quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21337/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
Dramatically changed: moved from a static string based approach to a OO oriented instance based scenario.
Several static methods have been left for legacy support, but classes using those methods should be patched to use the OO based approach.

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** SignedTicker.cs	24 Jun 2007 21:29:00 -0000	1.8
--- SignedTicker.cs	7 Aug 2007 16:48:12 -0000	1.9
***************
*** 52,55 ****
--- 52,100 ----
  			get { return this.positionType; }
  		}
+ 		public double Multiplier
+ 		{
+ 			get
+ 			{
+ 				double multiplier = 1;
+ 				if ( this.IsShort )
+ 					multiplier = -1;
+ 				return multiplier;
+ 			}
+ 		}
+ 		public bool IsShort
+ 		{
+ 			get
+ 			{
+ 				bool isShort = ( this.positionType == PositionType.Short );
+ 				return isShort;
+ 			}
+ 		}
+ 		public bool IsLong
+ 		{
+ 			get
+ 			{
+ 				return !this.IsShort;
+ 			}
+ 		}
+ 		public SignedTicker OppositeSignedTicker
+ 		{
+ 			get
+ 			{
+ 				SignedTicker oppositeSignedTicker =
+ 					new SignedTicker( this.Ticker ,
+ 					this.getOppositePositionType( this.PositionType ) );
+ 				return oppositeSignedTicker;
+ 			}
+ 		}
+ 		private PositionType getOppositePositionType( PositionType positionType )
+ 		{
+ 			PositionType oppositePositionType;
+ 			if ( this.IsLong )
+ 				oppositePositionType = PositionType.Short;
+ 			else
+ 				// this.IsShort
+ 				oppositePositionType = PositionType.Long;
+ 			return oppositePositionType;
+ 		}
  		public SignedTicker( string ticker , PositionType positionType )
  		{
***************
*** 57,60 ****
--- 102,158 ----
  			this.positionType = positionType;
  		}
+ 		public SignedTicker( string signedTicker )
+ 		{
+ 			this.signedTicker_checkParams( signedTicker );
+ 			this.ticker = this.getTicker( signedTicker );
+ 			this.positionType = this.getPositionType( signedTicker );
+ 		}
+ 		private bool isValidSignedTicker( string signedTicker )
+ 		{
+ 			bool isActuallyValidSignedTicker = false;
+ 			string firstCharacter = signedTicker.Substring( 0 , 1 );
+ 			if ( ( firstCharacter.CompareTo( "A" ) != - 1 ) &&
+ 				( ( firstCharacter.CompareTo( "Z" ) != 1 ) ) )
+ 				// the first signedTickers' character is an upcase letter
+ 				isActuallyValidSignedTicker = true;
+ 			if ( ( firstCharacter == "^" ) )
+ 				isActuallyValidSignedTicker = true;
+ 			if ( ( firstCharacter == "-" ) )
+ 				isActuallyValidSignedTicker = true;
+ 			return isActuallyValidSignedTicker;
+ 		}
+ 		private void signedTicker_checkParams( string signedTicker )
+ 		{
+ 			if ( !this.isValidSignedTicker( signedTicker ) )
+ 				throw new Exception( "signedTickers is not a valid string to " +
+ 					"identify and construct a new SignedTicker object!" );
+ 		}
+ 		private bool isStringForLongSignedTicker( string signedTicker )
+ 		{
+ 			return !(signedTicker.IndexOf( "-" ) == 0 );
+ 		}
+ 		private string getTicker( string signedTicker )
+ 		{
+ 			string ticker;
+ 			if ( this.isStringForLongSignedTicker( signedTicker ) )
+ 				ticker = signedTicker;
+ 			else
+ 				// signedTicker is a string for a short SignedTicker and
+ 				// signedTicker begins with a '-' sign
+ 				ticker = signedTicker.Substring( 1 );
+ 			return ticker;
+ 		}
+ 		private PositionType getPositionType( string signedTicker )
+ 		{
+ 			PositionType positionType;
+ 			if ( this.isStringForLongSignedTicker( signedTicker ) )
+ 				positionType = PositionType.Long;
+ 			else
+ 				// signedTicker is a string for a short SignedTicker and
+ 				// signedTicker begins with a '-' sign
+ 				positionType = PositionType.Short;
+ 			return positionType;
+ 		}
+ 		
  		public static string GetSignedTicker( Position position )
  		{
***************
*** 71,102 ****
  			return ticker;
  		}
! 		public static bool IsShort( string signedTicker )
! 		{
! 			return ( signedTicker.StartsWith( "-" ) );
! 		}
! 		public static bool IsLong( string signedTicker )
! 		{
! 			return ( !SignedTicker.IsShort( signedTicker ) );
! 		}
! 		public static string GetOppositeSignedTicker( string signedTicker )
! 		{
! 			string oppositeSignedTicker = "";
! 			if ( SignedTicker.IsShort( signedTicker ) )
! 				oppositeSignedTicker = SignedTicker.GetTicker( signedTicker );
! 			if ( SignedTicker.IsLong( signedTicker ) )
! 				oppositeSignedTicker = "-" + SignedTicker.GetTicker( signedTicker );
! 			return oppositeSignedTicker;
! 		}
! 		public static OrderType GetMarketOrderType( string signedTicker )
  		{
! 			OrderType orderType = OrderType.MarketBuy;
! 			if ( SignedTicker.IsShort( signedTicker ) )
! 				orderType = OrderType.MarketSellShort;
! 			return orderType;
  		}
! 		public static double GetCloseToCloseDailyReturn(
! 			string signedTicker , DateTime today )
  		{
! 			string ticker = SignedTicker.GetTicker( signedTicker );
  			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
--- 169,193 ----
  			return ticker;
  		}
! //		public static bool IsShort( string signedTicker )
! //		{
! //			return ( signedTicker.StartsWith( "-" ) );
! //		}
! //		public static bool IsLong( string signedTicker )
! //		{
! //			return ( !SignedTicker.IsShort( signedTicker ) );
! //		}
! 		public OrderType MarketOrderType
  		{
! 			get
! 			{
! 				OrderType orderType = OrderType.MarketBuy;
! 				if ( this.IsShort )
! 					orderType = OrderType.MarketSellShort;
! 				return orderType;
! 			}
  		}
! 		public double GetCloseToCloseDailyReturn( DateTime today )
  		{
! 			string ticker = this.Ticker;
  			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
***************
*** 113,117 ****
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
  			double dailyReturn;
! 			if ( SignedTicker.IsShort( signedTicker ) )
  				// signedTicker represents a short position
  				dailyReturn = - dalyReturnForLongPosition;
--- 204,208 ----
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
  			double dailyReturn;
! 			if ( this.IsShort )
  				// signedTicker represents a short position
  				dailyReturn = - dalyReturnForLongPosition;
***************
*** 155,160 ****
      #region getCloseToClosePortfolioReturn_setReturns
  
!     private static double getCloseToClosePortfolioReturn_setReturns_getReturn(int returnDay,
!                         string[] signedTickers,double[] tickersWeights,Quotes[] tickersQuotes )
      {
        double returnValue = 0.0;
--- 246,252 ----
      #region getCloseToClosePortfolioReturn_setReturns
  
