quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Logging NewLogItemEventArgs.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16727/b4_Business/a2_Strategies/Logging

Added Files:
	NewLogItemEventArgs.cs 
Log Message:
EventArgs when a new back test log item is found

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

NewLogItemEventArgs.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.Business.Strategies.Logging
{
	/// <summary>
	/// EventArgs when a new back test log item is found
	/// </summary>
	public class NewLogItemEventArgs
	{
		private LogItem logItem;

		public LogItem LogItem
		{
			get
			{
				return this.logItem;
			}
		}

		public NewLogItemEventArgs( LogItem logItem )
		{
			this.logItem = logItem;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Logging LogItem.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15929/b4_Business/a2_Strategies/Logging

Added Files:
	LogItem.cs 
Log Message:
Single information (about a backtest) to be logged

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

LogItem.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.Logging
{
	/// <summary>
	/// Single information (about a backtest) to be logged
	/// </summary>
	public abstract class LogItem
	{
		protected DateTime creationTime;
		protected EndOfDayDateTime endOfDayDateTime;

		public LogItem( EndOfDayDateTime endOfDayDateTime )
		{
			this.creationTime = DateTime.Now;
			this.endOfDayDateTime = endOfDayDateTime;
		}
		/// <summary>
		/// Since LogItem(s) are usually used to store in sample
		/// optimization results, this method is used to run a script
		/// to show the optimization result. More generally, this
		/// method is used to show some information about the LogItem
		/// </summary>
		public abstract void Run();
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Logging BackTestLog.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15362/b4_Business/a2_Strategies/Logging

Added Files:
	BackTestLog.cs 
Log Message:
Useful information to be saved for a back test

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

BackTestLog.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.Financial.Accounting.Transactions;

namespace QuantProject.Business.Strategies.Logging
{
	/// <summary>
	/// Useful information to be saved for a back test
	/// </summary>
	[Serializable]
	public class BackTestLog : System.Collections.CollectionBase
	{
		private TransactionHistory transactionHistory;

		private string backTestId;
		private DateTime firstDate;
		private DateTime lastDate;
		private Benchmark benchmark;

		public TransactionHistory TransactionHistory
		{
			get { return this.transactionHistory; }
			set { this.transactionHistory = value; }
		}
		public BackTestLog( string backTestId , DateTime firstDate ,
			DateTime lastDate , Benchmark benchmark )
		{
			this.backTestId = backTestId;
			this.firstDate = firstDate;
			this.lastDate = lastDate;
			this.benchmark = benchmark;
		}
		public LogItem this[ int index ]  
		{
			get  
			{
				return( (LogItem) this.List[ index ] );
			}
			set  
			{
				this.List[ index ] = value;
			}
		}
		public void Add( LogItem logItem )
		{
			this.List.Add( logItem );
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15092/Logging

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

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14427/b4_Business/a2_Strategies/Eligibles

Added Files:
	MostLiquidAndLessVolatile.cs 
Log Message:
Selects the most liquid and less volatile instruments,
within the given group

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

MostLiquidAndLessVolatile.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.Data;

using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;
using QuantProject.Data.Selectors;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Selects the most liquid and less volatile instruments,
	/// within the given group
	/// </summary>
	public class MostLiquidAndLessVolatile : IEligiblesSelector
	{
		public event NewMessageHandler NewMessage;

		private string tickersGroupID;
		private int maxNumberOfEligibleTickersToBeChosen;

		/// <summary>
		/// Selects the most liquid and less volatile within the given
		/// group
		/// </summary>
		/// <param name="groupID"></param>
		public MostLiquidAndLessVolatile(
			string tickersGroupID , int maxNumberOfEligibleTickersToBeChosen )
		{
			this.tickersGroupID = tickersGroupID;
			this.maxNumberOfEligibleTickersToBeChosen =
				maxNumberOfEligibleTickersToBeChosen;
//			this.firstDateTime = DateTime.MinValue;
//			this.lastDateTime = DateTime.MinValue;
//			this.maxNumberOfEligibleTickersToBeChosen = int.MinValue;
//			this.benchmark = "";
		}
//		#region SetParameters
//		private void setParameters_checkParameters( string tickerGroupID ,
//			DateTime firstDateTime , DateTime lastDateTime ,
//			int maxNumberOfEligibleTickersToBeChosen , string benchmark )
//		{
//			if ( firstDateTime >= lastDateTime )
//				throw new Exception( "lastDateTime needs to be larger than " +
//					"firstDateTime" );
//			if ( maxNumberOfEligibleTickersToBeChosen <= 0 )
//				throw new Exception( "maxNumberOfEligibleTickersToBeChosen needs " +
//					"to be larger than zero" );
//		}
//		/// <summary>
//		/// Sets the parameters to be used by the selection
//		/// </summary>
//		/// <param name="tickerGroupID">groups in which tickers are to be searched</param>
//		/// <param name="firstDateTime">begin of the interval</param>
//		/// <param name="lastDateTime">end of the interval</param>
//		/// <param name="maxNumberOfEligibleTickersToBeChosen">if more tickers are found
//		/// the first maxNumberOfEligibleTickersToBeChosen are returned</param>
//		/// <param name="benchmark">returned tickers must be quoted in every
//		/// day when the benchmark is quoted</param>
//		public void SetParameters( string tickerGroupID ,
//			DateTime firstDateTime , DateTime lastDateTime ,
//			int maxNumberOfEligibleTickersToBeChosen , string benchmark )
//		{
//			this.setParameters_checkParameters( tickerGroupID ,
//				firstDateTime , lastDateTime ,
//				maxNumberOfEligibleTickersToBeChosen , benchmark );
//			this.tickerGroupID = tickerGroupID;
//			this.firstDateTime = firstDateTime;
//			this.lastDateTime = lastDateTime;
//			this.maxNumberOfEligibleTickersToBeChosen =
//				maxNumberOfEligibleTickersToBeChosen;
//			this.benchmark = benchmark;
//		}
//		#endregion SetParameters
		#region GetEligibleTickers
//		private void checkIfAllParametersHaveBeenSet()
//		{
//			if ( ( this.tickerGroupID == null ) ||
//				( this.firstDateTime == DateTime.MinValue ) ||
//				( this.lastDateTime == DateTime.MinValue ) ||
//				( this.maxNumberOfEligibleTickersToBeChosen == int.MinValue ) ||
//				( this.benchmark == "" ) )
//				throw new Exception( "GetEligbileTickers cannot be called before " +
//					"having called SetParameters" );
//		}

		private EligibleTickers getEligibleTickers_actually(
			EndOfDayHistory endOfDayHistory )
		{
			//			DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
			//			SelectorByGroup selectorByGroup =
			//				new SelectorByGroup( this.tickerGroupID , dateTime );
			//			DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers();
			SelectorByLiquidity mostLiquid =
				new SelectorByLiquidity( this.tickersGroupID , true ,
				endOfDayHistory.FirstEndOfDayDateTime.DateTime ,
				endOfDayHistory.LastEndOfDayDateTime.DateTime , 0 ,
				this.maxNumberOfEligibleTickersToBeChosen );
			DataTable groupTickers = mostLiquid.GetTableOfSelectedTickers();

			
			//			SelectorByLiquidity mostLiquid =
			//				new SelectorByLiquidity("Test", false ,	dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
			//				this.numberEligibleTickersToBeChosen );
			//			DataTable mostLiquidTickers =
			//				mostLiquid.GetTableOfSelectedTickers();
			
			SelectorByQuotationAtEachMarketDay quotedInEachMarketDay =
				new SelectorByQuotationAtEachMarketDay(
				groupTickers , false , endOfDayHistory.History ,
				maxNumberOfEligibleTickersToBeChosen );
			DataTable dtEligibleTickers =
				quotedInEachMarketDay.GetTableOfSelectedTickers();
			
			EligibleTickers eligibleTickers =
				new EligibleTickers( dtEligibleTickers );
			return eligibleTickers;
		}
		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(
			EndOfDayHistory endOfDayHistory )
		{
			EligibleTickers eligibleTickers =
				this.getEligibleTickers_actually( endOfDayHistory );
			this.getEligibleTickers_sendNewMessage( eligibleTickers );
			return eligibleTickers;
		}
		#endregion GetEligibleTickers
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13865/b4_Business/a2_Strategies/Eligibles

Added Files:
	IEligiblesSelector.cs 
Log Message:
Interface for classes that narrow down the number of tickers on which
the in sample optimization will be performed

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

IEligiblesSelector.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.Data;

using QuantProject.ADT.Messaging;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Interface for classes that narrow down the number of tickers on which
	/// the in sample optimization will be performed
	/// </summary>
	public interface IEligiblesSelector : IMessageSender
	{
		/// <summary>
		/// Returns a set of eligible tickers. A ReturnIntervals object is
		/// given as a parameter: it may be that, for efficiency, it will
		/// not be used by the implementation
		/// </summary>
		/// <param name="endOfDayHistory">usually, eligible
		/// tickers require to be traded on specific
		/// market days, thus this parameter
		/// is given</param>
		/// <returns></returns>
		EligibleTickers GetEligibleTickers(
			EndOfDayHistory endOfDayHistory );
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13445/b4_Business/a2_Strategies/Eligibles

Added Files:
	EligibleTickers.cs 
Log Message:
Strongly typed collection of tickers

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

EligibleTickers.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.Data;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Strongly typed collection of tickers
	/// </summary>
	public class EligibleTickers : System.Collections.CollectionBase
	{
		/// <summary>
		/// 
		/// </summary>
		/// <param name="dtTickers">DataTable in the form returned by
		/// a ticker selector</param>
		public EligibleTickers( DataTable dtTickers )
		{
			this.addTickers( dtTickers );
		}
		#region addTickers
		private void checkParameter( DataRow dataRow )
		{
			if ( !( dataRow[ 0 ] is string ) )
				throw new Exception( "The datatable of eligible tickers is " +
				                    "expected to have a single element in each " +
				                    "DataRow and that element should be a string" );			
		}
		private void addTicker_actually( string ticker )
		{
			this.List.Add( ticker );
		}
		private void addTicker( DataRow dataRow )
		{
			this.checkParameter( dataRow );
			this.addTicker_actually( (string)dataRow[ 0 ] );
		}		private void addTickers( DataTable dtTickers )
		{
			foreach ( DataRow dataRow in dtTickers.Rows )
				this.addTicker( dataRow );
		}
		#endregion addTickers
		public string this[ int index ]  
		{
			get  
			{
				return( (string) this.List[ index ] );
			}
			set
			{
//				if ( !(value is string) )
//					throw new Exception( "You are trying to add " +
//						"a ticker that is not a string !!" );
				this.List[ index ] = value;
			}
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13006/Eligibles

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

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12216/b4_Business/a2_Strategies

Added Files:
	IInSampleChooser.cs 
Log Message:
Interface for classes that perform in sample researches (usually optimization)

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

IInSampleChooser.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.Data;

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

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Interface for classes that perform in sample researches (usually optimization)
	/// </summary>
	public interface IInSampleChooser : IProgressNotifier , IMessageSender
	{
		/// <summary>
		/// Analizes in sample data and returns an object
		/// </summary>
		/// <param name="eligibleTickers">eligible tickers for the in sample analysis</param>
		/// <param name="returnsManager">manager to efficiently handle in sample</param>
		/// <returns>interesting data (usually an optimization's optimal result) to be used
		/// to take decisions out of sample</returns>
		object AnalyzeInSample( EligibleTickers eligibleTickers ,
		                      ReturnsManager returnsManager );
//		                      EndOfDayDateTime currentOutOfSampleEndOfDayDateTime );
		/// <summary>
		/// short text description for the chooser (it might be used for saving
		/// logs for strategies)
		/// </summary>
		string Description { get; }
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11683/b4_Business/a2_Strategies

Added Files:
	IEndOfDayStrategyForBacktester.cs 
Log Message:
Interface to be implemented by end of day strategies that are
to be used by the EndOfDayStrategyBackTester

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

IEndOfDayStrategyForBacktester.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.Business.Strategies
{
	/// <summary>
	/// Interface to be implemented by end of day strategies that are
	/// to be used by the EndOfDayStrategyBackTester
	/// </summary>
	public interface IEndOfDayStrategyForBacktester : IEndOfDayStrategy
	{
		/// <summary>
		/// use this property to signal to the end of day backtester that at current time
		/// a long execution is expected, so that it will decide to stop the execution if
		/// maxRunningHours have already expired. If this property returns false, the
		/// end of day backtesters goes on with its work (that should be all out
		/// of sample and then pretty fast). If you want the backtester to stop
		/// whenever maxRunningHours have elapsed, then set this property
		/// to always return true
		/// </summary>
		bool StopBacktestIfMaxRunningHoursHasBeenReached{ get; }
		event NewLogItemEventHandler NewLogItem;
		/// <summary>
		/// short description to be used as part of the log file name
		/// </summary>
		string DescriptionForLogFileName{ get; }
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10755/b4_Business/a2_Strategies

Added Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
Performs a backtest for an end of day strategy

