLogItemEventArgs.cs has been added
a2_Strategies\Optimizing\Decoding\DecoderForBalancedWeightedPositions.cs has been added
a2_Strategies\Optimizing\Decoding\IDecoderForWeightedPositions.cs has been added
a2_Strategies\returnsManagement\time\selectors\FixedLengthTwoPhasesIntervalsSelector.cs has been added
a2_Strategies\returnsManagement\time\selectors\IIntervalsSelector.cs has been added

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** Business_SD.csproj	14 Jan 2008 23:54:11 -0000	1.7
--- Business_SD.csproj	19 Jan 2008 18:21:08 -0000	1.8
***************
*** 61,64 ****
--- 61,76 ----
      <Compile Include="a07_DataProviders\HistoricalQuoteProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\AverageNumberOfTransactionsPerDay.cs" />
+     <Compile Include="a2_Strategies\Benchmark.cs" />
+     <Compile Include="a2_Strategies\Eligibles\EligibleTickers.cs" />
+     <Compile Include="a2_Strategies\Eligibles\IEligiblesSelector.cs" />
+     <Compile Include="a2_Strategies\Eligibles\MostLiquidAndLessVolatile.cs" />
+     <Compile Include="a2_Strategies\EndOfDayStrategyBackTester.cs" />
+     <Compile Include="a2_Strategies\IEndOfDayStrategyForBacktester.cs" />
+     <Compile Include="a2_Strategies\IInSampleChooser.cs" />
+     <Compile Include="a2_Strategies\Logging\BackTestLog.cs" />
+     <Compile Include="a2_Strategies\Logging\LogItem.cs" />
+     <Compile Include="a2_Strategies\Logging\NewLogItemEventArgs.cs" />
+     <Compile Include="a2_Strategies\Optimizing\Decoding\DecoderForBalancedWeightedPositions.cs" />
+     <Compile Include="a2_Strategies\Optimizing\Decoding\IDecoderForWeightedPositions.cs" />
      <Compile Include="a2_Strategies\returnsManagement\time\CloseToCloseIntervals.cs" />
      <Compile Include="a2_Strategies\returnsManagement\time\CloseToOpenIntervals.cs" />
***************
*** 67,70 ****
--- 79,84 ----
      <Compile Include="a2_Strategies\returnsManagement\time\ReturnInterval.cs" />
      <Compile Include="a2_Strategies\returnsManagement\time\ReturnIntervals.cs" />
+     <Compile Include="a2_Strategies\returnsManagement\time\selectors\IIntervalsSelector.cs" />
+     <Compile Include="a2_Strategies\returnsManagement\time\selectors\FixedLengthTwoPhasesIntervalsSelector.cs" />
      <Compile Include="a2_Strategies\TickersRelationships\CloseToCloseCorrelationProvider.cs" />
      <Compile Include="a2_Strategies\TickersRelationships\CorrelationProvider.cs" />
***************
*** 197,203 ****
--- 211,222 ----
        <Name>b3_Data</Name>
      </ProjectReference>
+     <Folder Include="a2_Strategies\Eligibles" />
      <Folder Include="a2_Strategies\EquityEvaluation" />
+     <Folder Include="a2_Strategies\Logging" />
+     <Folder Include="a2_Strategies\Optimizing" />
+     <Folder Include="a2_Strategies\Optimizing\Decoding" />
      <Folder Include="a2_Strategies\returnsManagement" />
      <Folder Include="a2_Strategies\returnsManagement\time" />
+     <Folder Include="a2_Strategies\returnsManagement\time\selectors" />
      <Folder Include="a2_Strategies\TickersRelationships" />
    </ItemGroup>

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj, 1.26, 1.27

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30174/b1_ADT

Modified Files:
	b1_ADT.csproj 
Log Message:
Messaging\IMessageSender.cs has been added
Messaging\NewMessageEventArgs.cs has been added
Optimizing\Decoding\IDecoder.cs has been added
Optimizing\Decoding\MeaningForUndecodableEncoded.cs has been added

Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** b1_ADT.csproj	7 Oct 2007 10:27:50 -0000	1.26
--- b1_ADT.csproj	19 Jan 2008 18:20:26 -0000	1.27
***************
*** 2,6 ****
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9466"
          SchemaVersion = "1.0"
          ProjectGuid = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
--- 2,6 ----
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9955"
          SchemaVersion = "1.0"
          ProjectGuid = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
***************
*** 198,201 ****
--- 198,211 ----
                  />
                  <File
+                     RelPath = "Messaging\IMessageSender.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Messaging\NewMessageEventArgs.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Optimizing\Optimizable.cs"
                      SubType = "Code"
***************
*** 228,231 ****
--- 238,251 ----
                  />
                  <File
+                     RelPath = "Optimizing\Decoding\IDecoder.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Optimizing\Decoding\MeaningForUndecodableEncoded.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Optimizing\Genetic\GeneticOptimizer.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b1_ADT ADT_SD.csproj, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29713/b1_ADT

Modified Files:
	ADT_SD.csproj 
Log Message:
Messaging\IMessageSender.cs has been added
Messaging\NewMessageEventArgs.cs has been added
Optimizing\Decoding\IDecoder.cs has been added
Optimizing\Decoding\MeaningForUndecodableEncoded.cs has been added

Index: ADT_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ADT_SD.csproj	28 Oct 2007 18:28:46 -0000	1.4
--- ADT_SD.csproj	19 Jan 2008 18:19:54 -0000	1.5
***************
*** 55,59 ****
--- 55,63 ----
      <Compile Include="IProgressNotifier.cs" />
      <Compile Include="Keyed.cs" />
+     <Compile Include="Messaging\IMessageSender.cs" />
+     <Compile Include="Messaging\NewMessageEventArgs.cs" />
      <Compile Include="NewProgressEventArgs.cs" />
+     <Compile Include="Optimizing\Decoding\IDecoder.cs" />
+     <Compile Include="Optimizing\Decoding\MeaningForUndecodableEncoded.cs" />
      <Compile Include="RecursiveHashTable.cs" />
      <Compile Include="FileManaging\ObjectArchiver.cs" />
***************
*** 91,95 ****
--- 95,101 ----
    </ItemGroup>
    <ItemGroup>
+     <Folder Include="Messaging" />
      <Folder Include="Optimizing\BruteForce" />
+     <Folder Include="Optimizing\Decoding" />
      <Folder Include="Statistics\Combinatorial" />
    </ItemGroup>

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Decoding MeaningForUndecodableEncoded.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29273

Added Files:
	MeaningForUndecodableEncoded.cs 
Log Message:
Object used to assign a dummy meaning to those objects (genomes or bruteForceOptimizableParameters) that cannot be decoded to something meaningful. It will be returned by an IDecoder when the Decode method fails

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

MeaningForUndecodableEncoded.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

namespace QuantProject.ADT.Optimizing.Decoding
{
	/// <summary>
	/// Object used to assign a dummy meaning to those objects (genomes or
	/// bruteForceOptimizableParameters) that
	/// cannot be decoded to something meaningful. It will be returned
	/// by an IDecoder when the Decode method fails
	/// </summary>
	public class MeaningForUndecodableEncoded
	{
		public MeaningForUndecodableEncoded()
		{
			//
			// TODO: Add constructor logic here
			//
		}
	}
}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Decoding IDecoder.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28617

Added Files:
	IDecoder.cs 
Log Message:
Interface to be implemented by decoders for optimizers (both for
genetic and for brute force optimizers)

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

IDecoder.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

namespace QuantProject.ADT.Optimizing.Decoding
{
	/// <summary>
	/// Interface to be implemented by decoders for optimizers (both for
	/// genetic and for brute force optimizers)
	/// </summary>
	public interface IDecoder
	{
		/// <summary>
		/// Decodes the given candidate for the optimization
		/// </summary>
		object Decode( int[] encoded );
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28451/Decoding

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

[Quantproject-developers] QuantProject/b1_ADT/Messaging NewMessageEventArgs.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Messaging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28063

Added Files:
	NewMessageEventArgs.cs 
Log Message:
EventArgs for the NewMessage event

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

NewMessageEventArgs.cs
Copyright (C) 2007 
Glauco Siliprandi

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

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

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

using System;

namespace QuantProject.ADT.Messaging
{
	/// <summary>
	/// EventArgs for the NewMessage event
	/// </summary>
	public class NewMessageEventArgs : EventArgs
	{
		private string message;

		public string Message
		{
			get { return this.message; }
		}
		public NewMessageEventArgs( string message )
		{
			this.message = message;
		}
	}
}