!     private static double getCloseToClosePortfolioReturn_setReturns_getReturn(
! 			int returnDay, string[] signedTickers ,
! 			double[] tickersWeights, Quotes[] tickersQuotes )
      {
        double returnValue = 0.0;
***************
*** 162,166 ****
        for(int indexForTicker = 0; indexForTicker<signedTickers.Length; indexForTicker++)
        {
!         if(SignedTicker.IsLong(signedTickers[indexForTicker]))
            signOfTicker = 1.0f;
          else
--- 254,260 ----
        for(int indexForTicker = 0; indexForTicker<signedTickers.Length; indexForTicker++)
        {
! 				SignedTicker signedTicker =
! 					new SignedTicker( signedTickers[indexForTicker] );
!         if( signedTicker.IsLong )
            signOfTicker = 1.0f;
          else
***************
*** 250,276 ****
  		/// <param name="startDate">Start date for the period for which return has to be computed</param>
  		/// <param name="endDate">End date for the period for which return has to be computed</param>
! 		public static double GetCloseToClosePortfolioReturn( string[] signedTickers ,
! 			double[] tickersWeights ,
! 			SortedList commonMarketDays )
! 		{
! 			const double initialEquity = 1.0;
! 			double equityValue = initialEquity;
! 			Quotes[] tickersQuotes = new Quotes[ signedTickers.Length ];
! 			for( int i = 0 ; i < signedTickers.Length ; i++ )
! 			{
! 				tickersQuotes[ i ] =
! 					new Quotes( SignedTicker.GetTicker( (string)signedTickers[ i ] ) ,
! 					commonMarketDays );
! 			}
! 			double[] returns = new double[ tickersQuotes[0].Rows.Count ];
! 			getCloseToClosePortfolioReturn_setReturns( returns , signedTickers ,
! 				tickersWeights , tickersQuotes);
! 			for( int i = 0 ; i < returns.Length ; i++ )
! 				equityValue = 
! 							equityValue + equityValue * returns[i];
! 			
! 			return (equityValue - initialEquity)/initialEquity;
! 		}
! 		
  		/// <summary>
  		/// Gets portfolio's return, for the given tickers, considering only
--- 344,370 ----
  		/// <param name="startDate">Start date for the period for which return has to be computed</param>
  		/// <param name="endDate">End date for the period for which return has to be computed</param>
! //		public static double GetCloseToClosePortfolioReturn( string[] signedTickers ,
! //			double[] tickersWeights ,
! //			SortedList commonMarketDays )
! //		{
! //			const double initialEquity = 1.0;
! //			double equityValue = initialEquity;
! //			Quotes[] tickersQuotes = new Quotes[ signedTickers.Length ];
! //			for( int i = 0 ; i < signedTickers.Length ; i++ )
! //			{
! //				tickersQuotes[ i ] =
! //					new Quotes( SignedTicker.GetTicker( (string)signedTickers[ i ] ) ,
! //					commonMarketDays );
! //			}
! //			double[] returns = new double[ tickersQuotes[0].Rows.Count ];
! //			getCloseToClosePortfolioReturn_setReturns( returns , signedTickers ,
! //				tickersWeights , tickersQuotes);
! //			for( int i = 0 ; i < returns.Length ; i++ )
! //				equityValue = 
! //							equityValue + equityValue * returns[i];
! //			
! //			return (equityValue - initialEquity)/initialEquity;
! //		}
! //		
  		/// <summary>
  		/// Gets portfolio's return, for the given tickers, considering only
***************
*** 280,295 ****
  		/// <param name="commonMarketDays"></param>
  		/// <returns></returns>
! 		public static double GetCloseToClosePortfolioReturn(
! 			string[] signedTickers,
! 			SortedList commonMarketDays )
! 		{
! 			double[] tickersWeights = new double[signedTickers.Length];
! 			for(int i = 0; i<signedTickers.Length; i++)
! 				tickersWeights[i] = 1.0/signedTickers.Length;
! 			
! 			return GetCloseToClosePortfolioReturn(
! 				signedTickers , tickersWeights , commonMarketDays );
! 		}
!     
  		private static double getLastNightPortfolioReturn(float[] tickersLastNightReturns,
  		                                                  double[] tickersWeights)
--- 374,389 ----
  		/// <param name="commonMarketDays"></param>
  		/// <returns></returns>
! //		public static double GetCloseToClosePortfolioReturn(
! //			string[] signedTickers,
! //			SortedList commonMarketDays )
! //		{
! //			double[] tickersWeights = new double[signedTickers.Length];
! //			for(int i = 0; i<signedTickers.Length; i++)
! //				tickersWeights[i] = 1.0/signedTickers.Length;
! //			
! //			return GetCloseToClosePortfolioReturn(
! //				signedTickers , tickersWeights , commonMarketDays );
! //		}
! //    
  		private static double getLastNightPortfolioReturn(float[] tickersLastNightReturns,
  		                                                  double[] tickersWeights)
***************
*** 373,406 ****
  			return closeToCloseReturn;
  		}
! 		private static double getMultiplier( string signedTicker )
! 		{
! 			double multiplier = 1.0;
! 			if ( IsShort( signedTicker ) )
! 				multiplier = -multiplier;
! 			return multiplier;
! 		}
! 		private static double getCloseToClosePortfolioReturn(
! 			string[] signedTickers , SortedList datesForReturnComputation , int i )
! 		{
! 			double dailyReturn = 0.0;
! 			foreach ( String signedTicker in signedTickers )
! 				dailyReturn += getMultiplier( signedTicker ) *
! 					getCloseToCloseReturn( GetTicker( signedTicker ) ,
! 					datesForReturnComputation , i ) /
! 					signedTickers.Length;  // every position is considered with same weight
! 			return dailyReturn;
! 		}
! 		private static double[] getCloseToClosePortfolioReturns(
! 			string[] signedTickers , SortedList datesForReturnComputation )
! 		{
! 			// the return for first DateTime cannot be computed so the returned
! 			// array will have one element less the datesForReturnComputation
! 			double[] closeToClosePortfolioReturns =
! 				new double[ datesForReturnComputation.Count - 1 ];
! 			for ( int i=0 ; i < closeToClosePortfolioReturns.Length ; i++ )
! 				closeToClosePortfolioReturns[ i ] =	getCloseToClosePortfolioReturn(
! 					signedTickers , datesForReturnComputation , i );
! 			return closeToClosePortfolioReturns;
! 		}
  		private static double[] getCloseToClosePortfolioReturns(
  			ICollection signedTickers,	SortedList datesForReturnComputation )
--- 467,500 ----
  			return closeToCloseReturn;
  		}
! //		private static double getMultiplier( string signedTicker )
! //		{
! //			double multiplier;
! //			if ( IsShort( signedTicker ) )
! //				multiplier = -multiplier;
! //			return multiplier;
! //		}
! //		private static double getCloseToClosePortfolioReturn(
! //			string[] signedTickers , SortedList datesForReturnComputation , int i )
! //		{
! //			double dailyReturn = 0.0;
! //			foreach ( String signedTicker in signedTickers )
! //				dailyReturn += getMultiplier( signedTicker ) *
! //					getCloseToCloseReturn( GetTicker( signedTicker ) ,
! //					datesForReturnComputation , i ) /
! //					signedTickers.Length;  // every position is considered with same weight
! //			return dailyReturn;
! //		}
! //		private static double[] getCloseToClosePortfolioReturns(
! //			string[] signedTickers , SortedList datesForReturnComputation )
! //		{
! //			// the return for first DateTime cannot be computed so the returned
! //			// array will have one element less the datesForReturnComputation
! //			double[] closeToClosePortfolioReturns =
! //				new double[ datesForReturnComputation.Count - 1 ];
! //			for ( int i=0 ; i < closeToClosePortfolioReturns.Length ; i++ )
! //				closeToClosePortfolioReturns[ i ] =	getCloseToClosePortfolioReturn(
! //					signedTickers , datesForReturnComputation , i );
! //			return closeToClosePortfolioReturns;
! //		}
  		private static double[] getCloseToClosePortfolioReturns(
  			ICollection signedTickers,	SortedList datesForReturnComputation )
***************
*** 452,455 ****
--- 546,555 ----
        }
  		}
+ 		public static string GetOppositeSignedTicker( string stringForSignedTicker )
+ 		{
+ 			SignedTicker signedTicker = new SignedTicker( stringForSignedTicker );
+ 			SignedTicker oppositeSignedTicker = signedTicker.OppositeSignedTicker;
+ 			return oppositeSignedTicker.Ticker;
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest EndOfDayTimerHandlerSimpleOHTest.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19350/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest

Modified Files:
	EndOfDayTimerHandlerSimpleOHTest.cs 
Log Message:
SignedTicker instance method are used now, static method were used in previous revision

Index: EndOfDayTimerHandlerSimpleOHTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest/EndOfDayTimerHandlerSimpleOHTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimpleOHTest.cs	9 Apr 2007 18:23:49 -0000	1.1
--- EndOfDayTimerHandlerSimpleOHTest.cs	7 Aug 2007 16:44:43 -0000	1.2
***************
*** 84,89 ****
                                     int tickerPosition )
      {
!       string ticker = 
!         SignedTicker.GetTicker(tickers[tickerPosition]);
        double cashForSinglePosition = 
          this.account.CashAmount / this.chosenTickers.Length;
--- 84,89 ----
                                     int tickerPosition )
      {
! 			SignedTicker signedTicker = new SignedTicker( tickers[tickerPosition] );
!       string ticker = signedTicker.Ticker;
        double cashForSinglePosition = 
          this.account.CashAmount / this.chosenTickers.Length;
***************
*** 91,96 ****
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
        Order order = 
!         new Order( 
!         SignedTicker.GetMarketOrderType(tickers[tickerPosition]),
          new Instrument( ticker ) , quantity );
        this.orders.Add(order);
--- 91,95 ----
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
        Order order = 
!         new Order( signedTicker.MarketOrderType ,
          new Instrument( ticker ) , quantity );
        this.orders.Add(order);

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.41, 1.42

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16760/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
a2_Strategies\SignedTickers.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.41
retrieving revision 1.42
diff -C2 -d -r1.41 -r1.42
*** b4_Business.csproj	13 Jul 2007 10:02:55 -0000	1.41
--- b4_Business.csproj	7 Aug 2007 16:39:56 -0000	1.42
***************
*** 613,616 ****
--- 613,621 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\SignedTickers.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a2_Strategies\TradingSystem.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTickers.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-serv16230/b4_Business/a2_Strategies

Added Files:
	SignedTickers.cs 
Log Message:
strongly typed collection of SignedTicker(s)

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

SignedTicker.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>
	/// strongly typed collection of SignedTicker(s)
	/// </summary>
	public class SignedTickers : System.Collections.CollectionBase
	{
		public double[] Multipliers
		{
			get
			{
				double[] multipliers = new double[ List.Count ];
				for ( int i = 0 ; i < List.Count ; i++ )
					multipliers[ i ] = ((SignedTicker)(List[ i ])).Multiplier;
				return multipliers;
			}
		}
		public SignedTickers()
		{
			//
			// TODO: Add constructor logic here
			//
		}
		/// <summary>
		/// 
		/// </summary>
		/// <param name="signedTickers">string of semicolon separated signed tickers</param>
		public SignedTickers( string signedTickers )
		{
			this.addSignedTickers( signedTickers );
		}
		/// <summary>
		/// 
		/// </summary>
		/// <param name="signedTickers">array of SignedTicker(s)</param>
		public SignedTickers( string[] signedTickers )
		{
			this.addSignedTickers( signedTickers );
		}
		private void addSignedTickers( string signedTickers )
		{
			string[] arrayForSignedTickers = signedTickers.Split( ';' );
			this.addSignedTickers( arrayForSignedTickers );
		}
		private void addSignedTickers( string[] signedTickers )
		{
			foreach ( string signedTicker in signedTickers )
				this.Add( new SignedTicker( signedTicker ) );
		}
		public SignedTicker this[ int index ]  
		{
			get  
			{
				return( (SignedTicker) this.List[ index ] );
			}
			set  
			{
				this.List[ index ] = value;
			}
		}
		public void Add( SignedTicker signedTicker )
		{
			this.List.Add( signedTicker );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunWalkForwardLag.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16983/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	RunWalkForwardLag.cs 
Log Message:
Fixed a private method's name

