quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv24598/a4_Fundamentals

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals added to the repository

[Quantproject-developers] QuantProject/t5_Testing QPTesting.csproj, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv19488/t5_Testing

Modified Files:
	QPTesting.csproj 
Log Message:
The reference to nunit.mocks.dll has been changed so that now, the .dll has to be placed in the same folder as the other .dlls

Index: QPTesting.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/QPTesting.csproj,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** QPTesting.csproj	28 Mar 2010 17:14:23 -0000	1.2
--- QPTesting.csproj	28 Mar 2010 17:23:06 -0000	1.3
***************
*** 28,32 ****
      <Reference Include="nunit.framework" />
      <Reference Include="nunit.mocks">
!       <HintPath>nunit.mocks.dll</HintPath>
        <SpecificVersion>False</SpecificVersion>
      </Reference>
--- 28,32 ----
      <Reference Include="nunit.framework" />
      <Reference Include="nunit.mocks">
!       <HintPath>..\..\nunit.mocks.dll</HintPath>
        <SpecificVersion>False</SpecificVersion>
      </Reference>

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs, 1.24, 1.25

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv17500/b91_QuantProject

Modified Files:
	Main.cs 
Log Message:
The code to run a linear regression based backtest has been added

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** Main.cs	1 Oct 2009 19:16:23 -0000	1.24
--- Main.cs	28 Mar 2010 17:15:34 -0000	1.25
***************
*** 36,39 ****
--- 36,40 ----
  using QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
+ using QuantProject.Scripts.WalkForwardTesting.LinearRegression;
  using QuantProject.Scripts.WalkForwardTesting.PairsTrading;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank;
***************
*** 478,482 ****
  //			new PairsTradingMain().Run();
  			
! 			new RunOneRank().Run();
  			//new RunEfficientCTCPorfolio("Test",400,5,90,10,10000,
  			//	                         	"^SPX",
--- 479,484 ----
  //			new PairsTradingMain().Run();
  			
! 			new LinearRegressionMain().Run();
! //			new RunOneRank().Run();
  			//new RunEfficientCTCPorfolio("Test",400,5,90,10,10000,
  			//	                         	"^SPX",

[Quantproject-developers] QuantProject/t5_Testing QPTesting.csproj, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv17278

Modified Files:
	QPTesting.csproj 
Log Message:
A reference to nunit.mocks.dll has been added

A reference to System.Data has been added

a5_FakeImplementations\FakeGenomeManager.cs has been added
a5_FakeImplementations\FakeHistoricalMarketValueProvider.cs has been added
b1_ADT\Econometrics\TestLinearRegression.cs has been added
b1_ADT\LinearAlgebra\TestLinearSystemSolver.cs has been added
b3_data\Selectors\TestTickerSelector.cs has been added
b4_Business\a2_Strategies\Eligibles\TestOftenExchanged.cs has been added
b4_Business\a2_Strategies\Optimizing\Decoding\TestBasicDecoderForTestingPositions.cs has been added
b4_Business\a2_Strategies\ReturnsManagment\Time\TestReturnIntervals.cs has been added
b7_scripts\linearRegression\TestDecoderForLinearRegressionTestingPositions.cs has been added
b7_scripts\linearRegression\TestLinearRegressionFitnessEvaluator.cs has been added
b7_scripts\linearRegression\TestLinearRegressionSetUpManager.cs has been added
b7_scripts\linearRegression\TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs has been added
b7_scripts\linearRegression\TestGenomeManagerForLinearRegression.cs has been added
b7_scripts\linearRegression\TestEntryStrategyBasedOnForecastedReturn.cs has been added
b7_scripts\linearRegression\TestReturnIntervalsBuilderForTradingAndForSignaling.cs has been added
b7_scripts\linearRegression\TestSingleDayIntervalsSelector.cs has been added

A reference to "..\b3_Data\Data_SD.csproj" has been added
A reference to "..\b4_Business\Business_SD.csproj" has been added
A reference to "..\b7_Scripts\Scripts_SD.csproj" has been added

Index: QPTesting.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/QPTesting.csproj,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** QPTesting.csproj	31 Jan 2010 18:57:44 -0000	1.1
--- QPTesting.csproj	28 Mar 2010 17:14:23 -0000	1.2
***************
*** 27,36 ****
--- 27,57 ----
    <ItemGroup>
      <Reference Include="nunit.framework" />
+     <Reference Include="nunit.mocks">
+       <HintPath>nunit.mocks.dll</HintPath>
+       <SpecificVersion>False</SpecificVersion>
+     </Reference>
      <Reference Include="System" />
+     <Reference Include="System.Data" />
      <Reference Include="System.Xml" />
    </ItemGroup>
    <ItemGroup>
+     <Compile Include="a5_FakeImplementations\FakeGenomeManager.cs" />
+     <Compile Include="a5_FakeImplementations\FakeHistoricalMarketValueProvider.cs" />
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="b1_ADT\Econometrics\TestLinearRegression.cs" />
+     <Compile Include="b1_ADT\LinearAlgebra\TestLinearSystemSolver.cs" />
      <Compile Include="b1_ADT\Sum.cs" />
+     <Compile Include="b3_data\Selectors\TestTickerSelector.cs" />
+     <Compile Include="b4_Business\a2_Strategies\Eligibles\TestOftenExchanged.cs" />
+     <Compile Include="b4_Business\a2_Strategies\Optimizing\Decoding\TestBasicDecoderForTestingPositions.cs" />
+     <Compile Include="b4_Business\a2_Strategies\ReturnsManagment\Time\TestReturnIntervals.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestDecoderForLinearRegressionTestingPositions.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestLinearRegressionFitnessEvaluator.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestLinearRegressionSetUpManager.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestGenomeManagerForLinearRegression.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestEntryStrategyBasedOnForecastedReturn.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestReturnIntervalsBuilderForTradingAndForSignaling.cs" />
+     <Compile Include="b7_scripts\linearRegression\TestSingleDayIntervalsSelector.cs" />
    </ItemGroup>
    <ItemGroup>
***************
*** 39,43 ****
--- 60,90 ----
        <Name>ADT_SD</Name>
      </ProjectReference>
+     <ProjectReference Include="..\b3_Data\Data_SD.csproj">
+       <Project>{1A0B0C1A-DBC5-4AE6-BE2E-2298135DD60C}</Project>
+       <Name>Data_SD</Name>
+     </ProjectReference>
+     <ProjectReference Include="..\b4_Business\Business_SD.csproj">
+       <Project>{91CAD8B7-D505-40BE-8FAF-0597E62FF71D}</Project>
+       <Name>Business_SD</Name>
+     </ProjectReference>
+     <ProjectReference Include="..\b7_Scripts\Scripts_SD.csproj">
+       <Project>{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}</Project>
+       <Name>Scripts_SD</Name>
+     </ProjectReference>
      <Folder Include="b1_ADT" />
+     <Folder Include="b1_ADT\LinearAlgebra" />
+     <Folder Include="b1_ADT\Econometrics" />
+     <Folder Include="b3_data\Selectors" />
+     <Folder Include="b4_Business\a2_Strategies" />
+     <Folder Include="b4_Business\a2_Strategies\Eligibles" />
+     <Folder Include="b4_Business\a2_Strategies\Optimizing" />
+     <Folder Include="b4_Business\a2_Strategies\Optimizing\Decoding" />
+     <Folder Include="b4_Business\a2_Strategies\ReturnsManagment" />
+     <Folder Include="b4_Business\a2_Strategies\ReturnsManagment\Time" />
+     <Folder Include="b7_scripts" />
+     <Folder Include="b7_scripts\linearRegression" />
+     <Folder Include="b4_Business" />
+     <Folder Include="b3_data" />
+     <Folder Include="a5_FakeImplementations" />
    </ItemGroup>
  </Project>
\ No newline at end of file

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestSingleDayIntervalsSelector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15744/b7_scripts/linearRegression

Added Files:
	TestSingleDayIntervalsSelector.cs 
Log Message:
Test for the SingleDayIntervalsSelector class

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

TestSingleDayIntervalsSelector.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using System.Collections.Generic;
using NUnit.Framework;

using QuantProject.ADT.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	public class BenchmarkToTestSingleDayIntervalsSelector : Benchmark
	{
		private List<DateTime> dateTimes;
//		private int indexForTheNextDateTimeToBeChosen;
		
		public BenchmarkToTestSingleDayIntervalsSelector( List<DateTime> dateTimes ) :
			base( "dummyTicker" )
		{
			this.dateTimes = dateTimes;
//			this.indexForTheNextDateTimeToBeChosen = 0;
		}
		public override DateTime GetThisOrNextDateTimeWhenTraded(
			DateTime startingDateTime ,
			Time dailyTime ,
			DateTime lastAcceptableDateTime )
		{
			DateTime thisOrNextDateTimeWhenTraded = DateTime.MinValue;
			int currentIndex = 0;
			while ( ( currentIndex < this.dateTimes.Count ) &&
			       ( this.dateTimes[ currentIndex ] <
			        startingDateTime ) )
				currentIndex++;
			if ( currentIndex < this.dateTimes.Count )
				// at least a DateTime greater or equal than startingDateTime has been found
				thisOrNextDateTimeWhenTraded =
					this.dateTimes[ currentIndex ];
//			thisOrNextDateTimeWhenTraded = this.dateTimes[ currentIndex ];
			return thisOrNextDateTimeWhenTraded;
		}

	}
	
	[TestFixture]
	/// <summary>
	/// Test for the SingleDayIntervalsSelector class
	/// </summary>
	public class TestSingleDayIntervalsSelector
	{
		
