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From: Marco M. <mi...@us...> - 2007-01-03 23:20:44
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4394/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank Modified Files: WFMultiOneRankGenomeManager.cs Log Message: Deleted the mutationRate parameter from the IGenomeManager's Mutate method. Now classes implementing Mutate method just need to pass only the genome that has to be mutated to the method. As the mutationRate is now used only by the GeneticOptimizer, all the methods that effectively mutate genes of a given genome don't need anymore the mutation rate parameter. Index: WFMultiOneRankGenomeManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankGenomeManager.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** WFMultiOneRankGenomeManager.cs 21 Aug 2006 19:49:36 -0000 1.5 --- WFMultiOneRankGenomeManager.cs 3 Jan 2007 23:20:06 -0000 1.6 *************** *** 211,215 **** } ! public void Mutate( Genome genome , double mutationRate ) { // in this implementation only one gene is mutated --- 211,215 ---- } ! public void Mutate( Genome genome ) { // in this implementation only one gene is mutated *************** *** 230,234 **** genome.GetMaxValueForGenes( genePositionToBeMutated ) + 1 ); } ! GenomeManagement.MutateOneGene( genome , mutationRate , genePositionToBeMutated , newValueForGene ); } --- 230,234 ---- genome.GetMaxValueForGenes( genePositionToBeMutated ) + 1 ); } ! GenomeManagement.MutateOneGene( genome , genePositionToBeMutated , newValueForGene ); } |
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From: Marco M. <mi...@us...> - 2007-01-03 23:20:44
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4394/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagGenomeManagerWithWeights.cs WFLagGenomeManager.cs Log Message: Deleted the mutationRate parameter from the IGenomeManager's Mutate method. Now classes implementing Mutate method just need to pass only the genome that has to be mutated to the method. As the mutationRate is now used only by the GeneticOptimizer, all the methods that effectively mutate genes of a given genome don't need anymore the mutation rate parameter. Index: WFLagGenomeManagerWithWeights.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomeManagerWithWeights.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WFLagGenomeManagerWithWeights.cs 21 Aug 2006 21:17:32 -0000 1.3 --- WFLagGenomeManagerWithWeights.cs 3 Jan 2007 23:20:09 -0000 1.4 *************** *** 266,270 **** GenomeManagement.AlternateFixedCrossover(parent1, parent2); } ! public void Mutate( Genome genome , double mutationRate ) { // int newValueForGene = GenomeManagement.RandomGenerator.Next( --- 266,270 ---- GenomeManagement.AlternateFixedCrossover(parent1, parent2); } ! public void Mutate( Genome genome ) { // int newValueForGene = GenomeManagement.RandomGenerator.Next( *************** *** 275,279 **** int newValueForGene = this.GetNewGeneValue( genome , genePositionToBeMutated ); ! GenomeManagement.MutateOneGene( genome , mutationRate , genePositionToBeMutated , newValueForGene ); } --- 275,279 ---- int newValueForGene = this.GetNewGeneValue( genome , genePositionToBeMutated ); ! GenomeManagement.MutateOneGene( genome , genePositionToBeMutated , newValueForGene ); } Index: WFLagGenomeManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomeManager.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** WFLagGenomeManager.cs 3 Nov 2006 16:35:13 -0000 1.7 --- WFLagGenomeManager.cs 3 Jan 2007 23:20:09 -0000 1.8 *************** *** 273,277 **** GenomeManagement.AlternateFixedCrossover(parent1, parent2); } ! public void Mutate( Genome genome , double mutationRate ) { // int newValueForGene = GenomeManagement.RandomGenerator.Next( --- 273,277 ---- GenomeManagement.AlternateFixedCrossover(parent1, parent2); } ! public void Mutate( Genome genome ) { // int newValueForGene = GenomeManagement.RandomGenerator.Next( *************** *** 282,286 **** int newValueForGene = this.GetNewGeneValue( genome , genePositionToBeMutated ); ! GenomeManagement.MutateOneGene( genome , mutationRate , genePositionToBeMutated , newValueForGene ); } --- 282,286 ---- int newValueForGene = this.GetNewGeneValue( genome , genePositionToBeMutated ); ! GenomeManagement.MutateOneGene( genome , genePositionToBeMutated , newValueForGene ); } |
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From: Marco M. <mi...@us...> - 2007-01-03 23:20:21
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Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4394/b3_Data/Selectors/ByLinearIndipendence Modified Files: GenomeManagerForMaxLinearIndipendenceSelector.cs Log Message: Deleted the mutationRate parameter from the IGenomeManager's Mutate method. Now classes implementing Mutate method just need to pass only the genome that has to be mutated to the method. As the mutationRate is now used only by the GeneticOptimizer, all the methods that effectively mutate genes of a given genome don't need anymore the mutation rate parameter. Index: GenomeManagerForMaxLinearIndipendenceSelector.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence/GenomeManagerForMaxLinearIndipendenceSelector.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** GenomeManagerForMaxLinearIndipendenceSelector.cs 7 Aug 2006 21:03:24 -0000 1.2 --- GenomeManagerForMaxLinearIndipendenceSelector.cs 3 Jan 2007 23:20:15 -0000 1.3 *************** *** 140,144 **** } ! public void Mutate(Genome genome, double mutationRate) { --- 140,144 ---- } ! public void Mutate(Genome genome) { *************** *** 152,156 **** genome.GetMaxValueForGenes(genePositionToBeMutated) + 1); } ! GenomeManagement.MutateOneGene(genome, mutationRate, genePositionToBeMutated, newValueForGene); } --- 152,156 ---- genome.GetMaxValueForGenes(genePositionToBeMutated) + 1); } ! GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene); } |