Index: RunWalkForwardLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunWalkForwardLag.cs	11 Jun 2007 17:43:51 -0000	1.9
--- RunWalkForwardLag.cs	4 Aug 2007 20:00:24 -0000	1.10
***************
*** 168,173 ****
  				this.account.AddCash( 30000 );
  		}
! 		#region oneHourAfterMarketCloseEventHandler
! 		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
  			IEndOfDayTimer endOfDayTimer )
  		{
--- 168,173 ----
  				this.account.AddCash( 30000 );
  		}
! 		#region marketCloseEventHandler
! 		private void marketCloseEventHandler_handleProgessBarForm(
  			IEndOfDayTimer endOfDayTimer )
  		{
***************
*** 275,279 ****
  			else
  				// the simulation has not reached the ending date, yet
! 				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
  					( IEndOfDayTimer )sender );
  		}
--- 275,279 ----
  			else
  				// the simulation has not reached the ending date, yet
! 				this.marketCloseEventHandler_handleProgessBarForm(
  					( IEndOfDayTimer )sender );
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16358/b4_Business/a2_Strategies/returnsManagement

Modified Files:
	ReturnsManager.cs 
Log Message:
Bug fixed: returns were not properly computed

Index: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ReturnsManager.cs	1 Aug 2007 23:11:02 -0000	1.2
--- ReturnsManager.cs	4 Aug 2007 19:59:08 -0000	1.3
***************
*** 134,153 ****
  			return areAllCovered;
  		}
! 		private float selectReturnWithRespectToTheTimeLine( History returns ,
  			int i )
  		{
! 			DateTime currentDateTimeForReturn =
! 				(DateTime)this.timeLineForQuotes.GetByIndex( i );
! 			return (float)returns[ currentDateTimeForReturn ];
  		}
! 		private float[] selectReturnsWithRespectToTheTimeLine( History returns )
  		{
  			// TO DO: this method is n log n, it could be implemented to
  			// be have a linear complexity!!!
  			float[] returnsWithRespectToTheTimeLine =
! 				new float[ this.timeLineForQuotes.Count ];
! 			for ( int i = 0 ; i < this.timeLineForQuotes.Count ; i++ )
  				returnsWithRespectToTheTimeLine[ i ] =
! 					this.selectReturnWithRespectToTheTimeLine( returns , i );
  			return returnsWithRespectToTheTimeLine;
  		}
--- 134,154 ----
  			return areAllCovered;
  		}
! 		private float selectReturnWithRespectToTheTimeLine( History quotes ,
  			int i )
  		{
! 			float currentQuote = (float)quotes.GetByIndex( i );
! 			float nextQuote = (float)quotes.GetByIndex( i + 1 );
! 			float currentReturn = nextQuote / currentQuote - 1;
! 			return currentReturn;
  		}
! 		private float[] selectReturnsWithRespectToTheTimeLine( History quotes )
  		{
  			// TO DO: this method is n log n, it could be implemented to
  			// be have a linear complexity!!!
  			float[] returnsWithRespectToTheTimeLine =
! 				new float[ this.timeLineForQuotes.Count - 1 ];
! 			for ( int i = 0 ; i < this.timeLineForQuotes.Count - 1 ; i++ )
  				returnsWithRespectToTheTimeLine[ i ] =
! 					this.selectReturnWithRespectToTheTimeLine( quotes , i );
  			return returnsWithRespectToTheTimeLine;
  		}

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj, 1.37, 1.38

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15880/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
VSNet automatic change

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.37
retrieving revision 1.38
diff -C2 -d -r1.37 -r1.38
*** b5_Presentation.csproj	1 Aug 2007 22:50:56 -0000	1.37
--- b5_Presentation.csproj	4 Aug 2007 19:58:11 -0000	1.38
***************
*** 169,173 ****
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />
--- 169,173 ----
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "UserControl"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs, 1.24, 1.25

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15387/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Added a (commented) line, to be used if you get an exception from the Sort method and you want to break to the right code line

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** GeneticOptimizer.cs	19 Jun 2007 19:18:38 -0000	1.24
--- GeneticOptimizer.cs	4 Aug 2007 19:57:47 -0000	1.25
***************
*** 297,300 ****
--- 297,303 ----
      private void sortCurrentGenerationAndFireNewGenerationEvent()
      {
+       // comment out the following line if you have an exception
+       // in the Sort method and you want to break to the proper line
+       // double fitness = ((Genome) this.currentGeneration[ 0 ]).Fitness;
        this.currentGeneration.Sort(this.genomeComparer);
        if(this.NewGeneration != null)

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12218/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
A logical error has been fixed:
this.setChosenPositions_usingTheGeneticOptimizer() is used now, instead of this.setWeightedPositions_usingTheGeneticOptimizer()


Index: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	13 Jul 2007 10:13:06 -0000	1.4
--- WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	1 Aug 2007 23:15:39 -0000	1.5
***************
*** 125,129 ****
  				generationNumberForGeneticOptimizer;
  		}
! 		#region setWeightedPositions_usingTheGeneticOptimizer
  		private History getTimeLineForOptimization( EndOfDayDateTime now )
  		{
--- 125,129 ----
  				generationNumberForGeneticOptimizer;
  		}
! 		#region setChosenPositions_usingTheGeneticOptimizer
  		private History getTimeLineForOptimization( EndOfDayDateTime now )
  		{
***************
*** 150,159 ****
  //				wFLagWeightedPositions.PortfolioWeightedPositions;
  //		}
! 		private void setSignedTickers_setTickersFromGenome(
! 			IGenomeManager genomeManager ,
! 			Genome genome )
  		{
  			this.wFLagChosenPositions =
! 				( WFLagChosenPositions )genomeManager.Decode( genome );
  //			this.setWeightedPositions( wFLagWeightedPositions );
  			//			this.drivingWeightedPositions =
--- 150,174 ----
  //				wFLagWeightedPositions.PortfolioWeightedPositions;
  //		}
! 		private WFLagWeightedPositions getWFLagWeightedPositions_FromDecodableGenome(
! 			IGenomeManager genomeManager , Genome genome )
  		{
+ 			object wFLagWeightedPositions =
+ 				genomeManager.Decode( genome );
+ 			if ( !(wFLagWeightedPositions is WFLagWeightedPositions) )
+ 				throw new Exception( "The genome is not a WFLagWeightedPositions. " +
+ 					"It should happen only if the genome is undecodable. This " +
+ 					"should never happen for the best genome." );
+ 			return (WFLagWeightedPositions)wFLagWeightedPositions;
+ 		}
+ 		private void setChosenPositions_FromDecodableGenome(
+ 			IGenomeManager genomeManager , Genome genome ,
+ 			EndOfDayDateTime now )
+ 		{
+ 			WFLagWeightedPositions wFLagWeightedPositions =
+ 				this.getWFLagWeightedPositions_FromDecodableGenome(
+ 				genomeManager , genome );
  			this.wFLagChosenPositions =
! 				new WFLagChosenPositions(
! 				wFLagWeightedPositions , now.DateTime );
  //			this.setWeightedPositions( wFLagWeightedPositions );
  			//			this.drivingWeightedPositions =
***************
*** 162,166 ****
  			//				wFLagWeightedPositions.PortfolioWeightedPositions;
  		}
! 		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			EndOfDayDateTime now )
--- 177,181 ----
  			//				wFLagWeightedPositions.PortfolioWeightedPositions;
  		}
! 		public virtual void setChosenPositions_usingTheGeneticOptimizer(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			EndOfDayDateTime now )
***************
*** 193,203 ****
  			geneticOptimizer.Run( false );
  
! 			this.setSignedTickers_setTickersFromGenome(
! 				genomeManager , geneticOptimizer.BestGenome );
  
  //			this.generation = geneticOptimizer.BestGenome.Generation;
  
  		}
! 		#endregion
  		private void chosePositions_checkParameters(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
--- 208,218 ----
  			geneticOptimizer.Run( false );
  
! 			this.setChosenPositions_FromDecodableGenome(
! 				genomeManager , geneticOptimizer.BestGenome , now );
  
  //			this.generation = geneticOptimizer.BestGenome.Generation;
  
  		}
! 		#endregion //setChosenPositions_usingTheGeneticOptimizer
  		private void chosePositions_checkParameters(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
***************
*** 228,232 ****
  			this.chosePositions_checkParameters( eligibleTickersForDrivingPositions ,
  				now );
! 			this.setWeightedPositions_usingTheGeneticOptimizer(
  				eligibleTickersForDrivingPositions ,
  				now );
--- 243,247 ----
  			this.chosePositions_checkParameters( eligibleTickersForDrivingPositions ,
  				now );
! 			this.setChosenPositions_usingTheGeneticOptimizer(
  				eligibleTickersForDrivingPositions ,
  				now );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger WFLagChosenPositions.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11395/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger

Modified Files:
	WFLagChosenPositions.cs 
Log Message:
A new constructor has been added:

public WFLagChosenPositions( WFLagWeightedPositions wFLagWeightedPositions , DateTime lastOptimizationDate )