		#region TestMethod
		private BenchmarkToTestSingleDayIntervalsSelector getBenchmark()
		{
			List<DateTime> dateTimesForBenchmark = new List<DateTime>();
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 10 , 16 , 0 , 0 ) ); // wednesday
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 11 , 16 , 0 , 0 ) ); // thursday
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 12 , 16 , 0 , 0 ) ); // friday
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 15 , 16 , 0 , 0 ) ); // monday
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 16 , 16 , 0 , 0 ) ); // tuesday
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 17 , 16 , 0 , 0 ) ); // wednesday
			dateTimesForBenchmark.Add( new DateTime( 2010 , 2 , 18 , 16 , 0 , 0 ) ); // thursday
			BenchmarkToTestSingleDayIntervalsSelector benchmark =
				new BenchmarkToTestSingleDayIntervalsSelector( dateTimesForBenchmark );
			return benchmark;
		}
		[Test]
		public void TestMethod()
		{
			BenchmarkToTestSingleDayIntervalsSelector benchmark = this.getBenchmark();
			List<DayOfWeek> acceptableDaysOfTheWeekForTheEndOfEachInterval =
				new List<DayOfWeek>(
					new DayOfWeek[] {
						DayOfWeek.Monday , DayOfWeek.Tuesday ,		// wednesday is not acceptable!
						DayOfWeek.Thursday , DayOfWeek.Friday } );
			SingleDayIntervalsSelector singleDayIntervalsSelector = new
				SingleDayIntervalsSelector(
					benchmark , new Time( 16 , 0 , 0 ) ,
					acceptableDaysOfTheWeekForTheEndOfEachInterval ,
					TimeSpan.FromDays( 20 ) );
			ReturnInterval firstReturnInterval =
				singleDayIntervalsSelector.GetFirstInterval(
					new DateTime( 2010 , 2 , 10 , 16 , 0 , 0 ) );
			Assert.AreEqual( firstReturnInterval.Begin , new DateTime( 2010 , 2 , 10 , 16 , 0 , 0 ) );	// wednesday
			Assert.AreEqual( firstReturnInterval.End , new DateTime( 2010 , 2 , 11 , 16 , 0 , 0 ) );	// thursday
			ReturnIntervals returnIntervals = new ReturnIntervals( firstReturnInterval );
			ReturnInterval secondReturnInterval =
				singleDayIntervalsSelector.GetNextInterval( returnIntervals );
			Assert.AreEqual( secondReturnInterval.Begin , new DateTime( 2010 , 2 , 11 , 16 , 0 , 0 ) );	// thursday
			Assert.AreEqual( secondReturnInterval.End , new DateTime( 2010 , 2 , 12 , 16 , 0 , 0 ) );	// friday
			returnIntervals.Add( secondReturnInterval );
			ReturnInterval thirdReturnInterval =
				singleDayIntervalsSelector.GetNextInterval( returnIntervals );
			Assert.AreEqual( thirdReturnInterval.Begin , new DateTime( 2010 , 2 , 15 , 16 , 0 , 0 ) );	// monday
			Assert.AreEqual( thirdReturnInterval.End , new DateTime( 2010 , 2 , 16 , 16 , 0 , 0 ) );	// tuesday
			returnIntervals.Add( thirdReturnInterval );
			ReturnInterval fourthReturnInterval =
				singleDayIntervalsSelector.GetNextInterval( returnIntervals );
			Assert.AreEqual( fourthReturnInterval.Begin , new DateTime( 2010 , 2 , 17 , 16 , 0 , 0 ) );	// wednesday
			Assert.AreEqual( fourthReturnInterval.End , new DateTime( 2010 , 2 , 18 , 16 , 0 , 0 ) );	// thursday
			returnIntervals.Add( fourthReturnInterval );
			ReturnInterval fifthReturnInterval =
				singleDayIntervalsSelector.GetNextInterval( returnIntervals );
			Assert.IsNull( fifthReturnInterval );	// no more intervals are available
		}
		#endregion TestMethod
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestReturnIntervalsBuilderForTradingAndForSignaling.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15515/b7_scripts/linearRegression

Added Files:
	TestReturnIntervalsBuilderForTradingAndForSignaling.cs 
Log Message:
Test for the class TestReturnIntervalsBuilderForTradingAndForSignaling

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

TestReturnIntervalsBuilderForTradingAndForSignaling.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;

using NUnit.Framework;
using NUnit.Mocks;

using QuantProject.ADT.Histories;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	public class FakeHistMarkValueProvForTestReturnIntervalsBuilderForTradingAndForSignaling :
		HistoricalMarketValueProvider
	{
//		public override History GetMarketValues( string ticker , History history )
//		{
//			return null;
//		}
		public override double GetMarketValue( string ticker , DateTime dateTime )
		{
			return double.MinValue;;
		}
		
		protected override string getDescription()
		{
			return "fake";
		}
		
		public override bool WasExchanged( string ticker , DateTime dateTime )
		{
			bool wasExchanged = true;
			if ( ( ticker == "TB" ) && ( dateTime == new DateTime( 2000 , 1 , 4 ) ) )
				wasExchanged = false;
			if ( ( ticker == "SA" ) && ( dateTime == new DateTime( 2000 , 1 , 9 ) ) )
				wasExchanged = false;
			return wasExchanged;
		}
	}
	/// <summary>
	/// Test for the class TestReturnIntervalsBuilderForTradingAndForSignaling
	/// </summary>
	[TestFixture]
	public class TestReturnIntervalsBuilderForTradingAndForSignaling
	{
		#region TestMethod
		[Test]
		public void TestMethod()
		{
			
//			// valid for signaling and for trading (in signaling - out trading)
//			ReturnInterval firstReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 1 ) , new DateTime( 2000 , 1 , 2 ) );
//			// valid for signaling and for trading (out signaling - in trading)
//			ReturnInterval secondReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 3 ) , new DateTime( 2000 , 1 , 4 ) );
//			// valid for signaling but NOT for trading (out signaling - out trading)
//			ReturnInterval thirdReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 5 ) , new DateTime( 2000 , 1 , 6 ) );
//			// valid for signaling and for trading, but lacks a quote for trading
//			// (in signaling - out trading)
//			ReturnInterval fourthReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 7 ) , new DateTime( 2000 , 1 , 8 ) );
//			// valid for trading but NOT for signaling (out signaling - in trading)
//			ReturnInterval fifthReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 9 ) , new DateTime( 2000 , 1 , 10 ) );
//			// valid for signaling and for trading (in signaling - out trading)
//			ReturnInterval sixthReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 11 ) , new DateTime( 2000 , 1 , 12 ) );
//			// valid for signaling and for trading (in signaling - in trading)
//			ReturnInterval seventhReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 13 ) , new DateTime( 2000 , 1 , 14 ) );
//			// valid for signaling and for trading, but lacks a quote for signaling
//			// (out signaling - in trading)
//			ReturnInterval eighthReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 15 ) , new DateTime( 2000 , 1 , 16 ) );
//			// valid for signaling and for trading (in signaling - out trading)
//			ReturnInterval ninethReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 17 ) , new DateTime( 2000 , 1 , 18 ) );
//			// valid for signaling and for trading (out signaling - in trading)
//			ReturnInterval tenthReturnInterval = new ReturnInterval(
//				new DateTime( 2000 , 1 , 19 ) , new DateTime( 2000 , 1 , 20 ) );
			
			// in
			ReturnInterval firstReturnIntervalForTrading = new ReturnInterval(
				new DateTime( 2000 , 1 , 2 ) , new DateTime( 2000 , 1 , 3 ) );
			// lacks a quote for trading - out
			ReturnInterval secondReturnIntervalForTrading = new ReturnInterval(
				new DateTime( 2000 , 1 , 4 ) , new DateTime( 2000 , 1 , 5 ) );
			// in
			ReturnInterval thirdReturnIntervalForTrading = new ReturnInterval(
				new DateTime( 2000 , 1 , 6 ) , new DateTime( 2000 , 1 , 7 ) );
			// in
			ReturnInterval fourthReturnIntervalForTrading = new ReturnInterval(
				new DateTime( 2000 , 1 , 8 ) , new DateTime( 2000 , 1 , 9 ) );
			// lacks a quote for signaling - out
			ReturnInterval fifthReturnIntervalForTrading = new ReturnInterval(
				new DateTime( 2000 , 1 , 10 ) , new DateTime( 2000 , 1 , 11 ) );
			// in
			ReturnInterval sixthReturnIntervalForTrading = new ReturnInterval(
				new DateTime( 2000 , 1 , 12 ) , new DateTime( 2000 , 1 , 13 ) );
			
			
			ReturnIntervals returnIntervals = new ReturnIntervals();
			returnIntervals.Add( firstReturnIntervalForTrading );
			returnIntervals.Add( secondReturnIntervalForTrading );
			returnIntervals.Add( thirdReturnIntervalForTrading );
			returnIntervals.Add( fourthReturnIntervalForTrading );
			returnIntervals.Add( fifthReturnIntervalForTrading );
			returnIntervals.Add( sixthReturnIntervalForTrading );
//			returnIntervals.Add( seventhReturnInterval );
//			returnIntervals.Add( eighthReturnInterval );
//			returnIntervals.Add( ninethReturnInterval );
//			returnIntervals.Add( tenthReturnInterval );
			
			
			FakeHistMarkValueProvForTestReturnIntervalsBuilderForTradingAndForSignaling
				fakeHistoricalMarketValueProvider = new
				FakeHistMarkValueProvForTestReturnIntervalsBuilderForTradingAndForSignaling();
			
			DynamicMock dynamicMockReturnsManager =
				new DynamicMock( typeof( IReturnsManager ) );
			dynamicMockReturnsManager.SetReturnValue(
				"get_ReturnIntervals" , returnIntervals );
			dynamicMockReturnsManager.SetReturnValue(
				"get_HistoricalMarketValueProvider" ,
				fakeHistoricalMarketValueProvider );
			IReturnsManager mockReturnsManager =
				(IReturnsManager)dynamicMockReturnsManager.MockInstance;
			
			string[] eligibleTickersForTrading = new string[]
			{ "TA" , "TB" };
			string[] eligibleTickersForSignaling = new string[]
			{ "SA" , "SB" };
			
//			DynamicMock dinamicMockReturnIntervalFilterForTrading =
//				new DynamicMock( typeof( IReturnIntervalFilter ) );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , firstReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , secondReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , thirdReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , fourthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , fifthReturnInterval , false );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , sixthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , seventhReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , eighthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , ninethReturnInterval , true );
//			dinamicMockReturnIntervalFilterForTrading.ExpectAndReturn(
//				"IsValid" , tenthReturnInterval , true );
//			IReturnIntervalFilter mockReturnIntervalFilterForTrading =
//				(IReturnIntervalFilter)
//				dinamicMockReturnIntervalFilterForTrading.MockInstance;
			
//			DynamicMock dinamicMockReturnIntervalFilterForSignaling =
//				new DynamicMock( typeof( IReturnIntervalFilter ) );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , firstReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , secondReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , thirdReturnInterval , false );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , fourthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , fifthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , sixthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , seventhReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , eighthReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , ninethReturnInterval , true );
//			dinamicMockReturnIntervalFilterForSignaling.ExpectAndReturn(
//				"IsValid" , tenthReturnInterval , true );
//			IReturnIntervalFilter mockReturnIntervalFilterForSignaling =
//				(IReturnIntervalFilter)
//				dinamicMockReturnIntervalFilterForSignaling.MockInstance;
			
			// in
			ReturnInterval firstReturnIntervalForSignaling = new ReturnInterval(
				new DateTime( 2000 , 1 , 1 ) , new DateTime( 2000 , 1 , 2 ) );
			// lacks a quote for trading - out
			ReturnInterval secondReturnIntervalForSignaling = new ReturnInterval(
				new DateTime( 2000 , 1 , 3 ) , new DateTime( 2000 , 1 , 4 ) );
			// in
			ReturnInterval thirdReturnIntervalForSignaling = new ReturnInterval(
				new DateTime( 2000 , 1 , 5 ) , new DateTime( 2000 , 1 , 6 ) );
			// in
			ReturnInterval fourthReturnIntervalForSignaling = new ReturnInterval(
				new DateTime( 2000 , 1 , 7 ) , new DateTime( 2000 , 1 , 8 ) );
			// lacks a quote for signaling - out
			ReturnInterval fifthReturnIntervalForSignaling = new ReturnInterval(
				new DateTime( 2000 , 1 , 9 ) , new DateTime( 2000 , 1 , 10 ) );
			// in
			ReturnInterval sixthReturnIntervalForSignaling = new ReturnInterval(
				new DateTime( 2000 , 1 , 11 ) , new DateTime( 2000 , 1 , 12 ) );
			