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From: Marco M. <mi...@us...> - 2007-01-03 23:20:21
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4394/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading Modified Files: GenomeManagerForSimplePT.cs Log Message: Deleted the mutationRate parameter from the IGenomeManager's Mutate method. Now classes implementing Mutate method just need to pass only the genome that has to be mutated to the method. As the mutationRate is now used only by the GeneticOptimizer, all the methods that effectively mutate genes of a given genome don't need anymore the mutation rate parameter. Index: GenomeManagerForSimplePT.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/GenomeManagerForSimplePT.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** GenomeManagerForSimplePT.cs 7 Aug 2006 21:03:24 -0000 1.2 --- GenomeManagerForSimplePT.cs 3 Jan 2007 23:20:15 -0000 1.3 *************** *** 201,205 **** } ! public void Mutate(Genome genome, double mutationRate) { int newValueForGene; --- 201,205 ---- } ! public void Mutate(Genome genome) { int newValueForGene; *************** *** 229,233 **** } ! GenomeManagement.MutateOneGene(genome, mutationRate, genePositionToBeMutated, newValueForGene); } --- 229,233 ---- } ! GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene); } |
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From: Marco M. <mi...@us...> - 2007-01-03 23:11:38
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32580/b7_Scripts/TickerSelectionTesting/TestingOTCTypes Modified Files: RunEfficientOTCTypes.cs Log Message: Updated the name for the output file of the script Index: RunEfficientOTCTypes.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/RunEfficientOTCTypes.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** RunEfficientOTCTypes.cs 17 Sep 2006 21:48:39 -0000 1.6 --- RunEfficientOTCTypes.cs 3 Jan 2007 23:11:34 -0000 1.7 *************** *** 72,76 **** portfolioType, maxRunningHours) { ! this.ScriptName = "OTCTypes_SR_NoCoeffPriceSel"; this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization; this.accounts = new Account[4]; --- 72,76 ---- portfolioType, maxRunningHours) { ! this.ScriptName = "OTCTypes_SR_WithCoeffOnlyMutationPriceSel"; this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization; this.accounts = new Account[4]; *************** *** 141,150 **** public override void SaveScriptResults() { ! string fileName = "From"+this.numberOfEligibleTickers + ! "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" + ! this.numberOfTickersToBeChosen + "GenNum" + this.generationNumberForGeneticOptimizer + ! "PopSize" + this.populationSizeForGeneticOptimizer + ! "Target" + Convert.ToString(this.targetReturn) + Convert.ToString(this.portfolioType); string dirNameWhereToSaveAccounts = System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] + --- 141,150 ---- public override void SaveScriptResults() { ! string fileName = "From"+ this.tickerGroupID+ "_" + ! this.numberOfEligibleTickers + ! "_OptDays" + this.numDaysForOptimizationPeriod + "_Portf" + ! this.numberOfTickersToBeChosen + "_GenNum" + this.generationNumberForGeneticOptimizer + ! "_PopSize" + this.populationSizeForGeneticOptimizer + Convert.ToString(this.portfolioType); string dirNameWhereToSaveAccounts = System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] + |
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From: Marco M. <mi...@us...> - 2007-01-03 23:07:38
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30829/b7_Scripts/WalkForwardTesting/LinearCombination Modified Files: FixedLevelOscillatorPVOStrategy.cs Log Message: Added a requested parameter for the PVO strategy handler, to be used in sample Index: FixedLevelOscillatorPVOStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** FixedLevelOscillatorPVOStrategy.cs 22 Oct 2006 18:50:10 -0000 1.2 --- FixedLevelOscillatorPVOStrategy.cs 3 Jan 2007 23:07:34 -0000 1.3 *************** *** 52,56 **** 0,0, "^GSPC", ! 0, 0, 0, 0, 0, 0, false, 0, PortfolioType.ShortAndLong, 0.5) { --- 52,56 ---- 0,0, "^GSPC", ! 0, 0, 0, 0, 0, 0, false, false, 0, PortfolioType.ShortAndLong, 0.5) { |
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From: Marco M. <mi...@us...> - 2007-01-03 23:03:01
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28641/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator Modified Files: EndOfDayTimerHandlerPVO.cs Log Message: Updated the handler for the plain PVO strategy Index: EndOfDayTimerHandlerPVO.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** EndOfDayTimerHandlerPVO.cs 22 Oct 2006 18:49:20 -0000 1.2 --- EndOfDayTimerHandlerPVO.cs 3 Jan 2007 23:02:58 -0000 1.3 *************** *** 68,71 **** --- 68,72 ---- protected bool portfolioHasBeenOversold; protected bool symmetricalThresholds; + protected bool overboughtMoreThanOversoldForFixedPortfolio; public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, *************** *** 82,85 **** --- 83,87 ---- int divisorForThresholdComputation, bool symmetricalThresholds, + bool overboughtMoreThanOversoldForFixedPortfolio, int numDaysBetweenEachOptimization, PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown): *************** *** 98,101 **** --- 100,104 ---- this.divisorForThresholdComputation = divisorForThresholdComputation; this.symmetricalThresholds = symmetricalThresholds; + this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio; this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown; this.stopLossConditionReached = false; *************** *** 272,276 **** currentDate, numOfTickersInGroupAtCurrentDate, ! 