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

EndOfDayStrategy.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.FileManaging;
using QuantProject.ADT.Messaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Performs a backtest for an end of day strategy
	/// </summary>
	public class EndOfDayStrategyBackTester : IMessageSender
	{
		public event NewMessageHandler NewMessage;

		private string backTestID;
		private IEndOfDayStrategyForBacktester endOfDayStrategy;
		private IHistoricalQuoteProvider historicalQuoteProvider;
		private DateTime firstDateTime;
		private DateTime lastDateTime;
		private Benchmark benchmark;
		private double cashToStart;
		private double maxRunningHours;

		private DateTime startingTimeForScript;
		private IEndOfDayTimer endOfDayTimer;
		private Account account;
		private BackTestLog backTestLog;

		public IHistoricalQuoteProvider HistoricalQuoteProvider
		{
			get { return this.historicalQuoteProvider; }
		}
		public Benchmark Benchmark
		{
			get { return this.benchmark; }
		}
		public Account Account
		{
			get { return this.account; }
		}
		public BackTestLog Log
		{
			get { return this.backTestLog; }
		}
		/// <summary>
		/// The timer used by the backtester, to simulate the time ticking
		/// </summary>
		public IEndOfDayTimer EndOfDayTimer
		{
			get
			{
				return this.endOfDayTimer;
			}
		}
		/// <summary>
		/// a short description for the performed backtest
		/// </summary>
		public string DescriptionForLogFileName
		{
			get
			{
				string description =
					this.backTestID + "_" +
					"from_" + this.firstDateTime.ToShortDateString() + "_" +
					"to_" + this.lastDateTime.ToShortDateString() + "_" +
					"strtgy_" + this.endOfDayStrategy.DescriptionForLogFileName;
				return description;
			}
		}

		public EndOfDayStrategyBackTester( string backTestID ,
			IEndOfDayStrategyForBacktester endOfDayStrategy ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			DateTime firstDateTime , DateTime lastDateTime ,
			Benchmark benchmark ,
			double cashToStart ,
			double maxRunningHours )
		{
			this.backTestID = backTestID;
			this.endOfDayStrategy = endOfDayStrategy;
			this.historicalQuoteProvider = historicalQuoteProvider;
			this.firstDateTime = firstDateTime;
			this.lastDateTime = lastDateTime;
			this.benchmark = benchmark;
			this.cashToStart = cashToStart;
			this.maxRunningHours = maxRunningHours;

      this.initialize_endOfDayTimer();
			this.initialize_account();
			this.backTestLog = new BackTestLog( backTestID , firstDateTime ,
				lastDateTime , benchmark );
		}

		private void initialize_endOfDayTimer()
		{
			EndOfDayDateTime endOfDayDateTime =
				new EndOfDayDateTime( this.firstDateTime ,
				EndOfDaySpecificTime.MarketOpen );
			this.endOfDayTimer =
				new IndexBasedEndOfDayTimer( endOfDayDateTime ,
				this.benchmark.Ticker );
		}
		private void initialize_account()
		{
			this.account = new Account( this.backTestID , this.endOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
				this.historicalQuoteProvider ) );
		}


		#region Run
		#region run_addEventHandlers
		private void handlerToAddCashToStart(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.account.Transactions.Count == 0 )
				// no cash has been added yet
				this.account.AddCash( this.cashToStart );
		}
		private void run_addEventHandlers_addHandlersToAddCashToStart()
		{
			this.endOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler(
				this.handlerToAddCashToStart );
			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.handlerToAddCashToStart );
			this.endOfDayTimer.MarketClose +=
				new MarketCloseEventHandler(
				this.handlerToAddCashToStart );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.handlerToAddCashToStart );
		}
		private void run_addEventHandlers_addStrategyHandlers()
		{
			this.endOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler(
				this.endOfDayStrategy.MarketOpenEventHandler );
			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
			this.endOfDayTimer.MarketClose +=
				new MarketCloseEventHandler(
				this.endOfDayStrategy.MarketCloseEventHandler );
		}
		private void run_addEventHandlers()
		{
			this.run_addEventHandlers_addHandlersToAddCashToStart();
			this.run_addEventHandlers_addStrategyHandlers();
			this.endOfDayTimer.MarketClose +=
				new MarketCloseEventHandler(
				this.marketCloseEventHandler );
			this.endOfDayStrategy.NewLogItem +=
				new NewLogItemEventHandler(
				this.newLogItemEventHandler	);
		}
		#endregion run_addEventHandlers
		/// <summary>
		/// Performes the actual backtest
		/// </summary>
		public void Run()
		{
			this.startingTimeForScript = DateTime.Now;

//			run_initializeEndOfDayTimer();
//			run_initializeAccount();
//			run_initializeEndOfDayTimerHandler();
//			run_initializeProgressHandlers();
			run_addEventHandlers();
			//			this.progressBarForm.Show();
			this.endOfDayTimer.Start();
		}
		#endregion Run

		#region marketCloseEventHandler
		private bool isTimeToStop( DateTime currentTime )
		{
			DateTime maxEndingDateTimeForScript =
				this.startingTimeForScript.AddHours( this.maxRunningHours );
			bool scriptTimeElapsed = ( DateTime.Now >= maxEndingDateTimeForScript );
			bool stopBacktestIfMaxRunningHoursHasBeenReached =
				this.endOfDayStrategy.StopBacktestIfMaxRunningHoursHasBeenReached;
			return
				( ( currentTime > this.lastDateTime ) ||
				( scriptTimeElapsed &&
				stopBacktestIfMaxRunningHoursHasBeenReached ) );
		}
		private void marketCloseEventHandler_notifyProgress(
			IEndOfDayTimer endOfDayTimer )
		{
			string progressMessage = "Current out of sample date:" +
				endOfDayTimer.GetCurrentTime().DateTime.ToString() + " - " +
				"First date:" + this.firstDateTime.ToString() + " - " +
				"Last date:" + this.lastDateTime.ToString();
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( progressMessage );
			if(this.NewMessage != null)
				this.NewMessage( this , newMessageEventArgs );
		}
		private void marketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			DateTime currentTime =
				( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
			if ( this.isTimeToStop( currentTime ) )
			{
				// either the simulation has reached the ending date or
				// too much time elapsed since the simulation started
				this.endOfDayTimer.Stop();
				//				this.progressBarForm.Close();
				//				ObjectArchiver.Archive( this.account ,
				//					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
				//				this.saveLog( currentTime );
				//				this.showReport( sender );
				//				WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
				//					new WFMultiOneRankReportDebugger( this.numberOfPortfolioPositions ,
				//					this.numberDaysForInSampleOptimization , this.benchmark );
				//				report.TransactionGrid.MouseUp +=
				//					new MouseEventHandler(
				//					wFMultiOneRankReportDebugger.MouseClickEventHandler );
			}
						else
							// the simulation has not reached the ending date, yet
							this.marketCloseEventHandler_notifyProgress(
								( IEndOfDayTimer )sender );
		}
		#endregion marketCloseEventHandler

		private void newLogItemEventHandler( object sender ,
			NewLogItemEventArgs eventArgs )
		{
			//			WFLagChosenPositions wFLagChosenPositions =
			//				new WFLagChosenPositions( eventArgs.WFLagChosenTickers ,
			//				this.endOfDayTimer.GetCurrentTime().DateTime );
			this.backTestLog.Add( eventArgs.LogItem );
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10334/b4_Business/a2_Strategies

Added Files:
	Benchmark.cs 
Log Message:
Either a security or an index that is used to time a strategy and/or
to compare a strategy's results

--- NEW FILE: Benchmark.cs ---
using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Either a security or an index that is used to time a strategy and/or
	/// to compare a strategy's results
	/// </summary>
	public class Benchmark
	{
		private string ticker;
		private HistoricalQuoteProvider historicalQuoteProvider;
		
		public string Ticker
		{
			get { return this.ticker; }
		}

		public Benchmark( string ticker )
		{
			this.ticker = ticker;

			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
		}

		#region GetTimeStep
		private void getTimeStep_checkParameters(
			EndOfDayDateTime timeStepBegin )
		{
			if ( !this.historicalQuoteProvider.WasExchanged( this.ticker ,
				timeStepBegin ) )
				throw new Exception( "The benchmark '" + this.ticker +
					"' was not exchanged at the given timeStepBegin " +
					timeStepBegin.ToString() );
		}
		private void isExchanged_checkParameter(
			EndOfDayDateTime endOfDayDateTime )
		{
			if ( endOfDayDateTime.DateTime.Year >
				DateTime.Now.Year )
				throw new Exception( "It looks like this is a loop! " +
					"You have probably asked for a GetTimeStep, but " +
					"there is no other trading day for this benchmark: '" +
					this.ticker + "'" );
		}
		private bool isExchanged( EndOfDayDateTime endOfDayDateTime )
		{
			this.isExchanged_checkParameter( endOfDayDateTime );
			bool isTraded =	this.historicalQuoteProvider.WasExchanged(
				this.ticker , endOfDayDateTime );
			return isTraded;
		}
		private ReturnInterval getTimeStep_actually(
			EndOfDayDateTime timeStepBegin )
		{
			EndOfDayDateTime currentEndOfDayDateTime =
				timeStepBegin.GetNextMarketStatusSwitch();
			while ( !this.isExchanged( currentEndOfDayDateTime ) )
				currentEndOfDayDateTime =
				currentEndOfDayDateTime.GetNextMarketStatusSwitch();
			ReturnInterval timeStep =
				new ReturnInterval( timeStepBegin , currentEndOfDayDateTime );
			return timeStep;
		}
		/// <summary>
		/// Returns the benchmark's time step that begins at timeStepBegin
		/// </summary>
		/// <param name="timeStepBegin"></param>
		/// <returns></returns>
		public ReturnInterval GetTimeStep( EndOfDayDateTime timeStepBegin )
		{
			this.getTimeStep_checkParameters( timeStepBegin );
			ReturnInterval timeStep = this.getTimeStep_actually( timeStepBegin );
			return timeStep;
		}
		#endregion GetTimeStep

		/// <summary>
		/// Returns either the next market close or the next market open
		/// (when the benchmark is exchanged), whichever is the nearest. 
		/// If endOfDayDateTime is either a market close or a market open
		/// when the benchmark is exchanged, then endOfDayDateTime itself
		/// is returned
		/// </summary>
		/// <param name="endOfDayDateTime"></param>
		/// <returns></returns>
		public EndOfDayDateTime GetThisOrNextMarketStatusSwitch(
			EndOfDayDateTime endOfDayDateTime )
		{
			EndOfDayDateTime currentEndOfDayDateTime = endOfDayDateTime;
			while ( !this.isExchanged( currentEndOfDayDateTime ) )
				currentEndOfDayDateTime =
					currentEndOfDayDateTime.GetNextMarketStatusSwitch();
			return currentEndOfDayDateTime;
		}

	}
}

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28263/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Business_SD.csproj	8 Nov 2007 17:46:48 -0000	1.6
--- Business_SD.csproj	14 Jan 2008 23:54:11 -0000	1.7
***************
*** 67,70 ****
--- 67,74 ----
      <Compile Include="a2_Strategies\returnsManagement\time\ReturnInterval.cs" />
      <Compile Include="a2_Strategies\returnsManagement\time\ReturnIntervals.cs" />
+     <Compile Include="a2_Strategies\TickersRelationships\CloseToCloseCorrelationProvider.cs" />
+     <Compile Include="a2_Strategies\TickersRelationships\CorrelationProvider.cs" />
+     <Compile Include="a2_Strategies\TickersRelationships\OpenToCloseCorrelationProvider.cs" />
+     <Compile Include="a2_Strategies\TickersRelationships\TickersPearsonCorrelation.cs" />
      <Compile Include="AssemblyInfo.cs" />
      <Compile Include="a0_Validation\IValidator.cs" />
***************
*** 196,199 ****
--- 200,204 ----
      <Folder Include="a2_Strategies\returnsManagement" />
      <Folder Include="a2_Strategies\returnsManagement\time" />
+     <Folder Include="a2_Strategies\TickersRelationships" />
    </ItemGroup>
    <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" />

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.10, 1.11

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26028/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** Scripts_SD.csproj	8 Nov 2007 17:47:16 -0000	1.10
--- Scripts_SD.csproj	14 Jan 2008 23:49:05 -0000	1.11
***************
*** 56,59 ****
--- 56,62 ----
      <Compile Include="SimpleTesting\ShortTest\EndOfDayTimerHandler.cs" />
      <Compile Include="SimpleTesting\ShortTest\RunShortTest.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO_OTC.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO_OTC.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\GenomeManagerPVO_OTC.cs" />
      <Compile Include="TickerSelectionTesting\EndOfDayTimerHandlerCTC.cs" />
      <Compile Include="TickerSelectionTesting\EndOfDayTimerHandlerCTO.cs" />
***************
*** 207,218 ****
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\RunWeightedBalancedPVO.cs" />
      <Compile Include="WalkForwardTesting\LinearCombination\FixedLevelOscillatorBiasedPVOStrategy.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds\EndOfDayTimerHandlerBiasedPVONoThresholds.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds\GenomeManagerBiasedPVONoThresholds.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds\RunBiasedPVONoThresholds.cs" />
-     <Compile Include="WalkForwardTesting\LinearCombination\FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds\EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds\GenomeManagerBiasedOTC_PVONoThresholds.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds\RunBiasedOTC_PVONoThresholds.cs" />
-     <Compile Include="WalkForwardTesting\LinearCombination\FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagNewChosenPositionsEventArgs.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\IWFLagWeightedPositionsChooser.cs" />
--- 210,213 ----
***************
*** 272,276 ****
      <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators" />
      <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator" />
-     <Folder Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager" />
      <Folder Include="TickerSelectionTesting\TestingOTCTypes\BruteForceOptimization" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\GeneticOptimizerTesting" />
--- 267,270 ----
***************
*** 278,283 ****
      <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO" />
      <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO" />
-     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds" />
-     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers" />
      <Folder Include="ArbitrageTesting\OverReactionHypothesis" />
--- 272,275 ----

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.80, 1.81

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25247/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added PVO strategy using OTC returns