Index: WFLagChosenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagChosenPositions.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WFLagChosenPositions.cs	18 Feb 2007 01:03:36 -0000	1.4
--- WFLagChosenPositions.cs	1 Aug 2007 23:13:54 -0000	1.5
***************
*** 93,96 ****
--- 93,107 ----
  			this.lastOptimizationDate = lastOptimizationDate;
  		}
+ 		public WFLagChosenPositions( WFLagWeightedPositions wFLagWeightedPositions ,
+ 			DateTime lastOptimizationDate )
+ 		{
+ 			//			this.drivingPositions =
+ 			//				this.copy( wFLagChosenTickers.DrivingWeightedPositions );
+ 			//			this.portfolioPositions =
+ 			//				this.copy( wFLagChosenTickers.PortfolioWeightedPositions );
+ 			this.drivingWeightedPositions = wFLagWeightedPositions.DrivingWeightedPositions;
+ 			this.portfolioWeightedPositions = wFLagWeightedPositions.PortfolioWeightedPositions;
+ 			this.lastOptimizationDate = lastOptimizationDate;
+ 		}
  
  		public WFLagChosenPositions( WeightedPositions drivingWeightedPositions ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WeightedPositions.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10967/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WeightedPositions.cs 
Log Message:
- returnsManager.NumberOfReturns is used now

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositions.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WeightedPositions.cs	13 Jul 2007 10:10:45 -0000	1.5
--- WeightedPositions.cs	1 Aug 2007 23:12:46 -0000	1.6
***************
*** 440,444 ****
  			float[] returns = new float[
  				returnsManager.TimeLine.Count - 1 ];
! 			for ( int i = 0 ; i < returnsManager.TimeLine.Count ; i++ )
  				returns[ i ] = this.GetReturn( i , returnsManager );
  			return returns;
--- 440,444 ----
  			float[] returns = new float[
  				returnsManager.TimeLine.Count - 1 ];
! 			for ( int i = 0 ; i < returnsManager.NumberOfReturns ; i++ )
  				returns[ i ] = this.GetReturn( i , returnsManager );
  			return returns;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10130/b4_Business/a2_Strategies/returnsManagement

Modified Files:
	ReturnsManager.cs 
Log Message:
- public int NumberOfReturns has been added
- History.GetDateTime() is now used, to avoid casting and make runtime errors unlikely
- minor bug fixes

Index: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ReturnsManager.cs	13 Jul 2007 09:47:47 -0000	1.1
--- ReturnsManager.cs	1 Aug 2007 23:11:02 -0000	1.2
***************
*** 54,60 ****
  		}
  
  		protected DateTime firstDateTime
  		{
! 			get { return (DateTime)this.timeLineForQuotes[ 0 ]; }
  		}
  		protected DateTime lastDateTime
--- 54,67 ----
  		}
  
+ 		/// <summary>
+ 		/// Number of returns, that is TimeLine's elements minus 1
+ 		/// </summary>
+ 		public int NumberOfReturns
+ 		{
+ 			get { return this.TimeLine.Count - 1; }
+ 		}
  		protected DateTime firstDateTime
  		{
! 			get { return this.timeLineForQuotes.GetDateTime( 0 ); }
  		}
  		protected DateTime lastDateTime
***************
*** 63,67 ****
  			{
  				int lastIndex = this.timeLineForQuotes.Count - 1;
! 				return (DateTime)this.timeLineForQuotes[ lastIndex ];
  			}
  		}
--- 70,74 ----
  			{
  				int lastIndex = this.timeLineForQuotes.Count - 1;
! 				return this.timeLineForQuotes.GetDateTime( lastIndex );
  			}
  		}
***************
*** 91,95 ****
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
! 			this.timeLineForQuotes = timeLineForQuotes;
  			this.commonInitialization();
  		}
--- 98,102 ----
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
! 			this.timeLineForQuotes = timeLine;
  			this.commonInitialization();
  		}
***************
*** 122,131 ****
  		{
  			bool areAllCovered = true;
! 			foreach ( DateTime dateTime in this.timeLineForQuotes  )
  				if ( !returns.ContainsKey( dateTime ) )
  					areAllCovered = false;
  			return areAllCovered;
  		}
! 		private float selectReturnOnValidDateTime( History returns ,
  			int i )
  		{
--- 129,138 ----
  		{
  			bool areAllCovered = true;
! 			foreach ( DateTime dateTime in this.timeLineForQuotes.TimeLine  )
  				if ( !returns.ContainsKey( dateTime ) )
  					areAllCovered = false;
  			return areAllCovered;
  		}
! 		private float selectReturnWithRespectToTheTimeLine( History returns ,
  			int i )
  		{
***************
*** 134,152 ****
  			return (float)returns[ currentDateTimeForReturn ];
  		}
! 		private float[] selectReturnsOnValidDateTimes( History returns )
  		{
  			// TO DO: this method is n log n, it could be implemented to
  			// be have a linear complexity!!!
! 			float[] returnsOnValidDateTimes =
  				new float[ this.timeLineForQuotes.Count ];
  			for ( int i = 0 ; i < this.timeLineForQuotes.Count ; i++ )
! 				returnsOnValidDateTimes[ i ] =
! 					this.selectReturnOnValidDateTime( returns , i );
! 			return returnsOnValidDateTimes;
  		}
! 		private void setReturnsActually( string ticker , History returns )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsOnValidDateTimes( returns );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
--- 141,159 ----
  			return (float)returns[ currentDateTimeForReturn ];
  		}
! 		private float[] selectReturnsWithRespectToTheTimeLine( History returns )
  		{
  			// TO DO: this method is n log n, it could be implemented to
  			// be have a linear complexity!!!
! 			float[] returnsWithRespectToTheTimeLine =
  				new float[ this.timeLineForQuotes.Count ];
  			for ( int i = 0 ; i < this.timeLineForQuotes.Count ; i++ )
! 				returnsWithRespectToTheTimeLine[ i ] =
! 					this.selectReturnWithRespectToTheTimeLine( returns , i );
! 			return returnsWithRespectToTheTimeLine;
  		}
! 		private void setReturnsActually( string ticker , History quotes )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheTimeLine( quotes );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
***************
*** 176,180 ****
  		}
  		#endregion GetReturns
! 		#region GetReturns
  		/// <summary>
  		/// Gives out the returnIndex_th return for the given ticker
--- 183,187 ----
  		}
  		#endregion GetReturns
! 		#region GetReturn
  		/// <summary>
  		/// Gives out the returnIndex_th return for the given ticker
***************
*** 223,227 ****
  		private float getReturnsStandardDeviation( string ticker )
  		{
! 			return (float)this.tickersReturnsStandardDeviations[ ticker ];
  		}
  		/// <summary>
--- 230,234 ----
  		private float getReturnsStandardDeviation( string ticker )
  		{
! 			return Convert.ToSingle( this.tickersReturnsStandardDeviations[ ticker ] );
  		}
  		/// <summary>

[Quantproject-developers] QuantProject/b1_ADT/Histories History.cs, 1.10, 1.11

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31239/b1_ADT/Histories

Modified Files:
	History.cs 
Log Message:
- public ICollection TimeLine has been added
- public DateTime GetDateTime( int index ) has been added

Index: History.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** History.cs	18 Jun 2006 15:28:11 -0000	1.10
--- History.cs	1 Aug 2007 22:58:03 -0000	1.11
***************
*** 36,39 ****
--- 36,47 ----
  	public class History : AdvancedSortedList
  	{
+ 		/// <summary>
+ 		/// Returns the ICollection of DateTimes on which the
+ 		/// history is built
+ 		/// </summary>
+ 		public ICollection TimeLine
+ 		{
+ 			get { return this.Keys; }
+ 		}
  		public History() : base()
  		{
***************
*** 81,84 ****
--- 89,101 ----
  
  		/// <summary>
+ 		/// Returns the i-1_th element in the history timeline
+ 		/// </summary>
+ 		/// <param name="index"></param>
+ 		/// <returns></returns>
+ 		public DateTime GetDateTime( int index )
+ 		{
+ 			return (DateTime)this.GetKey( index );
+ 		}
+ 		/// <summary>
  		/// Add an history item, if no collision (contemporary events) is expected
  		/// </summary>

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj, 1.36, 1.37

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27426/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
Minor change, automatically applied by VSNet

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.36
retrieving revision 1.37
diff -C2 -d -r1.36 -r1.37
*** b5_Presentation.csproj	11 Jun 2007 17:54:59 -0000	1.36
--- b5_Presentation.csproj	1 Aug 2007 22:50:56 -0000	1.37
***************
*** 131,139 ****
                  />
                  <Reference
-                     Name = "NPlot"
-                     AssemblyName = "NPlot"
-                     HintPath = "..\..\..\..\..\Documents and Settings\Glauco\Desktop\NPlot\NPlot.dll"
-                 />
-                 <Reference
                      Name = "Microsoft.Office.Core"
                      Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
--- 131,134 ----
***************
*** 143,146 ****
--- 138,146 ----
                      WrapperTool = "primary"
                  />
+                 <Reference
+                     Name = "NPlot"
+                     AssemblyName = "NPlot"
+                     HintPath = "..\..\NPlot.dll"
+                 />
              </References>
          </Build>
***************
*** 169,173 ****
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "UserControl"
                      BuildAction = "Compile"
                  />
--- 169,173 ----
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj, 1.48, 1.49

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27112/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Minor change, automatically applied by VSNet