25,500, 0.0001,100); SelectorByLiquidity mostLiquidSelector = --- 275,279 ---- currentDate, numOfTickersInGroupAtCurrentDate, ! 20,500, 0.0001,100); SelectorByLiquidity mostLiquidSelector = *************** *** 279,293 **** this.numberOfEligibleTickers); ! SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark = ! new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(), ! "^GSPC",false, ! currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate, ! this.numberOfEligibleTickers/2,false); ! SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = ! new SelectorByQuotationAtEachMarketDay(byCorrelationToBenchmark.GetTableOfSelectedTickers(), false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate, ! this.numberOfEligibleTickers/2, this.benchmark); return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(); --- 282,296 ---- this.numberOfEligibleTickers); ! // SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark = ! // new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(), ! // "^GSPC",false, ! // currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate, ! // this.numberOfEligibleTickers/2,false); ! // SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = ! new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(), false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate, ! this.numberOfEligibleTickers, this.benchmark); return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(); *************** *** 335,338 **** --- 338,342 ---- this.divisorForThresholdComputation, this.symmetricalThresholds, + this.overboughtMoreThanOversoldForFixedPortfolio, this.portfolioType); GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager, *************** *** 342,346 **** if(setGenomeCounter) this.genomeCounter = new GenomeCounter(GO); ! GO.MutationRate = 0.4; GO.Run(false); --- 346,350 ---- if(setGenomeCounter) this.genomeCounter = new GenomeCounter(GO); ! GO.MutationRate = 0.2; GO.Run(false); |
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From: Marco M. <mi...@us...> - 2007-01-03 23:02:00
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28165/b7_Scripts/TickerSelectionTesting/TestingOTCTypes Modified Files: EndOfDayTimerHandlerOTCTypes.cs Log Message: Fixed bug in parameters for a TickerSelector object Index: EndOfDayTimerHandlerOTCTypes.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/EndOfDayTimerHandlerOTCTypes.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** EndOfDayTimerHandlerOTCTypes.cs 17 Sep 2006 21:48:39 -0000 1.5 --- EndOfDayTimerHandlerOTCTypes.cs 3 Jan 2007 23:01:52 -0000 1.6 *************** *** 219,224 **** SelectorByAverageRawOpenPrice byPrice = ! new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate, ! currentDate.AddDays(-30), tickersFromGroup.Rows.Count, 20,500, 0.0001,100); --- 219,224 ---- SelectorByAverageRawOpenPrice byPrice = ! new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-30), ! currentDate, tickersFromGroup.Rows.Count, 20,500, 0.0001,100); *************** *** 262,267 **** if(setGenomeCounter) this.genomeCounter = new GenomeCounter(GO); ! GO.MutationRate = 0.2; ! GO.CrossoverRate = 0.95; GO.Run(false); this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod), --- 262,267 ---- if(setGenomeCounter) this.genomeCounter = new GenomeCounter(GO); ! GO.MutationRate = 0.4; ! GO.CrossoverRate = 0.0; GO.Run(false); this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod), |
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From: Marco M. <mi...@us...> - 2007-01-03 23:01:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28165/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization Modified Files: EndOfDayTimerHandlerOTCTypesBruteForce.cs Log Message: Fixed bug in parameters for a TickerSelector object Index: EndOfDayTimerHandlerOTCTypesBruteForce.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/EndOfDayTimerHandlerOTCTypesBruteForce.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** EndOfDayTimerHandlerOTCTypesBruteForce.cs 17 Sep 2006 21:37:18 -0000 1.1 --- EndOfDayTimerHandlerOTCTypesBruteForce.cs 3 Jan 2007 23:01:52 -0000 1.2 *************** *** 218,225 **** SelectorByAverageRawOpenPrice byPrice = ! new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate, ! currentDate.AddDays(-30), ! tickersFromGroup.Rows.Count, ! 20,500, 0.0001,100); --- 218,225 ---- SelectorByAverageRawOpenPrice byPrice = ! new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-30), ! currentDate, ! tickersFromGroup.Rows.Count, ! 25,500, 0.0001,100); |
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From: Marco M. <mi...@us...> - 2007-01-03 22:56:53
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Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25929/b1_ADT/Optimizing/Genetic Modified Files: Genome.cs Log Message: HasGene method has been overloaded Index: Genome.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** Genome.cs 22 Aug 2006 19:07:50 -0000 1.14 --- Genome.cs 3 Jan 2007 22:56:49 -0000 1.15 *************** *** 236,239 **** --- 236,253 ---- /// <summary> + /// It returns true if the given gene is already stored in the current genome + /// at the given genePosition + /// </summary> + /// <param name="genePosition">Gene position where the check + /// has to be done, inside the given genome</param> + public bool HasGene(int geneValue, int genePosition) + { + if(genePosition >= this.size) + throw new IndexOutOfRangeException("bad genePosition parameter!"); + + return geneValue == this.Genes()[genePosition]; + } + + /// <summary> /// It returns true if the current instance shares no gene with the given /// genome |