[Quantproject-developers] QuantProject/b1_ADT/Messaging IMessageSender.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Messaging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27719

Added Files:
	IMessageSender.cs 
Log Message:
Interface to be implemented by those object that send
text messages to the outside world

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

IMessageSender.cs
Copyright (C) 2007 
Glauco Siliprandi

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

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

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

using System;

namespace QuantProject.ADT.Messaging
{
	public delegate void NewMessageHandler(
	Object sender , NewMessageEventArgs eventArgs );

	/// <summary>
	/// Interface to be implemented by those object that send
	/// text messages to the outside world
	/// </summary>
	public interface IMessageSender
	{
		event NewMessageHandler NewMessage;
	}
}

[Quantproject-developers] QuantProject/b1_ADT/Messaging - New directory

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Messaging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27584/Messaging

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

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.49, 1.50

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26750/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
a2_Strategies\Benchmark.cs has been added
a2_Strategies\EndOfDayStrategyBackTester.cs has been added
a2_Strategies\IEndOfDayStrategyForBacktester.cs has been added
a2_Strategies\IInSampleChooser.cs has been added
a2_Strategies\Eligibles\EligibleTickers.cs has been added
a2_Strategies\Eligibles\IEligiblesSelector.cs has been added
a2_Strategies\Eligibles\MostLiquidAndLessVolatile.cs has been added
a2_Strategies\Logging\BackTestLog.cs has been added
2_Strategies\Logging\LogItem.cs has been added
a2_Strategies\Logging\NewLogItemEventArgs.cs has been added
a2_Strategies\Optimizing\Decoding\DecoderForBalancedWeightedPositions.cs has been added
a2_Strategies\Optimizing\Decoding\IDecoderForWeightedPositions.cs has been added
a2_Strategies\returnsManagement\time\selectors\FixedLengthTwoPhasesIntervalsSelector.cs has been added
a2_Strategies\returnsManagement\time\selectors\IIntervalsSelector.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.49
retrieving revision 1.50
diff -C2 -d -r1.49 -r1.50
*** b4_Business.csproj	14 Jan 2008 23:46:23 -0000	1.49
--- b4_Business.csproj	19 Jan 2008 18:12:17 -0000	1.50
***************
*** 613,616 ****
--- 613,626 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\Benchmark.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\EndOfDayStrategyBackTester.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\IEndOfDayStrategy.cs"
                      SubType = "Code"
***************
*** 618,621 ****
--- 628,641 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\IEndOfDayStrategyForBacktester.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\IInSampleChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\Signal.cs"
                      SubType = "Code"
***************
*** 658,661 ****
--- 678,696 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\Eligibles\EligibleTickers.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Eligibles\IEligiblesSelector.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Eligibles\MostLiquidAndLessVolatile.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\EquityEvaluation\ExpectancyScore.cs"
                      SubType = "Code"
***************
*** 678,681 ****
--- 713,741 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\Logging\BackTestLog.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Logging\LogItem.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Logging\NewLogItemEventArgs.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Optimizing\Decoding\DecoderForBalancedWeightedPositions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\Optimizing\Decoding\IDecoderForWeightedPositions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\returnsManagement\ReturnsManager.cs"
                      SubType = "Code"
***************
*** 713,716 ****
--- 773,786 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\returnsManagement\time\selectors\FixedLengthTwoPhasesIntervalsSelector.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\returnsManagement\time\selectors\IIntervalsSelector.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\TickersRelationships\CloseToCloseCorrelationProvider.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors IIntervalsSelector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23758

Added Files:
	IIntervalsSelector.cs 
Log Message:
Interface for intervals' selectors. An interval selector is used in walk forward strategy to compute return intervals for both the in sample optimizations and the out of sample strategy

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

IIntervalsSelector.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors
{
	/// <summary>
	/// Interface for intervals' selectors. An interval selector is used in walk
	/// forward strategy to compute return intervals for both the in sample
	/// optimizations and the out of sample strategy
	/// </summary>
	public interface IIntervalsSelector
	{
		/// <summary>
		/// returns the first interval of a series (starting from dateTime)
		/// </summary>
		ReturnInterval GetFirstInterval( EndOfDayDateTime dateTime );