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.80
retrieving revision 1.81
diff -C2 -d -r1.80 -r1.81
*** b7_Scripts.csproj	4 Nov 2007 18:51:54 -0000	1.80
--- b7_Scripts.csproj	14 Jan 2008 23:47:36 -0000	1.81
***************
*** 2,6 ****
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9466"
          SchemaVersion = "1.0"
          ProjectGuid = "{451DB77D-D4C7-44D1-8047-2920D864A4CD}"
--- 2,6 ----
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9955"
          SchemaVersion = "1.0"
          ProjectGuid = "{451DB77D-D4C7-44D1-8047-2920D864A4CD}"
***************
*** 304,353 ****
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\GenomeMeaningPVO.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\RunPVO.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds\EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds\GenomeManagerBiasedOTC_PVONoThresholds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedOTC_PVONoThresholds\RunBiasedOTC_PVONoThresholds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds\EndOfDayTimerHandlerBiasedPVONoThresholds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds\GenomeManagerBiasedPVONoThresholds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\BiasedPVONoThresholds\RunBiasedPVONoThresholds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
--- 304,338 ----
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\GenomeManagerPVO_OTC.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\GenomeMeaningPVO.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\RunPVO.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO_OTC.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO_OTC.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
***************
*** 694,707 ****
                  />
                  <File
-                     RelPath = "WalkForwardTesting\LinearCombination\FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
-                     RelPath = "WalkForwardTesting\LinearCombination\FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\FixedLevelOscillatorBiasedPVOStrategy.cs"
                      SubType = "Code"
--- 679,682 ----

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.48, 1.49

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24799/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
Added classes for providing correlation indexes

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.48
retrieving revision 1.49
diff -C2 -d -r1.48 -r1.49
*** b4_Business.csproj	23 Sep 2007 21:50:55 -0000	1.48
--- b4_Business.csproj	14 Jan 2008 23:46:23 -0000	1.49
***************
*** 713,716 ****
--- 713,736 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\TickersRelationships\CloseToCloseCorrelationProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\TickersRelationships\CorrelationProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\TickersRelationships\OpenToCloseCorrelationProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\TickersRelationships\TickersPearsonCorrelation.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a3_Testing\BackTester.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientOTC_WorstAtNightPortfolio.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23521/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientOTC_WorstAtNightPortfolio.cs 
Log Message:
Minor changes

Index: RunEfficientOTC_WorstAtNightPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTC_WorstAtNightPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientOTC_WorstAtNightPortfolio.cs	29 Aug 2007 10:04:26 -0000	1.2
--- RunEfficientOTC_WorstAtNightPortfolio.cs	14 Jan 2008 23:43:47 -0000	1.3
***************
*** 69,75 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OTC_WorstAtNight_SharpeRatioWithCoeff_OnlyMutation";
        //this.ScriptName = "OpenCloseScriptsSharpeRatio";
! //      this.ScriptName = "OTC_WorstAtNight_SharpeRatioNoCoeff";
        //this.ScriptName = "OpenCloseScripts";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
--- 69,75 ----
        portfolioType, maxRunningHours)
      {
! //      this.ScriptName = "OTC_WorstAtNight_SharpeRatioWithCoeff_OnlyMutation";
        //this.ScriptName = "OpenCloseScriptsSharpeRatio";
!       this.ScriptName = "OTC_WorstAtNight_SharpeRatioNoCoeff";
        //this.ScriptName = "OpenCloseScripts";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization OTCBruteForceOptimizableParametersManager.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23521/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization

Modified Files:
	OTCBruteForceOptimizableParametersManager.cs 
Log Message:
Minor changes

Index: OTCBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/OTCBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OTCBruteForceOptimizableParametersManager.cs	17 Sep 2006 21:37:18 -0000	1.1
--- OTCBruteForceOptimizableParametersManager.cs	14 Jan 2008 23:43:47 -0000	1.2
***************
*** 61,65 ****
  				firstOptimizationDate ,
  				lastOptimizationDate ,
! 				numberOfPortfolioPositions , 0.0, PortfolioType.ShortAndLong);
  				
  		}
--- 61,66 ----
  				firstOptimizationDate ,
  				lastOptimizationDate ,
! 				numberOfPortfolioPositions , 0.0, PortfolioType.ShortAndLong,
! 			  "^GSPC");
  				
  		}
***************
*** 102,106 ****
  			BruteForceOptimizableParameters bruteForceOptimizableItem )
  		{
! 			return this.otcCtoGenomeManager.GetFitnessValue(bruteForceOptimizableItem);
  		}
  	}
--- 103,108 ----
  			BruteForceOptimizableParameters bruteForceOptimizableItem )
  		{
! 			return 0.0; //just for compiling
! 			//return this.otcCtoGenomeManager.GetFitnessValue(bruteForceOptimizableItem);
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst RunBestAndWorstFollower.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23521/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst

Modified Files:
	RunBestAndWorstFollower.cs 
Log Message:
Minor changes

Index: RunBestAndWorstFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/RunBestAndWorstFollower.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunBestAndWorstFollower.cs	29 Aug 2007 09:32:57 -0000	1.1
--- RunBestAndWorstFollower.cs	14 Jan 2008 23:43:47 -0000	1.2
***************
*** 37,42 ****
  	/// Script that implements the Best and Worst Follower strategy:
  	/// every n closes, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l worst tickers
! 	/// and the s best tickers.
  	/// For chosing the best and worst tickers just the 
  	/// previous close to close ratio is considered.
--- 37,42 ----
  	/// Script that implements the Best and Worst Follower strategy:
  	/// every n closes, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l best tickers
! 	/// and the s worst tickers.
  	/// For chosing the best and worst tickers just the 
  	/// previous close to close ratio is considered.

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest WalkForwardOpenToCloseDailyStrategy.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23094/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
no message

Index: WalkForwardOpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/WalkForwardOpenToCloseDailyStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WalkForwardOpenToCloseDailyStrategy.cs	11 Jan 2006 18:21:07 -0000	1.6
--- WalkForwardOpenToCloseDailyStrategy.cs	14 Jan 2008 23:42:36 -0000	1.7
***************
*** 196,200 ****
  				this.numberOfTickersToBeChosen ,
  				this.targetReturn ,
! 				this.portfolioType );
          
  			this.geneticOptimizer = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 196,201 ----
  				this.numberOfTickersToBeChosen ,
  				this.targetReturn ,
! 				this.portfolioType,
! 				this.benchmark);
          
  			this.geneticOptimizer = new GeneticOptimizer(genManEfficientOTCPortfolio,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombinationTest.cs, 1.12, 1.13 MainForm.cs, 1.10, 1.11 TestDisplayer.cs, 1.13, 1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22669/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	LinearCombinationTest.cs MainForm.cs TestDisplayer.cs 
Log Message:
Updated classes for single genomes testing

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** MainForm.cs	3 Aug 2006 21:15:57 -0000	1.10
--- MainForm.cs	14 Jan 2008 23:41:44 -0000	1.11
***************
*** 235,239 ****
  				this.numberOfTickersToBeChosen,
  				this.targetReturn,
! 				this.portfolioType);
          
  			this.GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 235,240 ----
  				this.numberOfTickersToBeChosen,
  				this.targetReturn,
! 				this.portfolioType,
! 				this.benchmark);
          
  			this.GO = new GeneticOptimizer(genManEfficientOTCPortfolio,

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** LinearCombinationTest.cs	29 Aug 2007 09:43:36 -0000	1.12
--- LinearCombinationTest.cs	14 Jan 2008 23:41:44 -0000	1.13
***************
*** 52,55 ****
--- 52,58 ----
      private double stopLoss;
      private double takeProfit;
+ 		private double oversoldThreshold;
+ 		private double overboughtThreshold;
+ 		private bool setDirectlyThresholdLevels;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider;
***************
*** 58,61 ****
--- 61,83 ----
  		private IEndOfDayStrategy endOfDayStrategy;
      private PortfolioType portfolioType;
+ 		
+ 		private void linearCombinationTest_commonInitialization(DateTime firstDate , DateTime lastDate ,
+ 			GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
+ 			PortfolioType portfolioType, int numDaysForOscillatorStrategy,
+ 		  double stopLoss, double takeProfit,
+       double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
+ 		{
+ 			this.firstDate = firstDate;
+ 			this.lastDate = lastDate;
+ 			this.genomeRepresentations = genomeRepresentations;
+ 			this.strategyType = strategyType;
+ 			this.portfolioType = portfolioType;
+ 			this.numDaysForOscillatorStrategy = numDaysForOscillatorStrategy;
+ 			this.stopLoss = stopLoss;
+ 			this.takeProfit = takeProfit;
+ 			this.oversoldThreshold = oversoldThreshold;
+ 			this.overboughtThreshold = overboughtThreshold;
+ 			this.setDirectlyThresholdLevels = setDirectlyThresholdLevels;
+ 		}
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
***************
*** 63,72 ****
        PortfolioType portfolioType)
  		{
! 			this.firstDate = firstDate;
! 			this.lastDate = lastDate;
! 			this.genomeRepresentations = genomeRepresentations;
! //			this.openToCloseDaily = openToCloseDaily;
!       this.strategyType = strategyType;
!       this.portfolioType = portfolioType;
      }
      
--- 85,90 ----
        PortfolioType portfolioType)
  		{
! 			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, 0,0,0,0,0,false);
      }
      
***************
*** 76,87 ****
        int numDaysForOscillatorStrategy)
      {
!       this.firstDate = firstDate;
!       this.lastDate = lastDate;
!       this.genomeRepresentations = genomeRepresentations;
!       //			this.openToCloseDaily = openToCloseDaily;
!       this.strategyType = strategyType;
!       this.portfolioType = portfolioType;
!       this.numDaysForOscillatorStrategy = numDaysForOscillatorStrategy;
      }
      public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
        GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
--- 94,102 ----
        int numDaysForOscillatorStrategy)
      {
! 			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				0,0,0,0,false);
      }
+ 
      public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
        GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
***************
*** 89,102 ****
        int numDaysForOscillatorStrategy, double stopLoss, double takeProfit)
      {
!       this.firstDate = firstDate;
!       this.lastDate = lastDate;
!       this.genomeRepresentations = genomeRepresentations;
!       //			this.openToCloseDaily = openToCloseDaily;
!       this.strategyType = strategyType;
!       this.portfolioType = portfolioType;
!       this.numDaysForOscillatorStrategy = numDaysForOscillatorStrategy;
!       this.stopLoss = stopLoss;
!       this.takeProfit = takeProfit;
      }
      private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 104,122 ----
        int numDaysForOscillatorStrategy, double stopLoss, double takeProfit)
      {
! 			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				stopLoss, takeProfit, 0,0,false);
      }
+ 		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
+ 			GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
+ 			PortfolioType portfolioType,
+ 			int numDaysForOscillatorStrategy, double stopLoss, double takeProfit,
+ 			double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
+ 		{
+ 			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
+ 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
+ 				stopLoss, takeProfit, oversoldThreshold, overboughtThreshold,
+ 				setDirectlyThresholdLevels);
+ 		}
      private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 115,151 ****
  		}
  		
!     private void run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy()
!     {
!     	WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
!     	for(int i = 0; i<this.genomeRepresentations.Length;i++)
!       {
!       	weightedPositions[i] = 
!       		new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
!       		                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
!       		                      
!       }
!      
!       this.endOfDayStrategy = new FixedLevelOscBiasedOTC_PVONoThresholdsStrategy(
!         this.account , weightedPositions, 
!         this.genomeRepresentations.Length);
!     }
  
!     private void run_setStrategy_setBiasedPVONoThresholdsStrategy()
!     {
! 			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! 			for(int i = 0; i<this.genomeRepresentations.Length;i++)
! 			{
! 				weightedPositions[i] = 
! 					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
!       		                      
! 			}
!       this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVONoThresholdsStrategy(
!         this.account , weightedPositions, 
!         this.genomeRepresentations.Length,
!         this.stopLoss,
!         this.takeProfit);
!     }
  
  		private void run_setStrategy_setBiasedPVOStrategy()
  		{
--- 135,192 ----
  		}
  		
! //    private void run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy()
! //    {
! //    	WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! //    	for(int i = 0; i<this.genomeRepresentations.Length;i++)
! //      {
! //      	weightedPositions[i] = 
! //      		new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! //      		                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //      		                      
! //      }
! //     
! //      this.endOfDayStrategy = new FixedLevelOscBiasedOTC_PVONoThresholdsStrategy(
! //        this.account , weightedPositions, 
! //        this.genomeRepresentations.Length);
! //    }
  
! //    private void run_setStrategy_setBiasedPVONoThresholdsStrategy()
! //    {
! //			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! //			for(int i = 0; i<this.genomeRepresentations.Length;i++)
! //			{
! //				weightedPositions[i] = 
! //					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! //					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //      		                      
! //			}
! //      this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVONoThresholdsStrategy(
! //        this.account , weightedPositions, 
! //        this.genomeRepresentations.Length,
! //        this.stopLoss,
! //        this.takeProfit);
! //    }
  
+ 		private double run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(int i)
+ 		{
+ 			double returnValue;
+ 			if(this.setDirectlyThresholdLevels)
+ 				returnValue = this.oversoldThreshold;
+ 			else
+ 				returnValue = this.genomeRepresentations[i].OversoldThreshold;
+ 
+ 			return returnValue;
+ 		}
+ 		private double run_setStrategy_setBiasedPVOStrategy_getOverboughtThreshold(int i)
+ 		{
+ 			double returnValue;
+ 			if(this.setDirectlyThresholdLevels)
+ 				returnValue = this.overboughtThreshold;
+ 			else
+ 				returnValue = this.genomeRepresentations[i].OverboughtThreshold;
+ 
+ 			return returnValue;
+ 		}
+ 		
  		private void run_setStrategy_setBiasedPVOStrategy()
  		{
***************
*** 158,163 ****
  					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
  					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! 				oversoldThresholds[i] = this.genomeRepresentations[i].OversoldThreshold;
! 				overboughtThresholds[i] = this.genomeRepresentations[i].OverboughtThreshold;
  			}
  			