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From: Marco M. <mi...@us...> - 2006-12-10 20:12:27
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13809/b4_Business Modified Files: Business_SD.csproj Log Message: Updated sharpDevelop project's files Index: Business_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** Business_SD.csproj 3 Aug 2006 21:37:15 -0000 1.2 --- Business_SD.csproj 10 Dec 2006 20:12:08 -0000 1.3 *************** *** 154,157 **** --- 154,159 ---- <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberPositivePeriods.cs" /> <Compile Include="a2_Strategies\WeightedPosition.cs" /> + <Compile Include="a2_Strategies\EquityEvaluation\IEquityEvaluator.cs" /> + <Compile Include="a2_Strategies\EquityEvaluation\WinningPeriods.cs" /> </ItemGroup> <ItemGroup> *************** *** 168,171 **** --- 170,174 ---- <Name>b3_Data</Name> </ProjectReference> + <Folder Include="a2_Strategies\EquityEvaluation" /> </ItemGroup> <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" /> |
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From: Marco M. <mi...@us...> - 2006-12-10 20:11:51
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13453/b7_Scripts Modified Files: Scripts_SD.csproj Log Message: Updated sharpDevelop project's files Index: Scripts_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Scripts_SD.csproj 17 Sep 2006 23:02:24 -0000 1.3 --- Scripts_SD.csproj 10 Dec 2006 20:11:41 -0000 1.4 *************** *** 185,188 **** --- 185,192 ---- <Compile Include="WalkForwardTesting\LinearCombination\FixedLevelOscillatorPVOStrategy.cs" /> <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs" /> + <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs" /> + <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs" /> + <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO.cs" /> + <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO.cs" /> </ItemGroup> <ItemGroup> *************** *** 224,227 **** --- 228,232 ---- <Folder Include="TickerSelectionTesting\TestingOTCTypes\BruteForceOptimization" /> <Folder Include="WalkForwardTesting\WalkForwardLag\GeneticOptimizerTesting" /> + <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO" /> </ItemGroup> <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" /> |
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From: Glauco S. <gla...@us...> - 2006-12-06 16:12:37
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3504/b7_Scripts/SimpleTesting/OneRank Modified Files: RunOneRank.cs Log Message: ^GSPC and MSFT are used now, so that the script works with the minimized database (good as the first script example for new developers) Index: RunOneRank.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/RunOneRank.cs,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** RunOneRank.cs 26 Nov 2005 23:58:23 -0000 1.11 --- RunOneRank.cs 6 Dec 2006 16:12:27 -0000 1.12 *************** *** 84,88 **** new IndexBasedEndOfDayTimer( new EndOfDayDateTime( this.startDateTime , ! EndOfDaySpecificTime.MarketOpen ) , "^spx" ); // with IB commission --- 84,88 ---- new IndexBasedEndOfDayTimer( new EndOfDayDateTime( this.startDateTime , ! EndOfDaySpecificTime.MarketOpen ) , "^GSPC" ); // with IB commission *************** *** 95,99 **** // with no commission ! this.account = new Account( "SLR" , historicalEndOfDayTimer , new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalQuoteProvider ) , --- 95,99 ---- // with no commission ! this.account = new Account( "MSFT" , historicalEndOfDayTimer , new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalQuoteProvider ) , *************** *** 105,109 **** report.Create( "WFT One Rank" , 1 , new EndOfDayDateTime( this.endDateTime , EndOfDaySpecificTime.MarketClose ) , ! "SLR" ); report.TransactionGrid.MouseUp += new MouseEventHandler( this.mouseEventHandler ); --- 105,109 ---- report.Create( "WFT One Rank" , 1 , new EndOfDayDateTime( this.endDateTime , EndOfDaySpecificTime.MarketClose ) , ! "MSFT" ); report.TransactionGrid.MouseUp += new MouseEventHandler( this.mouseEventHandler ); |
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From: Glauco S. <gla...@us...> - 2006-12-06 16:11:47
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Update of /cvsroot/quantproject/QuantProject/b3_Data In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1084/b3_Data Modified Files: b3_Data.csproj Log Message: Minor changes automatically set up by VSNet Index: b3_Data.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** b3_Data.csproj 20 Sep 2006 21:49:30 -0000 1.43 --- b3_Data.csproj 6 Dec 2006 16:07:18 -0000 1.44 *************** *** 125,128 **** --- 125,136 ---- Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}" /> + <Reference + Name = "Microsoft.Office.Core" + Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}" + VersionMajor = "2" + VersionMinor = "3" + Lcid = "0" + WrapperTool = "primary" + /> </References> </Build> *************** *** 136,140 **** <File RelPath = "ExtendedDataTable.cs" ! SubType = "Component" BuildAction = "Compile" /> --- 144,148 ---- <File RelPath = "ExtendedDataTable.cs" ! SubType = "Code" BuildAction = "Compile" /> |