		/// <summary>
		/// returns the next interval for the given returnIntervals
		/// </summary>
		ReturnInterval GetNextInterval( ReturnIntervals returnIntervals );
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors FixedLengthTwoPhasesIntervalsSelector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22941

Added Files:
	FixedLengthTwoPhasesIntervalsSelector.cs 
Log Message:
FixedLengthTwoPhasesIntervalsSelector(
			int firstPhaseBenchmarkTimeSteps ,
			int secondPhaseBenchmarkTimeSteps ,
			Benchmark benchmark )
selects a set of intervals where there is a fixed number of time steps
for even intervals (first, third, ...) and (possilby) a different
fixed number of benchmark time steps for odd intervals (second, fourth, ...)
A benchmark time step is either an "open to close" interval or
a "close to open" interval (refered to dateTimes when the benchmark is
exchanged
The parameter "firstPhaseBenchmarkTimeSteps" denotes the number of benchmark time steps for the first phase (odd intervals)
The parameter "secondPhaseBenchmarkTimeSteps" denotes the number of benchmark time steps for the second phase (even intervals)

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

FixedLengthTwoPhasesIntervalsSelector.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT.Histories;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors
{
	/// <summary>
	/// Selects a set of intervals where there is a fixed number of time steps
	/// for even intervals (first, third, ...) and (possilby) a different
	/// fixed number of benchmark time steps for odd intervals (second, fourth, ...).
	/// A benchmark time step is either an "open to close" interval or
	/// a "close to open" interval (refered to dateTimes when the benchmark is
	/// exchanged)
	/// </summary>
	public class FixedLengthTwoPhasesIntervalsSelector : IIntervalsSelector
	{
		private int firstPhaseBenchmarkTimeSteps;
		private int secondPhaseBenchmarkTimeSteps;
		private Benchmark benchmark;
		
		/// <summary>
		/// Selects a set of intervals where there is a fixed number of time steps
		/// for even intervals (first, third, ...) and (possilby) a different
		/// fixed number of benchmark time steps for odd intervals (second, fourth, ...)
		/// A benchmark time step is either an "open to close" interval or
		/// a "close to open" interval (refered to dateTimes when the benchmark is
		/// exchanged)
		/// </summary>
		/// <param name="firstPhaseBenchmarkTimeSteps">number of benchmark time steps
		/// for the first phase (odd intervals)</param>
		/// <param name="secondPhaseBenchmarkTimeSteps">number of benchmark time steps
		/// for the second phase (even intervals)</param>
		/// <param name="benchmark"></param>
		public FixedLengthTwoPhasesIntervalsSelector(
			int firstPhaseBenchmarkTimeSteps ,
			int secondPhaseBenchmarkTimeSteps ,
			Benchmark benchmark )
		{
			this.firstPhaseBenchmarkTimeSteps = firstPhaseBenchmarkTimeSteps;
			this.secondPhaseBenchmarkTimeSteps = secondPhaseBenchmarkTimeSteps;
			this.benchmark = benchmark;
		}
		#region getIntervalEnd
		private int getBenchmarkTimeStepsForCurrentPhase( int numIntervalsAlreadyDone )
		{
			int benchmarkTimeStepsForCurrentPhase;
			if ( ( numIntervalsAlreadyDone % 2 ) == 0 )
				// current phase is the first phase
				benchmarkTimeStepsForCurrentPhase = this.firstPhaseBenchmarkTimeSteps;
			else
				// current phase is the second phase
				benchmarkTimeStepsForCurrentPhase = this.secondPhaseBenchmarkTimeSteps;
			return benchmarkTimeStepsForCurrentPhase;
		}
		private EndOfDayDateTime getNextReturnIntervalEnd(
			EndOfDayDateTime returnIntervalBegin ,
			int benchmarkTimeStepsForCurrentPhase )
		{
			EndOfDayDateTime currentEndOfDayDateTime =
				returnIntervalBegin;
			for ( int i = 0 ; i < benchmarkTimeStepsForCurrentPhase ; i++ )
			{
				currentEndOfDayDateTime =
					this.benchmark.GetTimeStep( currentEndOfDayDateTime ).End;
			}
			return currentEndOfDayDateTime;
		}
		private EndOfDayDateTime getIntervalEnd(
			EndOfDayDateTime nextReturnIntervalBegin ,
			int numIntervalsAlreadyDone )
		{
			int benchmarkTimeStepsForCurrentPhase =
				this.getBenchmarkTimeStepsForCurrentPhase( numIntervalsAlreadyDone );
			EndOfDayDateTime nextReturnIntervalEnd =
				this.getNextReturnIntervalEnd( nextReturnIntervalBegin ,
				benchmarkTimeStepsForCurrentPhase );
			return nextReturnIntervalEnd;
		}
		#endregion getIntervalEnd
		