			DynamicMock dynamicMockReturnIntervalSelectorForSignaling =
				new DynamicMock( typeof( IReturnIntervalSelectorForSignaling ) );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" , firstReturnIntervalForSignaling ,
				new object[] { firstReturnIntervalForTrading } );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" , secondReturnIntervalForSignaling ,
				new object[] { secondReturnIntervalForTrading } );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" , thirdReturnIntervalForSignaling ,
				new object[] { thirdReturnIntervalForTrading } );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" , fourthReturnIntervalForSignaling ,
				new object[] { fourthReturnIntervalForTrading } );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" , fifthReturnIntervalForSignaling ,
				new object[] { fifthReturnIntervalForTrading } );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" , sixthReturnIntervalForSignaling ,
				new object[] { sixthReturnIntervalForTrading } );
			IReturnIntervalSelectorForSignaling mockReturnIntervalSelectorForSignaling =
				(IReturnIntervalSelectorForSignaling)dynamicMockReturnIntervalSelectorForSignaling.MockInstance;

			ReturnIntervalsBuilderForTradingAndForSignaling
				returnIntervalsBuilderForTradingAndForSignaling =
				new ReturnIntervalsBuilderForTradingAndForSignaling();
//					mockReturnIntervalFilterForTrading ,
//					mockReturnIntervalFilterForSignaling );
			
			ReturnIntervals returnIntervalsForTrading;
			ReturnIntervals returnIntervalsForSignaling;
			returnIntervalsBuilderForTradingAndForSignaling.BuildIntervals(
				mockReturnsManager , mockReturnIntervalSelectorForSignaling ,
				eligibleTickersForTrading , eligibleTickersForSignaling ,
				out returnIntervalsForTrading , out returnIntervalsForSignaling );
			
			Assert.AreEqual( 4 , returnIntervalsForTrading.Count , "for trading" );
			Assert.AreEqual( 4 , returnIntervalsForSignaling.Count , "for signaling" );
			Assert.AreEqual( returnIntervalsForTrading.Count ,
			                returnIntervalsForSignaling.Count , "same length" );

			Assert.Contains( firstReturnIntervalForTrading , returnIntervalsForTrading );
			Assert.Contains( thirdReturnIntervalForTrading , returnIntervalsForTrading );
			Assert.Contains( fourthReturnIntervalForTrading , returnIntervalsForTrading );
			Assert.Contains( sixthReturnIntervalForTrading , returnIntervalsForTrading );
			Assert.IsFalse( returnIntervalsForTrading.BordersHistory.ContainsKey(
				secondReturnIntervalForTrading.Begin ) );
			
			Assert.Contains( firstReturnIntervalForSignaling , returnIntervalsForSignaling );
			Assert.Contains( thirdReturnIntervalForSignaling , returnIntervalsForSignaling );
			Assert.Contains( fourthReturnIntervalForSignaling , returnIntervalsForSignaling );
			Assert.Contains( sixthReturnIntervalForSignaling , returnIntervalsForSignaling );
			Assert.IsFalse( returnIntervalsForTrading.BordersHistory.ContainsKey(
				fifthReturnIntervalForSignaling.End ) );
			
//			void BuildIntervals(
//					IReturnsManager returnsManager ,
//					string[] eligibleTickersForTrading ,
//					string[] eligibleTickersForSignaling ,
//					out ReturnIntervals returnIntervalsForTrading ,
//					out ReturnIntervals returnIntervalsForSignaling );
		}
		#endregion TestMethod
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestLinearRegressionSetUpManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15442/b7_scripts/linearRegression

Added Files:
	TestLinearRegressionSetUpManager.cs 
Log Message:
Test for the LinearRegressionSetUpManager class

--- NEW FILE: TestLinearRegressionSetUpManager.cs ---
/*
 * Created by SharpDevelop.
 * User: Glauco
 * Date: 3/6/2010
 * Time: 3:34 AM
 * 
 * To change this template use Tools | Options | Coding | Edit Standard Headers.
 */

using System;
using NUnit.Framework;
using NUnit.Mocks;

using QuantProject.ADT.Optimizing.Decoding;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	[TestFixture]
	/// <summary>
	/// Test for the LinearRegressionSetUpManager class
	/// </summary>
	public class TestLinearRegressionSetUpManager
	{
		private ReturnIntervals getReturnIntervals()
		{
			ReturnIntervals returnIntervals = new ReturnIntervals();
			returnIntervals.Add(
				new ReturnInterval( new DateTime( 2000 , 1 , 1 ) ,new DateTime( 2000 , 1 , 2 ) ) );
			returnIntervals.Add(
				new ReturnInterval( new DateTime( 2000 , 1 , 3 ) ,new DateTime( 2000 , 1 , 4 ) ) );
			returnIntervals.Add(
				new ReturnInterval( new DateTime( 2000 , 1 , 5 ) ,new DateTime( 2000 , 1 , 6 ) ) );
			returnIntervals.Add(
				new ReturnInterval( new DateTime( 2000 , 1 , 7 ) ,new DateTime( 2000 , 1 , 8 ) ) );
			returnIntervals.Add(
				new ReturnInterval( new DateTime( 2000 , 1 , 9 ) ,new DateTime( 2000 , 1 , 10 ) ) );
			returnIntervals.Add(
				new ReturnInterval( new DateTime( 2000 , 1 , 11 ) ,new DateTime( 2000 , 1 , 12 ) ) );
			return returnIntervals;				
		}
		[Test]
		public void TestMethod()
		{
			// TODO: Add your test.
//			DynamicMock mock = new DynamicMock(typeof(ReturnsManager));
//			ReturnsManager mockReturnsManager = (ReturnsManager)mock.MockInstance;
			DynamicMock dynamicMockReturnsCalculatorForTheRegressand =
				new DynamicMock( typeof(IReturnsCalculator) );
			dynamicMockReturnsCalculatorForTheRegressand.SetReturnValue(
				"GetReturns" , new float[]
				{ 0.013F , -0.02F , 0.014F , 0.017F , 0.025F , -0.02F} );
			IReturnsCalculator mockReturnsCalculatorForTheRegressand =
				(IReturnsCalculator)dynamicMockReturnsCalculatorForTheRegressand.MockInstance;
			IReturnsManager mockReturnsManager =
				new ReturnsManager( this.getReturnIntervals() , new HistoricalRawQuoteProvider() );
			float[] floatTest =
				mockReturnsCalculatorForTheRegressand.GetReturns(
					mockReturnsManager , 0 , 1 );
			
//			DynamicMock dynamicMockReturnsManager = new DynamicMock( typeof( IReturnsManager ) );
//			dynamicMockReturnsManager.SetReturnValue( "get_NumberOfReturns" , 6 );
//			mockReturnsManager =
//				(IReturnsManager)dynamicMockReturnsManager.MockInstance;

			DynamicMock dynamicMockReturnsCalculatorForTheFirstRegressor =
				new DynamicMock( typeof(IReturnsCalculator) );
//			dynamicMockReturnsCalculatorForTheFirstRegressor.SetReturnValue(
//				"GetReturns" , new float[]
//				{ 0.015F , -0.07F , 0.034F , -0.002F , 0.011F } );
			dynamicMockReturnsCalculatorForTheFirstRegressor.ExpectAndReturn(
				"GetReturn" , 0.015F , new object[] { 0 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheFirstRegressor.ExpectAndReturn(
				"GetReturn" , -0.07F , new object[] { 1 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheFirstRegressor.ExpectAndReturn(
				"GetReturn" , 0.034F , new object[] { 2 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheFirstRegressor.ExpectAndReturn(
				"GetReturn" , -0.002F , new object[] { 3 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheFirstRegressor.ExpectAndReturn(
				"GetReturn" , 0.015F , new object[] { 4 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheFirstRegressor.ExpectAndReturn(
				"GetReturn" , 0.018F , new object[] { 5 , mockReturnsManager } );
			IReturnsCalculator mockReturnsCalculatorForTheFirstRegressor=
				(IReturnsCalculator)dynamicMockReturnsCalculatorForTheFirstRegressor.MockInstance;
			
			DynamicMock dynamicMockReturnsCalculatorForTheSecondRegressor =
				new DynamicMock( typeof(IReturnsCalculator) );
//			dynamicMockReturnsCalculatorForTheSecondRegressor.SetReturnValue(
//				"GetReturns" , new float[]
//				{ 0.025F , -0.02F , 0.13F , 0.004F , -0.024F , -0.013F } );
			dynamicMockReturnsCalculatorForTheSecondRegressor.ExpectAndReturn(
				"GetReturn" , 0.025F , new object[] { 0 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheSecondRegressor.ExpectAndReturn(
				"GetReturn" , -0.02F , new object[] { 1 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheSecondRegressor.ExpectAndReturn(
				"GetReturn" , 0.13F , new object[] { 2 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheSecondRegressor.ExpectAndReturn(
				"GetReturn" , 0.004F , new object[] { 3 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheSecondRegressor.ExpectAndReturn(
				"GetReturn" , -0.024F , new object[] { 4 , mockReturnsManager } );
			dynamicMockReturnsCalculatorForTheSecondRegressor.ExpectAndReturn(
				"GetReturn" , -0.013F , new object[] { 5 , mockReturnsManager } );
			IReturnsCalculator mockReturnsCalculatorForTheSecondRegressor=
				(IReturnsCalculator)dynamicMockReturnsCalculatorForTheSecondRegressor.MockInstance;
			IReturnsCalculator[] mockReturnsCalculatorForTheRegressors =
				(IReturnsCalculator[])new IReturnsCalculator[ 2 ] {
				mockReturnsCalculatorForTheFirstRegressor ,
				mockReturnsCalculatorForTheSecondRegressor };
			LinearRegressionSetupManager linearRegressionSetupManager =
				new LinearRegressionSetupManager();
			
			ILinearRegressionValues linearRegressionValues =
				linearRegressionSetupManager.SetUpTheLinearRegressionValues(
					mockReturnsCalculatorForTheRegressand ,
					mockReturnsCalculatorForTheRegressors ,
					mockReturnsManager , mockReturnsManager );

			Assert.AreEqual( 6 , linearRegressionValues.Regressand.Length );
			Assert.AreEqual( -0.02F , linearRegressionValues.Regressand[ 1 ] , "-0.02F" );
			
			Assert.AreEqual( 6 , linearRegressionValues.Regressors.GetLength( 0 ) ,
			               "GetLength( 0 )" );
			Assert.AreEqual( 3 , linearRegressionValues.Regressors.GetLength( 1 ),
			               "GetLength( 1 )" );

			Assert.AreEqual( 1 , linearRegressionValues.Regressors[ 2 , 0 ] , "1=...[ 2 , 0 ]" );
			Assert.AreEqual( -0.002F , linearRegressionValues.Regressors[ 3 , 1 ] , "-0.002F" );
			Assert.AreEqual( 0.025F , linearRegressionValues.Regressors[ 0 , 2 ] , "0.025F" );
			