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From: Glauco S. <gla...@us...> - 2006-12-06 16:10:44
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Update of /cvsroot/quantproject/QuantProject/b91_QuantProject In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2503/b91_QuantProject Modified Files: Main.cs Log Message: The RunOneRank is the default script now, so: - now the solution compiles without errors - the script works fine with the minimized database (^GSPC and MSFT quotes are just required) Index: Main.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** Main.cs 10 Jun 2005 18:45:45 -0000 1.15 --- Main.cs 6 Dec 2006 16:10:40 -0000 1.16 *************** *** 48,52 **** public class Principale : System.Windows.Forms.Form { ! public static RunEfficientPorfolio runEfficientPortfolio; private System.Windows.Forms.MainMenu mainMenu1; --- 48,52 ---- public class Principale : System.Windows.Forms.Form { ! // public static RunEfficientPorfolio runEfficientPortfolio; private System.Windows.Forms.MainMenu mainMenu1; *************** *** 304,313 **** 0.0, PortfolioType.ShortAndLong, 2);*/ ! QuantProject.Principale.Principale.runEfficientPortfolio = ! new RunTestOptimizedCTOPorfolio("Test",150,5,45,10,50000, ! "^SPX", ! new DateTime(2004,3,1), ! new DateTime(2004,3,1).AddDays(45), ! 0.0005, PortfolioType.ShortAndLong, 12); /*new RunTestOptimizedCTCPortfolio("Test",150,6,90,10,20000, --- 304,313 ---- 0.0, PortfolioType.ShortAndLong, 2);*/ ! // QuantProject.Principale.Principale.runEfficientPortfolio = ! // new RunTestOptimizedCTOPorfolio("Test",150,5,45,10,50000, ! // "^SPX", ! // new DateTime(2004,3,1), ! // new DateTime(2004,3,1).AddDays(45), ! // 0.0005, PortfolioType.ShortAndLong, 12); /*new RunTestOptimizedCTCPortfolio("Test",150,6,90,10,20000, *************** *** 318,322 **** PortfolioType.ShortAndLong, 0.50, 10);*/ ! QuantProject.Principale.Principale.runEfficientPortfolio.Run(); /* QuantProject.Principale.Principale.runEfficientPortfolio = new RunTestOptimizedCTOPorfolio("Test",150,6,45,10,150000, --- 318,322 ---- PortfolioType.ShortAndLong, 0.50, 10);*/ ! // QuantProject.Principale.Principale.runEfficientPortfolio.Run(); /* QuantProject.Principale.Principale.runEfficientPortfolio = new RunTestOptimizedCTOPorfolio("Test",150,6,45,10,150000, *************** *** 407,411 **** catch ( Exception ex ) { ! QuantProject.Principale.Principale.runEfficientPortfolio.SaveScriptResults(); writeExceptionToLogFile(ex); } --- 407,411 ---- catch ( Exception ex ) { ! // QuantProject.Principale.Principale.runEfficientPortfolio.SaveScriptResults(); writeExceptionToLogFile(ex); } *************** *** 421,429 **** w.WriteLine("{0} {1}", DateTime.Now.ToLongDateString(), DateTime.Now.ToLocalTime()); ! w.Write("\r\nScript name: {0}", ! QuantProject.Principale.Principale.runEfficientPortfolio.ScriptName ); ! w.Write("\r\nTimer date: {0}", ! QuantProject.Principale.Principale.runEfficientPortfolio.TimerLastDate.ToLongDateString() ); ! w.WriteLine("\n :{0}", ex.ToString()); w.WriteLine("\n :{0}", ex.StackTrace.ToString()); --- 421,429 ---- w.WriteLine("{0} {1}", DateTime.Now.ToLongDateString(), DateTime.Now.ToLocalTime()); ! // w.Write("\r\nScript name: {0}", ! // QuantProject.Principale.Principale.runEfficientPortfolio.ScriptName ); ! // w.Write("\r\nTimer date: {0}", ! // QuantProject.Principale.Principale.runEfficientPortfolio.TimerLastDate.ToLongDateString() ); ! // w.WriteLine("\n :{0}", ex.ToString()); w.WriteLine("\n :{0}", ex.StackTrace.ToString()); *************** *** 458,462 **** //new RunWalkForwardOneRank().Run(); ! //new RunOneRank().Run(); //new RunEfficientCTCPorfolio("Test",400,5,90,10,10000, // "^SPX", --- 458,462 ---- //new RunWalkForwardOneRank().Run(); ! new RunOneRank().Run(); //new RunEfficientCTCPorfolio("Test",400,5,90,10,10000, // "^SPX", *************** *** 466,470 **** //this.Close(); ! runMilloScripts(); //new RunEfficientCTOPorfolio("Test",200,5,60,2,500, "^SPX", --- 466,470 ---- //this.Close(); ! // runMilloScripts(); //new RunEfficientCTOPorfolio("Test",200,5,60,2,500, "^SPX", |
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From: Glauco S. <gla...@us...> - 2006-12-06 16:10:12
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Update of /cvsroot/quantproject/QuantProject/b5_Presentation In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1084/b5_Presentation Modified Files: b5_Presentation.csproj Log Message: Minor changes automatically set up by VSNet Index: b5_Presentation.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** b5_Presentation.csproj 8 Oct 2006 15:59:18 -0000 1.32 --- b5_Presentation.csproj 6 Dec 2006 16:07:17 -0000 1.33 *************** *** 131,137 **** /> <Reference Name = "NPlot" AssemblyName = "NPlot" ! HintPath = "..\..\NPlot.dll" /> </References> --- 131,145 ---- /> <Reference + Name = "Microsoft.Office.Core" + Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}" + VersionMajor = "2" + VersionMinor = "3" + Lcid = "0" + WrapperTool = "primary" + /> + <Reference Name = "NPlot" AssemblyName = "NPlot" ! HintPath = "..\..\..\..\..\Documents and Settings\Glauco\Desktop\NPlot\NPlot.dll" /> </References> *************** *** 161,165 **** <File RelPath = "Charting\Chart.cs" ! SubType = "UserControl" BuildAction = "Compile" /> --- 169,173 ---- <File RelPath = "Charting\Chart.cs" ! SubType = "Code" BuildAction = "Compile" /> |
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From: Glauco S. <gla...@us...> - 2006-12-06 16:08:17