--- 199,204 ----
  					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
  					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! 				oversoldThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(i);
! 				overboughtThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOverboughtThreshold(i);
  			}
  			
***************
*** 223,233 ****
            break;
          
!         case StrategyType.PortfolioValueOscillatorBiasedNoThresholds:
!           this.run_setStrategy_setBiasedPVONoThresholdsStrategy();
!           break;
! 
!         case StrategyType.OTC_PVOBiasedNoThresholds:
!           this.run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy();
!           break;
        }
  		}
--- 264,274 ----
            break;
          
! //        case StrategyType.PortfolioValueOscillatorBiasedNoThresholds:
! //          this.run_setStrategy_setBiasedPVONoThresholdsStrategy();
! //          break;
! //
! //        case StrategyType.OTC_PVOBiasedNoThresholds:
! //          this.run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy();
! //          break;
        }
  		}
***************
*** 262,265 ****
--- 303,321 ----
      }
      
+ 		private void run_addEquityLineForEachPositionInWeightedPositions(
+       WeightedPositions weightedPositions , Color color , Report report )
+     {
+ 			foreach(WeightedPosition position in weightedPositions.Values)
+ 			{
+ 				WeightedPositions wp = new WeightedPositions(new SignedTickers(
+ 																										 position.Ticker));
+ 				EquityLine equityLineForWeightedPositions =
+         wp.GetVirtualEquityLine(
+         15000 , report.AccountReport.EquityLine );
+       	report.AddEquityLine( equityLineForWeightedPositions ,
+         color );
+ 			}
+ 	  }
+ 		
      private WeightedPositions run_getWeightedPositions(GenomeRepresentation genomeRepresentation)
        
***************
*** 313,324 ****
  				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
  			"^GSPC");
!       WeightedPositions weightedPositions = 
!         this.run_getWeightedPositions(this.genomeRepresentations[0]);
!       this.run_addEquityLineForWeightedPositions(weightedPositions, Color.Brown,
!                                                   report);
! 
! 			//			ObjectArchiver.Archive( report.AccountReport ,
! 			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
! 			report.Text = this.run_getReportTitle();
  			report.Show();
  		}
--- 369,386 ----
  				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
  			"^GSPC");
!       foreach(GenomeRepresentation genomeRepresentation in this.genomeRepresentations)
!       { 	
!       	WeightedPositions weightedPositions = this.run_getWeightedPositions( genomeRepresentation );
!       	this.run_addEquityLineForWeightedPositions(
!       		weightedPositions,
!       		Color.Brown,
!       		report);
!       	this.run_addEquityLineForEachPositionInWeightedPositions(
!       		weightedPositions,
!       		Color.DimGray,
!       		report);
!       		
!       }
!       report.Text = this.run_getReportTitle();
  			report.Show();
  		}

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** TestDisplayer.cs	29 Aug 2007 10:05:29 -0000	1.13
--- TestDisplayer.cs	14 Jan 2008 23:41:44 -0000	1.14
***************
*** 69,72 ****
--- 69,77 ----
      private System.Windows.Forms.RadioButton radioButtonPVOBiasedNoThresholds;
      private System.Windows.Forms.RadioButton radioButtonOTCPVOBiasedNoThresholds;
+ 		private System.Windows.Forms.TextBox textBoxOversoldThreshold;
+ 		private System.Windows.Forms.TextBox textBoxOverboughtThreshold;
+ 		private System.Windows.Forms.Label labelOversoldThreshold;
+ 		private System.Windows.Forms.Label labelOverboughtThreshold;
+ 		private System.Windows.Forms.CheckBox checkBoxSetDirectlyThresholdLevels;
      private System.Windows.Forms.ComboBox comboBoxPortfolioType;
      
***************
*** 220,223 ****
--- 225,233 ----
  			this.radioButtonPVOBiasedNoThresholds = new System.Windows.Forms.RadioButton();
  			this.radioButtonOTCPVOBiasedNoThresholds = new System.Windows.Forms.RadioButton();
+ 			this.textBoxOversoldThreshold = new System.Windows.Forms.TextBox();
+ 			this.textBoxOverboughtThreshold = new System.Windows.Forms.TextBox();
+ 			this.labelOversoldThreshold = new System.Windows.Forms.Label();
+ 			this.labelOverboughtThreshold = new System.Windows.Forms.Label();
+ 			this.checkBoxSetDirectlyThresholdLevels = new System.Windows.Forms.CheckBox();
  			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
  			this.SuspendLayout();
***************
*** 419,422 ****
--- 429,472 ----
  			this.radioButtonOTCPVOBiasedNoThresholds.CheckedChanged += new System.EventHandler(this.radioButtonOTCPVOBiasedNoThresholds_CheckedChanged);
  			// 
+ 			// textBoxOversoldThreshold
+ 			// 
+ 			this.textBoxOversoldThreshold.Location = new System.Drawing.Point(504, 216);
+ 			this.textBoxOversoldThreshold.Name = "textBoxOversoldThreshold";
+ 			this.textBoxOversoldThreshold.Size = new System.Drawing.Size(40, 20);
+ 			this.textBoxOversoldThreshold.TabIndex = 23;
+ 			this.textBoxOversoldThreshold.Text = "0.01";
+ 			// 
+ 			// textBoxOverboughtThreshold
+ 			// 
+ 			this.textBoxOverboughtThreshold.Location = new System.Drawing.Point(656, 216);
+ 			this.textBoxOverboughtThreshold.Name = "textBoxOverboughtThreshold";
+ 			this.textBoxOverboughtThreshold.Size = new System.Drawing.Size(40, 20);
+ 			this.textBoxOverboughtThreshold.TabIndex = 24;
+ 			this.textBoxOverboughtThreshold.Text = "0.01";
+ 			// 
+ 			// labelOversoldThreshold
+ 			// 
+ 			this.labelOversoldThreshold.Location = new System.Drawing.Point(424, 216);
+ 			this.labelOversoldThreshold.Name = "labelOversoldThreshold";
+ 			this.labelOversoldThreshold.Size = new System.Drawing.Size(80, 16);
+ 			this.labelOversoldThreshold.TabIndex = 25;
+ 			this.labelOversoldThreshold.Text = "OvSold thresh.";
+ 			// 
+ 			// labelOverboughtThreshold
+ 			// 
+ 			this.labelOverboughtThreshold.Location = new System.Drawing.Point(552, 216);
+ 			this.labelOverboughtThreshold.Name = "labelOverboughtThreshold";
+ 			this.labelOverboughtThreshold.Size = new System.Drawing.Size(96, 16);
+ 			this.labelOverboughtThreshold.TabIndex = 26;
+ 			this.labelOverboughtThreshold.Text = "OvBought thresh.";
+ 			// 
+ 			// checkBoxSetDirectlyThresholdLevels
+ 			// 
+ 			this.checkBoxSetDirectlyThresholdLevels.Location = new System.Drawing.Point(432, 184);
+ 			this.checkBoxSetDirectlyThresholdLevels.Name = "checkBoxSetDirectlyThresholdLevels";
+ 			this.checkBoxSetDirectlyThresholdLevels.Size = new System.Drawing.Size(232, 24);
+ 			this.checkBoxSetDirectlyThresholdLevels.TabIndex = 27;
+ 			this.checkBoxSetDirectlyThresholdLevels.Text = "set directly threshold-levels";
+ 			// 
  			// TestDisplayer
  			// 
***************
*** 424,427 ****
--- 474,482 ----
  			this.ClientSize = new System.Drawing.Size(704, 414);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
+ 																																	this.checkBoxSetDirectlyThresholdLevels,
+ 																																	this.labelOverboughtThreshold,
+ 																																	this.labelOversoldThreshold,
+ 																																	this.textBoxOverboughtThreshold,
+ 																																	this.textBoxOversoldThreshold,
  																																	this.radioButtonOTCPVOBiasedNoThresholds,
  																																	this.radioButtonPVOBiasedNoThresholds,
***************
*** 515,519 ****
  				this.selectedStrategyType,
          (PortfolioType)this.comboBoxPortfolioType.SelectedItem, Convert.ToInt32(this.textBoxDaysFPOscillatorAndRevOneRank.Text),
!         Convert.ToDouble(this.textBoxStopLoss.Text),Convert.ToDouble(this.textBoxTakeProfit.Text) );
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentations = genomeRepresentations;
--- 570,577 ----
  				this.selectedStrategyType,
          (PortfolioType)this.comboBoxPortfolioType.SelectedItem, Convert.ToInt32(this.textBoxDaysFPOscillatorAndRevOneRank.Text),
!         Convert.ToDouble(this.textBoxStopLoss.Text),Convert.ToDouble(this.textBoxTakeProfit.Text),
! 				Convert.ToDouble(this.textBoxOversoldThreshold.Text),
! 				Convert.ToDouble(this.textBoxOverboughtThreshold.Text),
! 				this.checkBoxSetDirectlyThresholdLevels.Checked);
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentations = genomeRepresentations;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeMeaning.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22216/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeMeaning.cs 
Log Message:
Minor changes

Index: GenomeMeaning.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeMeaning.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeMeaning.cs	9 Apr 2007 17:58:04 -0000	1.4
--- GenomeMeaning.cs	14 Jan 2008 23:40:23 -0000	1.5
***************
*** 24,27 ****
--- 24,29 ----
  using System.Collections;
  
+ using QuantProject.Business.Strategies;
+ 
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
***************
*** 79,83 ****
      private void genomeMeaning_setHashCodeForTickerComposition()
      {
!       ArrayList listOfTickers = new ArrayList(this.tickers);
        listOfTickers.Sort();
        foreach(string tickerCode in listOfTickers)
--- 81,88 ----
      private void genomeMeaning_setHashCodeForTickerComposition()
      {
!     	string[] unsignedTickers = new string[this.tickers.Length];
!       for(int i = 0; i < this.tickers.Length; i++)
!       	unsignedTickers[i] = SignedTicker.GetTicker(this.tickers[i]);
!      	ArrayList listOfTickers = new ArrayList(unsignedTickers);
        listOfTickers.Sort();
        foreach(string tickerCode in listOfTickers)

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientCTCPortfolio.cs, 1.13, 1.14 GenomeManagerForEfficientCTOPortfolio.cs, 1.19, 1.20 GenomeManagerForEfficientOTCCTOPortfolio.cs, 1.5, 1.6 GenomeManagerForEfficientOTCPortfolio.cs, 1.2, 1.3 GenomeManagerForEfficientPortfolio.cs, 1.28, 1.29 GenomeManagerForWeightedEfficientPortfolio.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientOTCCTOPortfolio.cs 
	GenomeManagerForEfficientOTCPortfolio.cs 
	GenomeManagerForEfficientPortfolio.cs 
	GenomeManagerForWeightedEfficientPortfolio.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** GenomeManagerForEfficientCTOPortfolio.cs	2 Jul 2006 19:57:34 -0000	1.19
--- GenomeManagerForEfficientCTOPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.20
***************
*** 23,31 ****
  using System;
  using System.Data;
! using System.Collections;
! using QuantProject.ADT.Statistics;
! using QuantProject.ADT.Optimizing.Genetic;
! using QuantProject.Data;
! using QuantProject.Data.DataTables;
  
  
--- 23,32 ----
  using System;
  using System.Data;
! 
! using QuantProject.Business.DataProviders;
! using QuantProject.Business.Timing;
! using QuantProject.Business.Strategies;
! using QuantProject.Business.Strategies.ReturnsManagement;
! using QuantProject.Business.Strategies.ReturnsManagement.Time;
  
  
***************
*** 40,50 ****
    public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
!     private GenomeManagerForEfficientOTCPortfolio genManOTC;
!     public GenomeManagerForEfficientCTOPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
                                                   DateTime lastQuoteDate,
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType)
                                  :base(setOfInitialTickers,
                                       firstQuoteDate,
--- 41,53 ----
    public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
!     private ReturnsManager returnsManager;
!   	
!   	public GenomeManagerForEfficientCTOPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
                                                   DateTime lastQuoteDate,
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType,
! 																								 string benchmark)
                                  :base(setOfInitialTickers,
                                       firstQuoteDate,
***************
*** 52,156 ****
                                       numberOfTickersInPortfolio,
                                       targetPerformance,
!                                      portfolioType)
                            