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.48
retrieving revision 1.49
diff -C2 -d -r1.48 -r1.49
*** b3_Data.csproj	13 Jul 2007 10:01:56 -0000	1.48
--- b3_Data.csproj	1 Aug 2007 22:50:17 -0000	1.49
***************
*** 144,148 ****
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Component"
                      BuildAction = "Compile"
                  />
--- 144,148 ----
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation WinningPeriods.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31934/b4_Business/a2_Strategies/EquityEvaluation

Modified Files:
	WinningPeriods.cs 
Log Message:
GetReturnsEvaluation returns a float now (it returned a double in the previous version)

Index: WinningPeriods.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/WinningPeriods.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WinningPeriods.cs	3 Nov 2006 16:28:17 -0000	1.1
--- WinningPeriods.cs	13 Jul 2007 10:18:03 -0000	1.2
***************
*** 34,38 ****
  		{
  		}
! 		public double GetReturnsEvaluation( double[] returns )
  		{
  			int winningPeriods = 0;
--- 34,38 ----
  		{
  		}
! 		public float GetReturnsEvaluation( float[] returns )
  		{
  			int winningPeriods = 0;
***************
*** 45,50 ****
  					losingPeriods++;
  			}
! 			return ( Convert.ToDouble( winningPeriods ) /
! 				Convert.ToDouble( winningPeriods + losingPeriods ) );
  		}
  	}
--- 45,50 ----
  					losingPeriods++;
  			}
! 			return ( Convert.ToSingle( winningPeriods ) /
! 				Convert.ToSingle( winningPeriods + losingPeriods ) );
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31039/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
GetFitnessValue returns a float now (it returned a double in the previous version)

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	24 Jun 2007 21:34:55 -0000	1.2
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	13 Jul 2007 10:16:59 -0000	1.3
***************
*** 25,31 ****
--- 25,33 ----
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.ADT.Statistics;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Strategies.EquityEvaluation;
  
***************
*** 45,57 ****
  		private int numberOfDrivingPositions;
  		private string[] portfolioSignedTickers;
  //		private int numberOfEligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForPortfolioWeightedPositions;
! 		private DateTime firstOptimizationDateForDrivingPositions;
! 		private DateTime lastOptimizationDate;
  
  		private double minimumPositionWeight;
  
! 		protected WFLagCandidates wFLagCandidates;
  
  		private IEquityEvaluator equityEvaluator;
--- 47,66 ----
  		private int numberOfDrivingPositions;
  		private string[] portfolioSignedTickers;
+ 		private History timeLineForOptimization; // this time line goes from
+ 		// the first optimization date for driving positions to the
+ 		// last optimization date; this optimization is meant to be
+ 		// launched one hour after the last market close
+ 
+ //		private DateTime firstOptimizationDateForDrivingPositions;
+ //		private DateTime lastOptimizationDate;
  //		private int numberOfEligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForDrivingWeightedPositions;
  		protected DataTable eligibleTickersForPortfolioWeightedPositions;
! //		private DateTime firstOptimizationDateForDrivingPositions;
! //		private DateTime lastOptimizationDate;
  
  		private double minimumPositionWeight;
  
! //		protected WFLagCandidates wFLagCandidates;
  
  		private IEquityEvaluator equityEvaluator;
***************
*** 59,62 ****
--- 68,72 ----
  		private WFLagMeaningForUndecodableGenomes wFLagMeaningForUndecodableGenomes;
  		private string[] tickersForPortfolioPositions;
+ 		private CloseToCloseReturnsManager closeToCloseReturnsManager;
  
  
***************
*** 89,94 ****
  			DataTable eligibleTickersForDrivingWeightedPositions ,
  			string[] portfolioSignedTickers ,
! 			DateTime firstOptimizationDateForDrivingPositions ,
! 			DateTime lastOptimizationDate ,
  			IEquityEvaluator equityEvaluator ,
  			int seedForRandomGenerator )
--- 99,103 ----
  			DataTable eligibleTickersForDrivingWeightedPositions ,
  			string[] portfolioSignedTickers ,
! 			History timeLineForOptimization ,
  			IEquityEvaluator equityEvaluator ,
  			int seedForRandomGenerator )
***************
*** 103,109 ****
  //				eligibleTickersForPortfolioWeightedPositions;
  			this.portfolioSignedTickers = portfolioSignedTickers;
! 			this.firstOptimizationDateForDrivingPositions =
! 					firstOptimizationDateForDrivingPositions;
! 			this.lastOptimizationDate = lastOptimizationDate;
  
  			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
--- 112,116 ----
  //				eligibleTickersForPortfolioWeightedPositions;
  			this.portfolioSignedTickers = portfolioSignedTickers;
! 			this.timeLineForOptimization = timeLineForOptimization;
  
  			this.minimumPositionWeight = 0.2;	// TO DO this value should become a constructor parameter
***************
*** 118,124 ****
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
  
! 			this.wFLagCandidates = new WFLagCandidates(
! 				this.eligibleTickersForDrivingWeightedPositions ,
! 				this.firstOptimizationDateForDrivingPositions , this.lastOptimizationDate );
  
  			this.wFLagMeaningForUndecodableGenomes =
--- 125,133 ----
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
  
! //			this.wFLagCandidates = new WFLagCandidates(
! //				this.eligibleTickersForDrivingWeightedPositions ,
! //				this.firstOptimizationDateForDrivingPositions , this.lastOptimizationDate );
! 			this.closeToCloseReturnsManager =
! 				new CloseToCloseReturnsManager( this.timeLineForOptimization );
  
  			this.wFLagMeaningForUndecodableGenomes =
***************
*** 158,194 ****
  		}
  
! 		private double[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
! //			ArrayList enumeratedweightedPositions =
! //				this.getEnumeratedWeightedPositions( weightedPositions );
! 			int numberOfWeightedPositions = weightedPositions.Count;
! 			string[] tickers = this.getTickers( weightedPositions );
! 			float[] multipliers = this.getMultipliers( weightedPositions );
! 			// arrays of close to close returns, one for each signed ticker
! 			float[][] tickersReturns =
! 				this.wFLagCandidates.GetTickersReturns( tickers );
! 			double[] linearCombinationReturns =
! 				new double[ tickersReturns[ 0 ].Length ];
! 			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
! 				// computes linearCombinationReturns[ i ]
! 			{
! 				linearCombinationReturns[ i ] = 0;
! 				for ( int j=0 ; j < weightedPositions.Count ; j++ )
! 				{
! 					double weightedPositionReturn =
! 						tickersReturns[ j ][ i ] * multipliers[ j ];
! 					linearCombinationReturns[ i ] += weightedPositionReturn;
! 				}
! 			}
! 			return linearCombinationReturns;
  		}
! 		private double[] getFitnessValue_getStrategyReturn(
! 			double[] drivingPositionsReturns , double[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			double[] strategyReturns = new double[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
--- 167,183 ----
  		}
  
! 		private float[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
! 			return weightedPositions.GetReturns(
! 				this.closeToCloseReturnsManager );
  		}
! 		private float[] getFitnessValue_getStrategyReturn(
! 			float[] drivingPositionsReturns , float[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			float[] strategyReturns = new float[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
***************
*** 207,211 ****
  
  		}
! 		private double getFitnessValue( double[] strategyReturns )
  		{
  //			double fitnessValue =
--- 196,200 ----
  
  		}
! 		private float getFitnessValue( float[] strategyReturns )
  		{
  //			double fitnessValue =
***************
*** 215,219 ****
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			double fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
--- 204,208 ----
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			float fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
***************
*** 227,243 ****
  		}
  
! 		public double GetFitnessValue(
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			double[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			double[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			double[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
! 			double fitnessValue = this.getFitnessValue( strategyReturns );
  			return fitnessValue;
  		}
--- 216,232 ----
  		}
  
! 		public float GetFitnessValue(
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			float[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			float[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			float[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
! 			float fitnessValue = this.getFitnessValue( strategyReturns );
  			return fitnessValue;
  		}
***************
*** 496,501 ****
  			Genome genome )
  		{
- 			double[] weightsForDrivingPositions =	this.getWeightsForDrivingPositions( genome );
  			string[] tickersForDrivingPositions =	this.getTickersForDrivingPositions( genome );
  			return decodeWeightedPositions(
  				weightsForDrivingPositions ,
--- 485,490 ----
  			Genome genome )
  		{
  			string[] tickersForDrivingPositions =	this.getTickersForDrivingPositions( genome );
+ 			double[] weightsForDrivingPositions =	this.getWeightsForDrivingPositions( genome );
  			return decodeWeightedPositions(
  				weightsForDrivingPositions ,
***************
*** 506,511 ****
  		{
  			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
! 				this.firstOptimizationDateForDrivingPositions.AddDays( 1 ) ,
! 				this.lastOptimizationDate );
  		}
  		private WeightedPositions decodePortfolioWeightedPositions(
--- 495,499 ----
  		{
  			return WeightedPositions.GetBalancedWeights( this.portfolioSignedTickers ,
! 				this.closeToCloseReturnsManager );
  		}
  		private WeightedPositions decodePortfolioWeightedPositions(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagGenomeManager.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30205/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagGenomeManager.cs 
Log Message:
Several double data have been replaced by float data

Index: WFLagGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomeManager.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** WFLagGenomeManager.cs	3 Jan 2007 23:20:09 -0000	1.8
--- WFLagGenomeManager.cs	13 Jul 2007 10:15:52 -0000	1.9
***************
*** 162,166 ****
  		}
  
! 		private double[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
--- 162,166 ----
  		}
  
