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From: Glauco S. <gla...@us...> - 2007-10-28 22:28:29
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12700/b4_Business Modified Files: Business_SD.csproj Log Message: The Sharpdevelop project is aligned to the VSNet project Index: Business_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** Business_SD.csproj 29 Aug 2007 10:34:58 -0000 1.4 --- Business_SD.csproj 28 Oct 2007 22:28:26 -0000 1.5 *************** *** 38,41 **** --- 38,45 ---- </PropertyGroup> <ItemGroup> + <Reference Include="Interop.Excel"> + <HintPath>..\..\Interop.Excel.dll</HintPath> + <SpecificVersion>False</SpecificVersion> + </Reference> <Reference Include="System" /> <Reference Include="System.Data" /> *************** *** 47,54 **** <Private>True</Private> </Reference> - <Reference Include="Interop.Excel"> - <HintPath>..\..\Interop.Excel.dll</HintPath> - <Private>True</Private> - </Reference> <Reference Include="Interop.Office"> <HintPath>..\..\Interop.Office.dll</HintPath> --- 51,54 ---- *************** *** 58,61 **** --- 58,70 ---- </ItemGroup> <ItemGroup> + <Compile Include="a05_Timing\EndOfDayHistory.cs" /> + <Compile Include="a07_DataProviders\HistoricalQuoteProvider.cs" /> + <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\AverageNumberOfTransactionsPerDay.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\CloseToCloseIntervals.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\CloseToOpenIntervals.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\DailyOpenToCloseIntervals.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\OpenToCloseCloseToOpenIntervals.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\ReturnInterval.cs" /> + <Compile Include="a2_Strategies\returnsManagement\time\ReturnIntervals.cs" /> <Compile Include="AssemblyInfo.cs" /> <Compile Include="a0_Validation\IValidator.cs" /> *************** *** 163,167 **** <Compile Include="a2_Strategies\EquityEvaluation\IEquityEvaluator.cs" /> <Compile Include="a2_Strategies\EquityEvaluation\WinningPeriods.cs" /> - <Compile Include="a2_Strategies\returnsManagement\CloseToCloseReturnsManager.cs" /> <Compile Include="a2_Strategies\returnsManagement\ReturnsManager.cs" /> <Compile Include="a2_Strategies\SignedTickers.cs" /> --- 172,175 ---- *************** *** 171,174 **** --- 179,188 ---- <Compile Include="a2_Strategies\EquityEvaluation\ExpectancyScore.cs" /> <Compile Include="a2_Strategies\EquityEvaluation\SharpeRatio.cs" /> + <None Include="a2_Strategies\returnsManagement\time\CVS\Entries" /> + <None Include="a2_Strategies\returnsManagement\time\CVS\Entries.Extra" /> + <None Include="a2_Strategies\returnsManagement\time\CVS\Entries.Extra.Old" /> + <None Include="a2_Strategies\returnsManagement\time\CVS\Entries.Old" /> + <None Include="a2_Strategies\returnsManagement\time\CVS\Repository" /> + <None Include="a2_Strategies\returnsManagement\time\CVS\Root" /> </ItemGroup> <ItemGroup> *************** *** 187,190 **** --- 201,206 ---- <Folder Include="a2_Strategies\EquityEvaluation" /> <Folder Include="a2_Strategies\returnsManagement" /> + <Folder Include="a2_Strategies\returnsManagement\time" /> + <Folder Include="a2_Strategies\returnsManagement\time\CVS" /> </ItemGroup> <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" /> |
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From: Glauco S. <gla...@us...> - 2007-10-28 22:24:48
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10823/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger Modified Files: WFLagLog.cs Log Message: - the Add method now has a WFLagLogItem parameter. It had a WFLagChosenPositions in the previous revision Index: WFLagLog.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagLog.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** WFLagLog.cs 24 Jun 2006 14:46:00 -0000 1.2 --- WFLagLog.cs 28 Oct 2007 22:24:42 -0000 1.3 *************** *** 40,44 **** private TransactionHistory transactionHistory; ! private History chosenPositionsHistory; public int InSampleDays --- 40,44 ---- private TransactionHistory transactionHistory; ! private History logItemsHistory; public int InSampleDays *************** *** 59,63 **** public History ChosenPositionsHistory { ! get { return this.chosenPositionsHistory; } } public WFLagLog( int inSampleDays , string benchmark ) --- 59,63 ---- public History ChosenPositionsHistory { ! get { return this.logItemsHistory; } } public WFLagLog( int inSampleDays , string benchmark ) *************** *** 65,69 **** this.inSampleDays = inSampleDays; this.benchmark = benchmark; ! this.chosenPositionsHistory = new History(); } /// <summary> --- 65,69 ---- this.inSampleDays = inSampleDays; this.benchmark = benchmark; ! this.logItemsHistory = new History(); } /// <summary> *************** *** 113,131 **** #endregion ! public void Add( WFLagChosenPositions wFLagChosenPositions ) { ! this.chosenPositionsHistory.Add( ! wFLagChosenPositions.LastOptimizationDate , ! wFLagChosenPositions ); } ! public WFLagChosenPositions GetChosenPositions( DateTime transactionDateTime ) { DateTime maxDateTimeForSettingRequestedChosenPosition = transactionDateTime.AddDays( - 1 ); ! WFLagChosenPositions wFLagChosenPositions = ! (WFLagChosenPositions)this.chosenPositionsHistory.GetByKeyOrPrevious( maxDateTimeForSettingRequestedChosenPosition ); ! return wFLagChosenPositions; } } --- 113,131 ---- #endregion ! public void Add( WFLagLogItem wFLagLogItem ) { ! this.logItemsHistory.Add( ! wFLagLogItem.LastOptimizationDate , ! wFLagLogItem ); } ! public WFLagLogItem GetLogItem( DateTime transactionDateTime ) { DateTime maxDateTimeForSettingRequestedChosenPosition = transactionDateTime.AddDays( - 1 ); ! WFLagLogItem wFLagLogItem = ! (WFLagLogItem)this.logItemsHistory.GetByKeyOrPrevious( maxDateTimeForSettingRequestedChosenPosition ); ! return wFLagLogItem; } } |
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From: Glauco S. <gla...@us...> - 2007-10-28 22:23:06
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9925/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagMain.cs Log Message: Minor change: a new backtest is invoked, but I commit it to be sure the checkout can be built Index: WFLagMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagMain.cs,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** WFLagMain.cs 7 Oct 2007 13:32:01 -0000 1.13 --- WFLagMain.cs 28 Oct 2007 22:23:02 -0000 1.14 *************** *** 144,160 **** // new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() ); // wFLagWeightedPositionsChooser = new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() , ! 10000 , 30 ); // wFLagWeightedPositionsChooser = ! // new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( // 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! // new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , ! // 10000 , 30 ); ! wFLagWeightedPositionsChooser = ! new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving( ! 3 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ); // new RunWalkForwardLag( "DrvPstns" , 200 , // wFLagWeightedPositionsChooser , 7 , --- 144,160 ---- // new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() ); // wFLagWeightedPositionsChooser = + // new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( + // 3 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , + // new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , + // 1000 , 20 ); + wFLagWeightedPositionsChooser = new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , ! 1000 , 3 ); // wFLagWeightedPositionsChooser = ! // new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving( // 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! // new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ); // new RunWalkForwardLag( "DrvPstns" , 200 , // wFLagWeightedPositionsChooser , 7 , |
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From: Glauco S. <gla...@us...> - 2007-10-28 22:21:45
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9399/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagWeightedPositions.cs Log Message: A static property TestInstance has been added, it will be useful for testing purposes Index: WFLagWeightedPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagWeightedPositions.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagWeightedPositions.cs 30 Jul 2006 13:00:24 -0000 1.1 --- WFLagWeightedPositions.cs 28 Oct 2007 22:21:34 -0000 1.2 *************** *** 27,31 **** namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag { - [Serializable] /// <summary> /// This class identifies all the weighted positions to apply --- 27,30 ---- *************** *** 34,37 **** --- 33,37 ---- /// can be decoded to an instance of this class /// </summary> + [Serializable] public class WFLagWeightedPositions { *************** *** 48,51 **** --- 48,60 ---- } + public static WFLagWeightedPositions TestInstance + { + get + { + WFLagWeightedPositions testInstance = new WFLagWeightedPositions( + WeightedPositions.TestInstance , WeightedPositions.TestInstance ); + return testInstance; + } + } public WFLagWeightedPositions( WeightedPositions drivingWeightedPositions , |
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From: Glauco S. <gla...@us...> - 2007-10-28 22:19:23