      {
!       this.retrieveData();
!       this.genManOTC = new GenomeManagerForEfficientOTCPortfolio(setOfInitialTickers,
!                                      firstQuoteDate,
!                                      lastQuoteDate,
!                                      numberOfTickersInPortfolio,
!                                      targetPerformance,
!                                      portfolioType);
!     }
!     private float[] getArrayOfRatesOfReturn_getCloseToOpenRates(Quotes tickerQuotes)
!     {
!       float[] returnValue = new float[tickerQuotes.Rows.Count - 1];
!       for(int i = 0;i<tickerQuotes.Rows.Count - 1; i++)
!       {
!         returnValue[i] = 
!           ( (float)tickerQuotes.Rows[i+1]["quOpen"]*
!              (float)tickerQuotes.Rows[i+1]["quAdjustedClose"]/
!               (float)tickerQuotes.Rows[i+1]["quClose"] )
!           /(float)tickerQuotes.Rows[i]["quAdjustedClose"] - 1;
!       }
!       return returnValue;
!     }
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = this.getArrayOfRatesOfReturn_getCloseToOpenRates(tickerQuotes);
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
!     public override double GetFitnessValue(Genome genome)
!     {
!       double returnValue = 0;
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       double averagePortfolioRateOfReturn = 
!         BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
!         
!       double portfolioVariance = 
!         BasicFunctions.Variance(this.portfolioRatesOfReturn);
! 
!       if(!Double.IsInfinity(portfolioVariance) &&
!         !Double.IsInfinity(averagePortfolioRateOfReturn) &&
!         !Double.IsNaN(portfolioVariance) &&
!         !Double.IsNaN(averagePortfolioRateOfReturn) &&
!         portfolioVariance > 0.0)
!         //both variance and rate of return are 
!         //double values computed in the right way:
!         // so it's possible to assign fitness
!       {
!         this.variance = portfolioVariance;
!         this.rateOfReturn = averagePortfolioRateOfReturn;
!         returnValue = this.getFitnessValue_calculate();
! //        returnValue = this.getFitnessValue_calculate() -
! //                      this.genManOTC.GetFitnessValue(genome);
!         
!       }
!       
!       return returnValue;
!     }
! 
!     
!     /*using LPM
!     protected override double getFitnessValue_calculate()
!     {
!       double returnValue = 0;                                            
!       
!       double a, b, c;
!       a = 0.002; b = 2.0; c = 2.0;
!       
!       //returnValue = Math.Pow((a/this.Variance),b) *
!       //                 Math.Pow((this.rateOfReturn - this.targetPerformance),
!       //                          c);
!       //this.lowerPartialMoment = AdvancedFunctions.LowerPartialMoment(this.portfolioRatesOfReturn,
!       //                                                      BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn),
!       //                                                      3.0);
!       this.lowerPartialMoment = AdvancedFunctions.NegativeSemiVariance(this.portfolioRatesOfReturn);
!       a = 1.0;
!       returnValue = Math.Pow((a/this.lowerPartialMoment),b) *
!                        Math.Pow(Math.Max(0.0,(this.rateOfReturn - this.targetPerformance)),
!                                 c);
!       
!       if(this.portfolioType == PortfolioType.OnlyShort)
!         returnValue = - returnValue; 
!       
!       if(Double.IsInfinity(returnValue) || Double.IsNaN(returnValue))
!       		throw new Exception("Fitness value not computed correctly!");
!       
!       return returnValue;
      }
!     */
!     
!     protected override double getFitnessValue_calculate()
      {
!       return this.RateOfReturn/Math.Sqrt(this.Variance);
      }
      
!     
    }
- 
  }
--- 55,85 ----
                                       numberOfTickersInPortfolio,
                                       targetPerformance,
!                                      portfolioType,
!                                      benchmark)
                            
      {
!     	this.setReturnsManager(firstQuoteDate, lastQuoteDate); 
      }
!   	
!      private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
      {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new CloseToOpenIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark),
! 														new HistoricalAdjustedQuoteProvider() );
      }
      
!   	protected override float[] getStrategyReturns()
! 		{
!   		return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
! 		}
!   	
    }
  }

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** GenomeManagerForEfficientCTCPortfolio.cs	14 May 2006 18:36:37 -0000	1.13
--- GenomeManagerForEfficientCTCPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.14
***************
*** 23,31 ****
  using System;
  using System.Data;
! using System.Collections;
! using QuantProject.ADT.Statistics;
! using QuantProject.ADT.Optimizing.Genetic;
! using QuantProject.Data;
! using QuantProject.Data.DataTables;
  
  
--- 23,32 ----
  using System;
  using System.Data;
! 
! using QuantProject.Business.DataProviders;
! using QuantProject.Business.Timing;
! using QuantProject.Business.Strategies;
! using QuantProject.Business.Strategies.ReturnsManagement;
! using QuantProject.Business.Strategies.ReturnsManagement.Time;
  
  
***************
*** 41,59 ****
    {
      private int numDaysForReturnCalculation;
!     private double shiftedPortfolioRateOfReturn;
!     private float[] shiftedPortfolioRatesOfReturn;
!     //private double shiftedPortfolioVariance;
!     //rate of return and variance of portfolio 
!     //shifted ahead of numDaysForReturnCalculation
      
!     /// <summary>
!     /// Rates of returns of the portfolio shifted ahead of numDaysForReturnCalculation
!     /// </summary>
!     public float[] ShiftedPortfolioRatesOfReturn
!     {
!       get{return this.shiftedPortfolioRatesOfReturn;}
!     }
! 
!     public GenomeManagerForEfficientCTCPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
                                                   DateTime lastQuoteDate,
--- 42,48 ----
    {
      private int numDaysForReturnCalculation;
!     private ReturnsManager returnsManager;
      
!   	public GenomeManagerForEfficientCTCPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
                                                   DateTime lastQuoteDate,
***************
*** 61,65 ****
                                                   int numDaysForReturnCalculation,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType)
                                                   :
                                                  base(setOfInitialTickers,
--- 50,55 ----
                                                   int numDaysForReturnCalculation,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType,
!                                                  string benchmark)
                                                   :
                                                  base(setOfInitialTickers,
***************
*** 68,185 ****
                                                  numberOfTickersInPortfolio,
                                                  targetPerformance,
!                                                 portfolioType)
                                  
                            
      {
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.retrieveData();
      }
! // old implementation, where a "continuos" adjusted close to close ratio,
! // based on a particular fixed interval of days, is considered
! // In this case, there is no discontinuity between the returned ratesOfReturn
! //
! //    protected override float[] getArrayOfRatesOfReturn(string ticker)
! //    {
! //      float[] returnValue = null;
! //      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
! //      float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
! //      returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
! //      int i = 0; //index for ratesOfReturns array
! //	    for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
! //	    {
! //	      returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
! //	      	                    allAdjValues[idx] - 1);
! //	      i++;
! //	    }	
! //      this.numberOfExaminedReturns = returnValue.Length;
! //      
! //      return returnValue;
! //    }
!     
!     // new implementation, where a "discontinuos" adjusted close to close ratio,
!     // based on a particular fixed interval of days, is considered
!     // In this case, there is a discontinuity between each pair of ratesOfReturn,
!     // equal to the given interval of days
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       this.calculateShiftedRateOfReturn(ticker);
! 
!       float[] returnValue = null;
!       returnValue = 
!       	QuantProject.Data.DataTables.Quotes.GetArrayOfCloseToCloseRatios(ticker,
!                                                             ref this.firstQuoteDate,
!                                                             this.lastQuoteDate,
!                                                             this.numDaysForReturnCalculation);
!       	
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!                                                                         
      }
      
!     /*LPM as fitness
!     protected override double getFitnessValue_calculate()
!     {
!       double returnValue = 0;                                            
!       
!       double a, b, c;
!       a = 0.002; b = 2.0; c = 2.0;
!       
!       //returnValue = Math.Pow((a/this.Variance),b) *
!       //                 Math.Pow((this.rateOfReturn - this.targetPerformance),
!       //                          c);
!       //this.lowerPartialMoment = AdvancedFunctions.LowerPartialMoment(this.portfolioRatesOfReturn,
!       //                                                      BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn),
!       //                                                      3.0);
!       this.lowerPartialMoment = AdvancedFunctions.NegativeSemiVariance(this.portfolioRatesOfReturn);
!       a = 1.0;
!       returnValue = Math.Pow((a/this.lowerPartialMoment),b) *
!         Math.Pow((this.rateOfReturn - this.targetPerformance),
!         c);
!       
!       if(this.portfolioType == PortfolioType.OnlyShort)
!         returnValue = - returnValue; 
!       
!       if(Double.IsInfinity(returnValue) || Double.IsNaN(returnValue))
!         throw new Exception("Fitness value not computed correctly!");
!       
!       return returnValue;
!     }
! 		*/
!     private void calculateShiftedRateOfReturn(string ticker)
!     {
!       try
!       {
!         float[] closeToCloseRatios = Quotes.GetArrayOfCloseToCloseRatios(ticker, ref this.firstQuoteDate,
!                                         this.lastQuoteDate,
!                                         this.numDaysForReturnCalculation,
!                                         this.numDaysForReturnCalculation);
!         this.shiftedPortfolioRatesOfReturn = closeToCloseRatios;
!         this.shiftedPortfolioRateOfReturn =
!             BasicFunctions.SimpleAverage(closeToCloseRatios);
!         //this.shiftedPortfolioVariance = 
!           //BasicFunctions.Variance(closeToCloseRatios);
!       }
!       catch(Exception ex)
!       {
!         ex = ex;
!       }
!     }
! 		
! 		protected override double getFitnessValue_calculate()
!     {
! //			return (this.RateOfReturn/Math.Sqrt(this.Variance))*
! //              -this.shiftedPortfolioRateOfReturn * 
! //              -this.ShiftedPortfolioRatesOfReturn[this.ShiftedPortfolioRatesOfReturn.Length -1];
! 				double sharpeRatioWaveUp = this.RateOfReturn/
! 																	 Math.Sqrt(this.Variance);
! 				double sharpeRatioWaveDown = this.shiftedPortfolioRateOfReturn/
! 																		 Math.Sqrt(BasicFunctions.Variance(this.shiftedPortfolioRatesOfReturn));
! 				
! 				return sharpeRatioWaveUp - sharpeRatioWaveDown;
! 				
!     }
! 		
    }
- 
  }
--- 58,90 ----
                                                  numberOfTickersInPortfolio,
                                                  targetPerformance,
!                                                 portfolioType,
!                                                	benchmark)
                                  
                            
      {
!     	this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!     	this.setReturnsManager(firstQuoteDate, lastQuoteDate);
      }
!   	
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
      {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new CloseToCloseIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark,
! 															  this.numDaysForReturnCalculation),
! 														new HistoricalAdjustedQuoteProvider() );
      }
      
!   	protected override float[] getStrategyReturns()
! 		{
!   		return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
! 		}
    }
  }

Index: GenomeManagerForEfficientOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientOTCPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerForEfficientOTCPortfolio.cs	14 May 2006 18:36:37 -0000	1.2
--- GenomeManagerForEfficientOTCPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.3
***************
*** 23,32 ****
  using System;
  using System.Data;
- using System.Collections;
- using QuantProject.ADT.Statistics;
- using QuantProject.ADT.Optimizing.Genetic;
- using QuantProject.Data;
- using QuantProject.Data.DataTables;
  
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
--- 23,32 ----
  using System;
  using System.Data;
  
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
***************
*** 40,107 ****
    public class GenomeManagerForEfficientOTCPortfolio : GenomeManagerForEfficientPortfolio
    {
!     
!     public GenomeManagerForEfficientOTCPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
                                                   DateTime lastQuoteDate,
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType)
!                                 :base(setOfInitialTickers,
!                                      firstQuoteDate,
!                                      lastQuoteDate,
!                                      numberOfTickersInPortfolio,
!                                      targetPerformance,
!                                      portfolioType)
                            
      {
!       this.retrieveData();
!     }
!     
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
!     /*using LPM
!     protected override double getFitnessValue_calculate()
!     {
!       double returnValue = 0;                                            
!       
!       double a, b, c;
!       a = 0.002; b = 2.0; c = 2.0;
!       
!       //returnValue = Math.Pow((a/this.Variance),b) *
!       //                 Math.Pow((this.rateOfReturn - this.targetPerformance),
!       //                          c);
!       //this.lowerPartialMoment = AdvancedFunctions.LowerPartialMoment(this.portfolioRatesOfReturn,
!       //                                                      BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn),
!       //                                                      3.0);
!       this.lowerPartialMoment = AdvancedFunctions.NegativeSemiVariance(this.portfolioRatesOfReturn);
!       a = 1.0;
!       returnValue = Math.Pow((a/this.lowerPartialMoment),b) *
!                        Math.Pow(Math.Max(0.0,(this.rateOfReturn - this.targetPerformance)),
!                                 c);
!       
!       if(this.portfolioType == PortfolioType.OnlyShort)
!         returnValue = - returnValue; 
!       
!       if(Double.IsInfinity(returnValue) || Double.IsNaN(returnValue))
!       		throw new Exception("Fitness value not computed correctly!");
!       
!       return returnValue;
      }
-     */
      
!     protected override double getFitnessValue_calculate()
      {
!       return this.RateOfReturn/Math.Sqrt(this.Variance);
      }
      
!     
    }
- 
  }
--- 40,84 ----
    public class GenomeManagerForEfficientOTCPortfolio : GenomeManagerForEfficientPortfolio
    {
!     private ReturnsManager returnsManager;
!   	public GenomeManagerForEfficientOTCPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
                                                   DateTime lastQuoteDate,
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType,
! 																								 string benchmark)
! 																									:base(setOfInitialTickers,
! 																											firstQuoteDate,
! 																											lastQuoteDate,
! 																											numberOfTickersInPortfolio,
! 																											targetPerformance,
! 																											portfolioType,
! 																											benchmark)
                            
      {
!     	this.setReturnsManager(firstQuoteDate, lastQuoteDate);
      }
      
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
      {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager(
!             new DailyOpenToCloseIntervals(
! 										firstEndOfDayDateTime, 
! 										lastEndOfDayDateTime, 
! 										this.benchmark ),
!     			  new HistoricalRawQuoteProvider() );
      }
      
! 		protected override float[] getStrategyReturns()
! 		{
! 			return 
! 				this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
! 		}
    }
  }

Index: GenomeManagerForEfficientOTCCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientOTCCTOPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GenomeManagerForEfficientOTCCTOPortfolio.cs	29 Aug 2007 09:56:00 -0000	1.5
--- GenomeManagerForEfficientOTCCTOPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.6
***************
*** 23,31 ****
  using System;
  using System.Data;
! using System.Collections;
! using QuantProject.ADT.Statistics;
! using QuantProject.ADT.Optimizing.Genetic;
! using QuantProject.Data;
! using QuantProject.Data.DataTables;
  