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1084/b4_Business Modified Files: b4_Business.csproj Log Message: Minor changes automatically set up by VSNet Index: b4_Business.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** b4_Business.csproj 3 Nov 2006 16:29:42 -0000 1.37 --- b4_Business.csproj 6 Dec 2006 16:07:17 -0000 1.38 *************** *** 130,133 **** --- 130,141 ---- Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}" /> + <Reference + Name = "Microsoft.Office.Core" + Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}" + VersionMajor = "2" + VersionMinor = "3" + Lcid = "0" + WrapperTool = "primary" + /> </References> </Build> |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:41:32
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21258/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: RunWalkForwardLag.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) A minor change has been applied, to show a better progress status notification Index: RunWalkForwardLag.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** RunWalkForwardLag.cs 20 Sep 2006 21:11:45 -0000 1.6 --- RunWalkForwardLag.cs 3 Nov 2006 16:41:26 -0000 1.7 *************** *** 29,32 **** --- 29,33 ---- using QuantProject.Business.Financial.Ordering; using QuantProject.Business.Scripting; + using QuantProject.Business.Strategies.EquityEvaluation; using QuantProject.Business.Timing; using QuantProject.Presentation; *************** *** 53,56 **** --- 54,58 ---- private DateTime firstDateTime; private DateTime lastDateTime; + private IEquityEvaluator equityEvaluator; private double maxRunningHours; *************** *** 77,80 **** --- 79,83 ---- DateTime firstDateTime , DateTime lastDateTime , + IEquityEvaluator equityEvaluator , double maxRunningHours ) { *************** *** 90,93 **** --- 93,97 ---- this.firstDateTime = firstDateTime; this.lastDateTime = lastDateTime; + this.equityEvaluator = equityEvaluator; this.maxRunningHours = maxRunningHours; *************** *** 132,136 **** this.account , this.generationNumberForGeneticOptimizer , ! this.populationSizeForGeneticOptimizer ); } public static void WriteToTextLog( string message ) --- 136,141 ---- this.account , this.generationNumberForGeneticOptimizer , ! this.populationSizeForGeneticOptimizer , ! this.equityEvaluator ); } public static void WriteToTextLog( string message ) *************** *** 154,158 **** // when small populations are chosen. Comment it out // when large populations are chosen ! if ( eventArgs.CurrentProgress % 20 == 0 ) RunWalkForwardLag.WriteToTextLog( eventArgs.CurrentProgress.ToString() + " / " + --- 159,163 ---- // when small populations are chosen. Comment it out // when large populations are chosen ! // if ( eventArgs.CurrentProgress % 20 == 0 ) RunWalkForwardLag.WriteToTextLog( eventArgs.CurrentProgress.ToString() + " / " + |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:40:28
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20742/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager Modified Files: WFLagBruteForceOptimizableParametersManager.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) Index: WFLagBruteForceOptimizableParametersManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager/WFLagBruteForceOptimizableParametersManager.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** WFLagBruteForceOptimizableParametersManager.cs 8 Oct 2006 16:12:01 -0000 1.2 --- WFLagBruteForceOptimizableParametersManager.cs 3 Nov 2006 16:40:20 -0000 1.3 *************** *** 26,29 **** --- 26,30 ---- using QuantProject.ADT.Optimizing.BruteForce; using QuantProject.ADT.Statistics.Combinatorial; + using QuantProject.Business.Strategies.EquityEvaluation; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag *************** *** 46,49 **** --- 47,51 ---- protected DataTable eligibleTickersForDrivingPositions; protected DataTable eligibleTickersForPortfolioPositions; + private IEquityEvaluator equityEvaluator; public WFLagBruteForceOptimizableParametersManager( *************** *** 53,57 **** DateTime lastOptimizationDate , int numberOfDrivingPositions , ! int numberOfPortfolioPositions ) { this.eligibleTickersForDrivingPositions = --- 55,60 ---- DateTime lastOptimizationDate , int numberOfDrivingPositions , ! int numberOfPortfolioPositions , ! IEquityEvaluator equityEvaluator ) { this.eligibleTickersForDrivingPositions = *************** *** 61,64 **** --- 64,68 ---- this.numberOfDrivingPositions = numberOfDrivingPositions; this.numberOfPortfolioPositions = numberOfPortfolioPositions; + this.equityEvaluator = equityEvaluator; this.drivingCombination = new Combination( - eligibleTickersForDrivingPositions.Rows.Count , *************** *** 76,79 **** --- 80,84 ---- numberOfDrivingPositions , numberOfPortfolioPositions , + this.equityEvaluator , QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator ); } |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:39:54