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8376/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger Modified Files: WFLagSharpeRatioComputer.cs Log Message: The GetSharpeRatio method now takes a WFLagWeightedPositions as an argument, it took a WFLagChosenPositions in the previous revision Index: WFLagSharpeRatioComputer.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagSharpeRatioComputer.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WFLagSharpeRatioComputer.cs 30 Jul 2006 13:37:05 -0000 1.3 --- WFLagSharpeRatioComputer.cs 28 Oct 2007 22:19:18 -0000 1.4 *************** *** 96,105 **** } private static SortedList getCommonMarketDays( ! WFLagChosenPositions wFLagChosenPositions , DateTime firstDate , DateTime lastDate ) { string[] tickers = WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers( ! wFLagChosenPositions ); SortedList commonMarketDays = QuantProject.Data.DataTables.Quotes.GetCommonMarketDays( --- 96,105 ---- } private static SortedList getCommonMarketDays( ! WFLagWeightedPositions wFLagWeightedPositions , DateTime firstDate , DateTime lastDate ) { string[] tickers = WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers( ! wFLagWeightedPositions ); SortedList commonMarketDays = QuantProject.Data.DataTables.Quotes.GetCommonMarketDays( *************** *** 108,121 **** } private static double[] getStrategyReturns( ! WFLagChosenPositions wFLagChosenPositions , DateTime firstDate , DateTime lastDate ) { SortedList commonMarketDays = ! getCommonMarketDays( wFLagChosenPositions , firstDate , lastDate ); double[] drivingPositionsReturns = ! wFLagChosenPositions.DrivingWeightedPositions.GetCloseToClosePortfolioReturns( commonMarketDays ); double[] portfolioPositionsReturns = ! wFLagChosenPositions.PortfolioWeightedPositions.GetCloseToClosePortfolioReturns( commonMarketDays ); double[] strategyReturns = getStrategyReturns( --- 108,121 ---- } private static double[] getStrategyReturns( ! WFLagWeightedPositions wFLagWeightedPositions , DateTime firstDate , DateTime lastDate ) { SortedList commonMarketDays = ! getCommonMarketDays( wFLagWeightedPositions , firstDate , lastDate ); double[] drivingPositionsReturns = ! wFLagWeightedPositions.DrivingWeightedPositions.GetCloseToClosePortfolioReturns( commonMarketDays ); double[] portfolioPositionsReturns = ! wFLagWeightedPositions.PortfolioWeightedPositions.GetCloseToClosePortfolioReturns( commonMarketDays ); double[] strategyReturns = getStrategyReturns( *************** *** 126,130 **** public static double GetSharpeRatio( ! WFLagChosenPositions wFLagChosenPositions , DateTime firstDate , DateTime lastDate ) { --- 126,130 ---- public static double GetSharpeRatio( ! WFLagWeightedPositions wFLagWeightedPositions , DateTime firstDate , DateTime lastDate ) { *************** *** 133,137 **** { double[] strategyReturns = getStrategyReturns( ! wFLagChosenPositions , firstDate , lastDate ); sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns ); } --- 133,137 ---- { double[] strategyReturns = getStrategyReturns( ! wFLagWeightedPositions , firstDate , lastDate ); sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns ); } *************** *** 144,148 **** } public static double GetExpectancyScore( ! WFLagChosenPositions wFLagChosenPositions , DateTime firstDate , DateTime lastDate ) { --- 144,148 ---- } public static double GetExpectancyScore( ! WFLagWeightedPositions wFLagWeightedPositions , DateTime firstDate , DateTime lastDate ) { *************** *** 151,155 **** { double[] strategyReturns = getStrategyReturns( ! wFLagChosenPositions , firstDate , lastDate ); expectancyScore = AdvancedFunctions.GetExpectancyScore( strategyReturns ); --- 151,155 ---- { double[] strategyReturns = getStrategyReturns( ! wFLagWeightedPositions , firstDate , lastDate ); expectancyScore = AdvancedFunctions.GetExpectancyScore( strategyReturns ); |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:35:13
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30389/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger Modified Files: WFLagRunGenomesDebugger.cs Log Message: The code has been changed in order to use the new constructor for WFLagChosenPositionsDebugInfo Index: WFLagRunGenomesDebugger.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagRunGenomesDebugger.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** WFLagRunGenomesDebugger.cs 22 Jul 2006 20:29:01 -0000 1.4 --- WFLagRunGenomesDebugger.cs 28 Oct 2007 19:35:09 -0000 1.5 *************** *** 58,66 **** } private void computeList_setChosenPositionsDebugInfoList_addDebugInfo( ! WFLagChosenPositions wFLagChosenPositions ) { WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = ! new WFLagChosenPositionsDebugInfo( wFLagChosenPositions , ! this.wFLagLog ); this.chosenPositionsDebugInfoList.Add( wFLagChosenPositionsDebugInfo ); } --- 58,69 ---- } private void computeList_setChosenPositionsDebugInfoList_addDebugInfo( ! WFLagLogItem wFLagLogItem ) { WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = ! new WFLagChosenPositionsDebugInfo( ! wFLagLogItem.WFLagWeightedPositions , ! wFLagLogItem.LastOptimizationDate , ! wFLagLogItem.Generation , ! this.wFLagLog ); this.chosenPositionsDebugInfoList.Add( wFLagChosenPositionsDebugInfo ); } *************** *** 69,76 **** { this.chosenPositionsDebugInfoList = new ArrayList(); ! foreach ( WFLagChosenPositions wFLagChosenPositions in this.chosenPositionsCollection ) this.computeList_setChosenPositionsDebugInfoList_addDebugInfo( ! wFLagChosenPositions ); } private void computeList() --- 72,79 ---- { this.chosenPositionsDebugInfoList = new ArrayList(); ! foreach ( WFLagLogItem wFLagLogItem in this.chosenPositionsCollection ) this.computeList_setChosenPositionsDebugInfoList_addDebugInfo( ! wFLagLogItem ); } private void computeList() |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:34:28
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29947/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger Modified Files: WFLagReportDebugger.cs Log Message: The code has been changed in order to use the new constructor for WFLagDebugGenome Index: WFLagReportDebugger.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagReportDebugger.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WFLagReportDebugger.cs 22 Jul 2006 20:33:04 -0000 1.3 --- WFLagReportDebugger.cs 28 Oct 2007 19:34:24 -0000 1.4 *************** *** 91,96 **** this.getRowDateTime( (DataGrid)sender , rowNumber ); WFLagDebugGenome wFLagDebugGenome = ! new WFLagDebugGenome( this.wFLagLog.GetChosenPositions( transactionDateTime ) , ! this.wFLagLog.InSampleDays , this.wFLagLog.Benchmark ); wFLagDebugGenome.Show(); } --- 91,98 ---- this.getRowDateTime( (DataGrid)sender , rowNumber ); WFLagDebugGenome wFLagDebugGenome = ! new WFLagDebugGenome( ! this.wFLagLog.GetLogItem( transactionDateTime ).WFLagWeightedPositions , ! transactionDateTime , this.wFLagLog.InSampleDays , ! this.wFLagLog.Benchmark ); wFLagDebugGenome.Show(); } |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:33:20
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29412/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagNewChosenPositionsEventArgs.cs Log Message: A WFLagLogItem object is now added to this object. It was a WFLagChosenPositions object in the previous revision Index: WFLagNewChosenPositionsEventArgs.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagNewChosenPositionsEventArgs.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagNewChosenPositionsEventArgs.cs 18 Feb 2007 01:13:45 -0000 1.1 --- WFLagNewChosenPositionsEventArgs.cs 28 Oct 2007 19:33:13 -0000 1.2 *************** *** 33,50 **** public class WFLagNewChosenPositionsEventArgs : EventArgs { ! private WFLagChosenPositions wFLagChosenPositions; ! public WFLagChosenPositions WFLagChosenPositions { get { ! return this.wFLagChosenPositions; } } public WFLagNewChosenPositionsEventArgs( ! WFLagChosenPositions wFLagChosenPositions ) { ! this.wFLagChosenPositions = wFLagChosenPositions; } } --- 33,50 ---- public class WFLagNewChosenPositionsEventArgs : EventArgs { ! private WFLagLogItem wFLagLogItem; ! public WFLagLogItem WFLagLogItem { get { ! return this.wFLagLogItem; } } public WFLagNewChosenPositionsEventArgs( ! WFLagLogItem wFLagLogItem ) { ! this.wFLagLogItem = wFLagLogItem; } } |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:19:03