  
--- 23,32 ----
  using System;
  using System.Data;
! 
! using QuantProject.Business.DataProviders;
! using QuantProject.Business.Timing;
! using QuantProject.Business.Strategies;
! using QuantProject.Business.Strategies.ReturnsManagement;
! using QuantProject.Business.Strategies.ReturnsManagement.Time;
  
  
***************
*** 38,44 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForWeightedEfficientPortfolio
    {
!     
      public GenomeManagerForEfficientOTCCTOPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
--- 39,46 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
!     private ReturnsManager returnsManager;
!   	
      public GenomeManagerForEfficientOTCCTOPortfolio(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
***************
*** 46,50 ****
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType)
                                  :base(setOfInitialTickers,
                                       firstQuoteDate,
--- 48,53 ----
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType,
!                                                  string benchmark)
                                  :base(setOfInitialTickers,
                                       firstQuoteDate,
***************
*** 52,95 ****
                                       numberOfTickersInPortfolio,
                                       targetPerformance,
!                                      portfolioType)
                            
      {
!       this.retrieveData();
!     }
!     
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       float[] returnValue = new float[2*tickerQuotes.Rows.Count - 1];
!       int j = 0;
!       for(int i = 0;i<tickerQuotes.Rows.Count; i++)
!       {
!         //open to close
!         returnValue[j] = (float)tickerQuotes.Rows[i]["quClose"]/
!                          (float)tickerQuotes.Rows[i]["quOpen"] - 1;
!         //close to open
!         if(i<tickerQuotes.Rows.Count-1)
!         {
!           returnValue[j+1] = 
!             -(( (float)tickerQuotes.Rows[i+1]["quOpen"]*
!             (float)tickerQuotes.Rows[i+1]["quAdjustedClose"]/
!             (float)tickerQuotes.Rows[i+1]["quClose"] )
!             /(float)tickerQuotes.Rows[i]["quAdjustedClose"] - 1);
!         }
!         j += 2 ;
!       }
!       this.numberOfExaminedReturns = returnValue.Length;
!       return returnValue;
      }
!     
!     
!     protected override double getFitnessValue_calculate()
      {
!       return this.RateOfReturn/Math.Sqrt(this.Variance);
!       //return AdvancedFunctions.GetExpectancyScore(this.PortfolioRatesOfReturn);
      }
!     
!     
    }
- 
  }
--- 55,102 ----
                                       numberOfTickersInPortfolio,
                                       targetPerformance,
!                                      portfolioType,
!                                      benchmark)
                            
      {
!       this.setReturnsManager(firstQuoteDate, lastQuoteDate);
      }
!     //if the genome manager derives from genome manager without weights,
! 		//delete override key word
! 		protected ReturnIntervals getReturnIntervals(EndOfDayDateTime firstEndOfDayDateTime,
! 																													EndOfDayDateTime lastEndOfDayDateTime)
! 		{
! 			return 
! 				new OpenToCloseCloseToOpenIntervals(
! 				firstEndOfDayDateTime, 
! 				lastEndOfDayDateTime, 
! 				this.benchmark);
! 		}
! 
!   	private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
      {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( this.getReturnIntervals(firstEndOfDayDateTime,
! 																 lastEndOfDayDateTime),
! 														new HistoricalAdjustedQuoteProvider() );
      }
!   	
!   	protected override float[] getStrategyReturns()
! 		{
!   		float[] returnValue;
!   		returnValue = this.weightedPositionsFromGenome.GetReturns(
!               this.returnsManager ) ;
! 	   	for(int i = 0; i<returnValue.Length; i++)
! 	  		if(i%2 != 0)
! 	  		//returnValue[i] is a CloseToOpen return:
! 	  		//the strategy implies to reverse positions at night
! 	  			returnValue[i] = - returnValue[i];
! 	  	
! 	  	return returnValue;
! 		}
    }
  }

Index: GenomeManagerForWeightedEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForWeightedEfficientPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** GenomeManagerForWeightedEfficientPortfolio.cs	29 Aug 2007 09:54:51 -0000	1.7
--- GenomeManagerForWeightedEfficientPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.8
***************
*** 24,27 ****
--- 24,28 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Statistics;
***************
*** 29,33 ****
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
! using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
--- 30,38 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
! using QuantProject.Business.DataProviders;
! using QuantProject.Business.Timing;
! using QuantProject.Business.Strategies;
! using QuantProject.Business.Strategies.ReturnsManagement;
! using QuantProject.Business.Strategies.ReturnsManagement.Time;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
***************
*** 38,43 ****
    /// </summary>
    [Serializable]
!   public class GenomeManagerForWeightedEfficientPortfolio : GenomeManagerForEfficientPortfolio
    {
      public GenomeManagerForWeightedEfficientPortfolio(DataTable setOfInitialTickers,
        DateTime firstQuoteDate,
--- 43,50 ----
    /// </summary>
    [Serializable]
!   public abstract class GenomeManagerForWeightedEfficientPortfolio : GenomeManagerForEfficientPortfolio
    {
+     private ReturnsManager returnsManager;
+   	
      public GenomeManagerForWeightedEfficientPortfolio(DataTable setOfInitialTickers,
        DateTime firstQuoteDate,
***************
*** 45,54 ****
        int numberOfTickersInPortfolio,
        double targetPerformance,
!       PortfolioType portfolioType):base(setOfInitialTickers,
                                          firstQuoteDate,
                                          lastQuoteDate,
                                          numberOfTickersInPortfolio,
                                          targetPerformance,
!                                         portfolioType)
                            
      {
--- 52,62 ----
        int numberOfTickersInPortfolio,
        double targetPerformance,
!       PortfolioType portfolioType,
!       string benchmark):base(setOfInitialTickers,
                                          firstQuoteDate,
                                          lastQuoteDate,
                                          numberOfTickersInPortfolio,
                                          targetPerformance,
!                                         portfolioType, benchmark)
                            
      {
***************
*** 56,99 ****
        //at even position the gene is used for finding
        //the coefficient for the ticker represented at the next odd position
!     }
!     
!     #region override getPortfolioRatesOfReturn
!     
!     protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
!     {
!       double minimumWeight = (1.0 - ConstantsProvider.AmountOfVariableWeightToBeAssignedToTickers)/
!                              (genes.Length / 2);
!       double totalOfValuesForWeightsInGenes = 0.0;
!       for(int j = 0; j<genes.Length; j++)
!       {
!         if(j%2==0)
!           //ticker weight is contained in genes at even position
!           totalOfValuesForWeightsInGenes += Math.Abs(genes[j]) + 1.0;
!         //0 has to be avoided !
!       }
!       double freeWeight = (Math.Abs(genes[tickerPositionInGenes-1]) + 1.0)/totalOfValuesForWeightsInGenes;
!       return minimumWeight + freeWeight * (1.0 - minimumWeight * genes.Length / 2);
!     }
!  
!     protected override double[] getPortfolioRatesOfReturn(int[] genes)
      {
!       double[] returnValue = new double[this.numberOfExaminedReturns];
!       for(int i = 0; i<returnValue.Length; i++)    
!       {  
!         for(int j = 0; j<genes.Length; j++)
!         {
!         	if(j%2==1)
!         	//ticker ID is contained in genes at odd position
! 	        	returnValue[i] +=
! 	        	this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,j,i);
!         }
!       }
!       return returnValue;
      }
! 
!     #endregion
! 
      #region override Decode
  
      public override object Decode(Genome genome)
      {
--- 64,112 ----
        //at even position the gene is used for finding
        //the coefficient for the ticker represented at the next odd position
!       this.setReturnsManager(firstQuoteDate, lastQuoteDate);
! 	  }
!  		
! 		protected abstract ReturnIntervals getReturnIntervals(EndOfDayDateTime firstEndOfDayDateTime,
! 																												  EndOfDayDateTime lastEndOfDayDateTime);
! 
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
      {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( this.getReturnIntervals(firstEndOfDayDateTime,
! 																 lastEndOfDayDateTime) ,
! 														new HistoricalAdjustedQuoteProvider() );
      }
!     
!   	//this is a very generic implementation that will
!  		//be overriden by inherited classes specifying 
!  		//the strategy and the type of returns
!   	protected override float[] getStrategyReturns()
! 		{
! 			return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
! 		}
!   	
      #region override Decode
  
+ 		protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
+ 		{
+ 			double minimumWeight = (1.0 - ConstantsProvider.AmountOfVariableWeightToBeAssignedToTickers)/
+ 				(genes.Length / 2);
+ 			double totalOfValuesForWeightsInGenes = 0.0;
+ 			for(int j = 0; j<genes.Length; j++)
+ 			{
+ 				if(j%2==0)
+ 					//ticker weight is contained in genes at even position
+ 					totalOfValuesForWeightsInGenes += Math.Abs(genes[j]) + 1.0;
+ 				//0 has to be avoided !
+ 			}
+ 			double freeWeight = (Math.Abs(genes[tickerPositionInGenes-1]) + 1.0)/totalOfValuesForWeightsInGenes;
+ 			return minimumWeight + freeWeight * (1.0 - minimumWeight * genes.Length / 2);
+ 		}
+ 
      public override object Decode(Genome genome)
      {
***************
*** 114,123 ****
        }
        GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
! 																				        arrayOfTickersWeights,
! 																				        this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
! 																				        this.RateOfReturn,
! 																				        this.Variance);
        return meaning;
-       
      }
      #endregion
--- 127,132 ----
        }
        GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
!                                                 arrayOfTickersWeights);
        return meaning;
      }
      #endregion
***************
*** 140,144 ****
                                                              genome.GetMaxValueForGenes(genePosition) + 1);
        }
- 
        return returnValue;
      }
--- 149,152 ----
***************
*** 190,196 ****
                                 	 geneValue + Convert.ToInt32(partOfGeneToSubtractOrAdd*geneValue));
        }
-       
        return returnValue;
-     
      }
  
--- 198,202 ----
***************
*** 245,248 ****
  
    }
- 
  }
--- 251,253 ----

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** GenomeManagerForEfficientPortfolio.cs	29 Aug 2007 09:56:00 -0000	1.28
--- GenomeManagerForEfficientPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.29
***************
*** 31,36 ****
  using QuantProject.Data.DataTables;
  using QuantProject.Business.Strategies;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
- using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
--- 31,36 ----
  using QuantProject.Data.DataTables;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
***************
*** 41,122 ****
    /// </summary>
    [Serializable]
!   public class GenomeManagerForEfficientPortfolio : IGenomeManager
    {
      protected int genomeSize;
      protected int minValueForGenes;
      protected int maxValueForGenes;
! 
!     protected DataTable setOfTickers;//used only for keeping
!                                      //the same signature for 
!                                      //protected retrieveData() method
!     protected CandidateProperties[] setOfCandidates;
      protected int originalNumOfTickers;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
      protected double targetPerformance;
!     protected double variance;
!     //protected double lowerPartialMoment;
!     protected double rateOfReturn;
      protected PortfolioType portfolioType;
!     protected double[] portfolioRatesOfReturn;
!     protected int numberOfExaminedReturns;
      protected GeneticOptimizer currentGeneticOptimizer;
      
-     //IGenomeManager implementation for properties 
      public virtual int GenomeSize
      {
        get{return this.genomeSize;}
      }
-     
      public virtual int GetMinValueForGenes(int genePosition)
      {
        return this.minValueForGenes;
      }
-     
      public virtual int GetMaxValueForGenes(int genePosition)
      {
        return this.maxValueForGenes;
      }
!     //end of implementation for properties
!     
!     public double Variance
      {
!       get{return this.variance;}
      }
!     
!     public double RateOfReturn
      {
!       get{return this.rateOfReturn;}
      }
- 
      public PortfolioType PortfolioType
      {
        get{return this.portfolioType;}
-       //set{this.portfolioType = value;}
      }
!     
!     public double[] PortfolioRatesOfReturn
      {
!       get{return this.portfolioRatesOfReturn;}
      }
-     
      public DateTime FirstQuoteDate
      {
        get{return this.firstQuoteDate;}
      }
- 
      public DateTime LastQuoteDate
      {
        get{return this.lastQuoteDate;}
      }
      //setOfInitialTickers has to contain the
      //ticker's symbol in the first column !
- 
      public GenomeManagerForEfficientPortfolio(DataTable setOfInitialTickers,
! 																				      DateTime firstQuoteDate,
! 																				      DateTime lastQuoteDate,
! 																				      int numberOfTickersInPortfolio,
! 																				      double targetPerformance,
! 																				      PortfolioType portfolioType)
                            