! 		private float[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
***************
*** 173,178 ****
  			float[][] tickersReturns =
  				this.wFLagCandidates.GetTickersReturns( tickers );
! 			double[] linearCombinationReturns =
! 				new double[ tickersReturns[ 0 ].Length ];
  			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
  				// computes linearCombinationReturns[ i ]
--- 173,178 ----
  			float[][] tickersReturns =
  				this.wFLagCandidates.GetTickersReturns( tickers );
! 			float[] linearCombinationReturns =
! 				new float[ tickersReturns[ 0 ].Length ];
  			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
  				// computes linearCombinationReturns[ i ]
***************
*** 181,185 ****
  				for ( int j=0 ; j < weightedPositions.Count ; j++ )
  				{
! 					double weightedPositionReturn =
  						tickersReturns[ j ][ i ] * multipliers[ j ];
  					linearCombinationReturns[ i ] += weightedPositionReturn;
--- 181,185 ----
  				for ( int j=0 ; j < weightedPositions.Count ; j++ )
  				{
! 					float weightedPositionReturn =
  						tickersReturns[ j ][ i ] * multipliers[ j ];
  					linearCombinationReturns[ i ] += weightedPositionReturn;
***************
*** 188,198 ****
  			return linearCombinationReturns;
  		}
! 		private double[] getFitnessValue_getStrategyReturn(
! 			double[] drivingPositionsReturns , double[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			double[] strategyReturns = new double[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
--- 188,198 ----
  			return linearCombinationReturns;
  		}
! 		private float[] getFitnessValue_getStrategyReturn(
! 			float[] drivingPositionsReturns , float[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			float[] strategyReturns = new float[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
***************
*** 211,215 ****
  
  		}
! 		private double getFitnessValue( double[] strategyReturns )
  		{
  //			double fitnessValue =
--- 211,215 ----
  
  		}
! 		private double getFitnessValue( float[] strategyReturns )
  		{
  //			double fitnessValue =
***************
*** 234,244 ****
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			double[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			double[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			double[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
--- 234,244 ----
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			float[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			float[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			float[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights WFLagGeneticWithEqualWeights.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29631/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights

Modified Files:
	WFLagGeneticWithEqualWeights.cs 
Log Message:
Several double data have been replaced by float data

Index: WFLagGeneticWithEqualWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticWithEqualWeights/WFLagGeneticWithEqualWeights.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagGeneticWithEqualWeights.cs	24 Jun 2007 21:11:46 -0000	1.1
--- WFLagGeneticWithEqualWeights.cs	13 Jul 2007 10:14:44 -0000	1.2
***************
*** 155,159 ****
  		}
  
! 		private double[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
--- 155,159 ----
  		}
  
! 		private float[] getFitnessValue_getLinearCombinationReturns(
  			WeightedPositions weightedPositions )
  		{
***************
*** 166,171 ****
  			float[][] tickersReturns =
  				this.wFLagCandidates.GetTickersReturns( tickers );
! 			double[] linearCombinationReturns =
! 				new double[ tickersReturns[ 0 ].Length ];
  			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
  				// computes linearCombinationReturns[ i ]
--- 166,171 ----
  			float[][] tickersReturns =
  				this.wFLagCandidates.GetTickersReturns( tickers );
! 			float[] linearCombinationReturns =
! 				new float[ tickersReturns[ 0 ].Length ];
  			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
  				// computes linearCombinationReturns[ i ]
***************
*** 174,178 ****
  				for ( int j=0 ; j < weightedPositions.Count ; j++ )
  				{
! 					double weightedPositionReturn =
  						tickersReturns[ j ][ i ] * multipliers[ j ];
  					linearCombinationReturns[ i ] += weightedPositionReturn;
--- 174,178 ----
  				for ( int j=0 ; j < weightedPositions.Count ; j++ )
  				{
! 					float weightedPositionReturn =
  						tickersReturns[ j ][ i ] * multipliers[ j ];
  					linearCombinationReturns[ i ] += weightedPositionReturn;
***************
*** 181,191 ****
  			return linearCombinationReturns;
  		}
! 		private double[] getFitnessValue_getStrategyReturn(
! 			double[] drivingPositionsReturns , double[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			double[] strategyReturns = new double[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
--- 181,191 ----
  			return linearCombinationReturns;
  		}
! 		private float[] getFitnessValue_getStrategyReturn(
! 			float[] drivingPositionsReturns , float[] portfolioPositionsReturns )
  		{
  			// strategyReturns contains one element less than drivingPositionsReturns,
  			// because there is no strategy for the very first period (at least
  			// one day signal is needed)
! 			float[] strategyReturns = new float[ portfolioPositionsReturns.Length - 1 ];
  			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
  				if ( drivingPositionsReturns[ i ] < 0 )
***************
*** 204,222 ****
  
  		}
! 		private double getFitnessValue( double[] strategyReturns )
  		{
! //			double fitnessValue =
  //				AdvancedFunctions.GetSharpeRatio(
  //				strategyReturns );
! //			double fitnessValue =
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			double fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
  
! 			//			double fitnessValue =
  			//				this.getFitnessValue_withGoodFinal( strategyReturns );
! 			//			double fitnessValue =
  			//				BasicFunctions.GetSimpleAverage( strategyReturns ) /
  			//				( Math.Pow( BasicFunctions.GetStdDev( strategyReturns ) , 1.3 ) );
--- 204,222 ----
  
  		}
! 		private float getFitnessValue( float[] strategyReturns )
  		{
! //			float fitnessValue =
  //				AdvancedFunctions.GetSharpeRatio(
  //				strategyReturns );
! //			float fitnessValue =
  //				AdvancedFunctions.GetExpectancyScore(
  //				strategyReturns );
! 			float fitnessValue =
  				this.equityEvaluator.GetReturnsEvaluation(
  				strategyReturns );
  
! 			//			float fitnessValue =
  			//				this.getFitnessValue_withGoodFinal( strategyReturns );
! 			//			float fitnessValue =
  			//				BasicFunctions.GetSimpleAverage( strategyReturns ) /
  			//				( Math.Pow( BasicFunctions.GetStdDev( strategyReturns ) , 1.3 ) );
***************
*** 227,241 ****
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			double[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			double[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			double[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
! 			double fitnessValue = this.getFitnessValue( strategyReturns );
! 			return fitnessValue;
  		}
  		public double GetFitnessValue( Genome genome )
--- 227,241 ----
  			WFLagWeightedPositions wFLagWeightedPositions )
  		{
! 			float[] drivingPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.DrivingWeightedPositions );
! 			float[] portfolioPositionsReturns =
  				this.getFitnessValue_getLinearCombinationReturns(
  				wFLagWeightedPositions.PortfolioWeightedPositions );
! 			float[] strategyReturns =
  				this.getFitnessValue_getStrategyReturn(
  				drivingPositionsReturns , portfolioPositionsReturns );
! 			float fitnessValue = this.getFitnessValue( strategyReturns );
! 			return (double)fitnessValue;
  		}
  		public double GetFitnessValue( Genome genome )
***************
*** 251,255 ****
  				// genome contains a duplicate gene either for
  				// driving positions or for portfolio positions
! 				//fitnessValue = double.MinValue;
  				fitnessValue = -0.2;
  			else
--- 251,255 ----
  				// genome contains a duplicate gene either for
  				// driving positions or for portfolio positions
! 				//fitnessValue = float.MinValue;
  				fitnessValue = -0.2;
  			else
***************
*** 381,387 ****
  			return tickerIndex;
  		}
! 		private double getWeight( Genome genome , int genePosition )
  		{
! 			double weight = 1;
  			if ( genome.GetGeneValue( genePosition ) < 0 )
  				// the position is short
--- 381,387 ----
  			return tickerIndex;
  		}
! 		private float getWeight( Genome genome , int genePosition )
  		{
! 			float weight = 1;
  			if ( genome.GetGeneValue( genePosition ) < 0 )
  				// the position is short

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28554/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
timeLineForOptimization is computed and used as a private member

Index: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	24 Jun 2007 21:32:45 -0000	1.3
--- WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	13 Jul 2007 10:13:06 -0000	1.4
***************
*** 24,30 ****
--- 24,32 ----
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Business.Strategies.EquityEvaluation;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataTables;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger;
  
***************
*** 51,58 ****
  		protected WFLagChosenPositions wFLagChosenPositions;
  
! 		// first in sample quote date for driving positions
! 		protected DateTime firstInSampleDateForDrivingPositions;
! 		// last in sample quote date for equity evaluation
! 		protected DateTime lastInSampleOptimizationDate;
  
  		public int NumberOfDrivingPositions
--- 53,60 ----
  		protected WFLagChosenPositions wFLagChosenPositions;
  
! //		// first in sample quote date for driving positions
! //		protected DateTime firstInSampleDateForDrivingPositions;
! //		// last in sample quote date for equity evaluation
! //		protected DateTime lastInSampleOptimizationDate;
  
  		public int NumberOfDrivingPositions
***************
*** 124,127 ****
--- 126,139 ----
  		}
  		#region setWeightedPositions_usingTheGeneticOptimizer
+ 		private History getTimeLineForOptimization( EndOfDayDateTime now )
+ 		{
+ 			DateTime firstInSampleDateForDrivingPositions =
+ 				now.DateTime.AddDays(
+ 				-( this.NumberDaysForInSampleOptimization - 1 ) );
+ 			DateTime lastInSampleOptimizationDate =
+ 				now.DateTime;
+ 			return Quotes.GetMarketDays( this.benchmark ,
+ 				firstInSampleDateForDrivingPositions , lastInSampleOptimizationDate );
+ 		}
  		private void newGenerationEventHandler(
  			object sender , NewGenerationEventArgs e )
***************
*** 154,162 ****
  			EndOfDayDateTime now )
  		{
! 			this.firstInSampleDateForDrivingPositions =
! 				now.DateTime.AddDays(
! 				-( this.NumberDaysForInSampleOptimization - 1 ) );
! 			this.lastInSampleOptimizationDate =
! 				now.DateTime;
  