			
			
			
			
			
			
//			mock.ExpectAndReturn( "Decode" , 6 , new int[] { 3 , 5 } );
//			mock.ExpectAndReturn( "Decode" , 17 , new int[] { 11 , 12 } );
//			IDecoder mockDecoder = (IDecoder)mock.MockInstance;
//
//			object decoded;
//			decoded = mockDecoder.Decode( new int[] { 3 , 5 } );
//			decoded = mockDecoder.Decode( new int[] { 11 , 12 } );
			////			decoded = mockDecoder.Decode( new int[] { 11 , 12 } );
			
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestLinearRegressionFitnessEvaluator.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14921/b7_scripts/linearRegression

Added Files:
	TestLinearRegressionFitnessEvaluator.cs 
Log Message:
Test for the LinearRegressionFitnessEvaluator class

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

TestLinearRegressionFitnessEvaluator.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;
using NUnit.Mocks;

using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

using QuantTesting.Business.DataProviders;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	[TestFixture]
	/// <summary>
	/// Test for the LinearRegressionFitnessEvaluator class
	/// </summary>
	public class TestLinearRegressionFitnessEvaluator
	{
		#region Test_GetIndependentVariablesValues
		
		private LinearRegressionTestingPositions getLinearRegressionTestingPositions()
		{
			WeightedPositions[] signalingPortfolios = new WeightedPositions[ 2 ];
			signalingPortfolios[ 0 ] = new WeightedPositions(
				new double[] { 0.5 , 0.5 } , new string[] { "SA1" , "SB1" } );
			signalingPortfolios[ 1 ] = new WeightedPositions(
				new double[] { 0.75 , 0.25 } , new string[] { "SA2" , "SB2" } );
			LinearRegressionTestingPositions linearRegressionTestingPositions =
				new LinearRegressionTestingPositions(
					signalingPortfolios , new WeightedPositions(
						new double[] { 0.5 , 0.5 } , new string[] { "NOTUSEDA" , "NOTUSEDB" } ) );
			return linearRegressionTestingPositions;
		}
		
		private LinearRegressionTestingPositions getLinearRegressionTestingPositionsToTestNull()
		{
			WeightedPositions[] signalingPortfolios = new WeightedPositions[ 2 ];
			signalingPortfolios[ 0 ] = new WeightedPositions(
				new double[] { 0.5 , 0.5 } , new string[] { "SA1" , "SB1" } );
			signalingPortfolios[ 1 ] = new WeightedPositions(
				new double[] { 0.75 , 0.25 } , new string[] { "SA3" , "SB2" } );  // SA3 lacks a quote
			LinearRegressionTestingPositions linearRegressionTestingPositions =
				new LinearRegressionTestingPositions(
					signalingPortfolios , new WeightedPositions(
						new double[] { 0.5 , 0.5 } , new string[] { "NOTUSEDA" , "NOTUSEDB" } ) );
			return linearRegressionTestingPositions;
		}
		
		private FakeHistoricalMarketValueProvider getFakeHistoricalMarketValueProvider(
			ReturnInterval returnInterval )
		{
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProviderValuesBased =
				new FakeHistoricalMarketValueProvider();
			
			// "SA1" return is 2%
			fakeHistoricalMarketValueProviderValuesBased.Add( "SA1" , returnInterval.Begin , 1000 );
			fakeHistoricalMarketValueProviderValuesBased.Add( "SA1" , returnInterval.End , 1020 );
			
			// "SB1" return is -1%
			fakeHistoricalMarketValueProviderValuesBased.Add( "SB1" , returnInterval.Begin , 100 );
			fakeHistoricalMarketValueProviderValuesBased.Add( "SB1" , returnInterval.End , 99 );
			
			// "SA2" return is -2.4%
			fakeHistoricalMarketValueProviderValuesBased.Add( "SA2" , returnInterval.Begin , 1000 );
			fakeHistoricalMarketValueProviderValuesBased.Add( "SA2" , returnInterval.End , 976 );

			// "SA3" lacks a quote
//			fakeHistoricalMarketValueProviderValuesBased.Add( "SA3" , returnInterval.Begin , 1000 );
			fakeHistoricalMarketValueProviderValuesBased.Add( "SA3" , returnInterval.End , 976 );

			// "SB2" return is .4%
			fakeHistoricalMarketValueProviderValuesBased.Add( "SB2" , returnInterval.Begin , 50 );
			fakeHistoricalMarketValueProviderValuesBased.Add( "SB2" , returnInterval.End , 50.2 );
			
			return fakeHistoricalMarketValueProviderValuesBased;
		}
		
		[Test]
		public void Test_GetIndependentVariablesValues()
		{
			LinearRegressionTestingPositions linearRegressionTestingPositions =
				this.getLinearRegressionTestingPositions();
			ReturnInterval returnInterval =
				new ReturnInterval( new DateTime( 2000 , 1 , 1 ) , new DateTime( 2000 , 1 , 2 ) );
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider =
				this.getFakeHistoricalMarketValueProvider( returnInterval );
			
			DynamicMock dynamicMockLinearRegressionSetupManager =
				new DynamicMock( typeof( ILinearRegressionSetupManager ) );
			ILinearRegressionSetupManager fakeLinearRegressionSetupManager =
				(ILinearRegressionSetupManager)dynamicMockLinearRegressionSetupManager.MockInstance;
			
			LinearRegressionFitnessEvaluator linearRegressionFitnessEvaluator =
				new LinearRegressionFitnessEvaluator( fakeLinearRegressionSetupManager );
			
			double[] independentVariableValues =
				linearRegressionFitnessEvaluator.GetIndependentVariablesValues(
					linearRegressionTestingPositions , returnInterval ,
					fakeHistoricalMarketValueProvider );
			Assert.AreEqual( 0 , independentVariableValues[ 0 ] );
			Assert.AreEqual( 0.005 , independentVariableValues[ 1 ] , 0.0000001 );
			Assert.AreEqual( -0.017 , independentVariableValues[ 2 ] , 0.0000001 );
			
			LinearRegressionTestingPositions linearRegressionTestingPositionsToTestNull =
				this.getLinearRegressionTestingPositionsToTestNull();
			
			double[] independentVariableValuesToTestNull =
				linearRegressionFitnessEvaluator.GetIndependentVariablesValues(
					linearRegressionTestingPositionsToTestNull , returnInterval ,
					fakeHistoricalMarketValueProvider );
			Assert.AreEqual( null , independentVariableValuesToTestNull );
		}
		#endregion Test_GetIndependentVariablesValues
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestGenomeManagerForLinearRegression.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14777/b7_scripts/linearRegression

Added Files:
	TestGenomeManagerForLinearRegression.cs 
Log Message:
Test for the class GenomeManagerForLinearRegression

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

TestGenomeManagerForLinearRegression.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;

using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

using QuantTesting.Business.DataProviders;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	[TestFixture]
	/// <summary>
	/// Test for the class GenomeManagerForLinearRegression
	/// </summary>
	public class TestGenomeManagerForLinearRegression
	{
		[Test]
		public void TestMethod()
		{
			EligibleTickers eligibleTickersForTrading =
				new EligibleTickers( new string[] { "AAAA" , "BBBB" , "CCCC" } );
			EligibleTickers eligibleTickersForSignaling =
				new EligibleTickers(
					new string[] { "AAAA" , "BBBB" , "CCCC" , "DDDD" , "EEEE" } );
			ReturnsManager returnsManager = new ReturnsManager(
				new ReturnIntervals(
					new ReturnInterval(
						new DateTime( 2008 , 1 , 1 ) , new DateTime( 2008 , 1 , 2 ) ) ) ,
				new FakeHistoricalMarketValueProvider() );
			DecoderForLinearRegressionTestingPositions decoderForLinearRegressionTestingPositions =
				new DecoderForLinearRegressionTestingPositions( 4 );
			LinearRegressionFitnessEvaluator fitnessEvaluator =
				new LinearRegressionFitnessEvaluator(
					new LinearRegressionSetupManager() );
			GenomeManagerForLinearRegression genomeManagerForLinearRegression =
				new GenomeManagerForLinearRegression(
					eligibleTickersForTrading ,
					eligibleTickersForSignaling ,
					returnsManager ,
					returnsManager ,
					decoderForLinearRegressionTestingPositions ,
					fitnessEvaluator ,
					GenomeManagerType.ShortAndLong ,
					1 ,
					2 );

//						EligibleTickers eligibleTickersForTrading ,
//			EligibleTickers eligibleTickersForSignaling ,
////			ReturnsManager returnsManager ,
//			IReturnsManager returnsManagerForTradingTickers ,
//			IReturnsManager returnsManagerForSignalingTickers ,
//			DecoderForLinearRegressionTestingPositions
//			decoderForLinearRegressionTestingPositions ,
//			ILinearRegressionFitnessEvaluator fitnessEvaluator ,
//			GenomeManagerType genomeManagerType ,
//			int seedForRandomGeneratorForTradingTickers ,
//			int seedForRandomGeneratorForSignalingTickers ) :

			
			
			int minValueForTradingGene =
				genomeManagerForLinearRegression.GetMinValueForGenes( 1 );
			Assert.AreEqual( -3 , minValueForTradingGene );
			int maxValueForTradingGene =
				genomeManagerForLinearRegression.GetMaxValueForGenes( 1 );
			Assert.AreEqual( 2 , maxValueForTradingGene );
			int minValueForSignalingGene =
				genomeManagerForLinearRegression.GetMinValueForGenes( 2 );
			Assert.AreEqual( -5 , minValueForSignalingGene );
			int maxValueForSignalingGene =
				genomeManagerForLinearRegression.GetMaxValueForGenes( 2 );
			Assert.AreEqual( 4 , maxValueForSignalingGene );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestEntryStrategyBasedOnForecastedReturn.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14576/b7_scripts/linearRegression

Added Files:
	TestEntryStrategyBasedOnForecastedReturn.cs 
Log Message:
Test for the EntryStrategyBasedOnForecastedReturn class

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

TestEntryStrategyBasedOnForecastedReturn.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;
using NUnit.Mocks;

using QuantProject.ADT.Econometrics;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

using QuantTesting.Business.DataProviders;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	internal class FakeLnrRgrssnTstngPstns : LinearRegressionTestingPositions
	{
		private ILinearRegression linearRegression;
		
		public override ILinearRegression LinearRegression
		{
			get { return this.linearRegression; }
		}
		internal FakeLnrRgrssnTstngPstns(
			ILinearRegression linearRegression ,
			WeightedPositions tradingPortfolio ) :
			base( new WeightedPositions[ 0 ] , tradingPortfolio )
		{
			this.linearRegression = linearRegression;
		}
	}
	