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20322/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagChosenTickers.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) Index: WFLagChosenTickers.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** WFLagChosenTickers.cs 8 Oct 2006 16:08:30 -0000 1.8 --- WFLagChosenTickers.cs 3 Nov 2006 16:39:48 -0000 1.9 *************** *** 29,32 **** --- 29,33 ---- using QuantProject.ADT.Optimizing.Genetic; using QuantProject.Business.Strategies; + using QuantProject.Business.Strategies.EquityEvaluation; using QuantProject.Business.Timing; *************** *** 50,53 **** --- 51,55 ---- protected int generationNumberForGeneticOptimizer; protected int populationSizeForGeneticOptimizer; + protected IEquityEvaluator equityEvaluator; private WeightedPositions drivingWeightedPositions; *************** *** 112,116 **** IEndOfDayTimer endOfDayTimer , int generationNumberForGeneticOptimizer , ! int populationSizeForGeneticOptimizer ) { --- 114,119 ---- IEndOfDayTimer endOfDayTimer , int generationNumberForGeneticOptimizer , ! int populationSizeForGeneticOptimizer , ! IEquityEvaluator equityEvaluator ) { *************** *** 124,127 **** --- 127,131 ---- this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer; + this.equityEvaluator = equityEvaluator; } *************** *** 176,179 **** --- 180,184 ---- this.numberOfDrivingPositions , this.numberOfPositionsToBeChosen , + this.equityEvaluator , QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator ); *************** *** 222,226 **** this.lastOptimizationDate , this.numberOfDrivingPositions , ! this.numberOfPositionsToBeChosen ); BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( --- 227,232 ---- this.lastOptimizationDate , this.numberOfDrivingPositions , ! this.numberOfPositionsToBeChosen , ! this.equityEvaluator ); BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( *************** *** 286,290 **** this.firstOptimizationDate , this.lastOptimizationDate , ! this.numberOfDrivingPositions ); BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( --- 292,297 ---- this.firstOptimizationDate , this.lastOptimizationDate , ! this.numberOfDrivingPositions , ! this.equityEvaluator ); BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer( *************** *** 315,324 **** // this.setWeightedPositions_usingTheBruteForceOptimizer( // eligibleTickers ); ! // this.setWeightedPositions_withFixedPortfolio( ! // eligibleTickers , "SPY" , "IWM" ); // this.setWeightedPositions_withFixedPortfolio( // eligibleTickers , "XLF" , "SMH" ); ! this.setWeightedPositions_withFixedPortfolio( ! eligibleTickers , "QQQQ" , "SPY" ); } #endregion --- 322,331 ---- // this.setWeightedPositions_usingTheBruteForceOptimizer( // eligibleTickers ); ! this.setWeightedPositions_withFixedPortfolio( ! eligibleTickers , "SPY" , "IWM" ); // this.setWeightedPositions_withFixedPortfolio( // eligibleTickers , "XLF" , "SMH" ); ! // this.setWeightedPositions_withFixedPortfolio( ! // eligibleTickers , "QQQQ" , "SPY" ); } #endregion |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:38:53
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19881/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagEndOfDayTimerHandler.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) A minor change has been applied, to show a better progress status notification Index: WFLagEndOfDayTimerHandler.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEndOfDayTimerHandler.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** WFLagEndOfDayTimerHandler.cs 30 Jul 2006 13:39:56 -0000 1.5 --- WFLagEndOfDayTimerHandler.cs 3 Nov 2006 16:38:47 -0000 1.6 *************** *** 30,33 **** --- 30,34 ---- using QuantProject.Business.Financial.Instruments; using QuantProject.Business.Strategies; + using QuantProject.Business.Strategies.EquityEvaluation; using QuantProject.Business.Timing; using QuantProject.Scripts.SimpleTesting; *************** *** 55,58 **** --- 56,60 ---- private int generationNumberForGeneticOptimizer; private int populationSizeForGeneticOptimizer; + private IEquityEvaluator equityEvaluator; private WFLagEligibleTickers eligibleTickers; *************** *** 76,80 **** Account account , int generationNumberForGeneticOptimizer , ! int populationSizeForGeneticOptimizer ) { this.tickerGroupID = tickerGroupID; --- 78,83 ---- Account account , int generationNumberForGeneticOptimizer , ! int populationSizeForGeneticOptimizer , ! IEquityEvaluator equityEvaluator ) { this.tickerGroupID = tickerGroupID; *************** *** 90,93 **** --- 93,97 ---- this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer; + this.equityEvaluator = equityEvaluator; this.eligibleTickers = new WFLagEligibleTickers( *************** *** 104,108 **** this.account.EndOfDayTimer , this.generationNumberForGeneticOptimizer , ! this.populationSizeForGeneticOptimizer ); this.chosenTickers.NewProgress += new NewProgressEventHandler( this.bestPerformingNewProgress ); --- 108,113 ---- this.account.EndOfDayTimer , this.generationNumberForGeneticOptimizer , ! this.populationSizeForGeneticOptimizer , ! this.equityEvaluator ); this.chosenTickers.NewProgress += new NewProgressEventHandler( this.bestPerformingNewProgress ); |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:37:24
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19373/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager Modified Files: WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) Index: WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager/WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs 8 Oct 2006 15:57:53 -0000 1.1 --- WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs 3 Nov 2006 16:37:17 -0000 1.2 *************** *** 25,28 **** --- 25,29 ---- using QuantProject.ADT.Statistics; + using QuantProject.Business.Strategies.EquityEvaluation; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag *************** *** 30,34 **** /// <summary> /// Implements IBruteForceOptimizableParametersManager using weights ! /// to normalize the portfolio's tickers volatility /// </summary> public class WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility --- 