		public ReturnInterval GetNextInterval( ReturnIntervals returnIntervals )
		{
			EndOfDayDateTime nextReturnIntervalBegin =
				returnIntervals[ returnIntervals.Count - 1 ].End;
			EndOfDayDateTime nextReturnIntervalEnd =
				this.getIntervalEnd( nextReturnIntervalBegin ,
				                                        returnIntervals.Count );
			ReturnInterval nextInterval = new ReturnInterval(
				nextReturnIntervalBegin , nextReturnIntervalEnd );
			return nextInterval;
		}
		#region GetFirstInterval
		private EndOfDayDateTime getFirstIntervalBegin(
			EndOfDayDateTime startingEndOfDayDateTime )
		{
//			qui!!!! fai un ciclo while non exchanged (trova
//			                                          il primo
//			                                          successivo
//			                                          in cui il
//			                                          benchmark e'
//			                                          scambiato)
			EndOfDayDateTime firstIntervalBegin =
				this.benchmark.GetThisOrNextMarketStatusSwitch(
				startingEndOfDayDateTime );
//			EndOfDayDateTime firstIntervalBegin =
//				startingEndOfDayDateTime;
//			if ( ( startingEndOfDayDateTime.EndOfDaySpecificTime !=
//			      EndOfDaySpecificTime.MarketOpen ) &&
//			      ( startingEndOfDayDateTime.EndOfDaySpecificTime !=
//			       EndOfDaySpecificTime.MarketClose ) )
//				// startingEndOfDayDateTime does not mark a market
//				// status switch
//				firstIntervalBegin =
//					startingEndOfDayDateTime.GetNextMarketStatusSwitch();
			return firstIntervalBegin;
		}
		public ReturnInterval GetFirstInterval(
				EndOfDayDateTime startingEndOfDayDateTime )
		{
			EndOfDayDateTime firstIntervalBegin =
				this.getFirstIntervalBegin( startingEndOfDayDateTime );
			EndOfDayDateTime firstIntervalEnd =
				this.getIntervalEnd( firstIntervalBegin , 0 );
			ReturnInterval nextInterval = new ReturnInterval(
				firstIntervalBegin , firstIntervalEnd );
			return nextInterval;
		}
		#endregion GetFirstInterval
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18080/selectors

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors added to the repository

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding IDecoderForWeightedPositions.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17687

Added Files:
	IDecoderForWeightedPositions.cs 
Log Message:
Interface to be implemented by decoders for optimizers (both for
genetic and for brute force optimizers) that will return a WeightedPositions

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

IDecoderForWeightedPositions.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Business.Strategies.Optimizing.Decoding
{
	/// <summary>
	/// Interface to be implemented by decoders for optimizers (both for
	/// genetic and for brute force optimizers) that will return a WeightedPositions
	/// </summary>
	public interface IDecoderForWeightedPositions
	{
		/// <summary>
		/// Decodes the given candidate for the optimization
		/// </summary>
		object Decode( int[] encoded , EligibleTickers eligibleTickers ,
		             ReturnsManager returnsManager );
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding DecoderForBalancedWeightedPositions.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17183

Added Files:
	DecoderForBalancedWeightedPositions.cs 
Log Message:
Decodes optimization candidates to balanced WeightedPositions (i.e.
WeightedPositions where weights are normalized for volatility)

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

DecoderForBalancedWeightedPositions.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT.Optimizing.Decoding;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Business.Strategies.Optimizing.Decoding
{
	/// <summary>
	/// Decodes optimization candidates to balanced WeightedPositions (i.e.
	/// WeightedPositions where weights are normalized for volatility)
	/// </summary>
	public class DecoderForBalancedWeightedPositions :
		IDecoderForWeightedPositions
	{
		private MeaningForUndecodableEncoded meaningForUndecodableEncoded;

		public DecoderForBalancedWeightedPositions()
		{
			this.meaningForUndecodableEncoded = new MeaningForUndecodableEncoded();
		}