      {
--- 41,108 ----
    /// </summary>
    [Serializable]
!   public abstract class GenomeManagerForEfficientPortfolio : IGenomeManager
    {
      protected int genomeSize;
      protected int minValueForGenes;
      protected int maxValueForGenes;
!     protected DataTable setOfTickers;
      protected int originalNumOfTickers;
      protected DateTime firstQuoteDate;
      protected DateTime lastQuoteDate;
      protected double targetPerformance;
!     protected double varianceOfStrategyReturns;
!     protected double averageOfStrategyReturns;
      protected PortfolioType portfolioType;
!     protected string benchmark;
!     protected float[] strategyReturns;
      protected GeneticOptimizer currentGeneticOptimizer;
+     protected WeightedPositions weightedPositionsFromGenome;
      
      public virtual int GenomeSize
      {
        get{return this.genomeSize;}
      }
      public virtual int GetMinValueForGenes(int genePosition)
      {
        return this.minValueForGenes;
      }
      public virtual int GetMaxValueForGenes(int genePosition)
      {
        return this.maxValueForGenes;
      }
!     public double VarianceOfStrategyReturns
      {
!       get{return this.varianceOfStrategyReturns;}
      }
!     public double AverageOfStrategyReturns
      {
!       get{return this.averageOfStrategyReturns;}
      }
      public PortfolioType PortfolioType
      {
        get{return this.portfolioType;}
      }
!     public float[] StrategyReturns
      {
!       get{return this.strategyReturns;}
      }
      public DateTime FirstQuoteDate
      {
        get{return this.firstQuoteDate;}
      }
      public DateTime LastQuoteDate
      {
        get{return this.lastQuoteDate;}
      }
+     
      //setOfInitialTickers has to contain the
      //ticker's symbol in the first column !
      public GenomeManagerForEfficientPortfolio(DataTable setOfInitialTickers,
! 										      DateTime firstQuoteDate,
! 										      DateTime lastQuoteDate,
! 										      int numberOfTickersInPortfolio,
! 										      double targetPerformance,
! 										      PortfolioType portfolioType,
! 										     	string benchmark)
                            
      {
***************
*** 130,133 ****
--- 116,120 ----
        this.genomeSize = numberOfTickersInPortfolio;
        this.portfolioType = portfolioType;
+       this.benchmark = benchmark;
        this.setMinAndMaxValueForGenes();
        GenomeManagement.SetRandomGenerator(QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator);
***************
*** 157,240 ****
      }
      
-     //this protected method has to be called by inherited genome
-     //managers (open to close or close to close) 
-     //only after all initializations provided
-     //by their respective constructors
-     protected void retrieveData()
-     {
-       this.setOfCandidates = new CandidateProperties[setOfTickers.Rows.Count];
-       for(int i = 0; i<setOfTickers.Rows.Count; i++)
-       {
-         string ticker = (string)setOfTickers.Rows[i][0];
-         this.setOfCandidates[i] = new CandidateProperties(ticker,
-                                       this.getArrayOfRatesOfReturn(ticker));
-       }
-     }
- 
-     //implementation of IGenomeManager
-   
      #region GetFitnessValue
  
      protected virtual double getFitnessValue_calculate()
      {
!       double returnValue = 0;                                            
!         
!       NormalDistribution normal = 
!         new NormalDistribution(this.rateOfReturn,
!         Math.Sqrt(this.variance));
!       if(this.portfolioType == PortfolioType.OnlyLong ||
!         this.portfolioType == PortfolioType.ShortAndLong)
!         //the genome fitness is evaluated as if
!         //the portfolio was long
!         //returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
!         returnValue = 1.0 - normal.GetProbability(this.targetPerformance);
!       else//only short orders are permitted
!         //returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
!         returnValue = normal.GetProbability(-this.targetPerformance);
!       /*the following code has to be tested
!       if(this.currentGeneticOptimizer.AverageRandomFitness != 0.0 &&
!          this.currentGeneticOptimizer.StandardDeviationOfRandomFitness != 0.0)
!       //the two properties remain equal to 0.0 for the GeneticOptimizer
!       //instance created in the Run method: the two properties are updated
!       //effectively only for the GO instance calling the Run method
!         returnValue = (returnValue - this.CurrentGeneticOptimizer.AverageRandomFitness)/
!                       this.CurrentGeneticOptimizer.StandardDeviationOfRandomFitness;
!       if(returnValue < 0.0)
!         returnValue = 0.0;
!       //fitness should be now pure positive number
!       */
!       return returnValue;
!       
      }
      
      public virtual double GetFitnessValue(Genome genome)
      {
        double returnValue = 0;
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       double averagePortfolioRateOfReturn = 
!             BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
!         
!       double portfolioVariance = 
!             BasicFunctions.Variance(this.portfolioRatesOfReturn);
  
!       if(!Double.IsInfinity(portfolioVariance) &&
!          !Double.IsInfinity(averagePortfolioRateOfReturn) &&
!          !Double.IsNaN(portfolioVariance) &&
!          !Double.IsNaN(averagePortfolioRateOfReturn) &&
!         	portfolioVariance > 0.0)
!       //both variance and rate of return are 
        //double values computed in the right way:
        // so it's possible to assign fitness
        {
- 	      this.variance = portfolioVariance;
-       	this.rateOfReturn = averagePortfolioRateOfReturn;
-       	SignedTickers signedTickers = 
-       		new SignedTickers( ((GenomeMeaning)genome.Meaning).Tickers );
-       	WeightedPositions weightedPositions =
-       		new WeightedPositions( ((GenomeMeaning)genome.Meaning).TickersPortfolioWeights,
-       		                      signedTickers );
        	if( this.portfolioType == PortfolioType.OnlyMixed &&
! 					  ( weightedPositions.NumberOfLongPositions == 0 ||
!       	      weightedPositions.NumberOfShortPositions == 0  )  )
  				// if both long and short positions have to be taken and
  				// there aren't both long and short positions in portfolio
--- 144,186 ----
      }
      
      #region GetFitnessValue
  
      protected virtual double getFitnessValue_calculate()
      {
! 				return this.AverageOfStrategyReturns/Math.Sqrt(this.VarianceOfStrategyReturns);
      }
      
+ 		protected abstract float[] getStrategyReturns();
+ 
+ 		private void setWeightedPositionsFromGenome(Genome genome)
+ 		{
+ 			GenomeMeaning genomeMeaning = (GenomeMeaning)genome.Meaning;
+ 			this.weightedPositionsFromGenome = new WeightedPositions(
+ 				genomeMeaning.TickersPortfolioWeights,
+ 				new SignedTickers(genomeMeaning.Tickers) );
+ 		}
+ 
      public virtual double GetFitnessValue(Genome genome)
      {
        double returnValue = 0;
! 			this.setWeightedPositionsFromGenome(genome);
!       this.strategyReturns = this.getStrategyReturns();
!       this.averageOfStrategyReturns = 
!             BasicFunctions.SimpleAverage(this.strategyReturns);
!       this.varianceOfStrategyReturns = 
!             BasicFunctions.Variance(this.strategyReturns);
  
!       if(!Double.IsInfinity(this.VarianceOfStrategyReturns) &&
!          !Double.IsInfinity(this.AverageOfStrategyReturns) &&
!          !Double.IsNaN(this.VarianceOfStrategyReturns) &&
!          !Double.IsNaN(this.AverageOfStrategyReturns) &&
!         	this.VarianceOfStrategyReturns > 0.0)
!       //both varianceOfStrate and rate of return are 
        //double values computed in the right way:
        // so it's possible to assign fitness
        {
        	if( this.portfolioType == PortfolioType.OnlyMixed &&
! 					  ( this.weightedPositionsFromGenome.NumberOfLongPositions == 0 ||
!       	      this.weightedPositionsFromGenome.NumberOfShortPositions == 0  )  )
  				// if both long and short positions have to be taken and
  				// there aren't both long and short positions in portfolio
***************
*** 244,278 ****
  							returnValue = this.getFitnessValue_calculate();
        }
-       
        return returnValue;
      }
      
!     public virtual double GetFitnessValue(BruteForceOptimizableParameters bruteForceOptimizableParameters)
!     {
!       double returnValue = 0;
!       this.portfolioRatesOfReturn = 
!       	this.getPortfolioRatesOfReturn(bruteForceOptimizableParameters.GetValues());
!       double averagePortfolioRateOfReturn = 
!             BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
!         
!       double portfolioVariance = 
!             BasicFunctions.Variance(this.portfolioRatesOfReturn);
! 
!       if(!Double.IsInfinity(portfolioVariance) &&
!          !Double.IsInfinity(averagePortfolioRateOfReturn) &&
!          !Double.IsNaN(portfolioVariance) &&
!          !Double.IsNaN(averagePortfolioRateOfReturn) &&
!         	portfolioVariance > 0.0)
!       //both variance and rate of return are 
!       //double values computed in the right way:
!       // so it's possible to assign fitness
!       {
! 	      this.variance = portfolioVariance;
!       	this.rateOfReturn = averagePortfolioRateOfReturn;
!       	returnValue = this.getFitnessValue_calculate();
!       }
!       
!       return returnValue;
!     }
      
      #endregion
--- 190,223 ----
  							returnValue = this.getFitnessValue_calculate();
        }
        return returnValue;
      }
      
! //    public virtual double GetFitnessValue(BruteForceOptimizableParameters bruteForceOptimizableParameters)
! //    {
! //      double returnValue = 0;
! //      this.portfolioRatesOfReturn = 
! //      	this.getPortfolioRatesOfReturn(bruteForceOptimizableParameters.GetValues());
! //      double averagePortfolioRateOfReturn = 
! //            BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
! //        
! //      double portfolioVariance = 
! //            BasicFunctions.Variance(this.portfolioRatesOfReturn);
! //
! //      if(!Double.IsInfinity(portfolioVariance) &&
! //         !Double.IsInfinity(averagePortfolioRateOfReturn) &&
! //         !Double.IsNaN(portfolioVariance) &&
! //         !Double.IsNaN(averagePortfolioRateOfReturn) &&
! //        	portfolioVariance > 0.0)
! //      //both variance and rate of return are 
! //      //double values computed in the right way:
! //      // so it's possible to assign fitness
! //      {
! //	      this.variance = portfolioVariance;
! //      	this.rateOfReturn = averagePortfolioRateOfReturn;
! //      	returnValue = this.getFitnessValue_calculate();
! //      }
! //      
! //      return returnValue;
! //    }
      
      #endregion
***************
*** 289,300 ****
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
!                                                               genome.GetMaxValueForGenes(genePosition) + 1);
        while( GenomeManipulator.IsTickerContainedInGenome(returnValue,genome) )
        //the portfolio can't have a long position and a short one for the same ticker 
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
!                                                             genome.GetMaxValueForGenes(genePosition) + 1);
        }
- 
        return returnValue;
      }
--- 234,244 ----
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
!                            genome.GetMaxValueForGenes(genePosition) + 1);
        while( GenomeManipulator.IsTickerContainedInGenome(returnValue,genome) )
        //the portfolio can't have a long position and a short one for the same ticker 
        {
          returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
!                            genome.GetMaxValueForGenes(genePosition) + 1);
        }
        return returnValue;
      }
***************
*** 306,316 ****
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
        int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
!                                                                   genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
!        
! 			while( GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome) )
  			//the portfolio can't have a long position and a short one for the same ticker
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
!                                                                 genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
        }
        GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
--- 250,259 ----
        int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
        int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
!                             genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
!      	while( GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome) )
  			//the portfolio can't have a long position and a short one for the same ticker
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
!                             genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
        }
        GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
***************
*** 319,323 ****
      #region Decode
  
!     protected string decode_getTickerCodeForLongOrShortTrade(int geneValue)
      {
        string initialCharForTickerCode = "";
--- 262,266 ----
      #region Decode
  
!     protected virtual string decode_getTickerCodeForLongOrShortTrade(int geneValue)
      {
        string initialCharForTickerCode = "";
***************
*** 328,332 ****
          initialCharForTickerCode = "-";
        }  
!       return initialCharForTickerCode + this.setOfCandidates[position].Ticker;
      }
  
--- 271,275 ----
          initialCharForTickerCode = "-";
        }  
!       return initialCharForTickerCode + (string)setOfTickers.Rows[position][0];
      }
  
***************
*** 347,351 ****
      public virtual object Decode(Genome genome)
      {
-     	
      	string[] arrayOfTickers = new string[genome.Genes().Length];
        int indexOfTicker;
--- 290,293 ----
***************
*** 355,369 ****
          arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
!                                                       this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
!                                                       this.RateOfReturn,
!                                                       this.Variance);
        return meaning;
-       
      }
      #endregion
  
-     // end of implementation of IGenomeManager
- 
      #region old implementation for variance computation
      /*
--- 297,305 ----
          arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
        return meaning;
      }
      #endregion
  
      #region old implementation for variance computation
      /*
***************
*** 412,427 ****
      #endregion
           
-    
-     //this protected method must be overriden by inherited classes
-     //specifing the type of rates of return that have to 
-     //be analyzed
-     protected virtual float[] getArrayOfRatesOfReturn(string ticker)
-     {
-     	float[] returnValue = null;
-     	this.numberOfExaminedReturns = returnValue.Length;
-     	return returnValue;
-     	
-     }
-     
      protected virtual double getTickerWeight(int[] genes, int tickerPositionInGenes)
      {
--- 348,351 ----
***************
*** 429,473 ****
        //weights for tickers are all the same in this implementation
      }
-     
-     #region getPortfolioRatesOfReturn
-     
-     protected int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInSetOfCandidates(int geneValueForTickerIdx)
-     {
-       int position = geneValueForTickerIdx;
-       if(geneValueForTickerIdx < 0)
-         position = Math.Abs(geneValueForTickerIdx) - 1;
-       return position;
-     }
-     
-     protected float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(int[] genes,
-                                                                                int tickerPositionInGenes,
-                                                                                int arrayElementPosition)
-     {
-       bool longReturns = false;
-       if(genes[tickerPositionInGenes] >= 0)
-         //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
-         longReturns = true;
-       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInSetOfCandidates(genes[tickerPositionInGenes]);
-       this.setOfCandidates[position].LongRatesOfReturn = longReturns;
-       float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
-       double tickerWeight = this.getTickerWeight(genes,tickerPositionInGenes);
-       return (arrayOfRatesOfReturn[arrayElementPosition]*(float)tickerWeight);
-     }    
-     
-     protected virtual double[] getPortfolioRatesOfReturn(int[] genes)
-     {
-       double[] returnValue = new double[this.numberOfExaminedReturns];
-       for(int i = 0; i<returnValue.Length; i++)    
-       {  
-         for(int j=0; j<genes.Length; j++)
-           returnValue[i] +=
-             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,j,i);
-       }
-       return returnValue;
-     }
- 
-     #endregion
-     
    }
- 
  }
--- 353,356 ----