	[TestFixture]
	public class TestEntryStrategyBasedOnForecastedReturn
	{
		#region Test_GetPositionsToBeOpened
		private LinearRegressionTestingPositions getMockLinearRegressionTestingPositions(
			double[] linearRegressionCoefficients , WeightedPositions tradingPortfolio )
		{
			DynamicMock dynamicMockLinearRegression =
				new DynamicMock( typeof( ILinearRegression ) );
			dynamicMockLinearRegression.SetReturnValue(
				"get_EstimatedCoefficients" , linearRegressionCoefficients );
			ILinearRegression mockLinearRegression =
				(ILinearRegression)dynamicMockLinearRegression.MockInstance;
			FakeLnrRgrssnTstngPstns mockLinearRegressionTestingPositions =
				new FakeLnrRgrssnTstngPstns(
					mockLinearRegression , tradingPortfolio );
			return mockLinearRegressionTestingPositions;
		}
		[Test]
		public void Test_GetPositionsToBeOpened()
		{
			ReturnInterval outOfSampleReturnIntervalForTrading =
				new ReturnInterval( new DateTime( 2000 , 1  , 5 ) , new DateTime( 2000 , 1 , 6 ) );
			HistoricalMarketValueProvider historicalMarketValueProvider =
				new FakeHistoricalMarketValueProvider();

			DynamicMock dynamicMockReturnIntervalSelectorForSignaling =
				new DynamicMock( typeof( IReturnIntervalSelectorForSignaling ) );
			ReturnInterval outOfSampleReturnIntervalForSignaling =
				new ReturnInterval( new DateTime( 2000 , 1  , 3 ) , new DateTime( 2000 , 1 , 4 ) );
			dynamicMockReturnIntervalSelectorForSignaling.ExpectAndReturn(
				"GetReturnIntervalUsedForSignaling" ,
				outOfSampleReturnIntervalForSignaling ,
				new object[] { outOfSampleReturnIntervalForTrading } );
			IReturnIntervalSelectorForSignaling fakeReturnIntervalSelectorForSignaling =
				(IReturnIntervalSelectorForSignaling)
				dynamicMockReturnIntervalSelectorForSignaling.MockInstance;
			

			LinearRegressionTestingPositions mockLinearRegressionTestingPositions1 =
				this.getMockLinearRegressionTestingPositions(
					new double[] { 1 , 2 , -3 } ,
					new WeightedPositions(
						new double[] { 0.3 , -0.7 } , new string[] { "TA1" , "TB1" } ) );

			LinearRegressionTestingPositions mockLinearRegressionTestingPositions2 =
				this.getMockLinearRegressionTestingPositions(
					new double[] { 1 , 0 , 2 } ,
					new WeightedPositions(
						new double[] { 0.4 , -0.6 } , new string[] { "TA2" , "TB2" } ) );

			LinearRegressionTestingPositions mockLinearRegressionTestingPositions3 =
				this.getMockLinearRegressionTestingPositions(
					new double[] { 0.5 , -1 , 3 } ,
					new WeightedPositions(
						new double[] { 0.5 , 0.5 } , new string[] { "TA3" , "TB3" } ) );

			TestingPositions[] mockBestTestingPositionsInSample =
				new LinearRegressionTestingPositions[ 3 ];
			mockBestTestingPositionsInSample[ 0 ] = mockLinearRegressionTestingPositions1;
			mockBestTestingPositionsInSample[ 1 ] = mockLinearRegressionTestingPositions2;
			mockBestTestingPositionsInSample[ 2 ] = mockLinearRegressionTestingPositions3;
			
			DynamicMock dynamicMockLinearRegressionFitnessEvaluator =
				new DynamicMock( typeof( ILinearRegressionFitnessEvaluator ) );
			
			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
				"GetIndependentVariablesValues" , new double[] { 2 , 1 , 2 } , // forecasted
				// return should be 1*2+2*1-3*2=-2 (not selected)
				new object[] {
					mockLinearRegressionTestingPositions1 ,
					outOfSampleReturnIntervalForSignaling ,
					historicalMarketValueProvider } );
			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
				"GetIndependentVariablesValues" , new double[] { 0.1 , 3 , 0.2 } , // forecasted
				// return should be 1*0.1+0*3+2*0.2=0.5 (selected!!)
				new object[] {
					mockLinearRegressionTestingPositions2 ,
					outOfSampleReturnIntervalForSignaling ,
					historicalMarketValueProvider } );
			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
				"GetIndependentVariablesValues" , new double[] { 2 , 1 , 2 } ,	// forecasted
				// return should be 0.5*2-1*2+3*2=5 (not selected, because the previous one is selected)
				new object[] {
					mockLinearRegressionTestingPositions3 ,
					outOfSampleReturnIntervalForSignaling ,
					historicalMarketValueProvider } );
			ILinearRegressionFitnessEvaluator mockLinearRegressionFitnessEvaluator=
				(ILinearRegressionFitnessEvaluator)dynamicMockLinearRegressionFitnessEvaluator.MockInstance;
			
			EntryStrategyBasedOnForecastedReturn longAndShortBasedOnForecastedReturn =
				new EntryStrategyBasedOnForecastedReturn(
					0.3 ,
					mockLinearRegressionFitnessEvaluator ,
					fakeReturnIntervalSelectorForSignaling ,
					historicalMarketValueProvider );
			
			ReturnIntervals fakeOutOfSampleReturnIntervals =
				new ReturnIntervals( outOfSampleReturnIntervalForTrading );
			
			WeightedPositions positionsToBeOpened =
				longAndShortBasedOnForecastedReturn.GetPositionsToBeOpened(
					mockBestTestingPositionsInSample , fakeOutOfSampleReturnIntervals );
			
			Assert.AreEqual( "TA2" , positionsToBeOpened[ 0 ].Ticker );
			Assert.AreEqual( "TB2" , positionsToBeOpened[ 1 ].Ticker );
		}
		#endregion Test_GetPositionsToBeOpened
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestDecoderForLinearRegressionTestingPositions.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv12065/b7_scripts/linearRegression

Added Files:
	TestDecoderForLinearRegressionTestingPositions.cs 
Log Message:
Test for the class DecoderForLinearRegressionTestingPositions

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

TestDecoderForLinearRegressionTestingPositions.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;
using NUnit.Mocks;

using QuantTesting.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Test for the class DecoderForLinearRegressionTestingPositions
	/// </summary>
	[TestFixture]
	public class TestDecoderForLinearRegressionTestingPositions
	{

		
		#region TestDecode
		
		#region getReturnsManager
		
		#region getFakeHistoricalMarketValueProviderValueBased
		
		#region addMarketValue
		private double getMarketValue( int day )
		{
			double marketValue = 0;
			switch ( day )
			{
				case 1:
					marketValue = 31;
					break;
				case 2:
					marketValue = 32;
					break;
				case 3:
					marketValue = 33;
					break;
			}
			return marketValue;
		}
		private void addMarketValue(
			string ticker , DateTime dateTime ,
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider )
		{
			if ( !fakeHistoricalMarketValueProvider.WasExchanged( ticker , dateTime ) )
			{
				// this market values has not been added yet
				double marketValue = this.getMarketValue( dateTime.Day );
				fakeHistoricalMarketValueProvider.Add( ticker , dateTime , marketValue );
			}
		}
		#endregion addMarketValue
		
		private void addMarketValues(
			string[] tickers , ReturnInterval returnInterval1 , ReturnInterval returnInterval2 ,
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider )
		{
			foreach( string ticker in tickers )
			{
				this.addMarketValue(
					ticker , returnInterval1.Begin , fakeHistoricalMarketValueProvider );
				this.addMarketValue(
					ticker , returnInterval1.End , fakeHistoricalMarketValueProvider );
				this.addMarketValue(
					ticker , returnInterval2.Begin , fakeHistoricalMarketValueProvider );
				this.addMarketValue(
					ticker , returnInterval2.End , fakeHistoricalMarketValueProvider );
			}
		}
		private FakeHistoricalMarketValueProvider
			getFakeHistoricalMarketValueProviderValueBased(
				string[] eligibleTickersForTrading ,
				string[] eligibleTickersForSignaling ,
				ReturnInterval returnInterval1 ,
				ReturnInterval returnInterval2 )
		{
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider =
				new FakeHistoricalMarketValueProvider();
			this.addMarketValues( eligibleTickersForTrading , returnInterval1 , returnInterval2 ,
			              fakeHistoricalMarketValueProvider );
			this.addMarketValues( eligibleTickersForSignaling , returnInterval1 , returnInterval2 ,
			              fakeHistoricalMarketValueProvider );
			return fakeHistoricalMarketValueProvider;
		}
		#endregion getFakeHistoricalMarketValueProviderValueBased
		
		private ReturnsManager getReturnsManager(
			string[] eligibleTickersForTrading ,
			string[] eligibleTickersForSignaling )
		{
			ReturnInterval returnInterval1 = new ReturnInterval(
				new DateTime( 2008 , 2 , 1 , 16 , 0 , 0 ) ,
				new DateTime( 2008 , 2 , 2 , 16 , 0 , 0 ) );
			ReturnInterval returnInterval2 = new ReturnInterval(
				new DateTime( 2008 , 2 , 2 , 16 , 0 , 0 ) ,
				new DateTime( 2008 , 2 , 3 , 16 , 0 , 0 ) );
			ReturnIntervals returnIntervals = new ReturnIntervals( returnInterval1 );
			returnIntervals.Add( returnInterval2 );
			
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider =
				this.getFakeHistoricalMarketValueProviderValueBased(
					eligibleTickersForTrading , eligibleTickersForSignaling ,
					returnInterval1 , returnInterval2 );
			
			ReturnsManager returnsManager = new ReturnsManager(
				returnIntervals , fakeHistoricalMarketValueProvider );
			return returnsManager;
		}
		#endregion getReturnsManager
		
		[Test]
		public void TestDecode()
		{
			DecoderForLinearRegressionTestingPositions
				decoderForLinearRegressionTestingPositions =
				new DecoderForLinearRegressionTestingPositions( 3 );
			
			Assert.AreEqual(
				2 , decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading );
			Assert.AreEqual(
				3 , decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios );
			

			EligibleTickers eligibleTickersForTrading =
				new EligibleTickers( new string[] { "TA" , "TB" , "TC" } );
			EligibleTickers eligibleTickersForSignaling =
				new EligibleTickers(
					new string[] { "SA" , "SB" , "SC" , "SD" , "SE" } );
//			Genome genome =	this.getGenome();
//					eligibleTickersForTrading ,
//					eligibleTickersForSignaling ,
//					decoderForLinearRegressionTestingPositions );
			ReturnsManager returnsManager = this.getReturnsManager(
				eligibleTickersForTrading.Tickers , eligibleTickersForSignaling.Tickers );

			
			LinearRegressionTestingPositions meaning =
				(LinearRegressionTestingPositions)
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , -5 , 2 , 0 } ,
					eligibleTickersForTrading , eligibleTickersForSignaling ,
					returnsManager , returnsManager );
//					returnsManagerForTradingTickers , returnsManagerForSignalingTickers );
			// the genome corresponds to { "TA" , "-TC" , "-SE" , "SC" , "SA" }
			// then weighted positions for trading are { "TA" , "-TC" }
			// and weighted positions for signaling are { "-SE" , "SC" , "SA" }
			