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22236/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagEndOfDayTimerHandler.cs Log Message: A WFLagLogItem object is now rised up with a WFLagNewChosenPositionsEventArgs event argument Index: WFLagEndOfDayTimerHandler.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEndOfDayTimerHandler.cs,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** WFLagEndOfDayTimerHandler.cs 11 Jun 2007 17:52:04 -0000 1.8 --- WFLagEndOfDayTimerHandler.cs 28 Oct 2007 19:18:59 -0000 1.9 *************** *** 33,36 **** --- 33,37 ---- using QuantProject.Business.Timing; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers; + using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger; *************** *** 377,392 **** this.eligibleTickers.EligibleTickers.Rows.Count; RunWalkForwardLag.WriteToTextLog( outputMessage ); - // Console.WriteLine( "Number of Eligible tickers: " + - // this.eligibleTickers.EligibleTickers.Rows.Count ); - // this.chosenTickers.SetWeightedPositions( this.eligibleTickers , - // this.account.EndOfDayTimer.GetCurrentTime() ); this.wFLagWeightedPositionsChooser.ChosePositions( this.eligibleTickers , this.eligibleTickers , ! this.account.EndOfDayTimer.GetCurrentTime() ); this.arePositionsUpToDateWithChosenTickers = false; ! this.NewChosenPositions( this , ! new WFLagNewChosenPositionsEventArgs( ! this.wFLagWeightedPositionsChooser.WFLagChosenPositions ) ); this.lastOptimizationDate = this.now().DateTime; } --- 378,394 ---- this.eligibleTickers.EligibleTickers.Rows.Count; RunWalkForwardLag.WriteToTextLog( outputMessage ); this.wFLagWeightedPositionsChooser.ChosePositions( this.eligibleTickers , this.eligibleTickers , ! this.now() ); this.arePositionsUpToDateWithChosenTickers = false; ! WFLagLogItem wFLagLogItem = ! new WFLagLogItem( ! this.wFLagWeightedPositionsChooser.WFLagChosenPositions , ! this.wFLagWeightedPositionsChooser.GenerationWhenChosenPositionsWereFound , ! this.now().DateTime ); ! this.NewChosenPositions( ! this , new WFLagNewChosenPositionsEventArgs( ! wFLagLogItem ) ); this.lastOptimizationDate = this.now().DateTime; } |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:16:51
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21305/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions Modified Files: WFLagDebugPositionsEndOfDayTimerHandler.cs Log Message: A private WFLagChosenPositions member has been replaced by a private WFLagWeightedPositions member and the code has been arranged accordingly Index: WFLagDebugPositionsEndOfDayTimerHandler.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositionsEndOfDayTimerHandler.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** WFLagDebugPositionsEndOfDayTimerHandler.cs 30 Jul 2006 13:40:35 -0000 1.2 --- WFLagDebugPositionsEndOfDayTimerHandler.cs 28 Oct 2007 19:16:48 -0000 1.3 *************** *** 38,49 **** { private Account account; ! private WFLagChosenPositions wFLagChosenPositions; public WFLagDebugPositionsEndOfDayTimerHandler( Account account , ! WFLagChosenPositions wFLagChosenPositions ) { this.account = account; ! this.wFLagChosenPositions = wFLagChosenPositions; } #region FiveMinutesBeforeMarketCloseEventHandler --- 38,49 ---- { private Account account; ! private WFLagWeightedPositions wFLagWeightedPositions; public WFLagDebugPositionsEndOfDayTimerHandler( Account account , ! WFLagWeightedPositions wFLagWeightedPositions ) { this.account = account; ! this.wFLagWeightedPositions = wFLagWeightedPositions; } #region FiveMinutesBeforeMarketCloseEventHandler *************** *** 53,57 **** DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime; foreach ( WeightedPosition weightedPosition in ! this.wFLagChosenPositions.DrivingWeightedPositions.Values ) todayTotalGain += weightedPosition.GetCloseToCloseDailyReturn( today ); --- 53,57 ---- DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime; foreach ( WeightedPosition weightedPosition in ! this.wFLagWeightedPositions.DrivingWeightedPositions.Values ) todayTotalGain += weightedPosition.GetCloseToCloseDailyReturn( today ); *************** *** 76,80 **** Position firstAccountPosition = this.getFirstAccountPosition(); WeightedPosition weightedPosition = ! this.wFLagChosenPositions.PortfolioWeightedPositions.GetWeightedPosition( firstAccountPosition.Instrument.Key ); bool isReversed = --- 76,80 ---- Position firstAccountPosition = this.getFirstAccountPosition(); WeightedPosition weightedPosition = ! this.wFLagWeightedPositions.PortfolioWeightedPositions.GetWeightedPosition( firstAccountPosition.Instrument.Key ); bool isReversed = *************** *** 152,156 **** // this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account ); foreach ( WeightedPosition weightedPosition in ! this.wFLagChosenPositions.PortfolioWeightedPositions.Values ) this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( weightedPosition ); --- 152,156 ---- // this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account ); foreach ( WeightedPosition weightedPosition in ! this.wFLagWeightedPositions.PortfolioWeightedPositions.Values ) this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( weightedPosition ); |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:16:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21236/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions Modified Files: WFLagDebugPositions.cs Log Message: - a private WFLagChosenPositions member has been replaced by a private WFLagWeightedPositions member and the code has been arranged accordingly - the report.Show() has been changed to a report.ShowDialog() Index: WFLagDebugPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositions.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** WFLagDebugPositions.cs 7 Aug 2007 16:53:21 -0000 1.5 --- WFLagDebugPositions.cs 28 Oct 2007 19:16:07 -0000 1.6 *************** *** 41,45 **** public class WFLagDebugPositions { ! private WFLagChosenPositions wFLagChosenPositions; private DateTime preSampleFirstDateTime; private DateTime inSampleFirstDateTime; --- 41,45 ---- public class WFLagDebugPositions { ! private WFLagWeightedPositions wFLagWeightedPositions; private DateTime preSampleFirstDateTime; private DateTime inSampleFirstDateTime; *************** *** 64,68 **** /// <param name="postSampleDays"></param> public WFLagDebugPositions( ! WFLagChosenPositions wFLagChosenPositions , DateTime inSampleLastDateTime , int preSampleDays , --- 64,68 ---- /// <param name="postSampleDays"></param> public WFLagDebugPositions( ! WFLagWeightedPositions wFLagWeightedPositions , DateTime inSampleLastDateTime , int preSampleDays , *************** *** 71,75 **** string benchmark ) { ! this.wFLagChosenPositions = wFLagChosenPositions; this.inSampleLastDateTime = inSampleLastDateTime; this.inSampleFirstDateTime = --- 71,75 ---- string benchmark ) { ! this.wFLagWeightedPositions = wFLagWeightedPositions; this.inSampleLastDateTime = inSampleLastDateTime; this.inSampleFirstDateTime = *************** *** 107,111 **** this.endOfDayTimerHandler = new WFLagDebugPositionsEndOfDayTimerHandler( ! this.account , this.wFLagChosenPositions ); } public void marketOpenEventHandler( Object sender , --- 107,111 ---- this.endOfDayTimerHandler = new WFLagDebugPositionsEndOfDayTimerHandler( ! this.account , this.wFLagWeightedPositions ); } public void marketOpenEventHandler( Object sender , *************** *** 234,246 **** // Color.YellowGreen , report ); this.addEquityLineForWeightedPositions( ! this.wFLagChosenPositions.DrivingWeightedPositions , Color.YellowGreen , report ); this.addEquityLineForWeightedPositions( ! this.wFLagChosenPositions.PortfolioWeightedPositions , Color.Brown , report ); // this.addEquityLineForSignedTickers( // this.wFLagChosenPositions.PortfolioWeightedPositions.Keys , // Color.Brown , report ); ! report.Show(); } } --- 234,246 ---- // Color.YellowGreen , report ); this.addEquityLineForWeightedPositions( ! this.wFLagWeightedPositions.DrivingWeightedPositions , Color.YellowGreen , report ); this.addEquityLineForWeightedPositions( ! this.wFLagWeightedPositions.PortfolioWeightedPositions , Color.Brown , report ); // this.addEquityLineForSignedTickers( // this.wFLagChosenPositions.PortfolioWeightedPositions.Keys , // Color.Brown , report ); ! report.ShowDialog(); } } |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:14:17
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20417/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger Modified Files: WFLagDebugChosenPositionsCollection.cs Log Message: The code has been changed in order to use the new constructor for WFLagDebugGenome. Right clicking the grid now returns a WFLagChosenPositionsDebugInfo, it returned a WFLagChosenPositions in the previous version Index: WFLagDebugChosenPositionsCollection.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagDebugChosenPositionsCollection.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** WFLagDebugChosenPositionsCollection.cs 22 Jul 2006 20:37:20 -0000 1.2 --- WFLagDebugChosenPositionsCollection.cs 28 Oct 2007 19:14:14 -0000 1.3 *************** *** 135,139 **** return hitTestInfo.Row; } ! private WFLagChosenPositions rightClickEventHandler_getWFLagChosenPositions( DataGrid dataGrid , int rowNumber ) { --- 135,140 ---- return hitTestInfo.Row; } ! private WFLagChosenPositionsDebugInfo ! rightClickEventHandler_getWFLagChosenPositionsDebugInfo( DataGrid dataGrid , int rowNumber ) { *************** *** 141,163 **** WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = (WFLagChosenPositionsDebugInfo)(this.chosenPositionsDebugInfoList[ rowNumber ]); ! WFLagChosenPositions wFLagChosenPositions = ! wFLagChosenPositionsDebugInfo.GetChosenPositions(); ! return wFLagChosenPositions; } ! private WFLagChosenPositions rightClickEventHandler_getWFLagChosenPositions( object sender, System.Windows.Forms.MouseEventArgs e ) { int rowNumber = rightClickEventHandler_getRowNumber( sender , e ); ! WFLagChosenPositions wFLagChosenPositions = ! this.rightClickEventHandler_getWFLagChosenPositions( (DataGrid)sender , rowNumber ); ! return wFLagChosenPositions; } private void rightClickEventHandler(object sender, System.Windows.Forms.MouseEventArgs e) { ! WFLagChosenPositions wFLagChosenPositions = ! this.rightClickEventHandler_getWFLagChosenPositions( sender , e ); ! WFLagDebugGenome wFLagDebugGenome = new WFLagDebugGenome( wFLagChosenPositions , this.inSampleDays , this.benchmark ); wFLagDebugGenome.Show(); --- 142,171 ---- WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = (WFLagChosenPositionsDebugInfo)(this.chosenPositionsDebugInfoList[ rowNumber ]); ! return wFLagChosenPositionsDebugInfo; } ! private WFLagChosenPositionsDebugInfo ! rightClickEventHandler_getWFLagChosenPositionsDebugInfo( object sender, System.Windows.Forms.MouseEventArgs e ) { int rowNumber = rightClickEventHandler_getRowNumber( sender , e ); ! WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = ! this.rightClickEventHandler_getWFLagChosenPositionsDebugInfo( ! (DataGrid)sender , rowNumber ); ! return wFLagChosenPositionsDebugInfo; } private void rightClickEventHandler(object sender, System.Windows.Forms.MouseEventArgs e) { ! // wFLagWeightedPositions wFLagChosenPositions = ! // this.rightClickEventHandler_getWFLagChosenPositions( sender , e ); ! WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = ! rightClickEventHandler_getWFLagChosenPositionsDebugInfo( ! sender , e ); ! WFLagWeightedPositions wFLagWeightedPositions = ! wFLagChosenPositionsDebugInfo.GetChosenPositions(); ! WFLagDebugGenome wFLagDebugGenome = new WFLagDebugGenome( ! wFLagWeightedPositions , ! wFLagChosenPositionsDebugInfo.LastOptimization , this.inSampleDays , this.benchmark ); wFLagDebugGenome.Show(); |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:07:04
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16843/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger Modified Files: WFLagDebugGenome.cs Log Message: Since the type WFLagChosenPositions has been removed from qP, the code has been changed so that the new constructor is WFLagDebugGenome( WFLagWeightedPositions wFLagWeightedPositions , DateTime lastOptimizationDate , int inSampleDays , string benchmark ) it was WFLagDebugGenome( WFLagChosenPositions wFLagChosenPositions , int inSampleDays , string benchmark ) in the previous version Index: WFLagDebugGenome.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugGenome.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** WFLagDebugGenome.cs 30 Jul 2006 13:43:42 -0000 1.4 --- WFLagDebugGenome.cs 28 Oct 2007 19:06:59 -0000 1.5 *************** *** 19,23 **** 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; --- 19,23 ---- 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; *************** *** 37,43 **** public class WFLagDebugGenome : System.Windows.Forms.Form { int inSampleDays; string benchmark; ! WFLagChosenPositions wFLagChosenPositions; private WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo; --- 37,44 ---- public class WFLagDebugGenome : System.Windows.Forms.Form { + DateTime lastOptimizationDate; int inSampleDays; string benchmark; ! WFLagWeightedPositions wFLagWeightedPositions; private WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo; *************** *** 64,69 **** private System.ComponentModel.Container components = null; ! public WFLagDebugGenome( WFLagChosenPositions wFLagChosenPositions , ! int inSampleDays , string benchmark ) { // --- 65,71 ---- private System.ComponentModel.Container components = null; ! public WFLagDebugGenome( WFLagWeightedPositions wFLagWeightedPositions , ! DateTime lastOptimizationDate , ! int inSampleDays , string benchmark ) { // *************** *** 75,81 **** // TODO: Add any constructor code after InitializeComponent call // this.inSampleDays = inSampleDays; this.benchmark = benchmark; ! this.wFLagChosenPositions = wFLagChosenPositions; } --- 77,84 ---- // TODO: Add any constructor code after InitializeComponent call // + this.lastOptimizationDate = lastOptimizationDate; this.inSampleDays = inSampleDays; this.benchmark = benchmark; ! this.wFLagWeightedPositions = wFLagWeightedPositions; } *************** *** 207,220 **** this.ClientSize = new System.Drawing.Size(616, 437); this.Controls.AddRange(new System.Windows.Forms.Control[] { ! this.dataGridPortfolioPositions, ! this.dataGridDrivingPositions, ! this.labelPortfolioPositions, ! this.labelDrivingPositions, ! this.PreSampleDays, ! this.testPreSample, ! this.PostSampleDays, ! this.TestPostSample, ! this.TestInSample, ! this.TestPreInSampleAndPost}); this.Name = "WFLagDebugGenome"; this.Text = "WFLagDebugGenome"; --- 210,223 ---- this.ClientSize = new System.Drawing.Size(616, 437); this.Controls.AddRange(new System.Windows.Forms.Control[] { ! this.dataGridPortfolioPositions, ! this.dataGridDrivingPositions, ! this.labelPortfolioPositions, ! this.labelDrivingPositions, ! this.PreSampleDays, ! this.testPreSample, ! this.PostSampleDays, ! this.TestPostSample, ! this.TestInSample, ! this.TestPreInSampleAndPost}); this.Name = "WFLagDebugGenome"; this.Text = "WFLagDebugGenome"; *************** *** 236,240 **** { DateTime preSampleLastDateTime = ! this.wFLagChosenPositions.LastOptimizationDate.AddDays( -this.inSampleDays ); return preSampleLastDateTime; } --- 239,244 ---- { DateTime preSampleLastDateTime = ! this.lastOptimizationDate.AddDays( ! -this.inSampleDays ); return preSampleLastDateTime; } *************** *** 273,277 **** // } private void run( DateTime inSampleLastDateTime , ! int preSampleDays , int inSampleDays , int postSampleDays ) { // WFLagChosenPositions wFLagChosenPositions = --- 277,281 ---- // } private void run( DateTime inSampleLastDateTime , ! int preSampleDays , int inSampleDays , int postSampleDays ) { // WFLagChosenPositions wFLagChosenPositions = *************** *** 279,286 **** // this.transactionDateTime ); WFLagDebugPositions wFLagDebugPositions = ! new WFLagDebugPositions( this.wFLagChosenPositions , ! inSampleLastDateTime , preSampleDays , ! inSampleDays , postSampleDays , ! this.benchmark ); wFLagDebugPositions.Run(); } --- 283,290 ---- // this.transactionDateTime ); WFLagDebugPositions wFLagDebugPositions = ! new WFLagDebugPositions( this.wFLagWeightedPositions , ! inSampleLastDateTime , preSampleDays , ! inSampleDays , postSampleDays , ! this.benchmark ); wFLagDebugPositions.Run(); } *************** *** 288,312 **** { WFLagDebugPositions wFLagDebugPositions = ! new WFLagDebugPositions( this.wFLagChosenPositions , ! this.wFLagChosenPositions.LastOptimizationDate , 30 , ! this.inSampleDays , ! Convert.ToInt32( this.PostSampleDays.Text ) , ! this.benchmark ); wFLagDebugPositions.Run(); } private void TestInSample_Click(object sender, System.EventArgs e) ! { WFLagDebugPositions wFLagDebugPositions = ! new WFLagDebugPositions( this.wFLagChosenPositions , ! this.wFLagChosenPositions.LastOptimizationDate , 0 , ! this.inSampleDays , 0 , ! this.benchmark ); wFLagDebugPositions.Run(); } private void TestPostSample_Click(object sender, System.EventArgs e) { ! this.run( this.wFLagChosenPositions.LastOptimizationDate , ! 0 , 0 , this.getPostSampleDays() ); } --- 292,316 ---- { WFLagDebugPositions wFLagDebugPositions = ! new WFLagDebugPositions( this.wFLagWeightedPositions , ! this.lastOptimizationDate , 30 , ! this.inSampleDays , ! Convert.ToInt32( this.PostSampleDays.Text ) , ! this.benchmark ); wFLagDebugPositions.Run(); } private void TestInSample_Click(object sender, System.EventArgs e) ! { WFLagDebugPositions wFLagDebugPositions = ! new WFLagDebugPositions( this.wFLagWeightedPositions , ! this.lastOptimizationDate , 0 , ! this.inSampleDays , 0 , ! this.benchmark ); wFLagDebugPositions.Run(); } private void TestPostSample_Click(object sender, System.EventArgs e) { ! this.run( this.lastOptimizationDate , ! 0 , 0 , this.getPostSampleDays() ); } *************** *** 316,326 **** { this.run( this.getPreSampleLastDateTime() , ! 0 , this.getPreSampleDays() , 0 ); } catch( MissingQuoteException ex ) { MessageBox.Show( "The pre sample backtest cannot be " + ! "performed, because there are missing quotes.\n" + ! ex.Message ); } } --- 320,330 ---- { this.run( this.getPreSampleLastDateTime() , ! 0 , this.getPreSampleDays() , 0 ); } catch( MissingQuoteException ex ) { MessageBox.Show( "The pre sample backtest cannot be " + ! "performed, because there are missing quotes.\n" + ! ex.Message ); } } *************** *** 329,333 **** { ArrayList drivingWeightedPositions = ! new ArrayList( this.wFLagChosenPositions.DrivingWeightedPositions.Values ); this.dataGridDrivingPositions.DataSource = drivingWeightedPositions; } --- 333,337 ---- { ArrayList drivingWeightedPositions = ! new ArrayList( this.wFLagWeightedPositions.DrivingWeightedPositions.Values ); this.dataGridDrivingPositions.DataSource = drivingWeightedPositions; } *************** *** 335,339 **** { ArrayList portfolioWeightedPositions = ! new ArrayList( this.wFLagChosenPositions.PortfolioWeightedPositions.Values ); this.dataGridPortfolioPositions.DataSource = portfolioWeightedPositions; } --- 339,343 ---- { ArrayList portfolioWeightedPositions = ! new ArrayList( this.wFLagWeightedPositions.PortfolioWeightedPositions.Values ); this.dataGridPortfolioPositions.DataSource = portfolioWeightedPositions; } |
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From: Glauco S. <gla...@us...> - 2007-10-28 19:01:32