  			WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio
--- 166,171 ----
  			EndOfDayDateTime now )
  		{
! 			History timeLineForOptimization =
! 				this.getTimeLineForOptimization( now );
  
  			WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio
***************
*** 166,171 ****
  				eligibleTickersForDrivingPositions.EligibleTickers ,
  				this.portfolioSignedTickers ,
! 				this.firstInSampleDateForDrivingPositions ,
! 				this.lastInSampleOptimizationDate ,
  				this.equityEvaluator ,
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
--- 175,179 ----
  				eligibleTickersForDrivingPositions.EligibleTickers ,
  				this.portfolioSignedTickers ,
! 				timeLineForOptimization ,
  				this.equityEvaluator ,
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WeightedPositions.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26268/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WeightedPositions.cs 
Log Message:
public float[] GetReturns( ReturnsManager returnsManager ) has been added

public float GetReturn( int i , ReturnsManager returnsManager ) has been added

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositions.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WeightedPositions.cs	24 Jun 2007 21:31:05 -0000	1.4
--- WeightedPositions.cs	13 Jul 2007 10:10:45 -0000	1.5
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataTables;
***************
*** 204,229 ****
  		#endregion
  		#region GetCloseToClosePortfolioReturns
- //		private static double getCloseToCloseReturn( string ticker ,
- //			SortedList datesForReturnComputation , int i )
- //		{
- //			DateTime previousDate = (DateTime)datesForReturnComputation.GetByIndex( i );
- //			DateTime currentDate =
- //				(DateTime)datesForReturnComputation.GetByIndex( i + 1 );
- //			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
- //				new HistoricalAdjustedQuoteProvider();
- //			double previousQuote = historicalQuoteProvider.GetMarketValue( ticker ,
- //				new EndOfDayDateTime( previousDate , EndOfDaySpecificTime.MarketClose ) );
- //			double currentQuote = historicalQuoteProvider.GetMarketValue( ticker ,
- //				new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) );
- //			double closeToCloseReturn = currentQuote / previousQuote - 1.0;
- //			return closeToCloseReturn;
- //		}
- //		private static double getMultiplier( string signedTicker )
- //		{
- //			double multiplier = 1.0;
- //			if ( IsShort( signedTicker ) )
- //				multiplier = -multiplier;
- //			return multiplier;
- //		}
  		private double getCloseToClosePortfolioReturn(
  			SortedList datesForReturnComputation , int i )
--- 205,208 ----
***************
*** 323,355 ****
  				string ticker = SignedTicker.GetTicker( signedTickers[ i ] );
  				tickerReturns[ i ] = Quotes.GetArrayOfCloseToCloseRatios(
! 					ticker , ref firstDate , lastDate , 1 );
  			}
  			return tickerReturns;
  		}
! 		private static double getStandardDeviation( float[] returnsForTicker )
! 		{
! 			return BasicFunctions.GetStdDev( returnsForTicker );
! 		}
! 		private static double[] getStandardDeviations( float[][] returnsForTickers )
  		{
! 			double[] standardDeviations = new double[ returnsForTickers.Length ];
! 			for ( int i = 0 ;	i < standardDeviations.Length ; i++ )
! 				standardDeviations[ i ] = getStandardDeviation( returnsForTickers[ i ] );
! 			return standardDeviations;
  		}
! 		private static double[] getStandardDeviations( string[] signedTickers ,
! 			DateTime firstDate , DateTime lastDate )
  		{
! 			float[][] returnsForTickers = getTickerCloseToCloseReturnsForSignedTickers(
! 				signedTickers ,	firstDate , lastDate );
! 			return getStandardDeviations( returnsForTickers );
  		}
  		private static double getNonNormalizedWeightsButBalancedForVolatility(
! 			double[] standardDeviations , double maxStandardDeviation , int i )
  		{
  			return maxStandardDeviation / standardDeviations[ i ];
  		}
  		private static double[] getNonNormalizedWeightsButBalancedForVolatility(
! 			double[] standardDeviations , double maxStandardDeviation )
  		{
  			double[] nonNormalizedWeightsButBalancedForVolatility =
--- 302,333 ----
  				string ticker = SignedTicker.GetTicker( signedTickers[ i ] );
  				tickerReturns[ i ] = Quotes.GetArrayOfCloseToCloseRatios(
! 					ticker , firstDate , lastDate );
  			}
  			return tickerReturns;
  		}
! 		private static float getTickerReturnsStandardDeviations( int tickerIndex ,
! 			string[] signedTickers , ReturnsManager returnsManager )
  		{
! 			string ticker = SignedTicker.GetTicker( signedTickers[ tickerIndex ] );
! 			return returnsManager.GetReturnsStandardDeviation( ticker );
  		}
! 		private static float[] getTickersReturnsStandardDeviations(
! 			string[] signedTickers , ReturnsManager returnsManager )
  		{
! 			float[] tickersReturnsStandardDeviations =
! 				new float[ signedTickers.Length ];
! 			for ( int i = 0 ; i < signedTickers.Length ; i++ )
! 				tickersReturnsStandardDeviations[ i ] =
! 					getTickerReturnsStandardDeviations( i ,
! 					signedTickers , returnsManager );
! 			return tickersReturnsStandardDeviations;
  		}
  		private static double getNonNormalizedWeightsButBalancedForVolatility(
! 			float[] standardDeviations , float maxStandardDeviation , int i )
  		{
  			return maxStandardDeviation / standardDeviations[ i ];
  		}
  		private static double[] getNonNormalizedWeightsButBalancedForVolatility(
! 			float[] standardDeviations , float maxStandardDeviation )
  		{
  			double[] nonNormalizedWeightsButBalancedForVolatility =
***************
*** 362,368 ****
  		}
  		private static double[] getNonNormalizedWeightsButBalancedForVolatility(
! 			double[] standardDeviations )
  		{
! 			double maxStandardDeviation = BasicFunctions.GetMax( standardDeviations );
  			return getNonNormalizedWeightsButBalancedForVolatility(
  				standardDeviations , maxStandardDeviation );
--- 340,347 ----
  		}
  		private static double[] getNonNormalizedWeightsButBalancedForVolatility(
! 			float[] standardDeviations )
  		{
! 			float maxStandardDeviation =
! 				(float)BasicFunctions.GetMax( standardDeviations );
  			return getNonNormalizedWeightsButBalancedForVolatility(
  				standardDeviations , maxStandardDeviation );
***************
*** 376,382 ****
  		/// <returns></returns>
  		public static double[] GetBalancedWeights(
! 			string[] signedTickers , DateTime firstDate , DateTime lastDate )
  		{
! 			double[] standardDeviations = getStandardDeviations( signedTickers , firstDate , lastDate );
  			double[] nonNormalizedButBalancedWeights =
  				getNonNormalizedWeightsButBalancedForVolatility( standardDeviations );
--- 355,363 ----
  		/// <returns></returns>
  		public static double[] GetBalancedWeights(
! 			string[] signedTickers , ReturnsManager returnManager )
  		{
! 			float[] standardDeviations =
! 				getTickersReturnsStandardDeviations( signedTickers ,
! 				returnManager );
  			double[] nonNormalizedButBalancedWeights =
  				getNonNormalizedWeightsButBalancedForVolatility( standardDeviations );
***************
*** 386,389 ****
--- 367,447 ----
  		}
  		#endregion //GetBalancedWeights
+ 		#region GetReturn
+ 		private void getReturnCheckParameters( int i ,
+ 			ReturnsManager returnsManager )
+ 		{
+ 			if ( ( i < 0 ) || ( i > returnsManager.TimeLine.Count - 2 ) )
+ 				throw new Exception( "i is larger than the number of returns" );
+ 		}
+ 		private float getTickerReturn( string ticker , int i ,
+ 			ReturnsManager returnsManager )
+ 		{
+ 			return returnsManager.GetReturn( ticker , i );
+ 		}
+ 		private float getReturnActually( WeightedPosition weightedPosition ,
+ 			int i , ReturnsManager returnsManager )
+ 		{
+ 			float tickerReturn = this.getTickerReturn( weightedPosition.Ticker ,
+ 				i , returnsManager );
+ 			return tickerReturn * Convert.ToSingle( weightedPosition.Weight );
+ 
+ 
+ //			int numberOfWeightedPositions = weightedPositions.Count;
+ //			string[] tickers = this.getTickers( weightedPositions );
+ //			float[] multipliers = this.getMultipliers( weightedPositions );
+ //			// arrays of close to close returns, one for each signed ticker
+ //			float[][] tickersReturns =
+ //				this.wFLagCandidates.GetTickersReturns( tickers );
+ //			Aggiungi!!! weightedPositions.GetReturns( this.closeToCloseReturnsManager )
+ //								double[] linearCombinationReturns =
+ //									new double[ tickersReturns[ 0 ].Length ];
+ //			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
+ //				// computes linearCombinationReturns[ i ]
+ //			{
+ //				linearCombinationReturns[ i ] = 0;
+ //				for ( int j=0 ; j < weightedPositions.Count ; j++ )
+ //				{
+ //					double weightedPositionReturn =
+ //						tickersReturns[ j ][ i ] * multipliers[ j ];
+ //					linearCombinationReturns[ i ] += weightedPositionReturn;
+ //				}
+ //			}
+ //			return linearCombinationReturns;
+ 		}
+ 		private float getReturnActually( int i , ReturnsManager returnsManager )
+ 		{
+ 			float linearCombinationReturn = 0;
+ 			foreach ( WeightedPosition weightedPosition in this.Values )
+ 				linearCombinationReturn += this.getReturnActually( weightedPosition ,
+ 					i , returnsManager );
+ 			return linearCombinationReturn;
+ 		}
+ 		/// <summary>
+ 		/// returns the i_th return of the sum of the weighted positions
+ 		/// </summary>
+ 		/// <param name="i"></param>
+ 		/// <param name="returnsManager">used to efficiently store
+ 		/// ticker returns</param>
+ 		/// <returns></returns>
+ 		public float GetReturn( int i , ReturnsManager returnsManager )
+ 		{
+ 			this.getReturnCheckParameters( i , returnsManager );
+ 			return getReturnActually( i , returnsManager );
+ 		}
+ 		#endregion GetReturn
+ 		/// <summary>
+ 		/// Computes an array of floats representing the returns
+ 		/// of all weighted position
+ 		/// </summary>
+ 		/// <param name="returnsManager"></param>
+ 		/// <returns></returns>
+ 		public float[] GetReturns( ReturnsManager returnsManager )
+ 		{
+ 			float[] returns = new float[
+ 				returnsManager.TimeLine.Count - 1 ];
+ 			for ( int i = 0 ; i < returnsManager.TimeLine.Count ; i++ )
+ 				returns[ i ] = this.GetReturn( i , returnsManager );
+ 			return returns;
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.33, 1.34