			
			// test trading portfolio
			Assert.AreEqual( 2 , meaning.TradingPortfolio.Count );
			Assert.AreEqual( "TA" , meaning.TradingPortfolio[ 0 ].Ticker );
			Assert.IsTrue( meaning.TradingPortfolio[ 0 ].Weight > 0 ,
			              "meaning.TradingPortfolio[ 0 ].Weight > 0" );
			Assert.AreEqual( "TC" , meaning.TradingPortfolio[ 1 ].Ticker );
			Assert.IsTrue( meaning.TradingPortfolio[ 1 ].Weight < 0 ,
			              "meaning.TradingPortfolio[ 1 ].Weight < 0" );
			
			// test signaling portfolio
			Assert.AreEqual( 3 , meaning.SignalingPortfolios.Length );
			WeightedPositions signalingPortfolio0 = meaning.SignalingPortfolios[ 0 ];
			Assert.AreEqual( 1 , signalingPortfolio0.Count , "signalingPortfolio0.Count" );
			Assert.AreEqual( "SE" , signalingPortfolio0[ 0 ].Ticker );
			Assert.IsTrue( signalingPortfolio0[ 0 ].Weight < 0 ,
			              "signalingPortfolio0[ 0 ].Weight < 0" );

			WeightedPositions signalingPortfolio1 = meaning.SignalingPortfolios[ 1 ];
			Assert.AreEqual( 1 , signalingPortfolio1.Count , "signalingPortfolio1.Count" );
			Assert.AreEqual( "SC" , signalingPortfolio1[ 0 ].Ticker );
			Assert.IsTrue( signalingPortfolio1[ 0 ].Weight > 0 ,
			              "signalingPortfolio1[ 1 ].Weight > 0" );

			WeightedPositions signalingPortfolio2 = meaning.SignalingPortfolios[ 2 ];
			Assert.AreEqual( 1 , signalingPortfolio2.Count , "signalingPortfolio2.Count" );
			Assert.AreEqual( "SA" , signalingPortfolio2[ 0 ].Ticker );
			Assert.IsTrue( signalingPortfolio2[ 0 ].Weight > 0 ,
			              "signalingPortfolio2[ 1 ].Weight > 0" );
		}
		#endregion TestDecode
		
		[Test]
		public void TestDuplicatedTickers()
		{
			EligibleTickers eligibleTickersForTrading =
				new EligibleTickers( new string[] { "TA" , "TB" , "TC" } );
			EligibleTickers eligibleTickersForSignaling =
				new EligibleTickers(
					new string[] { "SA" , "SB" , "SC" , "SD" , "TA" } );
			DecoderForLinearRegressionTestingPositions
				decoderForLinearRegressionTestingPositions =
				new DecoderForLinearRegressionTestingPositions( 3 );
			
			DynamicMock dynamicMockForReturnsManager = new DynamicMock( typeof(IReturnsManager) );
			IReturnsManager returnsManager = (IReturnsManager)dynamicMockForReturnsManager.MockInstance;
			
			TestingPositions testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , 0 , 1 , -3 , 3 } ,		// same ticker for trading (first and second)
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded );

			testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , -4 , -4 , 0 } ,	// same ticker for signaling (third and fourth)
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded ,
			              "same ticker for signaling (third and fourth)" );

			testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , 0 , 1 , -2 } ,		// same ticker for signaling (fourth and fifth)
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded ,
			              "same ticker for signaling (fourth and fifth)" );

			testingPositions = decoderForLinearRegressionTestingPositions.Decode(
				new int[] { 0 , -3 , 1 , -3 , -5 } ,	// same ticker for the first trading ticker and for the third signaling portfolio
				eligibleTickersForTrading ,
				eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsFalse( testingPositions is TestingPositionsForUndecodableEncoded ,
			              "same ticker for the first trading ticker and for the third signaling portfolio" );
			
			testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , 1 , -3 , 3 } ,		// no conflict
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsFalse( testingPositions is TestingPositionsForUndecodableEncoded );
			
			testingPositions = decoderForLinearRegressionTestingPositions.Decode(
				new int[] { -3 , 0 , 1 , -3 , -5 } ,	// no conflict even if the second ticker is the same as the fifth one
				eligibleTickersForTrading ,
				eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsFalse( testingPositions is TestingPositionsForUndecodableEncoded );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv11987/b7_scripts/linearRegression

Added Files:
	TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs 
Log Message:
Test for the class DecoderFirstTradingTickerInEachSignalingPortfolio

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

TestDecoderFirstTradingTickerInEachSignalingPortfolio.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;
using NUnit.Mocks;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
//using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Scripts.WalkForwardTesting.LinearRegression;

using QuantTesting.ADT.Optimizing.Genetic;
using QuantTesting.Business.DataProviders;

namespace QuantTesting.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Test for the class DecoderFirstTradingTickerInEachSignalingPortfolio
	/// </summary>
	[TestFixture]
	public class TestDecoderFirstTradingTickerInEachSignalingPortfolio
	{

		
		#region TestDecode
		
		#region getReturnsManager
		
		#region getFakeHistoricalMarketValueProviderValueBased
		
		#region addMarketValue
		private double getMarketValue( int day )
		{
			double marketValue = 0;
			switch ( day )
			{
				case 1:
					marketValue = 31;
					break;
				case 2:
					marketValue = 32;
					break;
				case 3:
					marketValue = 33;
					break;
			}
			return marketValue;
		}
		private void addMarketValue(
			string ticker , DateTime dateTime ,
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider )
		{
			if ( !fakeHistoricalMarketValueProvider.WasExchanged( ticker , dateTime ) )
			{
				// this market values has not been added yet
				double marketValue = this.getMarketValue( dateTime.Day );
				fakeHistoricalMarketValueProvider.Add( ticker , dateTime , marketValue );
			}
		}
		#endregion addMarketValue
		
		private void addMarketValues(
			string[] tickers , ReturnInterval returnInterval1 , ReturnInterval returnInterval2 ,
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider )
		{
			foreach( string ticker in tickers )
			{
				this.addMarketValue(
					ticker , returnInterval1.Begin , fakeHistoricalMarketValueProvider );
				this.addMarketValue(
					ticker , returnInterval1.End , fakeHistoricalMarketValueProvider );
				this.addMarketValue(
					ticker , returnInterval2.Begin , fakeHistoricalMarketValueProvider );
				this.addMarketValue(
					ticker , returnInterval2.End , fakeHistoricalMarketValueProvider );
			}
		}
		private FakeHistoricalMarketValueProvider
			getFakeHistoricalMarketValueProviderValueBased(
				string[] eligibleTickersForTrading ,
				string[] eligibleTickersForSignaling ,
				ReturnInterval returnInterval1 ,
				ReturnInterval returnInterval2 )
		{
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider =
				new FakeHistoricalMarketValueProvider();
			this.addMarketValues( eligibleTickersForTrading , returnInterval1 , returnInterval2 ,
			              fakeHistoricalMarketValueProvider );
			this.addMarketValues( eligibleTickersForSignaling , returnInterval1 , returnInterval2 ,
			              fakeHistoricalMarketValueProvider );
			return fakeHistoricalMarketValueProvider;
		}
		#endregion getFakeHistoricalMarketValueProviderValueBased
		
		private ReturnsManager getReturnsManager(
			string[] eligibleTickersForTrading ,
			string[] eligibleTickersForSignaling )
		{
			ReturnInterval returnInterval1 = new ReturnInterval(
				new DateTime( 2008 , 2 , 1 , 16 , 0 , 0 ) ,
				new DateTime( 2008 , 2 , 2 , 16 , 0 , 0 ) );
			ReturnInterval returnInterval2 = new ReturnInterval(
				new DateTime( 2008 , 2 , 2 , 16 , 0 , 0 ) ,
				new DateTime( 2008 , 2 , 3 , 16 , 0 , 0 ) );
			ReturnIntervals returnIntervals = new ReturnIntervals( returnInterval1 );
			returnIntervals.Add( returnInterval2 );
			
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider =
				this.getFakeHistoricalMarketValueProviderValueBased(
					eligibleTickersForTrading , eligibleTickersForSignaling ,
					returnInterval1 , returnInterval2 );
			
			ReturnsManager returnsManager = new ReturnsManager(
				returnIntervals , fakeHistoricalMarketValueProvider );
			return returnsManager;
		}
		#endregion getReturnsManager
		
		[Test]
		public void TestDecode()
		{
			DecoderForLinearRegressionTestingPositions
				decoderForLinearRegressionTestingPositions =
				new DecoderFirstTradingTickerInEachSignalingPortfolio( 3 );
			
			Assert.AreEqual(
				2 , decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading );
			Assert.AreEqual(
				3 , decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios );
			

			EligibleTickers eligibleTickersForTrading =
				new EligibleTickers( new string[] { "TA" , "TB" , "TC" } );
			EligibleTickers eligibleTickersForSignaling =
				new EligibleTickers(
					new string[] { "SA" , "SB" , "SC" , "SD" , "SE" } );
//			Genome genome =	this.getGenome();
//					eligibleTickersForTrading ,
//					eligibleTickersForSignaling ,
//					decoderForLinearRegressionTestingPositions );
			ReturnsManager returnsManager = this.getReturnsManager(
				eligibleTickersForTrading.Tickers , eligibleTickersForSignaling.Tickers );

			
			LinearRegressionTestingPositions meaning =
				(LinearRegressionTestingPositions)
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , -5 , 2 , 0 } ,
					eligibleTickersForTrading , eligibleTickersForSignaling ,
					returnsManager , returnsManager );
//					returnsManagerForTradingTickers , returnsManagerForSignalingTickers );
			// the genome corresponds to { "TA" , "-TC" , "-SE" , "SC" , "SA" }
			// then weighted positions for trading are { "TA" , "-TC" }
			// and weighted positions for signaling are { "-SE" , "SC" , "SA" }
			
			
			// test trading portfolio
			Assert.AreEqual( 2 , meaning.TradingPortfolio.Count );
			Assert.AreEqual( "TC" , meaning.TradingPortfolio[ 1 ].Ticker );
			Assert.IsTrue( meaning.TradingPortfolio[ 1 ].Weight < 0 ,
			              "meaning.TradingPortfolio[ 1 ].Weight < 0" );
			