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14735/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger Modified Files: WFLagChosenPositionsDebugInfo.cs Log Message: Instead of a private WFLagChosenPositions member now three distinct private members are used: - a WFLagWeightedPositions - an int (generation when the positions are found) - a lastOptimizationDate Index: WFLagChosenPositionsDebugInfo.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** WFLagChosenPositionsDebugInfo.cs 8 Oct 2006 16:10:16 -0000 1.6 --- WFLagChosenPositionsDebugInfo.cs 28 Oct 2007 19:01:26 -0000 1.7 *************** *** 35,39 **** private double dummyValue; private int maxPreSampleDays; ! private WFLagChosenPositions wFLagChosenPositions; private WFLagLog wFLagLog; private double inSampleSharpeRatio; --- 35,41 ---- private double dummyValue; private int maxPreSampleDays; ! private WFLagWeightedPositions wFLagWeightedPositions; ! private int generation; ! private DateTime lastOptimizationDate; private WFLagLog wFLagLog; private double inSampleSharpeRatio; *************** *** 47,59 **** public string DrivingPositions { ! get { return this.wFLagChosenPositions.DrivingWeightedPositions.ToString(); } } public string PortfolioPositions { ! get { return this.wFLagChosenPositions.PortfolioWeightedPositions.ToString(); } } public DateTime LastOptimization { ! get { return this.wFLagChosenPositions.LastOptimizationDate; } } public int InSampleDays --- 49,67 ---- public string DrivingPositions { ! get ! { ! return this.wFLagWeightedPositions.DrivingWeightedPositions.ToString(); ! } } public string PortfolioPositions { ! get ! { ! return this.wFLagWeightedPositions.PortfolioWeightedPositions.ToString(); ! } } public DateTime LastOptimization { ! get { return this.lastOptimizationDate; } } public int InSampleDays *************** *** 67,71 **** public int Generation { ! get { return this.wFLagChosenPositions.Generation; } } public double InSampleSharpeRatio --- 75,79 ---- public int Generation { ! get { return this.generation; } } public double InSampleSharpeRatio *************** *** 107,111 **** } public WFLagChosenPositionsDebugInfo( ! WFLagChosenPositions wFLagChosenPositions , WFLagLog wFLagLog ) { --- 115,121 ---- } public WFLagChosenPositionsDebugInfo( ! WFLagWeightedPositions wFLagWeightedPositions , ! DateTime lastOptimizationDate , ! int generation , WFLagLog wFLagLog ) { *************** *** 115,119 **** this.dummyValue = -999; ! this.wFLagChosenPositions = wFLagChosenPositions; this.wFLagLog = wFLagLog; this.inSampleSharpeRatio = this.getInSampleSharpeRatio(); --- 125,131 ---- this.dummyValue = -999; ! this.wFLagWeightedPositions = wFLagWeightedPositions; ! this.generation = generation; ! this.lastOptimizationDate = lastOptimizationDate; this.wFLagLog = wFLagLog; this.inSampleSharpeRatio = this.getInSampleSharpeRatio(); *************** *** 129,140 **** } public static string[] GetDrivingAndPortfolioTickers( ! WFLagChosenPositions wFLagChosenPositions ) { ! int size = wFLagChosenPositions.DrivingWeightedPositions.Count + ! wFLagChosenPositions.PortfolioWeightedPositions.Count; string[] drivingAndPortfolioTickers = new string[ size ]; int i = 0; foreach ( string signedTicker in ! wFLagChosenPositions.DrivingWeightedPositions.Keys ) { drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker ); --- 141,152 ---- } public static string[] GetDrivingAndPortfolioTickers( ! WFLagWeightedPositions wFLagWeightedPositions ) { ! int size = wFLagWeightedPositions.DrivingWeightedPositions.Count + ! wFLagWeightedPositions.PortfolioWeightedPositions.Count; string[] drivingAndPortfolioTickers = new string[ size ]; int i = 0; foreach ( string signedTicker in ! wFLagWeightedPositions.DrivingWeightedPositions.Keys ) { drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker ); *************** *** 142,146 **** } foreach ( string signedTicker in ! wFLagChosenPositions.PortfolioWeightedPositions.Keys ) { drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker ); --- 154,158 ---- } foreach ( string signedTicker in ! wFLagWeightedPositions.PortfolioWeightedPositions.Keys ) { drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker ); *************** *** 153,163 **** /// we don't want this as a column displayed in the grid /// </summary> ! public WFLagChosenPositions GetChosenPositions() { ! return this.wFLagChosenPositions; } private ArrayList getMinDatesForTickers() { ! string[] tickers = GetDrivingAndPortfolioTickers( this.wFLagChosenPositions ); ArrayList minDatesForTickers = new ArrayList(); foreach ( string ticker in tickers ) --- 165,175 ---- /// we don't want this as a column displayed in the grid /// </summary> ! public WFLagWeightedPositions GetChosenPositions() { ! return this.wFLagWeightedPositions; } private ArrayList getMinDatesForTickers() { ! string[] tickers = GetDrivingAndPortfolioTickers( this.wFLagWeightedPositions ); ArrayList minDatesForTickers = new ArrayList(); foreach ( string ticker in tickers ) *************** *** 197,201 **** DateTime firstDateTime = this.getInSampleFirstDate(); return WFLagSharpeRatioComputer.GetSharpeRatio( ! this.wFLagChosenPositions , firstDateTime , this.LastOptimization ); } --- 209,213 ---- DateTime firstDateTime = this.getInSampleFirstDate(); return WFLagSharpeRatioComputer.GetSharpeRatio( ! this.wFLagWeightedPositions , firstDateTime , this.LastOptimization ); } *************** *** 204,208 **** DateTime firstDateTime = this.getInSampleFirstDate(); return WFLagSharpeRatioComputer.GetExpectancyScore( ! this.wFLagChosenPositions , firstDateTime , this.LastOptimization ); } --- 216,220 ---- DateTime firstDateTime = this.getInSampleFirstDate(); return WFLagSharpeRatioComputer.GetExpectancyScore( ! this.wFLagWeightedPositions , firstDateTime , this.LastOptimization ); } *************** *** 215,219 **** DateTime firstDateTime = lastDateTime.AddDays( -days - 1 ); // I subtract one more day, so I have days daily returns preSampleSharpeRatio = WFLagSharpeRatioComputer.GetSharpeRatio( ! this.wFLagChosenPositions , firstDateTime , lastDateTime ); } --- 227,231 ---- DateTime firstDateTime = lastDateTime.AddDays( -days - 1 ); // I subtract one more day, so I have days daily returns preSampleSharpeRatio = WFLagSharpeRatioComputer.GetSharpeRatio( ! this.wFLagWeightedPositions , firstDateTime , lastDateTime ); } *************** *** 227,231 **** DateTime lastDateTime = firstDateTime.AddDays( days + 1 ); // I add one day, so I have days daily returns return WFLagSharpeRatioComputer.GetSharpeRatio( ! this.wFLagChosenPositions , firstDateTime , lastDateTime ); } --- 239,243 ---- DateTime lastDateTime = firstDateTime.AddDays( days + 1 ); // I add one day, so I have days daily returns return WFLagSharpeRatioComputer.GetSharpeRatio( ! this.wFLagWeightedPositions , firstDateTime , lastDateTime ); } |
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12867/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce Modified Files: WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs Log Message: - the new property interface GenerationWhenChosenPositionsWereFound has been implemented (not sure this is the cleanest solution, it would probably have been better if two interfaces were used; it may be I will clean it up in future releases) - a private wFLagChosenPositions object is used now instead of two private members for drivingWeightedPositions and portfolioWeightedPositions Index: WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce/WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs 7 Oct 2007 10:52:13 -0000 1.1 --- WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs 28 Oct 2007 18:57:50 -0000 1.2 *************** *** 61,69 **** private IWFLagDecoder wFLagDecoder; private ReturnsManager returnsManager; - private WFLagChosenPositions wFLagChosenPositions; - private WeightedPositions drivingWeightedPositions; - private WeightedPositions portfolioWeightedPositions; private DateTime firstOptimizationDate; private DateTime lastOptimizationDate; public int NumberOfDrivingPositions --- 61,68 ---- private IWFLagDecoder wFLagDecoder; private ReturnsManager returnsManager; private DateTime firstOptimizationDate; private DateTime lastOptimizationDate; + + private WFLagWeightedPositions wFLagChosenPositions; public int NumberOfDrivingPositions *************** *** 88,91 **** --- 87,99 ---- } } + public int GenerationWhenChosenPositionsWereFound + { + get + { + // this chooser doesn't use a genetic optimizer + // thus this property is meaningless for this chooser + return -999; + } + } public string Benchmark { *************** *** 99,103 **** get { ! return this.drivingWeightedPositions; } } --- 107,111 ---- get { ! return this.wFLagChosenPositions.DrivingWeightedPositions; } } *************** *** 106,110 **** get { ! return this.portfolioWeightedPositions; } } --- 114,118 ---- get { ! return this.wFLagChosenPositions.PortfolioWeightedPositions; } } *************** *** 123,127 **** } } ! public WFLagChosenPositions WFLagChosenPositions { get --- 131,135 ---- } } ! public WFLagWeightedPositions WFLagChosenPositions { get *************** *** 158,169 **** // new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) ); // } ! private void setWeightedPositions( ! WFLagWeightedPositions wFLagWeightedPositions ) ! { ! this.drivingWeightedPositions = ! wFLagWeightedPositions.DrivingWeightedPositions; ! this.portfolioWeightedPositions = ! wFLagWeightedPositions.PortfolioWeightedPositions; ! } // private void setSignedTickers_setTickersFromGenome( // IGenomeManager