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators GenomeManagerForFPOscillatorCTC.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators

Modified Files:
	GenomeManagerForFPOscillatorCTC.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerForFPOscillatorCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators/GenomeManagerForFPOscillatorCTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerForFPOscillatorCTC.cs	14 May 2006 15:29:22 -0000	1.1
--- GenomeManagerForFPOscillatorCTC.cs	14 Jan 2008 23:38:36 -0000	1.2
***************
*** 24,31 ****
--- 24,37 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,44 ****
--- 47,51 ----
    {
      private int numDaysForReturnCalculation;
+     private ReturnsManager returnsManager;
      
      public GenomeManagerForFPOscillatorCTC(DataTable setOfInitialTickers,
***************
*** 47,51 ****
                                                   int numberOfTickersInPortfolio,
                                                   int numDaysForReturnCalculation,
!                                                  PortfolioType portfolioType)
                                                   :
                                                  base(setOfInitialTickers,
--- 54,59 ----
                                                   int numberOfTickersInPortfolio,
                                                   int numDaysForReturnCalculation,
!                                                  PortfolioType portfolioType,
!                                                  string benchmark)
                                                   :
                                                  base(setOfInitialTickers,
***************
*** 54,226 ****
                                                  numberOfTickersInPortfolio,
                                                  0.0,
!                                                 portfolioType)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.retrieveData();
!     }
!     
!     private float[] getArrayOfRatesOfReturn_getAdjustedArray(Quotes sourceQuotes,
!                                                              int numDaysForHalfPeriod,
!                                                              ref DateTime firstQuoteDate)
!     {
!       float[] returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(sourceQuotes,
!     	                                                                  Quotes.AdjustedCloseToCloseRatio);
!       for(int i = 0;i<returnValue.Length;i++)
!       	returnValue[i] = returnValue[i]-1;
!       //in order to be alligned at the following market day,
!       //the array has to be long n, where n is such that
!       //n%(2 * hp) + 1 = 2 * hp (hp = half period)
!       //if some rates are deleted, first quote day has to be updated
!       while( (returnValue.Length + 1) % (2*numDaysForHalfPeriod) != 0)
!       {
!         float[] newReturnValue = new float[returnValue.Length - 1];
!         for(int k = 0;k<returnValue.Length - 1;k++)
!           newReturnValue[k] = returnValue[k + 1];
!         returnValue = newReturnValue;
!         firstQuoteDate = firstQuoteDate.AddDays(1);
!         firstQuoteDate = sourceQuotes.GetQuoteDateOrFollowing(firstQuoteDate);
!       }
! 
!       return returnValue;
!     }
! 
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = this.getArrayOfRatesOfReturn_getAdjustedArray(tickerQuotes, this.numDaysForReturnCalculation,
!                                                                   ref this.firstQuoteDate);
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
! 
! //   	//implementation with fitness as average of modified sh for single tickers
! //    private double getFitnessValue_getModifiedSharpeRatioForTicker(int[] genes,
! //                                                           int tickerPositionInGenes)
! //    {
! //      bool longReturns = false;
! //      if(genes[tickerPositionInGenes] > 0)
! //        //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
! //        longReturns = true;
! //      int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(genes[tickerPositionInGenes]);
! //      this.setOfCandidates[position].LongRatesOfReturn = longReturns;
! //      float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
! //      float[] strategyReturns = new float[arrayOfRatesOfReturn.Length];
! //      float sign = 1.0F;
! //      for(int i=0; i<arrayOfRatesOfReturn.Length; i++)
! //      {
! //      	if(i > 0 && (i % this.numDaysForReturnCalculation  ==  0) )
! //	          sign = -sign;
! //	      	
! //	      strategyReturns[i] = sign * arrayOfRatesOfReturn[i];
! //	    }
! //      double stdDev = BasicFunctions.StdDev(strategyReturns);
! //      double powerForStdDev = 2.0;
! //      
! //      return  BasicFunctions.SimpleAverage(strategyReturns)/
! //      				Math.Pow(stdDev, powerForStdDev);
! //    }
! //    
! ////    new implementation: fitness is the averaged sum of the "modified" sharpeRatios 
! ////    for each single ticker
! //    public override double GetFitnessValue(Genome genome)
! //    {
! //      double returnValue = 0.0;
! //      for(int i = 0; i<genome.Size; i++)
! //      {
! //      	returnValue += this.getFitnessValue_getModifiedSharpeRatioForTicker( genome.Genes(),i );
! //      }
! //      return returnValue/genome.Size;	
! //    }
!     
!     public override object Decode(Genome genome)
!     {
!     	
!     	string[] arrayOfTickers = new string[genome.Genes().Length];
!       int indexOfTicker;
!       for(int index = 0; index < genome.Genes().Length; index++)
!       {
!         indexOfTicker = (int)genome.Genes().GetValue(index);
!         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
!       }
!       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
!       return meaning;
      }
      
!     //OLD IMPLEMENTATION - linear combination
!     public override double GetFitnessValue(Genome genome)
      {
!       double returnValue = 0.0;
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       
!       double[] oscillatorPortfolioRatesOfReturn = this.getFitnessValue_getOscillatorRates();
!       
!       double averageOscillatorPortfolioRateOfReturn = 
!             BasicFunctions.SimpleAverage(oscillatorPortfolioRatesOfReturn);
!         
!       double oscillatorPortfolioStdDev = 
!             BasicFunctions.StdDev(oscillatorPortfolioRatesOfReturn);
! 
!       returnValue = averageOscillatorPortfolioRateOfReturn /
!                     Math.Pow(oscillatorPortfolioStdDev,1.2);
!      
!       return returnValue; 
      }
      
!     private double[] getFitnessValue_getOscillatorRates()
!     {
!     	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!       double sign = 1.0;
!       for(int i = 0;i<this.PortfolioRatesOfReturn.Length; i++)
        {
!       	if(i > 0 && (i % this.numDaysForReturnCalculation  ==  0) )
!           sign = -sign;
!         returnValue[i] = sign*this.PortfolioRatesOfReturn[i];
        }
- 
        return returnValue;
!     }
! 	
! 		//new implementation: changed how fitness is computed
! 		//now it is the sharpe ratio for the equity line resulting
! 		//from applying the strategy
! //	  public override double GetFitnessValue(Genome genome)
! //    {
! //      double returnValue = 0.0;
! //      this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
! //      
! //      double[] equityLine = this.getFitnessValue_getEquityLineRates();
! //      
! //      double averageEquityLineRateOfReturn = 
! //            BasicFunctions.SimpleAverage(equityLine);
! //        
! //      double equityLineStdDev = 
! //            BasicFunctions.StdDev(equityLine);
! //
! //      returnValue = averageEquityLineRateOfReturn /
! //                    Math.Pow(equityLineStdDev,2.0);
! //     
! //      return returnValue; 
! //    }
! //    
! //    private double[] getFitnessValue_getEquityLineRates()
! //    {
! //    	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
! //      double sign = 1.0;
! //      for(int i = this.numDaysForReturnCalculation - 1;
! //          i<this.PortfolioRatesOfReturn.Length;
! //          i++)
! //      {
! //      	// if gain of last half period is negative, 
! //      	// then add to the array the returns of the second half
! //      }
! //
! //      return returnValue;
! //    }
! 	
!   }
! 
  }
--- 62,112 ----
                                                  numberOfTickersInPortfolio,
                                                  0.0,
!                                                 portfolioType,
!                                                	benchmark)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.setReturnsManager(firstQuoteDate , lastQuoteDate);
      }
      
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
      {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new CloseToCloseIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark,
! 															  this.numDaysForReturnCalculation),
! 														new HistoricalAdjustedQuoteProvider() );
      }
      
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
!     	for(int i = 0; i < returnValue.Length; i++)
        {
!     		if( i%2 == 0 )
!     		//even periods are expected to have the same sign as plain ctc returns
!     			returnValue[i] = plainReturns[i];
!     		else//odd periods are reversed
!     			returnValue[i] = - plainReturns[i];
        }
        return returnValue;
! 		}
!     
!     protected override float[] getStrategyReturns()
! 		{
! 			float[] plainReturns = 
! 				this.weightedPositionsFromGenome.GetReturns(
!         this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
!   }  
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b7_Scripts/TickerSelectionTesting/TestingOTCTypes

Modified Files:
	GenomeManagerForEfficientOTCTypes.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerForEfficientOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/GenomeManagerForEfficientOTCTypes.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerForEfficientOTCTypes.cs	14 May 2006 18:36:37 -0000	1.2
--- GenomeManagerForEfficientOTCTypes.cs	14 Jan 2008 23:38:36 -0000	1.3
***************
*** 38,44 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCTypes : GenomeManagerForEfficientPortfolio
    {
!     private GenomeManagerForEfficientCTOPortfolio genManCTO;
      public GenomeManagerForEfficientOTCTypes(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
--- 38,46 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCTypes : GenomeManagerForEfficientOTCCTOPortfolio
    {
! //    private GenomeManagerForEfficientCTOPortfolio genManCTO;
! //		private string benchmark;
! 
      public GenomeManagerForEfficientOTCTypes(DataTable setOfInitialTickers,
                                                   DateTime firstQuoteDate,
***************
*** 46,50 ****
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType)
                                  :base(setOfInitialTickers,
                                       firstQuoteDate,
--- 48,53 ----
                                                   int numberOfTickersInPortfolio,
                                                   double targetPerformance,
!                                                  PortfolioType portfolioType,
! 																								 string benchmark)
                                  :base(setOfInitialTickers,
                                       firstQuoteDate,
***************
*** 52,115 ****
                                       numberOfTickersInPortfolio,
                                       targetPerformance,
!                                      portfolioType)
                            
      {
!       this.retrieveData();
!       this.genManCTO = new GenomeManagerForEfficientCTOPortfolio(setOfInitialTickers,
!                                      firstQuoteDate,
!                                      lastQuoteDate,
!                                      numberOfTickersInPortfolio,
!                                      targetPerformance,
!                                      portfolioType);
      }
      //rate of return = rawClose/rawOpen - 1
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
!     
!     public override double GetFitnessValue(Genome genome)
!     {
!       double returnValue = 0;
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       double averagePortfolioRateOfReturn = 
!         BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
!         
!       double portfolioVariance = 
!         BasicFunctions.Variance(this.portfolioRatesOfReturn);
! 
!       if(!Double.IsInfinity(portfolioVariance) &&
!         !Double.IsInfinity(averagePortfolioRateOfReturn) &&
!         !Double.IsNaN(portfolioVariance) &&
!         !Double.IsNaN(averagePortfolioRateOfReturn) &&
!         portfolioVariance > 0.0)
!         //both variance and rate of return are 
!         //double values computed in the right way:
!         // so it's possible to assign fitness
!       {
!         this.variance = portfolioVariance;
!         this.rateOfReturn = averagePortfolioRateOfReturn;
!         //returnValue = this.getFitnessValue_calculate();
!         returnValue = this.getFitnessValue_calculate() -
!                       this.genManCTO.GetFitnessValue(genome);
!         
!       }
!       
!       return returnValue;
!     }
! 
!     
!     protected override double getFitnessValue_calculate()
!     {
!       return this.RateOfReturn/Math.Sqrt(this.Variance);
!     }
!     
!     
!   }
! 
  }
--- 55,118 ----
                                       numberOfTickersInPortfolio,
                                       targetPerformance,
!                                      portfolioType,
! 																		 benchmark)
                            
      {
! //      this.benchmark = benchmark;
! //			this.retrieveData();
! //      this.genManCTO = new GenomeManagerForEfficientCTOPortfolio(setOfInitialTickers,
! //                                     firstQuoteDate,
! //                                     lastQuoteDate,
! //                                     numberOfTickersInPortfolio,
! //                                     targetPerformance,
! //                                     portfolioType,
! //																		 benchmark);
      }
      //rate of return = rawClose/rawOpen - 1
! //    protected override float[] getArrayOfRatesOfReturn(string ticker)
! //    {
! //      float[] returnValue = null;
! //      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
! //      returnValue = ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
! //      this.numberOfExaminedReturns = returnValue.Length;
! //      
! //      return returnValue;
! //    }
! //    
! //    public override double GetFitnessValue(Genome genome)
! //    {
! //      double returnValue = 0;
! //      this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
! //      double averagePortfolioRateOfReturn = 
! //        BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
! //        
! //      double portfolioVariance = 
! //        BasicFunctions.Variance(this.portfolioRatesOfReturn);
! //
! //      if(!Double.IsInfinity(portfolioVariance) &&
! //        !Double.IsInfinity(averagePortfolioRateOfReturn) &&
! //        !Double.IsNaN(portfolioVariance) &&
! //        !Double.IsNaN(averagePortfolioRateOfReturn) &&
! //        portfolioVariance > 0.0)
! //        //both variance and rate of return are 
! //        //double values computed in the right way:
! //        // so it's possible to assign fitness
! //      {
! //        this.variance = portfolioVariance;
! //        this.rateOfReturn = averagePortfolioRateOfReturn;
! //        //returnValue = this.getFitnessValue_calculate();
! //        returnValue = this.getFitnessValue_calculate() -
! //                      this.genManCTO.GetFitnessValue(genome);
! //        
! //      }
! //      
! //      return returnValue;
! //    }
! //
! //    
! //    protected override double getFitnessValue_calculate()
! //    {
! //      return this.RateOfReturn/Math.Sqrt(this.Variance);
! //    }
!    }
  }