		#region Decode

		#region decodeSignedTickers
		private void decodeSignedTicker_checkParameters(
			int geneValue , EligibleTickers eligibleTickers )
		{
			if ( geneValue >= eligibleTickers.Count )
				throw new Exception( "geneValue is too (positive) large for eligibleTickers  !!" );
			if ( geneValue < -eligibleTickers.Count )
				throw new Exception( "geneValue is too (negative) large for eligibleTickers  !!" );
		}
		private SignedTicker decodeSignedTicker(	int signedTickerCode ,
			EligibleTickers eligibleTickers )
		{
			SignedTicker signedTicker;
			string ticker;
			decodeSignedTicker_checkParameters( signedTickerCode , eligibleTickers );
			if ( signedTickerCode >= 0 )
			{
				// long ticker
				ticker = eligibleTickers[ signedTickerCode ];
				signedTicker = new SignedTicker( ticker , PositionType.Long );
			}
			else
			{
				// short ticker
				ticker = eligibleTickers[ -(signedTickerCode+1) ];
				signedTicker = new SignedTicker( ticker , PositionType.Short );
			}
			return signedTicker;
		}
		private SignedTicker decodeSignedTickers( int i ,
			int[] tickerRelatedGeneValues ,	EligibleTickers eligibleTickers )
		{
			int currentGeneValue = tickerRelatedGeneValues[ i ];
			return this.decodeSignedTicker( currentGeneValue , eligibleTickers );
		}
		private SignedTickers decodeSignedTickers( int[] tickerRelatedGeneValues ,
			EligibleTickers eligibleTickers )
		{
			SignedTickers signedTickers =	new SignedTickers();
			for( int i = 0 ; i < tickerRelatedGeneValues.Length ; i++ )
			{
				SignedTicker signedTicker = this.decodeSignedTickers(
					i , tickerRelatedGeneValues , eligibleTickers );
				signedTickers.Add( signedTicker );
			}
			return signedTickers;
		}
		#endregion decodeSignedTickers

		#region isDecodable
		private string[] getTickersForPositions( int[] encoded ,
			EligibleTickers eligibleTickers )
		{
			SignedTickers signedTickersForPositions =
				this.decodeSignedTickers( encoded , eligibleTickers );
			return signedTickersForPositions.Tickers;
		}
		private bool isDecodable( int[] encoded , EligibleTickers eligibleTickers )
		{
			return
				( WeightedPositions.AreValidTickers(
				this.getTickersForPositions( encoded , eligibleTickers ) ) );
		}
		#endregion isDecodable
		#region decodeDecodable
		private WeightedPositions decodeDecodable(
			int[] encoded , EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			SignedTickers signedTickers =
				this.decodeSignedTickers( encoded , eligibleTickers );
			double[] balancedWeightsForDrivingPositions =
				WeightedPositions.GetBalancedWeights( signedTickers ,
				returnsManager );
			WeightedPositions weightedPositions = new WeightedPositions(
				balancedWeightsForDrivingPositions , signedTickers.Tickers );
			return weightedPositions;
		}

		#endregion eligibleTickers
		/// <summary>
		/// A positive array value means a long position.
		/// A negative array value means a short position.
		/// The positive value n means the same ticker as the value -(n+1).
		/// Thus, if there are p (>0) eligible tickers, array values should
		/// range from -p to p-1
		/// </summary>
		/// <param name="encoded"></param>
		/// <returns></returns>
		public object Decode( int[] encoded , EligibleTickers eligibleTickers ,
		                    ReturnsManager returnsManager )
		{
			object meaning;
			if ( this.isDecodable( encoded , eligibleTickers ) )
				// genome can be decoded to a WeightedPositions object
				meaning = this.decodeDecodable(
					encoded , eligibleTickers , returnsManager );
			else
				// genome cannot be decoded to a WeightedPositions object
				meaning = this.meaningForUndecodableEncoded;
			return meaning;
		}
		#endregion Decode
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17156/Decoding

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

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17139/Optimizing

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