			// test signaling portfolio
			Assert.AreEqual( 3 , meaning.SignalingPortfolios.Length );
			WeightedPositions signalingPortfolio0 = meaning.SignalingPortfolios[ 0 ];
			Assert.AreEqual( "TA" , signalingPortfolio0[ 0 ].Ticker );
			Assert.IsTrue( signalingPortfolio0[ 0 ].Weight > 0 ,
			              "signalingPortfolio0[ 0 ].Weight > 0" );
			Assert.AreEqual( "SE" , signalingPortfolio0[ 1 ].Ticker );
			Assert.IsTrue( signalingPortfolio0[ 1 ].Weight < 0 ,
			              "signalingPortfolio0[ 1 ].Weight < 0" );
			WeightedPositions signalingPortfolio1 = meaning.SignalingPortfolios[ 1 ];
			Assert.AreEqual( "TA" , signalingPortfolio1[ 0 ].Ticker );
			Assert.IsTrue( signalingPortfolio1[ 0 ].Weight > 0 ,
			              "signalingPortfolio1[ 1 ].Weight > 0" );
			Assert.AreEqual( "SC" , signalingPortfolio1[ 1 ].Ticker );
			Assert.IsTrue( signalingPortfolio1[ 1 ].Weight > 0 ,
			              "signalingPortfolio1[ 1 ].Weight > 0" );
			WeightedPositions signalingPortfolio2 = meaning.SignalingPortfolios[ 2 ];
			Assert.AreEqual( "TA" , signalingPortfolio2[ 0 ].Ticker );
			Assert.IsTrue( signalingPortfolio2[ 0 ].Weight > 0 ,
			              "signalingPortfolio2[ 1 ].Weight > 0" );
			Assert.AreEqual( "SA" , signalingPortfolio2[ 1 ].Ticker );
			Assert.IsTrue( signalingPortfolio2[ 1 ].Weight > 0 ,
			              "signalingPortfolio2[ 1 ].Weight > 0" );
		}
		#endregion TestDecode
		
		[Test]
		public void TestDuplicatedTickers()
		{
			EligibleTickers eligibleTickersForTrading =
				new EligibleTickers( new string[] { "TA" , "TB" , "TC" } );
			EligibleTickers eligibleTickersForSignaling =
				new EligibleTickers(
					new string[] { "SA" , "SB" , "SC" , "SD" , "TA" } );
			DecoderForLinearRegressionTestingPositions
				decoderForLinearRegressionTestingPositions =
				new DecoderFirstTradingTickerInEachSignalingPortfolio( 3 );
			
			DynamicMock dynamicMockForReturnsManager = new DynamicMock( typeof(IReturnsManager) );
			IReturnsManager returnsManager = (IReturnsManager)dynamicMockForReturnsManager.MockInstance;
			
			TestingPositions testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , 0 , 1 , -3 , 3 } ,		// same ticker for trading (first and second)
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded );

			testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , -4 , -4 , 0 } ,	// same ticker for signaling (third and fourth)
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded );

			testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , 0 , 1 , -2 } ,		// same ticker for signaling (fourth and fifth)
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded );

			testingPositions = decoderForLinearRegressionTestingPositions.Decode(
				new int[] { 0 , -3 , 1 , -3 , -5 } ,	// same ticker for the first trading ticker and for the third signaling portfolio
				eligibleTickersForTrading ,
				eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsTrue( testingPositions is TestingPositionsForUndecodableEncoded );
			
			testingPositions =
				decoderForLinearRegressionTestingPositions.Decode(
					new int[] { 0 , -3 , 1 , -3 , 3 } ,		// no conflict
					eligibleTickersForTrading ,
					eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsFalse( testingPositions is TestingPositionsForUndecodableEncoded );
			
			testingPositions = decoderForLinearRegressionTestingPositions.Decode(
				new int[] { -3 , 0 , 1 , -3 , -5 } ,	// no conflict even if the second ticker is the same as the fifth one
				eligibleTickersForTrading ,
				eligibleTickersForSignaling , returnsManager , returnsManager );
			Assert.IsFalse( testingPositions is TestingPositionsForUndecodableEncoded );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment/Time TestReturnIntervals.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment/Time
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv11907/b4_Business/a2_Strategies/ReturnsManagment/Time

Added Files:
	TestReturnIntervals.cs 
Log Message:
Unit test for the QuantProject.Business.Strategies.ReturnsManagement.Time.ReturnIntervals class

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

TestReturnIntervals.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;

using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantTesting.Business.Strategies.ReturnsManagement.Time
{
	/// <summary>
	/// Unit test for the QuantProject.Business.Strategies.ReturnsManagement.Time.ReturnIntervals
	/// class
	/// </summary>
	[TestFixture]
	public class TestReturnIntervals
	{
		#region TestMethod
		private ReturnIntervals getReturnIntervals()
		{
			ReturnInterval firstReturnInterval = new ReturnInterval(
				new DateTime( 2010 , 1 , 1 , 9 , 30 , 0 ) ,
				new DateTime( 2010 , 1 , 1 , 16 , 0 , 0 ) );
			ReturnInterval secondReturnInterval = new ReturnInterval(
				new DateTime( 2010 , 1 , 1 , 16 , 0 , 0 ) ,
				new DateTime( 2010 , 1 , 2 , 9 , 30 , 0 ) );
			ReturnIntervals returnIntervals = new ReturnIntervals();
			returnIntervals.Add( firstReturnInterval);
			returnIntervals.Add( secondReturnInterval );
			return returnIntervals;
		}
		[Test]
		public void TestMethod()
		{
			ReturnIntervals returnIntervals = this.getReturnIntervals();
			ReturnInterval secondLastInterval = returnIntervals.SeconLastInterval;
			Assert.AreEqual( new DateTime( 2010 , 1 , 1 , 16 , 0 , 0 ) , secondLastInterval.End );
		}
		#endregion TestMethod
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing/Decoding TestBasicDecoderForTestingPositions.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv11732/b4_Business/a2_Strategies/Optimizing/Decoding

Added Files:
	TestBasicDecoderForTestingPositions.cs 
Log Message:
Test for the QuantProject.Business.Strategies.Optimizing.Decoding.BasicDecoderForTestingPositions class

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

TestBasicDecoderForTestingPositions.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;

using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

using QuantTesting.Business.DataProviders;

namespace QuantTesting.Business.Strategies.Optimizing.Decoding
{
	[TestFixture]
	/// <summary>
	/// Test for the QuantProject.Business.Strategies.Optimizing.Decoding.BasicDecoderForTestingPositions
	/// class
	/// </summary>
	public class TestBasicDecoderForTestingPositions
	{
		#region TestMethod
		private ReturnsManager getReturnsManager()
		{
			ReturnInterval returnInterval = new ReturnInterval(
				new DateTime( 2008 , 2 , 1 , 16 , 0 , 0 ) ,
				new DateTime( 2008 , 2 , 3 , 16 , 0 , 0 ) );
			ReturnIntervals returnIntervals = new ReturnIntervals( returnInterval );
			
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProvider =
				new FakeHistoricalMarketValueProvider();			
			
			ReturnsManager returnsManager = new ReturnsManager(
				returnIntervals , fakeHistoricalMarketValueProvider );
			return returnsManager;
		}
		[Test]
		public void TestMethod()
		{
			EligibleTickers eligibleTickers =
				new EligibleTickers( new string[] { "AAAA" , "BBBB" , "CCCC" , "DDDD" } );
			int[] encoded = { -4 , 0 , 1 };
			BasicDecoderForTestingPositions basicDecoderForTestingPositions =
				new BasicDecoderForTestingPositions();
			ReturnsManager returnsManager = this.getReturnsManager();
			
			WeightedPositions weightedPositions =
				basicDecoderForTestingPositions.Decode(
					encoded , eligibleTickers , returnsManager ).WeightedPositions;
			
			Assert.AreEqual( "DDDD" , weightedPositions[ 0 ].Ticker );
			Assert.AreEqual( -0.333333 , weightedPositions[ 0 ].Weight , 0.001 );
			Assert.AreEqual(
				"BBBB" , weightedPositions[ 2 ].Ticker , "weightedPositions[ 2 ].Ticker" );
			Assert.AreEqual( 0.333333 , weightedPositions[ 2 ].Weight , 0.001 );
			Assert.AreEqual( "DDDD" , weightedPositions.SignedTickers[ 0 ].Ticker ,
			                "weightedPositions.SignedTickers[ 0 ].Ticker" );
			Assert.AreEqual( "AAAA" , weightedPositions.SignedTickers[ 1 ].Ticker ,
			                "weightedPositions.SignedTickers[ 1 ].Ticker" );
		}
		#endregion TestMethod
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/Eligibles TestOftenExchanged.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv11493/b4_Business/a2_Strategies/Eligibles

Added Files:
	TestOftenExchanged.cs 
Log Message:
Test for the QuantProject.Business.Strategies.Eligibles.OftenExchanged class

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

TestOftenExchanged.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using System.Collections.Generic;
using NUnit.Framework;
using NUnit.Mocks;

using QuantProject.ADT.Histories;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Data.Selectors;

using QuantTesting.Business.DataProviders;

namespace QuantTesting.Business.Strategies.Eligibles
{
	[TestFixture]
	/// <summary>
	/// Test for the QuantProject.Business.Strategies.Eligibles.OftenExchanged class
	/// </summary>
	public class TestOftenExchanged
	{
		#region Test_GetEligibleTickers
		private History getHistory()
		{
			History history = new History();
			history.Add( new DateTime( 2010 , 1 , 1 ) , null );
			history.Add( new DateTime( 2010 , 1 , 2 ) , null );
			history.Add( new DateTime( 2010 , 1 , 3 ) , null );
			return history;
		}
		private IHistoricalMarketValueProvider getHistoricalMarketValueProvider(
			History history )
		{
			FakeHistoricalMarketValueProvider fakeHistoricalMarketValueProviderValueBased =
				new FakeHistoricalMarketValueProvider();
			fakeHistoricalMarketValueProviderValueBased.Add(
				"A" , (DateTime)history.GetKey( 0 ) , 1 );
			fakeHistoricalMarketValueProviderValueBased.Add(
				"A" , (DateTime)history.GetKey( 1 ) , 1 );
			fakeHistoricalMarketValueProviderValueBased.Add(
				"A" , (DateTime)history.GetKey( 2 ) , 1 );
			fakeHistoricalMarketValueProviderValueBased.Add(
				"B" , (DateTime)history.GetKey( 0 ) , 1 );
//			fakeHistoricalMarketValueProviderValueBased.Add(
//				"B" , (DateTime)history.GetKey( 1 ) , 1 );
//			fakeHistoricalMarketValueProviderValueBased.Add(
//				"B" , (DateTime)history.GetKey( 2 ) , 1 );
			fakeHistoricalMarketValueProviderValueBased.Add(
				"C" , (DateTime)history.GetKey( 0 ) , 1 );
//			fakeHistoricalMarketValueProviderValueBased.Add(
//				"C" , (DateTime)history.GetKey( 1 ) , 1 );
			fakeHistoricalMarketValueProviderValueBased.Add(
				"C" , (DateTime)history.GetKey( 2 ) , 1 );
			return fakeHistoricalMarketValueProviderValueBased;
		}
		[Test]
		public void Test_GetEligibleTickers()
		{
			// the ticker "A" has 100% of the quotes
			// the ticker "B" has 33.3333% of the quotes
			// the ticker "C" has 66.6666% of the quotes
			
			DynamicMock dynamicMockTickerSelectorByGroup = new DynamicMock(
				typeof( ITickerSelectorByGroup ) );
			dynamicMockTickerSelectorByGroup.SetReturnValue(
				"GetSelectedTickers" ,
				new List<string>( new string[] { "A" , "B" , "C" } ) );
			ITickerSelectorByGroup mockTickerSelectorByGroup =
				(ITickerSelectorByGroup)dynamicMockTickerSelectorByGroup.MockInstance;
			
			History history = this.getHistory();
			