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23694/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
public static History GetAdjustedCloseHistory( string ticker,
 			DateTime firstQuoteDate,
 			DateTime lastQuoteDate )
has been added.

public static float[] GetArrayOfCloseToCloseRatios(
 			string ticker ,
 			DateTime firstQuoteDate ,
 			DateTime lastQuoteDate )
has been added.

GetMarketDays returns a History now (it returned a SortedList in the previous version).

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.33
retrieving revision 1.34
diff -C2 -d -r1.33 -r1.34
*** Quotes.cs	9 Apr 2007 17:48:47 -0000	1.33
--- Quotes.cs	13 Jul 2007 10:07:59 -0000	1.34
***************
*** 2,12 ****
  using System.Collections;
  using System.Data;
  using System.Text;
  using QuantProject.ADT;
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Histories;
  using QuantProject.DataAccess;
  using QuantProject.DataAccess.Tables;
- using System.Runtime.Serialization;
  
  namespace QuantProject.Data.DataTables
--- 2,14 ----
  using System.Collections;
  using System.Data;
+ using System.Runtime.Serialization;
  using System.Text;
+ 
  using QuantProject.ADT;
+ using QuantProject.ADT.Collections;
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Histories;
  using QuantProject.DataAccess;
  using QuantProject.DataAccess.Tables;
  
  namespace QuantProject.Data.DataTables
***************
*** 720,732 ****
      }
      
!     public static float[] GetArrayOfCloseToCloseRatios(string ticker,
!                                                         ref DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         int numDaysBetweenEachClose)
!     {
!       return GetArrayOfCloseToCloseRatios(ticker, ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose,
!                                           0);
!     }
!     
      public static float[] GetArrayOfAdjustedCloseQuotes(string ticker,
                                                          DateTime firstQuoteDate,
--- 722,734 ----
      }
      
! 		public static float[] GetArrayOfCloseToCloseRatios(string ticker,
! 			ref DateTime firstQuoteDate,
! 			DateTime lastQuoteDate,
! 			int numDaysBetweenEachClose)
! 		{
! 			return GetArrayOfCloseToCloseRatios(ticker, ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose,
! 				0);
! 		}
! 
      public static float[] GetArrayOfAdjustedCloseQuotes(string ticker,
                                                          DateTime firstQuoteDate,
***************
*** 736,739 ****
--- 738,787 ----
        return ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,"quAdjustedClose");
      }
+ 		#region GetAdjustedCloseHistory
+ 		private static History getAdjustedCloseHistory( Quotes tickerQuotes )
+ 		{
+ 			History adjustedCloseHistory = new History();
+ 			foreach ( DataRow dataRow in tickerQuotes.Rows )
+ 				adjustedCloseHistory.Add( dataRow[ Quotes.Date ] ,
+ 					dataRow[ Quotes.AdjustedClose ] );
+ 			return adjustedCloseHistory;
+ 		}
+ 		/// <summary>
+ 		/// Returns the History of the adjusted close quotes, for the given ticker,
+ 		/// since the firstQuoteDate to the lastQuoteDate
+ 		/// </summary>
+ 		/// <param name="ticker"></param>
+ 		/// <param name="firstQuoteDate"></param>
+ 		/// <param name="lastQuoteDate"></param>
+ 		/// <returns></returns>
+ 		public static History GetAdjustedCloseHistory( string ticker,
+ 			DateTime firstQuoteDate,
+ 			DateTime lastQuoteDate )
+ 		{
+ 			Quotes tickerQuotes = new Quotes( ticker , firstQuoteDate , lastQuoteDate);
+ 			return getAdjustedCloseHistory( tickerQuotes );
+ 		}
+ 		#endregion GetAdjustedCloseHistory
+ 		#region GetArrayOfCloseToCloseRatios
+ 		/// <summary>
+ 		/// Returns the array of the adjusted close to adjusted close ratios, for
+ 		/// the given ticker, within the given period of time
+ 		/// </summary>
+ 		/// <param name="ticker"></param>
+ 		/// <param name="firstQuoteDate"></param>
+ 		/// <param name="lastQuoteDate"></param>
+ 		/// <returns></returns>
+ 		public static float[] GetArrayOfCloseToCloseRatios(
+ 			string ticker ,
+ 			DateTime firstQuoteDate ,
+ 			DateTime lastQuoteDate )
+ 		{
+ 			float[] arrayOfAdjustedCloseQuotes =
+ 				GetArrayOfAdjustedCloseQuotes( ticker , firstQuoteDate , lastQuoteDate );
+ 			float[] arrayOfCloseToCloseRatios =
+ 				FloatArrayManager.GetRatios( arrayOfAdjustedCloseQuotes );
+ 			return arrayOfCloseToCloseRatios;
+ 		}
+ 		#endregion
      
  		/// <summary>
***************
*** 745,754 ****
  		/// <param name="lastDate">end interval</param>
  		/// <returns></returns>
! 		public static SortedList GetMarketDays( string ticker ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			Quotes quotes = new Quotes( ticker , firstDate , lastDate );
  //			DateTime[] marketDays = new DateTime[ quotes.Rows.Count ];
! 			SortedList marketDays = new SortedList();
  			int i = 0;
  			foreach ( DataRow dataRow in quotes.Rows )
--- 793,802 ----
  		/// <param name="lastDate">end interval</param>
  		/// <returns></returns>
! 		public static History GetMarketDays( string ticker ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			Quotes quotes = new Quotes( ticker , firstDate , lastDate );
  //			DateTime[] marketDays = new DateTime[ quotes.Rows.Count ];
! 			History marketDays = new History();
  			int i = 0;
  			foreach ( DataRow dataRow in quotes.Rows )

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation IEquityEvaluator.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20497/b4_Business/a2_Strategies/EquityEvaluation

Modified Files:
	IEquityEvaluator.cs 
Log Message:
GetReturnsEvaluation( float[] returns ) returns a float now (it returned a double in previous version)

Index: IEquityEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/IEquityEvaluator.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** IEquityEvaluator.cs	3 Nov 2006 16:27:03 -0000	1.2
--- IEquityEvaluator.cs	13 Jul 2007 10:04:29 -0000	1.3
***************
*** 30,34 ****
  	public interface IEquityEvaluator
  	{
! 		double GetReturnsEvaluation( double[] returns );
  	}
  }
--- 30,34 ----
  	public interface IEquityEvaluator
  	{
! 		float GetReturnsEvaluation( float[] returns );
  	}
  }

[Quantproject-developers] QuantProject/b91_QuantProject b91_QuantProject.csproj, 1.10, 1.11

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19437/b91_QuantProject

Modified Files:
	b91_QuantProject.csproj 
Log Message:
Automatic changes applied by VSNet

Index: b91_QuantProject.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/b91_QuantProject.csproj,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** b91_QuantProject.csproj	15 Oct 2005 18:03:31 -0000	1.10
--- b91_QuantProject.csproj	13 Jul 2007 10:03:23 -0000	1.11
***************
*** 89,97 ****
                  />
                  <Reference
-                     Name = "b1_ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "b5_Presentation"
                      Project = "{D3DC9EA6-3B06-4255-B19A-5FC5B66A1402}"
--- 89,92 ----
***************
*** 103,106 ****
--- 98,106 ----
                      Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
                  />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.40, 1.41

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18790/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
- a2_Strategies\returnsManagement\ReturnsManager.cs has been added
- a2_Strategies\returnsManagement\CloseToCloseReturnsManager.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.40
retrieving revision 1.41
diff -C2 -d -r1.40 -r1.41
*** b4_Business.csproj	11 Jun 2007 17:54:20 -0000	1.40
--- b4_Business.csproj	13 Jul 2007 10:02:55 -0000	1.41
***************
*** 638,641 ****
--- 638,651 ----
                  />
                  <File
+                     RelPath = "a2_Strategies\returnsManagement\CloseToCloseReturnsManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a2_Strategies\returnsManagement\ReturnsManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a3_Testing\BackTester.cs"
                      SubType = "Code"