31,36 ---- /// <summary> /// Implements IBruteForceOptimizableParametersManager using weights ! /// to normalize not only the portfolio's tickers volatility, ! /// but the driving positions volatility too /// </summary> public class WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility *************** *** 45,49 **** DateTime firstOptimizationDate , DateTime lastOptimizationDate , ! int numberOfDrivingPositions ) : base( eligibleTickersForDrivingPositions , portfolioLongTicker , --- 47,52 ---- DateTime firstOptimizationDate , DateTime lastOptimizationDate , ! int numberOfDrivingPositions , ! IEquityEvaluator equityEvaluator ) : base( eligibleTickersForDrivingPositions , portfolioLongTicker , *************** *** 51,55 **** firstOptimizationDate , lastOptimizationDate , ! numberOfDrivingPositions ) { } --- 54,59 ---- firstOptimizationDate , lastOptimizationDate , ! numberOfDrivingPositions , ! equityEvaluator) { } |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:36:47
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18994/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager Modified Files: WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) Index: WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager/WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs 8 Oct 2006 16:03:44 -0000 1.3 --- WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs 3 Nov 2006 16:36:44 -0000 1.4 *************** *** 26,29 **** --- 26,30 ---- using QuantProject.ADT.Optimizing.BruteForce; using QuantProject.ADT.Statistics.Combinatorial; + using QuantProject.Business.Strategies.EquityEvaluation; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag *************** *** 61,65 **** DateTime firstOptimizationDate , DateTime lastOptimizationDate , ! int numberOfDrivingPositions ) : base( eligibleTickersForDrivingPositions , --- 62,67 ---- DateTime firstOptimizationDate , DateTime lastOptimizationDate , ! int numberOfDrivingPositions , ! IEquityEvaluator equityEvaluator ) : base( eligibleTickersForDrivingPositions , *************** *** 69,72 **** --- 71,75 ---- numberOfDrivingPositions , 2 , + equityEvaluator , QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator ) { |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:35:49
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18567/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager Modified Files: WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) Index: WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagBruteForceOptimizableItemManager/WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs 8 Oct 2006 16:02:01 -0000 1.2 --- WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs 3 Nov 2006 16:35:46 -0000 1.3 *************** *** 24,27 **** --- 24,28 ---- using QuantProject.ADT.Statistics; + using QuantProject.Business.Strategies.EquityEvaluation; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag *************** *** 46,50 **** DateTime firstOptimizationDate , DateTime lastOptimizationDate , ! int numberOfDrivingPositions ) : base( eligibleTickersForDrivingPositions , portfolioLongTicker , --- 47,52 ---- DateTime firstOptimizationDate , DateTime lastOptimizationDate , ! int numberOfDrivingPositions , ! IEquityEvaluator equityEvaluator ) : base( eligibleTickersForDrivingPositions , portfolioLongTicker , *************** *** 52,56 **** firstOptimizationDate , lastOptimizationDate , ! numberOfDrivingPositions ) { this.standardDeviationForLongPosition = double.MinValue; --- 54,59 ---- firstOptimizationDate , lastOptimizationDate , ! numberOfDrivingPositions , ! equityEvaluator ) { this.standardDeviationForLongPosition = double.MinValue; |
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From: Glauco S. <gla...@us...> - 2006-11-03 16:35:17
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18459/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagGenomeManager.cs Log Message: The script structure has been improved: an IEquityEvaluator parameter has been added to the RunWalkForwardLag constructor (and to many other involved classes) Index: WFLagGenomeManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomeManager.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** WFLagGenomeManager.cs 8 Oct 2006 16:00:19 -0000 1.6 --- WFLagGenomeManager.cs 3 Nov 2006 16:35:13 -0000 1.7 *************** *** 28,31 **** --- 28,32 ---- using QuantProject.ADT.Statistics; using QuantProject.Business.Strategies; + using QuantProject.Business.Strategies.EquityEvaluation; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag *************** *** 51,54 **** --- 52,57 ---- protected WFLagCandidates wFLagCandidates; + private IEquityEvaluator equityEvaluator; + public int GenomeSize *************** *** 96,99 **** --- 99,103 ---- int numberOfDrivingPositions , int numberOfTickersInPortfolio , + IEquityEvaluator equityEvaluator , int seedForRandomGenerator ) *************** *** 111,114 **** --- 115,120 ---- this.minimumPositionWeight = 0.2; // TO DO this value should become a constructor parameter + + this.equityEvaluator = equityEvaluator; // GenomeManagement.SetRandomGenerator( *************** *** 207,216 **** private double getFitnessValue( double[] strategyReturns ) { double fitnessValue = ! AdvancedFunctions.GetSharpeRatio( strategyReturns ); ! // double fitnessValue = ! // AdvancedFunctions.GetExpectancyScore( ! // strategyReturns ); // double fitnessValue = // this.getFitnessValue_withGoodFinal( strategyReturns ); --- 213,226 ---- 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 ); |