			IHistoricalMarketValueProvider historicalMarketValueProvider =
				this.getHistoricalMarketValueProvider( history );
			
			OftenExchanged oftenExchangedFor100Percent = new OftenExchanged(
				"dummy" ,  // the mock tickerSelectorByGroup doesn't use this group id
				mockTickerSelectorByGroup ,
				historicalMarketValueProvider ,
				1 );
			EligibleTickers eligibleTickers =
				oftenExchangedFor100Percent.GetEligibleTickers( history );
			Assert.AreEqual( 1 , eligibleTickers.Count );
			Assert.IsTrue( eligibleTickers.Tickers[ 0 ] == "A" );

			OftenExchanged oftenExchangedFor70Percent = new OftenExchanged(
				"dummy" ,  // the mock tickerSelectorByGroup doesn't use this group id
				mockTickerSelectorByGroup ,
				historicalMarketValueProvider ,
				0.7 );
			eligibleTickers =
				oftenExchangedFor70Percent.GetEligibleTickers( history );
			Assert.AreEqual( 1 , eligibleTickers.Count );
			Assert.IsTrue( eligibleTickers.Tickers[ 0 ] == "A" );

			OftenExchanged oftenExchangedFor50Percent = new OftenExchanged(
				"dummy" ,  // the mock tickerSelectorByGroup doesn't use this group id
				mockTickerSelectorByGroup ,
				historicalMarketValueProvider ,
				0.5 );
			eligibleTickers =
				oftenExchangedFor50Percent.GetEligibleTickers( history );
			Assert.AreEqual( 2 , eligibleTickers.Count );
			Assert.IsTrue( eligibleTickers.Tickers[ 0 ] == "A" );
			Assert.IsTrue( eligibleTickers.Tickers[ 1 ] == "C" );

			OftenExchanged oftenExchangedFor30Percent = new OftenExchanged(
				"dummy" ,  // the mock tickerSelectorByGroup doesn't use this group id
				mockTickerSelectorByGroup ,
				historicalMarketValueProvider ,
				0.3 );
			eligibleTickers =
				oftenExchangedFor30Percent.GetEligibleTickers( history );
			Assert.AreEqual( 3 , eligibleTickers.Count );
			Assert.IsTrue( eligibleTickers.Tickers[ 0 ] == "A" );
			Assert.IsTrue( eligibleTickers.Tickers[ 1 ] == "B" );
			Assert.IsTrue( eligibleTickers.Tickers[ 2 ] == "C" );
		}
		#endregion Test_GetEligibleTickers
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b3_data/Selectors TestTickerSelector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b3_data/Selectors
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv11006/b3_data/Selectors

Added Files:
	TestTickerSelector.cs 
Log Message:
Unit test for the QuantProject.Data.Selectors.TickerSelector class

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

TestTickerSelector.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using System.Data;
using NUnit.Framework;

using QuantProject.Data.Selectors;

namespace QuantTesting.Data.Selectors
{
	[TestFixture]
	public class TestTickerSelector
	{
		/// <summary>
		/// Unit test for the QuantProject.Data.Selectors.TickerSelector class
		/// </summary>
		[Test]
		public void TestMethod()
		{
			string[] tickers = { "AAAA" , "BBBB" , "CCCC" };
			DataTable dataTableForTickerSelectors =
				TickerSelector.GetDataTableForTickerSelectors( tickers );
			DataRow dataRow = dataTableForTickerSelectors.Rows[ 1 ];
			Assert.AreEqual( "BBBB" , dataRow[ 0 ] );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra TestLinearSystemSolver.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv10901/b1_ADT/LinearAlgebra

Added Files:
	TestLinearSystemSolver.cs 
Log Message:
Test for the class QuantProject.ADT.LinearAlgebra.LinearSystemSolver

--- NEW FILE: TestLinearSystemSolver.cs ---
/*
 * Created by SharpDevelop.
 * User: Glauco
 * Date: 3/21/2010
 * Time: 8:10 PM
 * 
 * To change this template use Tools | Options | Coding | Edit Standard Headers.
 */

using System;
using NUnit.Framework;

using QuantProject.ADT.LinearAlgebra;

namespace QuantTesting.ADT.LinearAlgebra
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.LinearAlgebra.LinearSystemSolver
	/// </summary>
	public class TestLinearSystemSolver
	{
		[Test]
		public void TestMethod()
		{
			double[,] A = new double[ 3 , 3 ] {
				{ 0 , 1 , 1 } ,
				{ 2 , 0 , 3 } ,
				{ 1 , 1 , 1 } };
			double[] b = new double[ 3 ] { 2 , 5 , 3 };
			
			double[] solution = LinearSystemSolver.FindSolution( A , b );
			
			Assert.AreEqual( 1 , solution[ 0 ] );
			Assert.AreEqual( 1 , solution[ 1 ] );
			Assert.AreEqual( 1 , solution[ 2 ] );
		}
		
		[Test]
		public void TestMethod1()
		{
			double[,] A = new double[ 3 , 3 ] {
				{ 2 , 1 , -1 } ,
				{ -3 , -1 , 2 } ,
				{ -2 , 1 , 2 } };
			double[] b = new double[ 3 ] { 8 , -11 , -3 };
			
			double[] solution = LinearSystemSolver.FindSolution( A , b );
			
			Assert.AreEqual( 2 , solution[ 0 ] );
			Assert.AreEqual( 3 , solution[ 1 ] );
			Assert.AreEqual( -1 , solution[ 2 ] , 0.0000001 );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/Econometrics TestLinearRegression.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/Econometrics
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv8141/b1_ADT/Econometrics

Added Files:
	TestLinearRegression.cs 
Log Message:
Test for the class QuantProject.ADT.Econometrics.LinearRegression

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

TestLinearRegression.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using NUnit.Framework;

using QuantProject.ADT.Econometrics;

namespace QuantTesting.ADT.Econometrics
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.Econometrics.LinearRegression
	/// </summary>
	public class TestLinearRegression
	{
		[Test]
		public void TestMethod()
		{
			double[] y = new double[] { 20.10 , 13.30 , 24.40 , 24.95 };

			double[,] X = new double[,] {
				{ 1 , 1 , 4 } ,
				{ 1 , 3 , 1 } ,
				{ 1 , 5 , 3 } ,
				{ 1 , 7 , 2 } };

//			double[,] X = new double[,] {
//				{ 1 , 1 , 1 , 1 } ,
//				{ 1 , 3 , 5 , 7 } ,
//				{ 4 , 1 , 3 , 2 } };

//			double[] weights = new double[] { 1 , 1 , 1 , 1 };

			LinearRegression linearRegression = new LinearRegression();
			linearRegression.RunRegression( y , X );
			
			Assert.AreEqual( 3.728571429 , linearRegression.EstimatedCoefficients[ 0 ] , 0.00000001 );
			Assert.AreEqual( 1.999404762 , linearRegression.EstimatedCoefficients[ 1 ] , 0.00000001 );
			Assert.AreEqual( 3.58452381 , linearRegression.EstimatedCoefficients[ 2 ] , 0.00000001 );
			
			Assert.AreEqual( 0.999876323 , linearRegression.CenteredRSquare , 0.0000000001 );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/a5_FakeImplementations FakeHistoricalMarketValueProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/a5_FakeImplementations
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv7364/a5_FakeImplementations

Added Files:
	FakeHistoricalMarketValueProvider.cs 
Log Message:
Implements a fake HistoricalMarketValueProvider, where market values are given by the Add method

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

FakeHistoricalMarketValueProvider.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;
using System.Collections;

using QuantProject.Business.DataProviders;

namespace QuantTesting.Business.DataProviders
{
	/// <summary>
	/// Implements a fake HistoricalMarketValueProvider, where
	/// market values are given by the Add method
	/// </summary>
	public class FakeHistoricalMarketValueProvider : HistoricalMarketValueProvider
	{
		private Hashtable marketValues;
		
		public FakeHistoricalMarketValueProvider()
		{
			this.marketValues = new Hashtable();
		}
		
		protected override string getDescription()
		{
			return "fake";
		}

		public override bool WasExchanged(string ticker, DateTime dateTime)
		{
			bool containsDateTime = this.marketValues.ContainsKey( dateTime );
			Hashtable marketValues = (Hashtable)this.marketValues[ dateTime ] ;
			bool wasExchanged =
				( this.marketValues.ContainsKey( dateTime ) &&
				 ( (Hashtable)this.marketValues[ dateTime ] ).ContainsKey( ticker ) );
			return wasExchanged;
		}
		
		#region GetMarketValue
		public override double GetMarketValue( string ticker , DateTime dateTime )
		{
			if ( !this.marketValues.ContainsKey( dateTime ) )
				throw new Exception( "There are no quotes for DateTime " + dateTime.ToString() );
			if ( !( (Hashtable)this.marketValues[ dateTime ] ).ContainsKey( ticker ) )
				throw new Exception(
					"There are no quotes for the ticker " + ticker + "at the DateTime " +
					dateTime.ToString() );
			// quote is not present
			double marketValue = (double)( ( (Hashtable)this.marketValues[ dateTime ] )[ ticker ] );
			return marketValue;
		}
		#endregion GetMarketValue
//
//		public History GetMarketValues( string ticker , History history )
//		{
//			eaer
//		}

		
		public void Add( string ticker , DateTime dateTime , double marketValue )
		{
			if ( !this.marketValues.ContainsKey( dateTime ) )
				this.marketValues.Add( dateTime , new Hashtable() );
			( (Hashtable)this.marketValues[ dateTime ] ).Add( ticker , marketValue );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/a5_FakeImplementations FakeGenomeManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/a5_FakeImplementations
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv7289/a5_FakeImplementations

Added Files:
	FakeGenomeManager.cs 
Log Message:
Fake genome manager

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

FakeGenomeManager.cs
Copyright (C) 2010
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT.Optimizing.Genetic;

namespace QuantTesting.ADT.Optimizing.Genetic
{
	/// <summary>
	/// Fake genome manager
	/// </summary>
	public class FakeGenomeManager : IGenomeManager
	{
		private int genomeSize;
		public int GenomeSize{ get { return this.genomeSize; }}
		
		public FakeGenomeManager( int genomeSize )
		{
			this.genomeSize = genomeSize;
		}
		
		public int GetMaxValueForGenes(int genePosition)
		{
			return 10000;
		}
		
		public int GetMinValueForGenes(int genePosition)
		{
			return -10000;
		}
		public int GetNewGeneValue(Genome genome, int genePosition)
		{
			return 3;
		}
		
		public object Decode(Genome genome)
		{
			return null;
		}
		public double GetFitnessValue(Genome genome)
		{
			return 0;
		}
		public Genome[] GetChilds(Genome parent1, Genome parent2)
		{
			return null;
		}
		public void Mutate(Genome genome)
		{
			;
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv6359/linearRegression

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b7_scripts - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv6278/b7_scripts

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment/Time - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment/Time
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5503/Time

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment/Time added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5473/ReturnsManagment

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/ReturnsManagment added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing/Decoding - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5335/Decoding

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing/Decoding added to the repository