genomeManager , --- 166,177 ---- // new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) ); // } ! // private void setWeightedPositions( ! // WFLagWeightedPositions wFLagWeightedPositions ) ! // { ! // this.drivingWeightedPositions = ! // wFLagWeightedPositions.DrivingWeightedPositions; ! // this.portfolioWeightedPositions = ! // wFLagWeightedPositions.PortfolioWeightedPositions; ! // } // private void setSignedTickers_setTickersFromGenome( // IGenomeManager genomeManager , *************** *** 369,377 **** bruteForceOptimizer.BestParameters; ! WFLagWeightedPositions wFLagWeightedPositions = ( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode( bestParameters ); ! this.setWeightedPositions( wFLagWeightedPositions ); } #endregion --- 377,385 ---- bruteForceOptimizer.BestParameters; ! this.wFLagChosenPositions = ( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode( bestParameters ); ! // this.setWeightedPositions( wFLagWeightedPositions ); } #endregion *************** *** 384,391 **** this.setWeightedPositions_withFixedPortfolio( eligibleTickersForDrivingPositions , "SPY" , "IWM" , now ); ! this.wFLagChosenPositions = new WFLagChosenPositions( this.DrivingWeightedPositions , ! this.PortfolioWeightedPositions , ! now.DateTime ); } #endregion --- 392,398 ---- this.setWeightedPositions_withFixedPortfolio( eligibleTickersForDrivingPositions , "SPY" , "IWM" , now ); ! this.wFLagChosenPositions = new WFLagWeightedPositions( this.DrivingWeightedPositions , ! this.PortfolioWeightedPositions ); } #endregion |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:54:10
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11465/b4_Business/a2_Strategies Modified Files: WeightedPositions.cs Log Message: - a static property TestInstance has been added, it will be useful for testing purposes - the Type property implementation now uses the new TestInstance static property Index: WeightedPositions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** WeightedPositions.cs 7 Oct 2007 13:20:37 -0000 1.10 --- WeightedPositions.cs 28 Oct 2007 18:54:06 -0000 1.11 *************** *** 47,51 **** public static System.Type Type { ! get { return getType(); } } --- 47,56 ---- public static System.Type Type { ! get ! { ! WeightedPositions weightedPositions = ! WeightedPositions.TestInstance; ! return weightedPositions.GetType(); ! } } *************** *** 115,118 **** --- 120,135 ---- } + public static WeightedPositions TestInstance + { + get + { + double[] weights = {1.0}; + string[] tickers = {"DUMMY"}; + WeightedPositions testInstance = new WeightedPositions( weights , tickers ); + return testInstance; + } + } + + public WeightedPositions( double[] normalizedUnsignedWeightValues, SignedTickers signedTickers ) *************** *** 289,307 **** } #endregion - #region getType - private static WeightedPositions getSimpleDummyInstance() - { - double[] weights = {1.0}; - string[] tickers = {"DUMMY"}; - WeightedPositions dummyInstance = new WeightedPositions( weights , tickers ); - return dummyInstance; - } - private static System.Type getType() - { - WeightedPositions weightedPositions = - WeightedPositions.getSimpleDummyInstance(); - return weightedPositions.GetType(); - } - #endregion #region GetCloseToClosePortfolioReturns private double getCloseToClosePortfolioReturn( --- 306,309 ---- |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:48:54
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8938/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: RunWalkForwardLag.cs Log Message: - System.Diagnostics.Debug.Listeners is used now - WFLagLogItem objects are added to the log now (WFLagChosenPositions objects were added in the previous version) Index: RunWalkForwardLag.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** RunWalkForwardLag.cs 4 Aug 2007 20:00:24 -0000 1.10 --- RunWalkForwardLag.cs 28 Oct 2007 18:48:48 -0000 1.11 *************** *** 133,136 **** --- 133,138 ---- { Console.WriteLine( message ); + Console.WriteLine( "" ); + System.Diagnostics.Debug.Listeners[0].WriteLine( message ); // FileStream fileStream = new FileStream( "WFLagLog.Txt" , *************** *** 285,289 **** // new WFLagChosenPositions( eventArgs.WFLagChosenTickers , // this.endOfDayTimer.GetCurrentTime().DateTime ); ! this.wFLagLog.Add( eventArgs.WFLagChosenPositions ); } private void run_addEventHandlers() --- 287,291 ---- // new WFLagChosenPositions( eventArgs.WFLagChosenTickers , // this.endOfDayTimer.GetCurrentTime().DateTime ); ! this.wFLagLog.Add( eventArgs.WFLagLogItem ); } private void run_addEventHandlers() |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:47:01
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8122/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers Modified Files: IWFLagWeightedPositionsChooser.cs Log Message: - WFLagChosenPositions' property type has been changed from WFLagChosenPositions to WFLagWeightedPositions - the property GenerationWhenChosenPositionsWereFound has been added Index: IWFLagWeightedPositionsChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/IWFLagWeightedPositionsChooser.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** IWFLagWeightedPositionsChooser.cs 11 Jun 2007 17:39:04 -0000 1.2 --- IWFLagWeightedPositionsChooser.cs 28 Oct 2007 18:46:57 -0000 1.3 *************** *** 41,48 **** WFLagEligibleTickers eligibleTickersForPortfolioPositions , EndOfDayDateTime now ); ! WFLagChosenPositions WFLagChosenPositions { get; } int NumberOfDrivingPositions { get; } int NumberOfPortfolioPositions { get; } int NumberDaysForInSampleOptimization { get; } string Benchmark { get; } // TO DO: remove this one from the interface } --- 41,53 ---- WFLagEligibleTickers eligibleTickersForPortfolioPositions , EndOfDayDateTime now ); ! WFLagWeightedPositions WFLagChosenPositions { get; } int NumberOfDrivingPositions { get; } int NumberOfPortfolioPositions { get; } int NumberDaysForInSampleOptimization { get; } + /// <summary> + /// If the chooser doesn't use a genetic optimizer, this property + /// is meaningless, thus it will be set to a negative number + /// </summary> + int GenerationWhenChosenPositionsWereFound { get; } string Benchmark { get; } // TO DO: remove this one from the interface } |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:44:47
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Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7081/b1_ADT Modified Files: IndexOfKeyOrPreviousException.cs Log Message: Minor change, to avoid a warning in a dummy statement Index: IndexOfKeyOrPreviousException.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/IndexOfKeyOrPreviousException.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** IndexOfKeyOrPreviousException.cs 26 May 2005 22:54:38 -0000 1.1 --- IndexOfKeyOrPreviousException.cs 28 Oct 2007 18:44:44 -0000 1.2 *************** *** 14,18 **** string message = "The given key is less than the first object " + "in the AdvancedSortedList"; ! message = message; // MessageBox.Show( this.message ); } --- 14,18 ---- string message = "The given key is less than the first object " + "in the AdvancedSortedList"; ! message = message + ""; // MessageBox.Show( this.message ); } |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:43:44
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6345/WalkForwardTesting/WalkForwardLag/WFLagDebugger Added Files: WFLagLogItem.cs Log Message: Data to be logged (out of sample) for each new optimization --- NEW FILE: WFLagLogItem.cs --- /* QuantProject - Quantitative Finance Library WFLagLogItem.cs Copyright (C) 2003 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.Collections; using System.Reflection; using System.Runtime.Serialization; using QuantProject.ADT.Collections; using QuantProject.Business.Strategies; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger { /// <summary> /// Data to be logged (out of sample) for each new optimization /// </summary> [Serializable] public class WFLagLogItem : ISerializable { // these private members are used for old versions' deserialization, only private QPHashtable drivingPositions; private QPHashtable portfolioPositions; private WeightedPositions drivingWeightedPositions; private WeightedPositions portfolioWeightedPositions; private WFLagWeightedPositions wFLagWeightedPositions; private DateTime lastOptimizationDate; private int generation; public WFLagWeightedPositions WFLagWeightedPositions { get { if ( this.wFLagWeightedPositions == null ) // an old version has been deserialized this.setWeightedPositionsFromQPHashtables(); return this.wFLagWeightedPositions; } } public DateTime LastOptimizationDate { get { return this.lastOptimizationDate; } } /// <summary> /// First generation of the genetic optimizer, when the best genome was created /// </summary> public int Generation { get { return this.generation; } } public WFLagLogItem( WFLagChosenTickers wFLagChosenTickers , DateTime lastOptimizationDate ) { // this.drivingPositions = // this.copy( wFLagChosenTickers.DrivingWeightedPositions ); // this.portfolioPositions = // this.copy( wFLagChosenTickers.PortfolioWeightedPositions ); this.wFLagWeightedPositions = new WFLagWeightedPositions( wFLagChosenTickers.DrivingWeightedPositions , wFLagChosenTickers.PortfolioWeightedPositions ); this.lastOptimizationDate = lastOptimizationDate; } /// <summary> /// Data to be logged (out of sample) for each new optimization /// </summary> /// <param name="wFLagWeightedPositions">driving and portfolio /// positions chosen</param> /// <param name="generationWhenTheBestGenomeWasFound">generation when the /// genetic optimizer found the best genome. This parameter is meaningless /// if the optimizer does not use generations</param> /// <param name="lastOptimizationDate"></param> public WFLagLogItem( WFLagWeightedPositions wFLagWeightedPositions , int generationWhenTheBestGenomeWasFound , DateTime lastOptimizationDate ) { // this.drivingPositions = // this.copy( wFLagChosenTickers.DrivingWeightedPositions ); // this.portfolioPositions = // this.copy( wFLagChosenTickers.PortfolioWeightedPositions ); this.initialize( wFLagWeightedPositions , generationWhenTheBestGenomeWasFound , lastOptimizationDate ); } public WFLagLogItem( WFLagWeightedPositions wFLagWeightedPositions , DateTime lastOptimizationDate ) { // -999 is used because the optimizer was not genetic, so there is // no generation number to log this.initialize( wFLagWeightedPositions , -999 , lastOptimizationDate ); } private void initialize( WFLagWeightedPositions wFLagWeightedPositions , int generationWhenTheBestGenomeWasFound , DateTime lastOptimizationDate ) { this.wFLagWeightedPositions = wFLagWeightedPositions; this.generation = generationWhenTheBestGenomeWasFound; this.lastOptimizationDate = lastOptimizationDate; } #region deserialization related constructor and methods protected WFLagLogItem( SerializationInfo info , StreamingContext context ) { this.deserializeBaseClassMembers( info , context ); this.deserializeThisClassMembers( info , context ); } private void deserializeBaseClassMembers( SerializationInfo info , StreamingContext context ) { // get the set of serializable members for this class and its base classes Type thisType = this.GetType(); MemberInfo[] memberInfos = FormatterServices.GetSerializableMembers( thisType , context); // deserialize the fields from the info object, only if of the base clas for (Int32 i = 0 ; i < memberInfos.Length; i++) { // Don't deserialize fields for this class if (memberInfos[i].DeclaringType != thisType) { FieldInfo fieldInfo = (FieldInfo) memberInfos[i]; // set the field to the deserialized value fieldInfo.SetValue( this , info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) ); } } } private void deserializeWFLagWeightedPositions( SerializationInfo info , StreamingContext context ) { try { // string stringForType = // "QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger.WFLagWeightedPositions"; // System.Type positionsType = // WFLagWeightedPositions. // System.Type positionsType = // WFLagWeightedPositions.Type; this.wFLagWeightedPositions = (WFLagWeightedPositions)info.GetValue( "wFLagWeightedPositions" , WFLagWeightedPositions.TestInstance.GetType() ); } catch( Exception ex1 ) { string exMessage = ex1.Message; } } private void deserializeDrivingWeightedPositions( SerializationInfo info , StreamingContext context ) { try { // this.drivingWeightedPositions = new WeightedPositions() // System.Type type = System.Type.GetType( // "QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions" ); this.drivingWeightedPositions = (WeightedPositions)info.GetValue( "drivingWeightedPositions" , WeightedPositions.Type ); } catch( Exception ex1 ) { // the serialized WFLagChosenPositions is of old type // drivingPositions and portfolioPositions are QPHashtable try { string errorMessage1 = ex1.Message; this.drivingPositions = new QPHashtable(); this.drivingPositions = (QPHashtable)info.GetValue( "drivingPositions" , this.drivingPositions.GetType() ); // drivingWeightedPositions = this.getWeightedPositions( drivingPositions ); } catch( Exception ex2 ) { string errorMessage = ex2.Message; errorMessage = errorMessage; } } } private void deserializePortfolioWeightedPositions( SerializationInfo info , StreamingContext context ) { try { // this.portfolioWeightedPositions = new WeightedPositions(); // System.Type type = System.Type.GetType( // "QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions" ); this.portfolioWeightedPositions = (WeightedPositions)info.GetValue( "portfolioWeightedPositions" , WeightedPositions.Type ); } catch { // the serialized WFLagChosenPositions is of old type // drivingPositions and portfolioPositions are QPHashtable this.portfolioPositions = new QPHashtable(); this.portfolioPositions = (QPHashtable)info.GetValue( "portfolioPositions" , this.portfolioPositions.GetType() ); // portfolioWeightedPositions = this.getWeightedPositions( portfolioPositions ); } } private void deserializeGeneration( SerializationInfo info , StreamingContext context ) { try { this.generation = (int)info.GetValue( "generation" , int.MaxValue.GetType() ); } catch { this.generation = -9999; } } private void deserializeThisClassMembers( SerializationInfo info , StreamingContext context ) { this.lastOptimizationDate = (DateTime)info.GetValue( "lastOptimizationDate" , this.lastOptimizationDate.GetType() ); this.deserializeWFLagWeightedPositions( info , context ); this.deserializeDrivingWeightedPositions( info , context ); this.deserializePortfolioWeightedPositions( info , context ); this.deserializeGeneration( info , context ); } void ISerializable.GetObjectData( SerializationInfo info, StreamingContext context) { // get the set of serializable members for this class and base classes Type thisType = this.GetType(); MemberInfo[] mi = FormatterServices.GetSerializableMembers( thisType , context); // serialize the fields to the info object for (Int32 i = 0 ; i < mi.Length; i++) { string memberName = mi[i].Name; if ( ( memberName != "drivingPositions" ) && ( memberName != "portfolioPositions" ) ) // current member is not used for old versions' deserialization, only info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this)); } } // private Hashtable copy( Hashtable hashTable ) // { // Hashtable newCopy = new Hashtable(); // foreach ( string key in hashTable.Keys ) // newCopy.Add( key , null ); // return newCopy; // } #region setWeightedPositionsFromQPHashtables private double getWeightedPositions_getWeight( double absoluteWeightForEachPosition , SignedTicker signedTicker ) { double weight = absoluteWeightForEachPosition; if ( signedTicker.IsShort ) weight = - absoluteWeightForEachPosition; return weight; } private WeightedPositions getWeightedPositions( QPHashtable signedTickers ) { double absoluteWeightForEachPosition = 1 / Convert.ToDouble( signedTickers.Count ); double[] weights = new double[ signedTickers.Count ]; string[] tickers = new string[ signedTickers.Count ]; int i = 0; foreach ( string signedTicker in signedTickers.Keys ) { weights[ i ] = this.getWeightedPositions_getWeight( absoluteWeightForEachPosition , new SignedTicker( signedTicker ) ); tickers[ i ] = SignedTicker.GetTicker( signedTicker ); i++; } WeightedPositions weightedPositions = new WeightedPositions( weights , tickers ); return weightedPositions; } private void setWeightedPositionsFromQPHashtables() { this.drivingWeightedPositions = this.getWeightedPositions( this.drivingPositions ); this.portfolioWeightedPositions = this.getWeightedPositions( this.portfolioPositions ); } #endregion #endregion } } |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:42:49
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5711/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio Added Files: WFLagGenerationDebugger.cs Log Message: Debugs a generation produced by a genetic optimizer --- NEW FILE: WFLagGenerationDebugger.cs --- /* QuantProject - Quantitative Finance Library WFLagGenerationDebugger.cs Copyright (C) 2003 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.Collections; using QuantProject.ADT.Optimizing.Genetic; using QuantProject.Business.Strategies; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers { /// <summary> /// Debugs a generation produced by a genetic optimizer /// </summary> public class WFLagGenerationDebugger { private ArrayList generation; private DateTime timeWhenOptimizationWasRequested; private int numberDaysForInSampleOptimization; private string benchmark; public WFLagGenerationDebugger( ArrayList generation , DateTime timeWhenOptimizationWasRequested , int numberDaysForInSampleOptimization , string benchmark ) { this.generation = generation; this.timeWhenOptimizationWasRequested = timeWhenOptimizationWasRequested; this.numberDaysForInSampleOptimization = numberDaysForInSampleOptimization; this.benchmark = benchmark; } #region debugCurrentGeneration private bool isPromising( Genome genome ) { int optimalPositionsContained = 0; object meaning = genome.Meaning; WFLagWeightedPositions wFLagWeightedPositions; if ( meaning is WFLagWeightedPositions ) { wFLagWeightedPositions = ( WFLagWeightedPositions )meaning; WeightedPositions drivingWeightedPositions = wFLagWeightedPositions.DrivingWeightedPositions; if ( drivingWeightedPositions.ContainsKey( "^OEX" ) && drivingWeightedPositions.GetWeightedPosition( "^OEX" ).IsLong ) optimalPositionsContained++; if ( drivingWeightedPositions.ContainsKey( "BDH" ) && drivingWeightedPositions.GetWeightedPosition( "BDH" ).IsShort ) optimalPositionsContained++; if ( drivingWeightedPositions.ContainsKey( "HHH" ) && drivingWeightedPositions.GetWeightedPosition( "HHH" ).IsShort ) optimalPositionsContained++; if ( drivingWeightedPositions.ContainsKey( "IIH" ) && drivingWeightedPositions.GetWeightedPosition( "IIH" ).IsLong ) optimalPositionsContained++; } bool isPromising = ( optimalPositionsContained >= 2 ); return isPromising; } private void showBacktest( WFLagWeightedPositions wFLagWeightedPositions ) { WFLagDebugPositions wFLagDebugPositions = new WFLagDebugPositions( wFLagWeightedPositions , this.timeWhenOptimizationWasRequested , 0 , this.numberDaysForInSampleOptimization , 0 , this.benchmark ); wFLagDebugPositions.Run(); // HistoricalEndOfDayTimer historicalEndOfDayTimer = // new HistoricalEndOfDayTimer( new EndOfDayDateTime( // new DateTime( 2000 , 1 , 1 ) , EndOfDaySpecificTime.MarketClose ) ); // WFLagChosenTickers wFLagChosenTickers = // new WFLagChosenTickers( this.NumberOfDrivingPositions , // this.NumberOfPortfolioPositions , this.inSampleDays , // historicalEndOfDayTimer , -999 , this.populationSizeForGeneticOptimizer , // this.equityEvaluator ); // wFLagChosenTickers.DrivingWeightedPositions = // wFLagWeightedPositions.DrivingWeightedPositions; // wFLagChosenTickers.PortfolioWeightedPositions = // wFLagWeightedPositions.PortfolioWeightedPositions; // WFLagChosenPositions wFLagChosenPositions = // new WFLagChosenPositions( wFLagChosenTickers , // new DateTime( 2001 , 1 , 4 ) ); // WFLagDebugGenome wFLagDebugGenome = // new WFLagDebugGenome( wFLagChosenPositions , // this.inSampleDays , this.benchmark ); // wFLagDebugGenome.Show(); } public void Debug() { int numberOfDifferentFitness = 1; System.Collections.ArrayList indexesForPromisingGenomes = new System.Collections.ArrayList(); for ( int i = 1 ; i < this.generation.Count ; i++ ) { Genome genome = (Genome)this.generation[ i ]; if ( genome.Fitness > ((Genome)this.generation[ i - 1 ]).Fitness ) numberOfDifferentFitness++; if ( this.isPromising( genome ) ) { indexesForPromisingGenomes.Add( i ); this.showBacktest( (WFLagWeightedPositions)genome.Meaning ); } } numberOfDifferentFitness += 23 - 3 - 20; } #endregion debugCurrentGeneration } } |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:37:32
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3074/b7_Scripts Modified Files: b7_Scripts.csproj Log Message: - WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenerationDebugger.cs has been added - WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagChosenPositions.cs has been removed Index: b7_Scripts.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v retrieving revision 1.78 retrieving revision 1.79 diff -C2 -d -r1.78 -r1.79 *** b7_Scripts.csproj 7 Oct 2007 13:03:52 -0000 1.78 --- b7_Scripts.csproj 28 Oct 2007 18:37:26 -0000 1.79 *************** *** 894,917 **** /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs" SubType = "Code" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs" SubType = "Code" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticWithEqualWeights\WFLagGeneticWithEqualWeights.cs" SubType = "Code" BuildAction = "Compile" /> - <Folder RelPath = "WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagChosenPositions.cs" SubType = "Code" BuildAction = "Compile" /> <File RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagDebugGenome.cs" --- 894,917 ---- /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenerationDebugger.cs" SubType = "Code" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs" SubType = "Code" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs" SubType = "Code" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticWithEqualWeights\WFLagGeneticWithEqualWeights.cs" SubType = "Code" BuildAction = "Compile" /> + <Folder RelPath = "WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\" /> <File RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagDebugGenome.cs" *************** *** 925,928 **** --- 925,933 ---- /> <File + RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagLogItem.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagReportDebugger.cs" SubType = "Code" |
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From: Glauco S. <gla...@us...> - 2007-10-28 18:28:51
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Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30941/b1_ADT Modified Files: ADT_SD.csproj Log Message: Collections\IntArrayManager.cs has been included Index: ADT_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ADT_SD.csproj 29 Aug 2007 10:34:56 -0000 1.3 --- ADT_SD.csproj 28 Oct 2007 18:28:46 -0000 1.4 *************** *** 48,51 **** --- 48,52 ---- <Compile Include="AssemblyInfo.cs" /> <Compile Include="BarComponent.cs" /> + <Compile Include="Collections\IntArrayManager.cs" /> <Compile Include="ConstantsProvider.cs" /> <Compile Include="ExtendedDataTable.cs" /> |
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From: Glauco S. <gla...@us...> - 2007-10-07 13:32:06
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26444/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagMain.cs Log Message: A few new script invokers have been added Index: WFLagMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagMain.cs,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** WFLagMain.cs 14 Aug 2007 14:52:49 -0000 1.12 --- WFLagMain.cs 7 Oct 2007 13:32:01 -0000 1.13 *************** *** 30,33 **** --- 30,34 ---- using QuantProject.Presentation; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers; + using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositionsChoosers.Decoding; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger; *************** *** 139,165 **** // QQQQ vs SPY IWFLagWeightedPositionsChooser wFLagWeightedPositionsChooser = ! new WFLagBruteForceFixedPortfolioWeightedPositionsChooser( ! 4 , new string[]{ "IWM" , "-SPY" } , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() ); ! wFLagWeightedPositionsChooser = new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() , 10000 , 30 ); wFLagWeightedPositionsChooser = ! new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( ! 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , ! 10000 , 30 ); ! wFLagWeightedPositionsChooser = ! new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( ! 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.ExpectancyScore() , ! 10000 , 30 ); new RunWalkForwardLag( "DrvPstns" , 200 , wFLagWeightedPositionsChooser , 7 , ! new DateTime( 2001 , 1 , 1 ) , ! new DateTime( 2001 , 1 , 19 ) , ! 0.5 ).Run(); // new RunWalkForwardLag( "DrvPstns" , 500 , --- 140,170 ---- // QQQQ vs SPY IWFLagWeightedPositionsChooser wFLagWeightedPositionsChooser = ! // new WFLagBruteForceFixedPortfolioWeightedPositionsChooser( ! // 4 , new string[]{ "IWM" , "-SPY" } , 100 , "EWQ" , ! // new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() ); ! // wFLagWeightedPositionsChooser = new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , new QuantProject.Business.Strategies.EquityEvaluation.WinningPeriods() , 10000 , 30 ); + // wFLagWeightedPositionsChooser = + // new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio( + // 4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , + // new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() , + // 10000 , 30 ); wFLagWeightedPositionsChooser = ! new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving( ! 3 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" , ! new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ); ! // new RunWalkForwardLag( "DrvPstns" , 200 , ! // wFLagWeightedPositionsChooser , 7 , ! // new DateTime( 2001 , 1 , 1 ) , ! // new DateTime( 2001 , 1 , 8 ) , ! // 0.5 ).Run(); new RunWalkForwardLag( "DrvPstns" , 200 , wFLagWeightedPositionsChooser , 7 , ! new DateTime( 2001 , 1 , 4 ) , ! new DateTime( 2001 , 1 , 9 ) , ! 0.2 ).Run(); // new RunWalkForwardLag( "DrvPstns" , 500 , |
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From: Glauco S. <gla...@us...> - 2007-10-07 13:29:09
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/GeneticOptimizerTesting In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20007/b7_Scripts/WalkForwardTesting/WalkForwardLag/GeneticOptimizerTesting Modified Files: WFLagGOTester.cs Log Message: This class might be useless in the future: in the meanwhile, a piece of code has been commented out in order for it to be compilable Index: WFLagGOTester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/GeneticOptimizerTesting/WFLagGOTester.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** WFLagGOTester.cs 3 Nov 2006 16:34:06 -0000 1.2 --- WFLagGOTester.cs 7 Oct 2007 13:29:06 -0000 1.3 *************** *** 179,190 **** bestGenomeForMultipleGenerations ); } ! public override void SetWeightedPositions( ! WFLagEligibleTickers eligibleTickers ) ! { ! for ( int i=10 ; i<80 ; i++ ) ! this.setWeightedPositions( eligibleTickers , i ); ! System.Windows.Forms.MessageBox.Show( ! "Test is complete! Check the console output." ); ! } #endregion } --- 179,190 ---- bestGenomeForMultipleGenerations ); } ! // public override void SetWeightedPositions( ! // WFLagEligibleTickers eligibleTickers ) ! // { ! // for ( int i=10 ; i<80 ; i++ ) ! // this.setWeightedPositions( eligibleTickers , i ); ! // System.Windows.Forms.MessageBox.Show( ! // "Test is complete! Check the console output." ); ! // } #endregion } |
